1 files changed, 72 insertions, 0 deletions
diff --git a/maths/ewma.go b/maths/ewma.go
new file mode 100644
index 000000000..0897b73e4
--- /dev/null
+++ b/maths/ewma.go
@@ -0,0 +1,72 @@
+// Copyright (c) Tailscale Inc & AUTHORS
+// SPDX-License-Identifier: BSD-3-Clause
+
+// Package maths contains additional mathematical functions or structures not
+// found in the standard library.
+package maths
+
+import (
+	"math"
+	"time"
+)
+
+// EWMA is an exponentially weighted moving average supporting updates at
+// irregular intervals with at most nanosecond resolution.
+// The zero value will compute a half-life of 1 second.
+// It is not safe for concurrent use.
+// TODO(raggi): de-duplicate with tstime/rate.Value, which has a more complex
+// and synchronized interface and does not provide direct access to the stable
+// value.
+type EWMA struct {
+	value    float64 // current value of the average
+	lastTime int64   // time of last update in unix nanos
+	halfLife float64 // half-life in seconds
+}
+
+// NewEWMA creates a new EWMA with the specified half-life. If halfLifeSeconds
+// is 0, it defaults to 1.
+func NewEWMA(halfLifeSeconds float64) *EWMA {
+	return &EWMA{
+		halfLife: halfLifeSeconds,
+	}
+}
+
+// Update adds a new sample to the average. If t is zero or precedes the last
+// update, the update is ignored.
+func (e *EWMA) Update(value float64, t time.Time) {
+	if t.IsZero() {
+		return
+	}
+	hl := e.halfLife
+	if hl == 0 {
+		hl = 1
+	}
+	tn := t.UnixNano()
+	if e.lastTime == 0 {
+		e.value = value
+		e.lastTime = tn
+		return
+	}
+
+	dt := (time.Duration(tn-e.lastTime) * time.Nanosecond).Seconds()
+	if dt < 0 {
+		// drop out of order updates
+		return
+	}
+
+	// decay = 2^(-dt/halfLife)
+	decay := math.Exp2(-dt / hl)
+	e.value = e.value*decay + value*(1-decay)
+	e.lastTime = tn
+}
+
+// Get returns the current value of the average
+func (e *EWMA) Get() float64 {
+	return e.value
+}
+
+// Reset clears the EWMA to its initial state
+func (e *EWMA) Reset() {
+	e.value = 0
+	e.lastTime = 0
+}