update_ewm_variance()

double MayaFlux::Kinesis::Stochastic::Estimate::update_ewm_variance ( double  sample )

private

Definition at line 81 of file Estimate.cpp.

{
    if (m_state.sample_count == 1) {
        m_state.running_mean = sample;
        m_state.running_variance = 0.0;
        m_state.floor = 0.0;
        m_state.filtered_value = sample;
        return m_state.floor;
    }
 
    const double delta = sample - m_state.running_mean;
    m_state.running_mean += m_adapt_rate * delta;
 
    const double delta2 = sample - m_state.running_mean;
    m_state.running_variance = (1.0 - m_adapt_rate) * (m_state.running_variance + m_adapt_rate * delta * delta2);
 
    m_state.floor = std::sqrt(m_state.running_variance);
    m_state.filtered_value = m_state.running_mean;
 
    return m_state.floor;
}

References MayaFlux::Kinesis::Stochastic::EstimateState::filtered_value, MayaFlux::Kinesis::Stochastic::EstimateState::floor, m_adapt_rate, m_state, MayaFlux::Kinesis::Stochastic::EstimateState::running_mean, MayaFlux::Kinesis::Stochastic::EstimateState::running_variance, and MayaFlux::Kinesis::Stochastic::EstimateState::sample_count.

Referenced by update().

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