Wednesday, July 9, 2014

Simple technique to implement moving averages in Java, C or C++

The oneline solution is:
accumulator = (alpha * new_value) + (1.0 - alpha) * accumulator
Here,

Accummulator - holds the value being tracked
alpha - value between 0 and 1.

The more aggressive the alpha (closer to 1) the  faster the moving average adapts to the recent values. This is an exponential moving average.

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