mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-15 00:58:04 +00:00
498 lines
17 KiB
C#
498 lines
17 KiB
C#
using System;
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using System.Numerics;
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using System.Runtime.CompilerServices;
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using System.Runtime.InteropServices;
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using System.Runtime.Intrinsics;
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using System.Runtime.Intrinsics.X86;
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namespace QuanTAlib;
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/// <summary>
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/// WMA: Weighted Moving Average
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/// </summary>
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/// <remarks>
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/// WMA applies linear weighting to data points, giving more weight to recent values.
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/// Uses dual running sums for O(1) complexity per update.
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///
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/// Calculation:
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/// WMA = (n*P_n + (n-1)*P_(n-1) + ... + 1*P_1) / (n*(n+1)/2)
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///
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/// O(1) update:
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/// S_new = S - oldest + newest
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/// W_new = W - S_old + n*newest
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///
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/// IsHot:
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/// Becomes true when the buffer is full (period samples processed).
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/// </remarks>
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[SkipLocalsInit]
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public sealed class Wma : ITValuePublisher
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{
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private readonly int _period;
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private readonly double _divisor;
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private readonly RingBuffer _buffer;
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private double _sum, _wsum;
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private double _p_sum, _p_wsum, _p_lastInput;
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private double _lastValidValue, _p_lastValidValue;
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private int _tickCount;
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private const int ResyncInterval = 1000;
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public string Name { get; }
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public TValue Last { get; private set; }
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public bool IsHot => _buffer.IsFull;
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public event Action<TValue>? Pub;
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public Wma(int period)
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{
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if (period <= 0) throw new ArgumentException("Period must be greater than 0", nameof(period));
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_period = period;
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_divisor = (double)period * (period + 1) * 0.5;
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_buffer = new RingBuffer(period);
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Name = $"Wma({period})";
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}
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public Wma(ITValuePublisher source, int period) : this(period)
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{
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source.Pub += (item) => Update(item);
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}
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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private double GetValidValue(double input)
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{
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if (double.IsFinite(input))
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{
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_lastValidValue = input;
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return input;
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}
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return _lastValidValue;
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}
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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private void UpdateState(double val)
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{
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if (_buffer.IsFull)
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{
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double oldSum = _sum;
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double oldest = _buffer.Oldest;
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_sum = _sum - oldest + val;
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_wsum = _wsum - oldSum + (_period * val);
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}
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else
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{
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int count = _buffer.Count + 1;
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_sum += val;
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_wsum += count * val;
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}
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_buffer.Add(val);
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_tickCount++;
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if (_buffer.IsFull && _tickCount >= ResyncInterval)
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{
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_tickCount = 0;
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double recalcSum = 0;
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double recalcWsum = 0;
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int weight = 1;
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foreach (double item in _buffer)
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{
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recalcSum += item;
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recalcWsum += weight * item;
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weight++;
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}
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_sum = recalcSum;
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_wsum = recalcWsum;
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}
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}
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public TValue Update(TValue input, bool isNew = true)
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{
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if (isNew)
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{
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double val = GetValidValue(input.Value);
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UpdateState(val);
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_p_sum = _sum;
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_p_wsum = _wsum;
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_p_lastInput = val;
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_p_lastValidValue = _lastValidValue;
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}
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else
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{
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_lastValidValue = _p_lastValidValue;
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double val = GetValidValue(input.Value);
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_sum = _p_sum;
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_wsum = _p_wsum;
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int weight = _buffer.IsFull ? _period : _buffer.Count;
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_sum = _sum - _p_lastInput + val;
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_wsum += weight * (val - _p_lastInput);
