be/src/exprs/aggregate/aggregate_function_ema.h
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1 | | // Licensed to the Apache Software Foundation (ASF) under one |
2 | | // or more contributor license agreements. See the NOTICE file |
3 | | // distributed with this work for additional information |
4 | | // regarding copyright ownership. The ASF licenses this file |
5 | | // to you under the Apache License, Version 2.0 (the |
6 | | // "License"); you may not use this file except in compliance |
7 | | // with the License. You may obtain a copy of the License at |
8 | | // |
9 | | // http://www.apache.org/licenses/LICENSE-2.0 |
10 | | // |
11 | | // Unless required by applicable law or agreed to in writing, |
12 | | // software distributed under the License is distributed on an |
13 | | // "AS IS" BASIS, WITHOUT WARRANTIES OR CONDITIONS OF ANY |
14 | | // KIND, either express or implied. See the License for the |
15 | | // specific language governing permissions and limitations |
16 | | // under the License. |
17 | | |
18 | | // This file is adapted from |
19 | | // https://github.com/ClickHouse/ClickHouse/blob/master/src/AggregateFunctions/AggregateFunctionExponentialMovingAverage.cpp |
20 | | |
21 | | #pragma once |
22 | | |
23 | | #include <cmath> |
24 | | #include <limits> |
25 | | #include <memory> |
26 | | |
27 | | #include "common/exception.h" |
28 | | #include "core/assert_cast.h" |
29 | | #include "core/column/column_vector.h" |
30 | | #include "core/data_type/data_type_number.h" |
31 | | #include "core/types.h" |
32 | | #include "exprs/aggregate/aggregate_function.h" |
33 | | |
34 | | namespace doris { |
35 | | class Arena; |
36 | | class BufferReadable; |
37 | | class BufferWritable; |
38 | | class IColumn; |
39 | | |
40 | | /** |
41 | | * Exponentially smoothed moving average over time. |
42 | | * |
43 | | * Each value corresponds to a timeunit index. The half_decay parameter is the |
44 | | * time lag at which exponential weights decay by one-half. |
45 | | * |
46 | | * State is a (value, time) pair representing the exponentially accumulated sum |
47 | | * at a reference time. To get the average, divide by sumWeights(half_decay). |
48 | | * |
49 | | * Formula: |
50 | | * scale(dt, x) = 2^(-dt/x) |
51 | | * sumWeights(x) = 1 / (1 - 2^(-1/x)) |
52 | | * add(v, t): merge current state with point (v, t) |
53 | | * merge(a, b): move both to the later time, then sum values |
54 | | * get(): value / sumWeights(half_decay) |
55 | | * |
56 | | * Usage: exponential_moving_average(half_decay, value, timeunit) |
57 | | * - half_decay: constant double, the half-life period in timeunit units |
58 | | * - value: numeric column to average |
59 | | * - timeunit: numeric time index (not raw timestamp; use intDiv if needed) |
60 | | * Returns DOUBLE. |
61 | | * |
62 | | * A zero half_decay returns 0 but remains an initialized configuration. Only |
63 | | * fresh/reset states are identities; all initialized states must have matching |
64 | | * half decays when merged. |
65 | | */ |
66 | | struct ExponentialMovingAverageData { |
67 | | double value = 0.0; |
68 | | double time = 0.0; |
69 | | double half_decay = 0.0; |
70 | | bool initialized = false; |
71 | | |
72 | 88 | static double scale(double time_passed, double hd) { return std::exp2(-time_passed / hd); } |
73 | | |
74 | 22 | static double sum_weights(double hd) { return 1.0 / (1.0 - std::exp2(-1.0 / hd)); } |
75 | | |
76 | 79 | void add(double new_value, double current_time, double hd) { |
77 | 79 | half_decay = hd; |
78 | 79 | initialized = true; |
79 | 79 | ExponentialMovingAverageData other; |
80 | 79 | other.value = new_value; |
81 | 79 | other.time = current_time; |
82 | 79 | merge_point(other, hd); |
83 | 79 | } |
84 | | |
85 | 90 | void merge_point(const ExponentialMovingAverageData& other, double hd) { |
86 | 90 | if (time > other.time) { |
87 | 26 | value = value + other.value * scale(time - other.time, hd); |
88 | 64 | } else if (time < other.time) { |
89 | 62 | value = other.value + value * scale(other.time - time, hd); |
90 | 62 | time = other.time; |
91 | 62 | } else { |
92 | 2 | value = value + other.value; |
93 | 2 | } |
94 | 90 | } |
95 | | |
96 | 0 | void merge(const ExponentialMovingAverageData& rhs) { |
97 | 0 | if (!rhs.initialized) { |
98 | 0 | return; |
99 | 0 | } |
100 | 0 | if (!initialized) { |
101 | 0 | *this = rhs; |
102 | 0 | return; |
103 | 0 | } |
104 | 0 | if (UNLIKELY(half_decay != rhs.half_decay)) { |
