Calculate rolling / moving average in C++

Question

I know this is achievable with boost as per:

Using boost::accumulators, how can I reset a rolling window size, does it keep extra history?

But I really would like to avoid using boost. I have googled and not found any suitable or readable examples.

Basically I want to track the moving average of an ongoing stream of a stream of floating point numbers using the most recent 1000 numbers as a data sample.

What is the easiest way to achieve this?

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I experimented with using a circular array, exponential moving average and a more simple moving average and found that the results from the circular array suited my needs best.

Answer 1

If your needs are simple, you might just try using an exponential moving average.

http://en.wikipedia.org/wiki/Moving_average#Exponential_moving_average

Put simply, you make an accumulator variable, and as your code looks at each sample, the code updates the accumulator with the new value. You pick a constant "alpha" that is between 0 and 1, and compute this:

accumulator = (alpha * new_value) + (1.0 - alpha) * accumulator 

You just need to find a value of "alpha" where the effect of a given sample only lasts for about 1000 samples.

Hmm, I'm not actually sure this is suitable for you, now that I've put it here. The problem is that 1000 is a pretty long window for an exponential moving average; I'm not sure there is an alpha that would spread the average over the last 1000 numbers, without underflow in the floating point calculation. But if you wanted a smaller average, like 30 numbers or so, this is a very easy and fast way to do it.