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_buffer.UpdateNewest(val);
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}
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double currentDivisor = _buffer.IsFull ? _divisor : (double)_buffer.Count * (_buffer.Count + 1) * 0.5;
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Last = new TValue(input.Time, _wsum / currentDivisor);
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Pub?.Invoke(Last);
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return Last;
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}
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public TSeries Update(TSeries source)
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{
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if (source.Count == 0) return new TSeries();
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int len = source.Count;
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var t = new List<long>(len);
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var v = new List<double>(len);
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CollectionsMarshal.SetCount(t, len);
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CollectionsMarshal.SetCount(v, len);
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var tSpan = CollectionsMarshal.AsSpan(t);
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var vSpan = CollectionsMarshal.AsSpan(v);
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Calculate(source.Values, vSpan, _period);
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source.Times.CopyTo(tSpan);
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// Restore state
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int windowSize = Math.Min(len, _period);
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int startIndex = len - windowSize;
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if (startIndex > 0)
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{
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for (int i = startIndex - 1; i >= 0; i--)
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{
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if (double.IsFinite(source.Values[i]))
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{
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_lastValidValue = source.Values[i];
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break;
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}
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}
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}
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else
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{
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_lastValidValue = 0;
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}
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_buffer.Clear();
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_sum = 0;
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_wsum = 0;
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_tickCount = 0;
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for (int i = startIndex; i < len; i++)
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{
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double val = GetValidValue(source.Values[i]);
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UpdateState(val);
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}
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_p_sum = _sum;
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_p_wsum = _wsum;
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_p_lastInput = source.Values[len - 1];
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_p_lastValidValue = _lastValidValue;
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Last = new TValue(tSpan[len - 1], vSpan[len - 1]);
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return new TSeries(t, v);
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}
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public static TSeries Calculate(TSeries source, int period)
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{
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var wma = new Wma(period);
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return wma.Update(source);
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}
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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public static void Calculate(ReadOnlySpan<double> source, Span<double> output, int period)
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{
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if (source.Length != output.Length)
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throw new ArgumentException("Source and output must have the same length");
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if (period <= 0)
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throw new ArgumentException("Period must be greater than 0", nameof(period));
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int len = source.Length;
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if (len == 0) return;
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const int SimdThreshold = 256;
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if (Avx2.IsSupported && len >= SimdThreshold && !HasNonFiniteValues(source))
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{
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CalculateSimdCore(source, output, period);
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return;
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}
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CalculateScalarCore(source, output, period);
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}
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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private static void CalculateScalarCore(ReadOnlySpan<double> source, Span<double> output, int period)
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{
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int len = source.Length;
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double divisor = (double)period * (period + 1) * 0.5;
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double sum = 0;
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double wsum = 0;
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double lastValid = 0;
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Span<double> buffer = period <= 512 ? stackalloc double[period] : new double[period];
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int bufferIdx = 0;
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int i = 0;
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int warmupEnd = Math.Min(period, len);
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for (; i < warmupEnd; i++)
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{
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double val = source[i];
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if (double.IsFinite(val))
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lastValid = val;
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else
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val = lastValid;
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sum += val;
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wsum += (i + 1) * val;
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buffer[i] = val;
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double currentDivisor = (double)(i + 1) * (i + 2) * 0.5;
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output[i] = wsum / currentDivisor;
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}
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int tickCount = 0;
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for (; i < len; i++)
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{
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double val = source[i];
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if (double.IsFinite(val))
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lastValid = val;
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else
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val = lastValid;
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double oldSum = sum;
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double oldest = buffer[bufferIdx];
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sum = sum - oldest + val;
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wsum = wsum - oldSum + (period * val);
