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Optimize halflife-based EMA's in csp.stats #288

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Jun 20, 2024
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Optimize halflife-based EMA's in csp.stats #288

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33 changes: 14 additions & 19 deletions cpp/csp/cppnodes/statsimpl.h
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Original file line number Diff line number Diff line change
Expand Up @@ -1728,7 +1728,7 @@ class AlphaDebiasEMA
w0 = 1.0;
else
w0 = 1 - m_decay;
m_sqsum += pow( w0, 2 );
m_sqsum += w0 * w0;
m_wsum += w0;
}
else
Expand All @@ -1746,7 +1746,7 @@ class AlphaDebiasEMA
double wh = pow( m_decay, lookback );
if( !m_adjust )
wh *= ( 1- m_decay );
m_sqsum -= pow( wh, 2 );
m_sqsum -= wh * wh;
m_wsum -= wh;
if( m_wsum < EPSILON || m_sqsum < EPSILON )
{
Expand All @@ -1767,7 +1767,7 @@ class AlphaDebiasEMA

double compute() const
{
double wsum_sq = pow( m_wsum, 2 );
double wsum_sq = m_wsum * m_wsum;
if( abs( wsum_sq - m_sqsum ) > EPSILON )
return wsum_sq / ( wsum_sq - m_sqsum );
else
Expand All @@ -1794,7 +1794,7 @@ class HalflifeEMA

HalflifeEMA( TimeDelta halflife, DateTime start )
{
m_halflife = halflife;
m_decay_factor = log( 0.5 ) / halflife.asNanoseconds();
m_last_tick = start;
reset();
}
Expand All @@ -1808,12 +1808,9 @@ class HalflifeEMA
if( likely( !isnan( x ) ) )
{
TimeDelta delta_t = now - m_last_tick;
double decay_duration = ( double )( delta_t.asNanoseconds() ) / ( m_halflife.asNanoseconds() );
double decay = exp( -( decay_duration ) * log( 2 ) );
m_ema *= decay;
m_norm *= decay;
m_ema += x;
m_norm++;
double decay = exp( m_decay_factor * delta_t.asNanoseconds() );
m_ema = decay * m_ema + x;
m_norm = decay * m_norm + 1.0;
m_last_tick = now;
}
}
Expand All @@ -1832,7 +1829,7 @@ class HalflifeEMA

double m_ema;
double m_norm;
TimeDelta m_halflife;
double m_decay_factor;
DateTime m_last_tick;

};
Expand All @@ -1844,7 +1841,7 @@ class HalflifeDebiasEMA

HalflifeDebiasEMA( TimeDelta halflife, DateTime start )
{
m_halflife = halflife;
m_decay_factor = log( 0.5 ) / halflife.asNanoseconds();
m_last_tick = start;
reset();
}
Expand All @@ -1858,11 +1855,9 @@ class HalflifeDebiasEMA
if( likely( !isnan( x ) ) )
{
TimeDelta delta_t = now - m_last_tick;
double decay = exp( -( delta_t/m_halflife ) * log( 2 ) );
m_sqsum *= pow( decay, 2 );
m_wsum *= decay;
m_sqsum++;
m_wsum++;
double decay = exp( m_decay_factor * delta_t.asNanoseconds() );
m_sqsum = decay * decay * m_sqsum + 1.0;
m_wsum = decay * m_wsum + 1.0;
m_last_tick = now;
}
}
Expand All @@ -1874,7 +1869,7 @@ class HalflifeDebiasEMA

double compute() const
{
double wsum_sq = pow( m_wsum, 2 );
double wsum_sq = m_wsum * m_wsum;
if( wsum_sq != m_sqsum )
return wsum_sq / ( wsum_sq - m_sqsum );
else
Expand All @@ -1885,7 +1880,7 @@ class HalflifeDebiasEMA

double m_wsum;
double m_sqsum;
TimeDelta m_halflife;
double m_decay_factor;
DateTime m_last_tick;
};

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