mathutil: support exponential average

util/mathutil/BUILD.bazel

@@ -3,6 +3,7 @@ load("@io_bazel_rules_go//go:def.bzl", "go_library", "go_test")
 go_library(
     name = "mathutil",
     srcs = [
+        "exponential_average.go",
         "math.go",
         "rand.go",
     ],
@@ -15,6 +16,7 @@ go_test(
     name = "mathutil_test",
     timeout = "short",
     srcs = [
+        "exponential_average_test.go",
         "main_test.go",
         "math_test.go",
         "rand_test.go",

util/mathutil/exponential_average.go

@@ -0,0 +1,54 @@
+// Copyright 2022 PingCAP, Inc.
+//
+// Licensed under the Apache License, Version 2.0 (the "License");
+// you may not use this file except in compliance with the License.
+// You may obtain a copy of the License at
+//
+//     http://www.apache.org/licenses/LICENSE-2.0
+//
+// Unless required by applicable law or agreed to in writing, software
+// distributed under the License is distributed on an "AS IS" BASIS,
+// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+// See the License for the specific language governing permissions and
+// limitations under the License.
+
+package mathutil
+
+// ExponentialMovingAverage is an exponential moving average measurement implementation. It is not thread-safe.
+type ExponentialMovingAverage struct {
+	value        float64
+	sum          float64
+	factor       float64
+	warmupWindow int
+	count        int
+}
+
+// NewExponentialMovingAverage will create a new ExponentialMovingAverage.
+func NewExponentialMovingAverage(
+	factor float64,
+	warmupWindow int,
+) *ExponentialMovingAverage {
+	if factor >= 1 || factor <= 0 {
+		panic("factor must be (0, 1)")
+	}
+	return &ExponentialMovingAverage{
+		factor:       factor,
+		warmupWindow: warmupWindow,
+	}
+}
+
+// Add a single sample and update the internal state.
+func (m *ExponentialMovingAverage) Add(value float64) {
+	if m.count < m.warmupWindow {
+		m.count++
+		m.sum += value
+		m.value = m.sum / float64(m.count)
+	} else {
+		m.value = m.value*(1-m.factor) + value*m.factor
+	}
+}
+
+// Get the current value.
+func (m *ExponentialMovingAverage) Get() float64 {
+	return m.value
+}

util/mathutil/exponential_average_test.go

@@ -0,0 +1,39 @@
+// Copyright 2022 PingCAP, Inc.
+//
+// Licensed under the Apache License, Version 2.0 (the "License");
+// you may not use this file except in compliance with the License.
+// You may obtain a copy of the License at
+//
+//     http://www.apache.org/licenses/LICENSE-2.0
+//
+// Unless required by applicable law or agreed to in writing, software
+// distributed under the License is distributed on an "AS IS" BASIS,
+// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+// See the License for the specific language governing permissions and
+// limitations under the License.
+
+package mathutil
+
+import (
+	"testing"
+
+	"github.com/stretchr/testify/require"
+)
+
+var samples = [100]float64{
+	1576, 1524, 6746, 6426, 9476, 1721, 8528, 7827, 8613, 6969, 4200, 4686, 2408, 3956, 7105, 1341,
+	9938, 9789, 6199, 4868, 4280, 7738, 7219, 3388, 2431, 1193, 1954, 2147, 7726, 3545, 8043, 2379,
+	4859, 4247, 2873, 6419, 3114, 3132, 6534, 8515, 1632, 9710, 6699, 1552, 2412, 4679, 4499, 9577,
+	7528, 8931, 7904, 5104, 8533, 7633, 4933, 1078, 3209, 1168, 1421, 4495, 2333, 1439, 8584, 7814,
+	4320, 9569, 1370, 6635, 7870, 2828, 1599, 3592, 1934, 5944, 9418, 4143, 2285, 6756, 2674, 7293,
+	4206, 5279, 9744, 2610, 2760, 9176, 1731, 3877, 2084, 2016, 3505, 5951, 4797, 5948, 8287, 8641,
+	9349, 2690, 3820, 3895,
+}
+
+func TestExponential(t *testing.T) {
+	win := NewExponentialMovingAverage(0.8, 2)
+	for _, s := range samples {
+		win.Add(s)
+	}
+	require.Equal(t, int64(3886), int64(win.Get()))
+}