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annotate tvii/average.py @ 70:351fc97bb996

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add error computation + test functions
author Jeff Hammel <k0scist@gmail.com>
date Sun, 17 Dec 2017 13:22:44 -0800
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Jeff Hammel <k0scist@gmail.com>
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1 """
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2 exponentially weighted averages
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3
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4 v[0] = theta[0]
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5 v[t] = beta*v[t-1] + (1-beta)*theta[t]
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7 =>
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8 v[t] as approximately averaged over 1/(1-beta) counts
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9
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10 Bias correction:
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11 v[t] / (1 - beta**t)
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12 """
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13
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14 def exponential_weighted_average(theta, beta=0.9):
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15 """a form of moving window"""
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16 # TODO: consider a generator; there isn't much state here
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17 # v = theta[0]
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18 # v = beta*v (1-beta)*theta[1]
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19 retval = [theta[0]]
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20 for value in theta[1:]:
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21 retval.append(beta*retval[-1] + (1.-beta)*value)
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22 return retval