Chris@16: ///////////////////////////////////////////////////////////////////////////////
Chris@16: // rolling_mean.hpp
Chris@101: // Copyright (C) 2008 Eric Niebler.
Chris@101: // Copyright (C) 2012 Pieter Bastiaan Ober (Integricom).
Chris@101: // Distributed under the Boost Software License, Version 1.0.
Chris@101: // (See accompanying file LICENSE_1_0.txt or copy at
Chris@101: // http://www.boost.org/LICENSE_1_0.txt)
Chris@16: 
Chris@16: #ifndef BOOST_ACCUMULATORS_STATISTICS_ROLLING_MEAN_HPP_EAN_26_12_2008
Chris@16: #define BOOST_ACCUMULATORS_STATISTICS_ROLLING_MEAN_HPP_EAN_26_12_2008
Chris@16: 
Chris@16: #include <boost/mpl/placeholders.hpp>
Chris@16: #include <boost/accumulators/framework/accumulator_base.hpp>
Chris@16: #include <boost/accumulators/framework/extractor.hpp>
Chris@16: #include <boost/accumulators/numeric/functional.hpp>
Chris@16: #include <boost/accumulators/framework/parameters/sample.hpp>
Chris@16: #include <boost/accumulators/framework/depends_on.hpp>
Chris@16: #include <boost/accumulators/statistics_fwd.hpp>
Chris@16: #include <boost/accumulators/statistics/rolling_sum.hpp>
Chris@16: #include <boost/accumulators/statistics/rolling_count.hpp>
Chris@16: 
Chris@16: namespace boost { namespace accumulators
Chris@16: {
Chris@101:    namespace impl
Chris@101:    {
Chris@101:       ///////////////////////////////////////////////////////////////////////////////
Chris@101:       // lazy_rolling_mean_impl
Chris@101:       //    returns the mean over the rolling window and is calculated only
Chris@101:       //    when the result is requested
Chris@101:       template<typename Sample>
Chris@101:       struct lazy_rolling_mean_impl
Chris@101:          : accumulator_base
Chris@101:       {
Chris@101:          // for boost::result_of
Chris@101:          typedef typename numeric::functional::fdiv<Sample, std::size_t, void, void>::result_type result_type;
Chris@16: 
Chris@101:          lazy_rolling_mean_impl(dont_care)
Chris@101:          {
Chris@101:          }
Chris@16: 
Chris@101:          template<typename Args>
Chris@101:          result_type result(Args const &args) const
Chris@101:          {
Chris@101:             return numeric::fdiv(rolling_sum(args), rolling_count(args));
Chris@101:          }
Chris@101:       };
Chris@16: 
Chris@101:       ///////////////////////////////////////////////////////////////////////////////
Chris@101:       // immediate_rolling_mean_impl
Chris@101:       //     The non-lazy version computes the rolling mean recursively when a new
Chris@101:       //     sample is added
Chris@101:       template<typename Sample>
Chris@101:       struct immediate_rolling_mean_impl
Chris@101:          : accumulator_base
Chris@101:       {
Chris@101:          // for boost::result_of
Chris@101:          typedef typename numeric::functional::fdiv<Sample, std::size_t>::result_type result_type;
Chris@16: 
Chris@101:          template<typename Args>
Chris@101:          immediate_rolling_mean_impl(Args const &args)
Chris@101:             : mean_(numeric::fdiv(args[sample | Sample()],numeric::one<std::size_t>::value))
Chris@101:          {
Chris@101:          }
Chris@16: 
Chris@101:          template<typename Args>
Chris@101:          void operator()(Args const &args)
Chris@101:          {
Chris@101:             if(is_rolling_window_plus1_full(args))
Chris@101:             {
Chris@101:                mean_ += numeric::fdiv(args[sample]-rolling_window_plus1(args).front(),rolling_count(args));
Chris@101:             }
Chris@101:             else
Chris@101:             {
Chris@101:                result_type prev_mean = mean_;
Chris@101:                mean_ += numeric::fdiv(args[sample]-prev_mean,rolling_count(args));
Chris@101:             }
Chris@101:          }
Chris@16: 
Chris@101:          template<typename Args>
Chris@101:          result_type result(Args const &) const
Chris@101:          {
Chris@101:             return mean_;
