metrics: update EWMA rates synchronously

metrics/ewma.go

@@ -3,7 +3,6 @@ package metrics
 import (
 	"math"
 	"sync"
-	"sync/atomic"
 	"time"
 )
 
@@ -11,32 +10,30 @@ type EWMASnapshot interface {
 	Rate() float64
 }
 
-// EWMAs continuously calculate an exponentially-weighted moving average
+// EWMAs calculate an exponentially-weighted moving average.
-// based on an outside source of clock ticks.
 type EWMA interface {
 	Snapshot() EWMASnapshot
-	Tick()
 	Update(int64)
 }
 
-// NewEWMA constructs a new EWMA with the given alpha.
+// NewEWMA constructs a new EWMA with the given alpha and sampling period.
-func NewEWMA(alpha float64) EWMA {
+func NewEWMA(alpha float64, period time.Duration) EWMA {
-	return &StandardEWMA{alpha: alpha}
+	return &StandardEWMA{alpha: alpha, period: period, ts: time.Now()}
 }
 
 // NewEWMA1 constructs a new EWMA for a one-minute moving average.
 func NewEWMA1() EWMA {
-	return NewEWMA(1 - math.Exp(-5.0/60.0/1))
+	return NewEWMA(1-math.Exp(-5.0/60.0/1), 5*time.Second)
 }
 
 // NewEWMA5 constructs a new EWMA for a five-minute moving average.
 func NewEWMA5() EWMA {
-	return NewEWMA(1 - math.Exp(-5.0/60.0/5))
+	return NewEWMA(1-math.Exp(-5.0/60.0/5), 5*time.Second)
 }
 
 // NewEWMA15 constructs a new EWMA for a fifteen-minute moving average.
 func NewEWMA15() EWMA {
-	return NewEWMA(1 - math.Exp(-5.0/60.0/15))
+	return NewEWMA(1-math.Exp(-5.0/60.0/15), 5*time.Second)
 }
 
 // ewmaSnapshot is a read-only copy of another EWMA.
@@ -50,62 +47,65 @@ func (a ewmaSnapshot) Rate() float64 { return float64(a) }
 type NilEWMA struct{}
 
 func (NilEWMA) Snapshot() EWMASnapshot { return (*emptySnapshot)(nil) }
-func (NilEWMA) Tick()                  {}
 func (NilEWMA) Update(n int64)         {}
 
-// StandardEWMA is the standard implementation of an EWMA and tracks the number
+// StandardEWMA is the standard implementation of an EWMA.
-// of uncounted events and processes them on each tick.  It uses the
-// sync/atomic package to manage uncounted events.
 type StandardEWMA struct {
-	uncounted atomic.Int64
+	uncounted int64
 	alpha     float64
-	rate      atomic.Uint64
+	period    time.Duration
-	init      atomic.Bool
+	ewma      float64
+	ts        time.Time
+	init      bool
 	mutex     sync.Mutex
 }
 
 // Snapshot returns a read-only copy of the EWMA.
 func (a *StandardEWMA) Snapshot() EWMASnapshot {
-	r := math.Float64frombits(a.rate.Load()) * float64(time.Second)
+	return ewmaSnapshot(a.rate())
-	return ewmaSnapshot(r)
 }
 
-// Tick ticks the clock to update the moving average.  It assumes it is called
+// rate returns the moving average rate of events per second.
-// every five seconds.
+func (a *StandardEWMA) rate() float64 {
-func (a *StandardEWMA) Tick() {
-	// Optimization to avoid mutex locking in the hot-path.
-	if a.init.Load() {
-		a.updateRate(a.fetchInstantRate())
-		return
-	}
-	// Slow-path: this is only needed on the first Tick() and preserves transactional updating
-	// of init and rate in the else block. The first conditional is needed below because
-	// a different thread could have set a.init = 1 between the time of the first atomic load and when
-	// the lock was acquired.
 	a.mutex.Lock()
-	if a.init.Load() {
+	defer a.mutex.Unlock()
-		// The fetchInstantRate() uses atomic loading, which is unnecessary in this critical section
+	if time.Since(a.ts)/a.period < 1 {
-		// but again, this section is only invoked on the first successful Tick() operation.
+		return a.ewma * float64(time.Second)
-		a.updateRate(a.fetchInstantRate())
-	} else {
-		a.init.Store(true)
-		a.rate.Store(math.Float64bits(a.fetchInstantRate()))
 	}
-	a.mutex.Unlock()
+	a.updateRate()
+	return a.ewma * float64(time.Second)
 }
 
