add EWMA moving average option to ThroughputHistory, default remains sliding window #2094
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| function updateEwmaEstimate(ewmaObj, value, weight, halfLife) { | ||
| const fastAlpha = Math.pow(0.5, weight / halfLife.fast); | ||
| ewmaObj.fastEstimate = (1 - fastAlpha) * value + fastAlpha * ewmaObj.fastEstimate; |
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So at startup, ewmaObj.fastEstimate is 0. So this is underestimating the EWMA at the beginning,(and as time rolls on, the 0 is weighted to almost nothing). Instead, the very first EWMA value should be just the first measurement. So, maybe we should be doing something like: set ewmaObj.fastEstimate to undefined, when the first measurement comes in, set ewmaObj.fastEstimate to that value, then carry on calculating the EWMA as before for future measurements.
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I was compensating for startup in getAverageEwma() by doing fastEstimate = ewmaObj.fastEstimate / (1 - Math.pow(0.5, ewmaObj.totalWeight / halfLife.fast)). That also has the benefit of not giving the first measurement more weight than the next few measurements during startup. But I need to at least put some clear documentation here because the startup compensation code is rather hidden.
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