Chris@101:          }
Chris@16: 
Chris@101:       private:
Chris@16: 
Chris@101:          result_type mean_;
Chris@101:       };
Chris@101:    } // namespace impl
Chris@16: 
Chris@101:    ///////////////////////////////////////////////////////////////////////////////
Chris@101:    // tag::lazy_rolling_mean
Chris@101:    // tag::immediate_rolling_mean
Chris@101:    // tag::rolling_mean
Chris@101:    //
Chris@101:    namespace tag
Chris@101:    {
Chris@101:       struct lazy_rolling_mean
Chris@101:          : depends_on< rolling_sum, rolling_count >
Chris@101:       {
Chris@101:          /// INTERNAL ONLY
Chris@101:          ///
Chris@101:          typedef accumulators::impl::lazy_rolling_mean_impl< mpl::_1 > impl;
Chris@16: 
Chris@101: #ifdef BOOST_ACCUMULATORS_DOXYGEN_INVOKED
Chris@101:          /// tag::rolling_window::window_size named parameter
Chris@101:          static boost::parameter::keyword<tag::rolling_window_size> const window_size;
Chris@101: #endif
Chris@101:       };
Chris@16: 
Chris@101:       struct immediate_rolling_mean
Chris@101:          : depends_on< rolling_window_plus1, rolling_count>
Chris@101:       {
Chris@101:          /// INTERNAL ONLY
Chris@101:          ///
Chris@101:          typedef accumulators::impl::immediate_rolling_mean_impl< mpl::_1> impl;
Chris@101: 
Chris@101: #ifdef BOOST_ACCUMULATORS_DOXYGEN_INVOKED
Chris@101:          /// tag::rolling_window::window_size named parameter
Chris@101:          static boost::parameter::keyword<tag::rolling_window_size> const window_size;
Chris@101: #endif
Chris@101:       };
Chris@101: 
Chris@101:       // make immediate_rolling_mean the default implementation
Chris@101:       struct rolling_mean : immediate_rolling_mean {};
Chris@101:    } // namespace tag
Chris@101: 
Chris@101:    ///////////////////////////////////////////////////////////////////////////////
Chris@101:    // extract::lazy_rolling_mean
Chris@101:    // extract::immediate_rolling_mean
Chris@101:    // extract::rolling_mean
Chris@101:    //
Chris@101:    namespace extract
Chris@101:    {
Chris@101:       extractor<tag::lazy_rolling_mean> const lazy_rolling_mean = {};
Chris@101:       extractor<tag::immediate_rolling_mean> const immediate_rolling_mean = {};
Chris@101:       extractor<tag::rolling_mean> const rolling_mean = {};
Chris@101: 
Chris@101:       BOOST_ACCUMULATORS_IGNORE_GLOBAL(lazy_rolling_mean)
Chris@101:          BOOST_ACCUMULATORS_IGNORE_GLOBAL(immediate_rolling_mean)
Chris@101:          BOOST_ACCUMULATORS_IGNORE_GLOBAL(rolling_mean)
Chris@101:    }
Chris@101: 
Chris@101:    using extract::lazy_rolling_mean;
Chris@101:    using extract::immediate_rolling_mean;
Chris@101:    using extract::rolling_mean;
Chris@101: 
Chris@101:    // rolling_mean(lazy) -> lazy_rolling_mean
Chris@101:    template<>
Chris@101:    struct as_feature<tag::rolling_mean(lazy)>
Chris@101:    {
Chris@101:       typedef tag::lazy_rolling_mean type;
Chris@101:    };
Chris@101: 
Chris@101:    // rolling_mean(immediate) -> immediate_rolling_mean
Chris@101:    template<>
Chris@101:    struct as_feature<tag::rolling_mean(immediate)>
Chris@101:    {
Chris@101:       typedef tag::immediate_rolling_mean type;
Chris@101:    };
Chris@101: 
Chris@101:    // for the purposes of feature-based dependency resolution,
Chris@101:    // immediate_rolling_mean provides the same feature as rolling_mean
Chris@101:    template<>
Chris@101:    struct feature_of<tag::immediate_rolling_mean>
Chris@101:       : feature_of<tag::rolling_mean>
Chris@101:    {
Chris@101:    };
Chris@101: 
Chris@101:    // for the purposes of feature-based dependency resolution,
Chris@101:    // lazy_rolling_mean provides the same feature as rolling_mean
Chris@101:    template<>
Chris@101:    struct feature_of<tag::lazy_rolling_mean>
Chris@101:       : feature_of<tag::rolling_mean>
Chris@101:    {
Chris@101:    };
Chris@16: }} // namespace boost::accumulators
Chris@16: 
Chris@101: #endif