-func (a *StandardEWMA) fetchInstantRate() float64 {
+func (a *StandardEWMA) updateRate() {
-	count := a.uncounted.Swap(0)
+	periods := time.Since(a.ts) / a.period
-	return float64(count) / float64(5*time.Second)
+	rate := float64(a.uncounted) / float64(a.period)
-}
 
-func (a *StandardEWMA) updateRate(instantRate float64) {
+	a.ewma = a.alpha*(rate) + (1-a.alpha)*a.ewma
-	currentRate := math.Float64frombits(a.rate.Load())
+	a.ts = a.ts.Add(a.period)
-	currentRate += a.alpha * (instantRate - currentRate)
+	a.uncounted = 0
-	a.rate.Store(math.Float64bits(currentRate))
+	periods -= 1
+
+	if !a.init {
+		a.ewma = rate
+		a.init = true
+	}
+
+	a.ewma = math.Pow(1-a.alpha, float64(periods)) * a.ewma
+	a.ts = a.ts.Add(periods * a.period) //nolint:durationcheck
 }
 
 // Update adds n uncounted events.
 func (a *StandardEWMA) Update(n int64) {
-	a.uncounted.Add(n)
+	a.mutex.Lock()
+	defer a.mutex.Unlock()
+	if time.Since(a.ts)/a.period < 1 {
+		a.uncounted += n
+		return
+	}
+	a.updateRate()
+}
+
+// used to elapse time in unit tests.
+func (a *StandardEWMA) addToTimestamp(d time.Duration) {
+	a.ts = a.ts.Add(d)
 }

metrics/ewma_test.go

@@ -2,17 +2,17 @@ package metrics
 
 import (
 	"math"
+	"math/rand"
+	"sync"
 	"testing"
+	"time"
 )
 
-const epsilon = 0.0000000000000001
-
 func BenchmarkEWMA(b *testing.B) {
 	a := NewEWMA1()
 	b.ResetTimer()
 	for i := 0; i < b.N; i++ {
 		a.Update(1)
-		a.Tick()
 	}
 }
 
@@ -23,67 +23,74 @@ func BenchmarkEWMAParallel(b *testing.B) {
 	b.RunParallel(func(pb *testing.PB) {
 		for pb.Next() {
 			a.Update(1)
-			a.Tick()
 		}
 	})
 }
 
