Boost C++ Libraries

boost/accumulators/statistics/rolling_mean.hpp

///////////////////////////////////////////////////////////////////////////////
// rolling_mean.hpp
// Copyright (C) 2008 Eric Niebler.
// Copyright (C) 2012 Pieter Bastiaan Ober (Integricom).
// Distributed under the Boost Software License, Version 1.0.
// (See accompanying file LICENSE_1_0.txt or copy at
// http://www.boost.org/LICENSE_1_0.txt)

#ifndef BOOST_ACCUMULATORS_STATISTICS_ROLLING_MEAN_HPP_EAN_26_12_2008
#define BOOST_ACCUMULATORS_STATISTICS_ROLLING_MEAN_HPP_EAN_26_12_2008

#include <boost/mpl/placeholders.hpp>
#include <boost/accumulators/framework/accumulator_base.hpp>
#include <boost/accumulators/framework/extractor.hpp>
#include <boost/accumulators/numeric/functional.hpp>
#include <boost/accumulators/framework/parameters/sample.hpp>
#include <boost/accumulators/framework/depends_on.hpp>
#include <boost/accumulators/statistics_fwd.hpp>
#include <boost/accumulators/statistics/rolling_sum.hpp>
#include <boost/accumulators/statistics/rolling_count.hpp>

namespace boost { namespace accumulators
{
   namespace impl
   {
      ///////////////////////////////////////////////////////////////////////////////
      // lazy_rolling_mean_impl
      //    returns the mean over the rolling window and is calculated only
      //    when the result is requested
      template<typename Sample>
      struct lazy_rolling_mean_impl
         : accumulator_base
      {
         // for boost::result_of
         typedef typename numeric::functional::fdiv<Sample, std::size_t, void, void>::result_type result_type;

         lazy_rolling_mean_impl(dont_care)
         {
         }

         template<typename Args>
         result_type result(Args const &args) const
         {
            return numeric::fdiv(rolling_sum(args), rolling_count(args));
         }
        
         // serialization is done by accumulators it depends on
         template<class Archive>
         void serialize(Archive & ar, const unsigned int file_version) {}
      };

      ///////////////////////////////////////////////////////////////////////////////
      // immediate_rolling_mean_impl
      //     The non-lazy version computes the rolling mean recursively when a new
      //     sample is added
      template<typename Sample>
      struct immediate_rolling_mean_impl
         : accumulator_base
      {
         // for boost::result_of
         typedef typename numeric::functional::fdiv<Sample, std::size_t>::result_type result_type;

         template<typename Args>
         immediate_rolling_mean_impl(Args const &args)
            : mean_(numeric::fdiv(args[sample | Sample()],numeric::one<std::size_t>::value))
         {
         }

         template<typename Args>
         void operator()(Args const &args)
         {
            if(is_rolling_window_plus1_full(args))
            {
               if (rolling_window_plus1(args).front() > args[sample])
                  mean_ -= numeric::fdiv(rolling_window_plus1(args).front()-args[sample],rolling_count(args));
               else if (rolling_window_plus1(args).front() < args[sample])
                  mean_ += numeric::fdiv(args[sample]-rolling_window_plus1(args).front(),rolling_count(args));
            }
            else
            {
               result_type prev_mean = mean_;
               if (prev_mean > args[sample])
                   mean_ -= numeric::fdiv(prev_mean-args[sample],rolling_count(args));
               else if (prev_mean < args[sample])
                   mean_ += numeric::fdiv(args[sample]-prev_mean,rolling_count(args));
            }
         }

         template<typename Args>
         result_type result(Args const &) const
         {
            return mean_;
         }
        
         // make this accumulator serializeable
         template<class Archive>
         void serialize(Archive & ar, const unsigned int file_version)
         { 
            ar & mean_;
         }

      private:

         result_type mean_;
      };
   } // namespace impl

   ///////////////////////////////////////////////////////////////////////////////
   // tag::lazy_rolling_mean
   // tag::immediate_rolling_mean
   // tag::rolling_mean
   //
   namespace tag
   {
      struct lazy_rolling_mean
         : depends_on< rolling_sum, rolling_count >
      {
         /// INTERNAL ONLY
         ///
         typedef accumulators::impl::lazy_rolling_mean_impl< mpl::_1 > impl;

#ifdef BOOST_ACCUMULATORS_DOXYGEN_INVOKED
         /// tag::rolling_window::window_size named parameter
         static boost::parameter::keyword<tag::rolling_window_size> const window_size;
#endif
      };

      struct immediate_rolling_mean
         : depends_on< rolling_window_plus1, rolling_count>
      {
         /// INTERNAL ONLY
         ///
         typedef accumulators::impl::immediate_rolling_mean_impl< mpl::_1> impl;

#ifdef BOOST_ACCUMULATORS_DOXYGEN_INVOKED
         /// tag::rolling_window::window_size named parameter
         static boost::parameter::keyword<tag::rolling_window_size> const window_size;
#endif
      };

      // make immediate_rolling_mean the default implementation
      struct rolling_mean : immediate_rolling_mean {};
   } // namespace tag

   ///////////////////////////////////////////////////////////////////////////////
   // extract::lazy_rolling_mean
   // extract::immediate_rolling_mean
   // extract::rolling_mean
   //
   namespace extract
   {
      extractor<tag::lazy_rolling_mean> const lazy_rolling_mean = {};
      extractor<tag::immediate_rolling_mean> const immediate_rolling_mean = {};
      extractor<tag::rolling_mean> const rolling_mean = {};

      BOOST_ACCUMULATORS_IGNORE_GLOBAL(lazy_rolling_mean)
         BOOST_ACCUMULATORS_IGNORE_GLOBAL(immediate_rolling_mean)
         BOOST_ACCUMULATORS_IGNORE_GLOBAL(rolling_mean)
   }

   using extract::lazy_rolling_mean;
   using extract::immediate_rolling_mean;
   using extract::rolling_mean;

   // rolling_mean(lazy) -> lazy_rolling_mean
   template<>
   struct as_feature<tag::rolling_mean(lazy)>
   {
      typedef tag::lazy_rolling_mean type;
   };

   // rolling_mean(immediate) -> immediate_rolling_mean
   template<>
   struct as_feature<tag::rolling_mean(immediate)>
   {
      typedef tag::immediate_rolling_mean type;
   };

   // for the purposes of feature-based dependency resolution,
   // immediate_rolling_mean provides the same feature as rolling_mean
   template<>
   struct feature_of<tag::immediate_rolling_mean>
      : feature_of<tag::rolling_mean>
   {
   };

   // for the purposes of feature-based dependency resolution,
   // lazy_rolling_mean provides the same feature as rolling_mean
   template<>
   struct feature_of<tag::lazy_rolling_mean>
      : feature_of<tag::rolling_mean>
   {
   };
}} // namespace boost::accumulators

#endif