exponential_moving_variance.hpp

// A structure for calculating an exponential moving variance.
// 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_VARIANCE
#define MATHS_EXPONENTIAL_MOVING_VARIANCE
 
#include <algorithm>
#include <atomic>
#include <cmath>
 
namespace Maths {
 
template<typename T = float>
struct ExponentialMovingVariance {
 private:
    std::atomic<T> alpha;
    std::atomic<T> average;
    std::atomic<T> variance = 0.f;
 
 public:
    static constexpr T ALPHA_MIN = 0;
    static constexpr T ALPHA_MAX = 1;
 
    explicit ExponentialMovingVariance(T alpha_, T observation = 0) :
        alpha(std::clamp(alpha_, ALPHA_MIN, ALPHA_MAX)), average(observation) { }
 
    inline void reset(T observation = 0) {
        average = observation;
        variance = 0;
    }
 
    inline void set_alpha(T alpha_) {
        alpha = std::clamp(alpha_, ALPHA_MIN, ALPHA_MAX);
    }
 
    inline T get_alpha() const { return alpha; }
 
    inline T process(T observation) {
        T delta = observation - average;
        average = average + alpha * delta;
        variance = (ALPHA_MAX - alpha) * (variance + alpha * delta * delta);
        return delta;
    }
 
    inline T get_average() const { return average; }
 
    inline T get_variance() const { return variance; }
 
    inline T get_stddev() const { return sqrt(variance); }
};
 
}  // namespace Maths
 
#endif  // MATHS_EXPONENTIAL_MOVING_VARIANCE