Re: [PATCH] Add generic exponentially weighted moving average function

[Bruno Randolf <br1@einfach.org>]

On Fri October 15 2010 22:55:23 kevin granade wrote:
> >> This has a scaled up copy of the moving average, which reduces the
> >> available range for the average to MAX_INT/(AVG_FACTOR*num_samples)
> >> instead of +/- MAX_INT, is that acceptable?  Even if it is, shouldn't
> >> it be documented?  For example, with num_samples = 10, it will roll
> >> over to a negative value if the average exceeds 214,748.  This seems
> >> like a potentially surprising outcome.
> > 
> > Yes. I'll document this in the next version of the patch. Or should I use
> > 64bit for the internal representation?
> 
> If you don't expect the size or speed impact to be significant, it
> seems like just throwing a bigger number at the problem might be the
> better option.  That will move the rollover to MAX_INT/AVG_FACTOR,
> unless you also make AVG_FACTOR 64bit, which will promote all of the
> multiplications to 64bit and provide full MAX_INT range for input and
> output.

Honestly, I don't know about the speed impact of using 64 bit vs. 32 bit. 
I do know however, that the averaging function needs to be called quite often, 
where I want to use it, so performance could be an issue. And in my case the 
values are low enough so rollover is not a problem - but obviously I want to 
make this generally useful.

> I couldn't find anything that clearly indicated what the expected
> precaution is in this case.  It probably isn't an issue now that I
> understand that samples is intended to remain constant.  I initially
> thought samples would scale from 1 - n as you were initially "loading"
> samples into the structure, but now I understand that samples remains
> at n throughout the process.

I will work on the description.

Thanks,
Bruno