Line data    Source code

       1             : #ifndef HEADER_fd_src_disco_gui_fd_gui_ema_h
       2             : #define HEADER_fd_src_disco_gui_fd_gui_ema_h
       3             : 
       4             : #include "../../util/fd_util_base.h"
       5             : 
       6             : #include <float.h>
       7             : #include <math.h>
       8             : 
       9             : struct fd_gui_ema {
      10             :   double value; /* filtered value */
      11             :   double weight; /* used for Adam-style startup debiasing */
      12             :   long   last_update_nanos; /* last recorded sample timestamp */
      13             :   long   half_life_nanos; /* Time horizon for the filter */
      14             : };
      15             : 
      16             : typedef struct fd_gui_ema fd_gui_ema_t;
      17             : 
      18             : static inline void
      19             : fd_gui_ema_init( fd_gui_ema_t * ema,
      20             :                  long           now_nanos,
      21           0 :                  long           half_life_nanos ) {
      22           0 :   ema->value             = 0.0;
      23           0 :   ema->weight            = 0.0;
      24           0 :   ema->last_update_nanos = now_nanos;
      25           0 :   ema->half_life_nanos   = half_life_nanos;
      26           0 : }
      27             : 
      28             : static inline double
      29             : fd_gui_ema_advance( fd_gui_ema_t * ema,
      30             :                     long           now_nanos,
      31           0 :                     double         sample ) {
      32           0 :   long dt = now_nanos - ema->last_update_nanos;
      33           0 :   if( FD_UNLIKELY( dt<=0L ) ) return ema->value;
      34             : 
      35           0 :   double alpha      = 1.0 - exp( -0.69314718055994 * (double)dt / (double)ema->half_life_nanos );
      36           0 :   double new_weight = fmax( alpha + (1.0 - alpha) * ema->weight, DBL_EPSILON );
      37           0 :   ema->value = (alpha * sample + (1.0 - alpha) * ema->weight * ema->value) / new_weight;
      38           0 :   ema->weight            = new_weight;
      39           0 :   ema->last_update_nanos = now_nanos;
      40           0 :   return ema->value;
      41           0 : }
      42             : 
      43             : static inline double
      44             : fd_gui_ema_value( fd_gui_ema_t const * ema,
      45             :                   long                 now_nanos,
      46           0 :                   double               sample ) {
      47           0 :   fd_gui_ema_t cpy = *ema;
      48           0 :   return fd_gui_ema_advance( &cpy, now_nanos, sample );
      49           0 : }
      50             : 
      51             : #endif /* HEADER_fd_src_disco_gui_fd_gui_ema_h */