/
mv_avg.ml
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/
mv_avg.ml
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(* Exponential moving average. See .mli *)
type state = {
mutable alpha: float;
age_min: int;
mutable m: float;
mutable age: int;
}
let init ?(alpha = 0.1) () =
if not (alpha >= 0. && alpha <= 1.) then
invalid_arg "Mv_avg.init";
let age_min = truncate (ceil (1. /. alpha)) in
{
alpha;
age_min;
m = nan;
age = 0
}
let set_alpha state alpha =
if not (alpha >= 0. && alpha <= 1.) then
invalid_arg "Mv_avg.update_alpha";
state.alpha <- alpha
let update_age state =
let age = state.age in
if age >= 0 then
state.age <- age + 1
let update state x =
if x <> x then
invalid_arg "Mv_avg.update: not a number";
update_age state;
let alpha =
if state.age > state.age_min then
state.alpha
else (
if state.age = 1 then
(* replace nan to avoid contamination when it's multiplied by 0 *)
state.m <- 0.;
(* arithmetic mean until we reach 1/r observations *)
1. /. float state.age
)
in
state.m <- (1. -. alpha) *. state.m +. alpha *. x
let get state = state.m
let get_age state = state.age