Class: Ewma

Defined in: Ewma.ts:12

Exponential Weighted Moving Average (EWMA)

Each sample has a weight, for example the duration of a download in seconds. A half-life of h weight units corresponds to an alpha of Math.exp(Math.log(0.5) / h).

Example

// A half-life of 2 seconds
const ewma = new Ewma(Math.exp(Math.log(0.5) / 2))

// 500 bps over 2 seconds
ewma.sample(2, 500)

// 1000 bps over 4 seconds
ewma.sample(4, 1000)

equal(roundToEven(ewma.getEstimate(), 2), 928.57)
equal(ewma.getTotalDuration(), 6)

Constructors

Constructor

new Ewma(alpha): Ewma;

Defined in: Ewma.ts:23

Parameters

alpha

number

The smoothing factor, between 0 and 1. A larger alpha expires old samples more slowly.

Returns

Ewma

Methods

getEstimate()

getEstimate(): number;

Defined in: Ewma.ts:53

Returns the estimate of the value (in units, as value during sampling)

For example, if the value is throughput (in bits per seconds), the estimate will also be in bits per seconds.

Returns

number

---

getTotalDuration()

getTotalDuration(): number;

Defined in: Ewma.ts:68

Returns the total duration of the resource (in units, as weight during sampling)

Returns

number

---

sample()

sample(weight, value): void;

Defined in: Ewma.ts:35

Samples the value of the resource and updates the estimate.

The new value has the weight 1 - alpha ^ weight. The method ignores a sample that would make the estimate NaN.

Parameters

weight

number

value

number

Returns

void