105 | 0 | throw Exception( |
106 | 0 | ErrorCode::INVALID_ARGUMENT, |
107 | 0 | "exponential_moving_average aggregate states have incompatible half decay"); |
108 | 0 | } |
109 | 0 | merge_point(rhs, half_decay); |
110 | 0 | } |
111 | | |
112 | 23 | double get() const { |
113 | 23 | check_half_decay(); |
114 | 23 | if (half_decay == 0.0) { |
115 | 1 | return 0.0; |
116 | 1 | } |
117 | 22 | return value / sum_weights(half_decay); |
118 | 23 | } |
119 | | |
120 | 0 | void write(BufferWritable& buf) const { |
121 | 0 | check_half_decay(); |
122 | 0 | buf.write_binary(value); |
123 | 0 | buf.write_binary(time); |
124 | | // NaN is rejected for configured states, so it can encode initialization without |
125 | | // adding a field or colliding with the valid zero half-decay configuration. |
126 | 0 | buf.write_binary(initialized ? half_decay : std::numeric_limits<double>::quiet_NaN()); |
127 | 0 | } |
128 | | |
129 | 0 | void read(BufferReadable& buf) { |
130 | 0 | buf.read_binary(value); |
131 | 0 | buf.read_binary(time); |
132 | 0 | buf.read_binary(half_decay); |
133 | 0 | initialized = !std::isnan(half_decay); |
134 | 0 | if (!initialized) { |
135 | 0 | half_decay = 0.0; |
136 | 0 | } |
137 | 0 | } |
138 | | |
139 | 0 | void check_half_decay() const { |
140 | 0 | if (UNLIKELY(std::isnan(half_decay))) { |
141 | 0 | throw Exception(ErrorCode::INVALID_ARGUMENT, |
142 | 0 | "exponential_moving_average half decay must not be NaN"); |
143 | 0 | } |
144 | 0 | } |
145 | | |
146 | 0 | void reset() { |
147 | 0 | value = 0.0; |
148 | 0 | time = 0.0; |
149 | 0 | half_decay = 0.0; |
150 | 0 | initialized = false; |
151 | 0 | } |
152 | | }; |
153 | | |
154 | | class AggregateFunctionExponentialMovingAverage final |
155 | | : public IAggregateFunctionDataHelper<ExponentialMovingAverageData, |
156 | | AggregateFunctionExponentialMovingAverage>, |
157 | | MultiExpression, |
158 | | NullableAggregateFunction { |
159 | | public: |
160 | | AggregateFunctionExponentialMovingAverage(const DataTypes& argument_types_) |
161 | 24 | : IAggregateFunctionDataHelper<ExponentialMovingAverageData, |
162 | 24 | AggregateFunctionExponentialMovingAverage>( |
163 | 24 | argument_types_) {} |
164 | | |
165 | 1 | String get_name() const override { return "exponential_moving_average"; } |
166 | | |
167 | 101 | DataTypePtr get_return_type() const override { return std::make_shared<DataTypeFloat64>(); } |
168 | | |
169 | 0 | void reset(AggregateDataPtr __restrict place) const override { this->data(place).reset(); } |
170 | | |
171 | | void add(AggregateDataPtr __restrict place, const IColumn** columns, ssize_t row_num, |
172 | 79 | Arena&) const override { |
173 | 79 | const double half_decay = |
174 | 79 | assert_cast<const ColumnFloat64&, TypeCheckOnRelease::DISABLE>(*columns[0]) |
175 | 79 | .get_data()[row_num]; |
176 | 79 | const double new_value = |
177 | 79 | assert_cast<const ColumnFloat64&, TypeCheckOnRelease::DISABLE>(*columns[1]) |
178 | 79 | .get_data()[row_num]; |
179 | 79 | const double current_time = |
180 | 79 | assert_cast<const ColumnFloat64&, TypeCheckOnRelease::DISABLE>(*columns[2]) |
181 | 79 | .get_data()[row_num]; |
182 | 79 | this->data(place).add(new_value, current_time, half_decay); |
183 | 79 | } |
184 | | |
185 | 20 | void check_input_columns_type(const IColumn** columns) const override { |
186 | 20 | this->template check_argument_column_type<ColumnFloat64>(columns[0]); |
187 | 20 | this->template check_argument_column_type<ColumnFloat64>(columns[1]); |
188 | 20 | this->template check_argument_column_type<ColumnFloat64>(columns[2]); |
189 | 20 | } |
190 | | |
191 | | void merge(AggregateDataPtr __restrict place, ConstAggregateDataPtr rhs, |
192 | 12 | Arena&) const override { |
193 | 12 | this->data(place).merge(this->data(rhs)); |
194 | 12 | } |
195 | | |
196 | 12 | void serialize(ConstAggregateDataPtr __restrict place, BufferWritable& buf) const override { |
197 | 12 | this->data(place).write(buf); |
198 | 12 | } |
199 | | |
200 | | void deserialize(AggregateDataPtr __restrict place, BufferReadable& buf, |
201 | 12 | Arena&) const override { |
202 | 12 | this->data(place).read(buf); |
203 | 12 | } |
204 | | |
205 | 23 | void insert_result_into(ConstAggregateDataPtr __restrict place, IColumn& to) const override { |
206 | 23 | assert_cast<ColumnFloat64&, TypeCheckOnRelease::DISABLE>(to).get_data().push_back( |
207 | 23 | this->data(place).get()); |
208 | 23 | } |
209 | | }; |
210 | | |
211 | | } // namespace doris |