Shell: introduce Moving_average

src/Makefile

@@ -113,6 +113,7 @@ UTILS_LIB_INTFS := \
   utils/lwt_utils.mli \
   utils/lwt_pipe.mli \
   utils/IO.mli \
+  utils/moving_average.mli \
 
 UTILS_LIB_IMPLS := \
   utils/mBytes.ml \
@@ -131,6 +132,7 @@ UTILS_LIB_IMPLS := \
   utils/lwt_utils.ml \
   utils/lwt_pipe.ml \
   utils/IO.ml \
+  utils/moving_average.ml \
 
 UTILS_PACKAGES := \
   base64 \

src/utils/moving_average.ml

@@ -0,0 +1,37 @@
+(**************************************************************************)
+(*                                                                        *)
+(*    Copyright (c) 2014 - 2016.                                          *)
+(*    Dynamic Ledger Solutions, Inc. <contact@tezos.com>                  *)
+(*                                                                        *)
+(*    All rights reserved. No warranty, explicit or implicit, provided.   *)
+(*                                                                        *)
+(**************************************************************************)
+
+class type ma = object
+  method add_float : float -> unit
+  method add_int : int -> unit
+  method get : float
+end
+
+class virtual base ?(init = 0.) () = object (self)
+  val mutable acc : float = init
+  method virtual add_float : float -> unit
+  method add_int x = self#add_float (float_of_int x)
+  method get = acc
+end
+
+class sma ?init () = object
+  inherit base ?init ()
+  val mutable i = match init with None -> 0 | _ -> 1
+  method add_float x =
+    acc <- (acc +. (x -. acc) /. (float_of_int @@ succ i)) ;
+    i <- succ i
+end
+
+class ema ?init ~alpha () = object
+  inherit base ?init ()
+  val alpha = alpha
+  method add_float x =
+      acc <- alpha *. x +. (1. -. alpha) *. acc
+end
+

src/utils/moving_average.mli

@@ -0,0 +1,34 @@
+(**************************************************************************)
+(*                                                                        *)
+(*    Copyright (c) 2014 - 2016.                                          *)
+(*    Dynamic Ledger Solutions, Inc. <contact@tezos.com>                  *)
+(*                                                                        *)
+(*    All rights reserved. No warranty, explicit or implicit, provided.   *)
+(*                                                                        *)
+(**************************************************************************)
+
+(** Moving averages. The formulas are from Wikipedia
+    [https://en.wikipedia.org/wiki/Moving_average] *)
+
+class type ma = object
+  method add_float : float -> unit
+  method add_int : int -> unit
+  method get : float
+end
+(** Common class type for objects computing a cumulative moving
+    average of some flavor. In a cumulative moving average, the data
+    arrive in an ordered datum stream, and the user would like to get
+    the average of all of the data up until the current datum
+    point. The method [add_float] and [add_int] are used to add the
+    next datum. The method [get] and [get_exn] are used to compute the
+    moving average up until the current datum point. *)
+
+class sma : ?init:float -> unit -> ma
+(** [sma ?init ()] is an object that computes the Simple Moving
+    Average of a datum stream. [SMA(n+1) = SMA(n) + (x_(n+1) / SMA(n))
+    / (n+1)] *)
+
+class ema : ?init:float -> alpha:float -> unit -> ma
+(** [ema ?init ~alpha ()] is an object that computes the Exponential
+    Moving Average of a datum stream. [EMA(n+1) = alpha * x_(n+1) +
+    (1 - alpha) * x_n] *)