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本文主要研究一下Elasticsearch的ExponentiallyWeightedMovingAverage
ExponentiallyWeightedMovingAverage
elasticsearch-7.0.1/server/src/main/java/org/elasticsearch/common/ExponentiallyWeightedMovingAverage.java
public class ExponentiallyWeightedMovingAverage {
private final double alpha;
private final AtomicLong averageBits;
/**
* Create a new EWMA with a given {@code alpha} and {@code initialAvg}. A smaller alpha means
* that new data points will have less weight, where a high alpha means older data points will
* have a lower influence.
*/
public ExponentiallyWeightedMovingAverage(double alpha, double initialAvg) {
if (alpha < 0 || alpha > 1) {
throw new IllegalArgumentException("alpha must be greater or equal to 0 and less than or equal to 1");
}
this.alpha = alpha;
this.averageBits = new AtomicLong(Double.doubleToLongBits(initialAvg));
}
public double getAverage() {
return Double.longBitsToDouble(this.averageBits.get());
}
public void addValue(double newValue) {
boolean successful = false;
do {
final long currentBits = this.averageBits.get();
final double currentAvg = getAverage();
final double newAvg = (alpha * newValue) + ((1 - alpha) * currentAvg);
final long newBits = Double.doubleToLongBits(newAvg);
successful = averageBits.compareAndSet(currentBits, newBits);
} while (successful == false);
}
}
复制代码- ExponentiallyWeightedMovingAverage实现了EWMA，它是线程安全的；其构造器要求输入alpha及initialAvg；alpha越大表示新数据权重越大旧数据权重越小
- getAverage返回的是averageBits的值，不过它存储的是double的bit形式，返回的时候使用Double.longBitsToDouble转换会double
- addValue方法使用
(alpha * newValue) + ((1 - alpha) * currentAvg)计算新值，然后使用averageBits.compareAndSet方法来实现原子更新
实例
elasticsearch-7.0.1/server/src/test/java/org/elasticsearch/common/ExponentiallyWeightedMovingAverageTests.java
public class ExponentiallyWeightedMovingAverageTests extends ESTestCase {
public void testEWMA() {
final ExponentiallyWeightedMovingAverage ewma = new ExponentiallyWeightedMovingAverage(0.5, 10);
ewma.addValue(12);
assertThat(ewma.getAverage(), equalTo(11.0));
ewma.addValue(10);
ewma.addValue(15);
ewma.addValue(13);
assertThat(ewma.getAverage(), equalTo(12.875));
}
public void testInvalidAlpha() {
IllegalArgumentException ex = expectThrows(IllegalArgumentException.class, () -> new ExponentiallyWeightedMovingAverage(-0.5, 10));
assertThat(ex.getMessage(), equalTo("alpha must be greater or equal to 0 and less than or equal to 1"));
ex = expectThrows(IllegalArgumentException.class, () -> new ExponentiallyWeightedMovingAverage(1.5, 10));
assertThat(ex.getMessage(), equalTo("alpha must be greater or equal to 0 and less than or equal to 1"));
}
public void testConvergingToValue() {
final ExponentiallyWeightedMovingAverage ewma = new ExponentiallyWeightedMovingAverage(0.5, 10000);
for (int i = 0; i < 100000; i++) {
ewma.addValue(1);
}
assertThat(ewma.getAverage(), lessThan(2.0));
}
}
复制代码- testEWMA方法测试算法的计算逻辑；testInvalidAlpha测试alpha参数的校验；testConvergingToValue则测试ewma值的收敛
小结
- ExponentiallyWeightedMovingAverage实现了EWMA，它是线程安全的；其构造器要求输入alpha及initialAvg；alpha越大表示新数据权重越大旧数据权重越小
- getAverage返回的是averageBits的值，不过它存储的是double的bit形式，返回的时候使用Double.longBitsToDouble转换会double
- addValue方法使用
(alpha * newValue) + ((1 - alpha) * currentAvg)计算新值，然后使用averageBits.compareAndSet方法来实现原子更新
