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56 lines
1.2 KiB
C++
56 lines
1.2 KiB
C++
/*++
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Copyright (c) 2018 Microsoft Corporation
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Module Name:
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ema.h
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Abstract:
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Exponential moving average based on CaDiCal.
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The exponential scheme used to adjust beta to alpha is
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described in Biere & Froelich, POS (Pragmatics of SAT) 2016.
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Author:
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Nikolaj Bjorner (nbjorner) 2018-05-03
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Revision History:
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--*/
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#ifndef EMA_H_
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#define EMA_H_
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class ema {
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double m_alpha, m_beta, m_value;
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unsigned m_period, m_wait;
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bool invariant() const { return 0 <= m_alpha && m_alpha <= m_beta && m_beta <= 1; }
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public:
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ema(): m_alpha(0), m_beta(1), m_value(0), m_period(0), m_wait(0) {
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SASSERT(invariant());
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}
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ema(double alpha):
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m_alpha(alpha), m_beta(1), m_value(0),
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m_period(0), m_wait(0) {
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SASSERT(invariant());
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}
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void set_alpha(double alpha) {
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m_alpha = alpha;
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SASSERT(invariant());
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}
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operator double () const { return m_value; }
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void update(double x) {
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SASSERT(invariant());
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m_value += m_beta * (x - m_value);
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if (m_beta <= m_alpha || m_wait--) return;
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m_wait = m_period = 2*(m_period + 1) - 1;
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m_beta *= 0.5;
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if (m_beta < m_alpha) m_beta = m_alpha;
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}
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};
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#endif
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