# HG changeset patch
# User Jeff Hammel <k0scist@gmail.com>
# Date 1512958712 28800
# Node ID 0e6743d5416d843d801363e53695828ad992cec4
# Parent  38fe99071b11b5313e04ad98c918865e21be9e4f
notes on averaging

diff -r 38fe99071b11 -r 0e6743d5416d tvii/average.py
--- /dev/null	Thu Jan 01 00:00:00 1970 +0000
+++ b/tvii/average.py	Sun Dec 10 18:18:32 2017 -0800
@@ -0,0 +1,22 @@
+"""
+exponentially weighted averages
+
+v[0] = theta[0]
+v[t] = beta*v[t-1] + (1-beta)*theta[t]
+
+=>
+v[t] as approximately averaged over 1/(1-beta) counts
+
+Bias correction:
+v[t] / (1 - beta**t)
+"""
+
+def exponential_weighted_average(theta, beta=0.9):
+    """a form of moving window"""
+    # TODO: consider a generator; there isn't much state here
+    # v = theta[0]
+    # v = beta*v (1-beta)*theta[1]
+    retval = [theta[0]]
+    for value in theta[1:]:
+        retval.append(beta*retval[-1] + (1.-beta)*value)
+    return retval