exponential_moving_average.hpp

// A structure for calculating an exponential moving average.
// Copyright 2020 Christian Kauten
//
// Author: Christian Kauten (kautenja@auburn.edu)
//
// This program is free software: you can redistribute it and/or modify
// it under the terms of the GNU General Public License as published by
// the Free Software Foundation, either version 3 of the License, or
// (at your option) any later version.
// This program is distributed in the hope that it will be useful,
// but WITHOUT ANY WARRANTY; without even the implied warranty of
// MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
// GNU General Public License for more details.
// You should have received a copy of the GNU General Public License
// along with this program.  If not, see <http://www.gnu.org/licenses/>.
//
 
#ifndef MATHS_EXPONENTIAL_MOVING_AVERAGE
#define MATHS_EXPONENTIAL_MOVING_AVERAGE
 
#include <algorithm>
#include <atomic>
 
namespace Maths {
 
template<typename T = float>
struct ExponentialMovingAverage {
 private:
    std::atomic<T> alpha;
    std::atomic<T> average;
 
 public:
    static constexpr T ALPHA_MIN = 0;
    static constexpr T ALPHA_MAX = 1;
 
    explicit ExponentialMovingAverage(T alpha_, T observation = 0) :
        alpha(std::clamp(alpha_, ALPHA_MIN, ALPHA_MAX)), average(observation) { }
 
    inline void reset(T observation = 0) { average = observation; }
 
    inline void set_alpha(T alpha_) {
        alpha = std::clamp(alpha_, ALPHA_MIN, ALPHA_MAX);
    }
 
    inline T get_alpha() const { return alpha; }
 
    inline void process(T observation) {
        average = average + alpha * (observation - average);
    }
 
    inline T get_average() const { return average; }
};
 
}  // namespace Maths
 
#endif  // MATHS_EXPONENTIAL_MOVING_AVERAGE