-func TestEWMA1(t *testing.T) {
+// exercise race detector.
+func TestEWMAConcurrency(t *testing.T) {
 	a := NewEWMA1()
-	a.Update(3)
+	wg := &sync.WaitGroup{}
-	a.Tick()
+	for i := 0; i < 100; i++ {
-	for i, want := range []float64{0.6,
+		wg.Add(1)
-		0.22072766470286553, 0.08120116994196772, 0.029872241020718428,
+		go func(ewma EWMA, wg *sync.WaitGroup) {
-		0.01098938333324054, 0.004042768199451294, 0.0014872513059998212,
+			a.Update(rand.Int63())
-		0.0005471291793327122, 0.00020127757674150815, 7.404588245200814e-05,
+			wg.Done()
-		2.7239957857491083e-05, 1.0021020474147462e-05, 3.6865274119969525e-06,
+		}(a, wg)
-		1.3561976441886433e-06, 4.989172314621449e-07, 1.8354139230109722e-07,
-	} {
-		if rate := a.Snapshot().Rate(); math.Abs(want-rate) > epsilon {
-			t.Errorf("%d minute a.Snapshot().Rate(): %f != %v\n", i, want, rate)
 	}
-		elapseMinute(a)
+	wg.Wait()
+}
+
+func testEWMA(t *testing.T, alpha float64) {
+	r := rand.New(rand.NewSource(time.Now().Unix()))
+	a := NewEWMA(alpha, time.Second)
+
+	// Base case.
+
+	if rate := a.Snapshot().Rate(); rate != 0 {
+		t.Errorf("(A) Base Case a.rate(): 0 != %v\n", rate)
 	}
+	a.Update(10)
+	if rate := a.Snapshot().Rate(); rate != 0 {
+		t.Errorf("(B) Base Case a.rate(): 0 != %v\n", rate)
+	}
+
+	// Recursive case.
+
+	for i := 0; i < 100; i++ {
+		rnd := r.Int63n(1000) + 1
+		td, _ := NewEWMA(alpha, time.Second).(*StandardEWMA)
+
+		td.Update(10)
+		td.addToTimestamp(-time.Duration(rnd) * time.Second)
+		expect := math.Pow(1-alpha, float64(rnd-1)) * 10.00
+		if rate := td.rate(); math.Abs(rate-expect) > 0.001 {
+			t.Fatalf("(A) Recursive Case a.rate(): %v != %v\n",
+				expect, rate)
+		}
+
+		expect = alpha*25 + (1-alpha)*expect
+		td.Update(25)
+		td.addToTimestamp(-1e9)
+
+		if rate := td.Snapshot().Rate(); math.Abs(rate-expect) > 0.001 {
+			t.Fatalf("(B) Recursive Case a.rate(): %v != %v\n",
+				expect, rate)
+		}
+	}
+}
+
+func TestEWMA1(t *testing.T) {
+	// 1-minute moving average.
+	testEWMA(t, 1-math.Exp(-5.0/60.0/1))
 }
 
 func TestEWMA5(t *testing.T) {
-	a := NewEWMA5()
+	// 5-minute moving average.
-	a.Update(3)
+	testEWMA(t, 1-math.Exp(-5.0/60.0/5))
-	a.Tick()
-	for i, want := range []float64{
-		0.6, 0.49123845184678905, 0.4021920276213837, 0.32928698165641596,
-		0.269597378470333, 0.2207276647028654, 0.18071652714732128,
-		0.14795817836496392, 0.12113791079679326, 0.09917933293295193,
-		0.08120116994196763, 0.06648189501740036, 0.05443077197364752,
-		0.04456414692860035, 0.03648603757513079, 0.0298722410207183831020718428,
-	} {
-		if rate := a.Snapshot().Rate(); math.Abs(want-rate) > epsilon {
-			t.Errorf("%d minute a.Snapshot().Rate(): %f != %v\n", i, want, rate)
-		}
-		elapseMinute(a)
-	}
 }
 
 func TestEWMA15(t *testing.T) {
-	a := NewEWMA15()
+	// 15-minute moving average.
-	a.Update(3)
+	testEWMA(t, 1-math.Exp(-5.0/60.0/15))
-	a.Tick()
-	for i, want := range []float64{
-		0.6, 0.5613041910189706, 0.5251039914257684, 0.4912384518467888184678905,
-		0.459557003018789, 0.4299187863442732, 0.4021920276213831,
-		0.37625345116383313, 0.3519877317060185, 0.3292869816564153165641596,
-		0.3080502714195546, 0.2881831806538789, 0.26959737847033216,
-		0.2522102307052083, 0.23594443252115815, 0.2207276647028646247028654470286553,
-	} {
-		if rate := a.Snapshot().Rate(); math.Abs(want-rate) > epsilon {
-			t.Errorf("%d minute a.Snapshot().Rate(): %f != %v\n", i, want, rate)
-		}
-		elapseMinute(a)
-	}
-}
-
-func elapseMinute(a EWMA) {
-	for i := 0; i < 12; i++ {
-		a.Tick()
-	}
 }