diff options
Diffstat (limited to 'web/api/queries/des')
| -rw-r--r-- | web/api/queries/des/Makefile.am | 8 | ||||
| -rw-r--r-- | web/api/queries/des/README.md | 73 | ||||
| -rw-r--r-- | web/api/queries/des/des.c | 139 | ||||
| -rw-r--r-- | web/api/queries/des/des.h | 17 |
4 files changed, 237 insertions, 0 deletions
diff --git a/web/api/queries/des/Makefile.am b/web/api/queries/des/Makefile.am new file mode 100644 index 0000000..161784b --- /dev/null +++ b/web/api/queries/des/Makefile.am @@ -0,0 +1,8 @@ +# SPDX-License-Identifier: GPL-3.0-or-later + +AUTOMAKE_OPTIONS = subdir-objects +MAINTAINERCLEANFILES = $(srcdir)/Makefile.in + +dist_noinst_DATA = \ + README.md \ + $(NULL) diff --git a/web/api/queries/des/README.md b/web/api/queries/des/README.md new file mode 100644 index 0000000..5505de5 --- /dev/null +++ b/web/api/queries/des/README.md @@ -0,0 +1,73 @@ +<!-- +title: "double exponential smoothing" +custom_edit_url: https://github.com/netdata/netdata/edit/master/web/api/queries/des/README.md +--> + +# double exponential smoothing + +Exponential smoothing is one of many window functions commonly applied to smooth data in signal +processing, acting as low-pass filters to remove high frequency noise. + +Simple exponential smoothing does not do well when there is a trend in the data. +In such situations, several methods were devised under the name "double exponential smoothing" +or "second-order exponential smoothing.", which is the recursive application of an exponential +filter twice, thus being termed "double exponential smoothing". + +In simple terms, this is like an average value, but more recent values are given more weight +and the trend of the values influences significantly the result. + +> **IMPORTANT** +> +> It is common for `des` to provide "average" values that far beyond the minimum or the maximum +> values found in the time-series. +> `des` estimates these values because of it takes into account the trend. + +This module implements the "Holt-Winters double exponential smoothing". + +Netdata automatically adjusts the weight (`alpha`) and the trend (`beta`) based on the number +of values processed, using the formula: + +``` +window = max(number of values, 15) +alpha = 2 / (window + 1) +beta = 2 / (window + 1) +``` + +You can change the fixed value `15` by setting in `netdata.conf`: + +``` +[web] + des max window = 15 +``` + +## how to use + +Use it in alarms like this: + +``` + alarm: my_alarm + on: my_chart +lookup: des -1m unaligned of my_dimension + warn: $this > 1000 +``` + +`des` does not change the units. For example, if the chart units is `requests/sec`, the result +will be again expressed in the same units. + +It can also be used in APIs and badges as `&group=des` in the URL. + +## Examples + +Examining last 1 minute `successful` web server responses: + +-  +-  +-  +-  +-  + +## References + +- <https://en.wikipedia.org/wiki/Exponential_smoothing>. + +[](<>) diff --git a/web/api/queries/des/des.c b/web/api/queries/des/des.c new file mode 100644 index 0000000..c6236f3 --- /dev/null +++ b/web/api/queries/des/des.c @@ -0,0 +1,139 @@ +// SPDX-License-Identifier: GPL-3.0-or-later + +#include <web/api/queries/rrdr.h> +#include "des.h" + + +// ---------------------------------------------------------------------------- +// single exponential smoothing + +struct grouping_des { + calculated_number alpha; + calculated_number alpha_other; + calculated_number beta; + calculated_number beta_other; + + calculated_number level; + calculated_number trend; + + size_t count; +}; + +static size_t max_window_size = 15; + +void grouping_init_des(void) { + long long ret = config_get_number(CONFIG_SECTION_WEB, "des max window", (long long)max_window_size); + if(ret <= 1) { + config_set_number(CONFIG_SECTION_WEB, "des max window", (long long)max_window_size); + } + else { + max_window_size = (size_t) ret; + } +} + +static inline calculated_number window(RRDR *r, struct grouping_des *g) { + (void)g; + + calculated_number points; + if(r->group == 1) { + // provide a running DES + points = r->internal.points_wanted; + } + else { + // provide a SES with flush points + points = r->group; + } + + // https://en.wikipedia.org/wiki/Moving_average#Exponential_moving_average + // A commonly used value for alpha is 2 / (N + 1) + return (points > max_window_size) ? max_window_size : points; +} + +static inline void set_alpha(RRDR *r, struct grouping_des *g) { + // https://en.wikipedia.org/wiki/Moving_average#Exponential_moving_average + // A commonly used value for alpha is 2 / (N + 1) + + g->alpha = 2.0 / (window(r, g) + 1.0); + g->alpha_other = 1.0 - g->alpha; + + //info("alpha for chart '%s' is " CALCULATED_NUMBER_FORMAT, r->st->name, g->alpha); +} + +static inline void set_beta(RRDR *r, struct grouping_des *g) { + // https://en.wikipedia.org/wiki/Moving_average#Exponential_moving_average + // A commonly used value for alpha is 2 / (N + 1) + + g->beta = 2.0 / (window(r, g) + 1.0); + g->beta_other = 1.0 - g->beta; + + //info("beta for chart '%s' is " CALCULATED_NUMBER_FORMAT, r->st->name, g->beta); +} + +void *grouping_create_des(RRDR *r) { + struct grouping_des *g = (struct grouping_des *)malloc(sizeof(struct grouping_des)); + set_alpha(r, g); + set_beta(r, g); + g->level = 0.0; + g->trend = 0.0; + g->count = 0; + return g; +} + +// resets when switches dimensions +// so, clear everything to restart +void grouping_reset_des(RRDR *r) { + struct grouping_des *g = (struct grouping_des *)r->internal.grouping_data; + g->level = 0.0; + g->trend = 0.0; + g->count = 0; + + // fprintf(stderr, "\nDES: "); + +} + +void grouping_free_des(RRDR *r) { + freez(r->internal.grouping_data); + r->internal.grouping_data = NULL; +} + +void grouping_add_des(RRDR *r, calculated_number value) { + struct grouping_des *g = (struct grouping_des *)r->internal.grouping_data; + + if(calculated_number_isnumber(value)) { + if(likely(g->count > 0)) { + // we have at least a number so far + + if(unlikely(g->count == 1)) { + // the second value we got + g->trend = value - g->trend; + g->level = value; + } + + // for the values, except the first + calculated_number last_level = g->level; + g->level = (g->alpha * value) + (g->alpha_other * (g->level + g->trend)); + g->trend = (g->beta * (g->level - last_level)) + (g->beta_other * g->trend); + } + else { + // the first value we got + g->level = g->trend = value; + } + + g->count++; + } + + //fprintf(stderr, "value: " CALCULATED_NUMBER_FORMAT ", level: " CALCULATED_NUMBER_FORMAT ", trend: " CALCULATED_NUMBER_FORMAT "\n", value, g->level, g->trend); +} + +calculated_number grouping_flush_des(RRDR *r, RRDR_VALUE_FLAGS *rrdr_value_options_ptr) { + struct grouping_des *g = (struct grouping_des *)r->internal.grouping_data; + + if(unlikely(!g->count || !calculated_number_isnumber(g->level))) { + *rrdr_value_options_ptr |= RRDR_VALUE_EMPTY; + return 0.0; + } + + //fprintf(stderr, " RESULT for %zu values = " CALCULATED_NUMBER_FORMAT " \n", g->count, g->level); + + return g->level; +} diff --git a/web/api/queries/des/des.h b/web/api/queries/des/des.h new file mode 100644 index 0000000..360513e --- /dev/null +++ b/web/api/queries/des/des.h @@ -0,0 +1,17 @@ +// SPDX-License-Identifier: GPL-3.0-or-later + +#ifndef NETDATA_API_QUERIES_DES_H +#define NETDATA_API_QUERIES_DES_H + +#include "../query.h" +#include "../rrdr.h" + +extern void grouping_init_des(void); + +extern void *grouping_create_des(RRDR *r); +extern void grouping_reset_des(RRDR *r); +extern void grouping_free_des(RRDR *r); +extern void grouping_add_des(RRDR *r, calculated_number value); +extern calculated_number grouping_flush_des(RRDR *r, RRDR_VALUE_FLAGS *rrdr_value_options_ptr); + +#endif //NETDATA_API_QUERIES_DES_H |