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buffer[bufferIdx] = val;
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bufferIdx++;
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if (bufferIdx >= period)
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bufferIdx = 0;
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output[i] = wsum / divisor;
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tickCount++;
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if (tickCount >= ResyncInterval)
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{
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tickCount = 0;
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double recalcSum = 0;
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double recalcWsum = 0;
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for (int k = 0; k < period; k++)
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{
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int idx = bufferIdx + k;
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if (idx >= period) idx -= period;
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double v = buffer[idx];
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recalcSum += v;
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recalcWsum += (k + 1) * v;
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}
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sum = recalcSum;
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wsum = recalcWsum;
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}
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}
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}
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[MethodImpl(MethodImplOptions.AggressiveOptimization)]
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private static void CalculateSimdCore(ReadOnlySpan<double> source, Span<double> output, int period)
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{
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int len = source.Length;
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const int VectorWidth = 4;
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ref double srcRef = ref MemoryMarshal.GetReference(source);
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ref double outRef = ref MemoryMarshal.GetReference(output);
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double divisor = (double)period * (period + 1) * 0.5;
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double invDivisor = 1.0 / divisor;
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int warmupEnd = Math.Min(period, len);
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double sum = 0;
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double wsum = 0;
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for (int i = 0; i < warmupEnd; i++)
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{
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double val = Unsafe.Add(ref srcRef, i);
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sum += val;
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wsum += (i + 1) * val;
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double currentDivisor = (double)(i + 1) * (i + 2) * 0.5;
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Unsafe.Add(ref outRef, i) = wsum / currentDivisor;
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}
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if (len <= period)
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return;
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var vInvDivisor = Vector256.Create(invDivisor);
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var vPeriod = Vector256.Create((double)period);
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var vZero = Vector256<double>.Zero;
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int simdEnd = period + ((len - period) / VectorWidth) * VectorWidth;
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var vSumState = Vector256.Create(sum);
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var vWsumState = Vector256.Create(wsum);
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int idx = period;
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while (idx < simdEnd)
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{
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int nextSync = Math.Min(simdEnd, idx + ResyncInterval);
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int unrolledSync = nextSync - (2 * VectorWidth);
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for (; idx <= unrolledSync; idx += 2 * VectorWidth)
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{
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var vNew1 = Vector256.LoadUnsafe(ref Unsafe.Add(ref srcRef, idx));
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var vOld1 = Vector256.LoadUnsafe(ref Unsafe.Add(ref srcRef, idx - period));
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var vNew2 = Vector256.LoadUnsafe(ref Unsafe.Add(ref srcRef, idx + VectorWidth));
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var vOld2 = Vector256.LoadUnsafe(ref Unsafe.Add(ref srcRef, idx + VectorWidth - period));
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var vDeltaS1 = Avx.Subtract(vNew1, vOld1);
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var vDeltaS2 = Avx.Subtract(vNew2, vOld2);
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var vShiftS1_1 = Avx2.Permute4x64(vDeltaS1.AsUInt64(), 0b_10_01_00_00).AsDouble();
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vShiftS1_1 = Avx.Blend(vZero, vShiftS1_1, 0b_1110);
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var vPS_DeltaS1 = Avx.Add(vDeltaS1, vShiftS1_1);
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var vShiftS2_1 = Avx2.Permute4x64(vPS_DeltaS1.AsUInt64(), 0b_01_00_00_00).AsDouble();
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vShiftS2_1 = Avx.Blend(vZero, vShiftS2_1, 0b_1100);
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vPS_DeltaS1 = Avx.Add(vPS_DeltaS1, vShiftS2_1);
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var vShiftS1_2 = Avx2.Permute4x64(vDeltaS2.AsUInt64(), 0b_10_01_00_00).AsDouble();
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vShiftS1_2 = Avx.Blend(vZero, vShiftS1_2, 0b_1110);
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var vPS_DeltaS2 = Avx.Add(vDeltaS2, vShiftS1_2);
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var vShiftS2_2 = Avx2.Permute4x64(vPS_DeltaS2.AsUInt64(), 0b_01_00_00_00).AsDouble();
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vShiftS2_2 = Avx.Blend(vZero, vShiftS2_2, 0b_1100);
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vPS_DeltaS2 = Avx.Add(vPS_DeltaS2, vShiftS2_2);
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var vSums1 = Avx.Add(vSumState, vPS_DeltaS1);
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var vLastS1 = Avx2.Permute4x64(vSums1.AsUInt64(), 0b_11_11_11_11).AsDouble();
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var vSums2 = Avx.Add(vLastS1, vPS_DeltaS2);
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var vSumsShifted1 = Avx.Subtract(vSums1, vDeltaS1);
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var vSumsShifted2 = Avx.Subtract(vSums2, vDeltaS2);
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Vector256<double> vU1, vU2;
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if (Fma.IsSupported)
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{
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vU1 = Fma.MultiplySubtract(vPeriod, vNew1, vSumsShifted1);
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vU2 = Fma.MultiplySubtract(vPeriod, vNew2, vSumsShifted2);
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}
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else
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{
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vU1 = Avx.Subtract(Avx.Multiply(vPeriod, vNew1), vSumsShifted1);
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vU2 = Avx.Subtract(Avx.Multiply(vPeriod, vNew2), vSumsShifted2);
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}
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var vShiftW1_1 = Avx2.Permute4x64(vU1.AsUInt64(), 0b_10_01_00_00).AsDouble();
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vShiftW1_1 = Avx.Blend(vZero, vShiftW1_1, 0b_1110);
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var vPW1_1 = Avx.Add(vU1, vShiftW1_1);
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var vShiftW2_1 = Avx2.Permute4x64(vPW1_1.AsUInt64(), 0b_01_00_00_00).AsDouble();
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vShiftW2_1 = Avx.Blend(vZero, vShiftW2_1, 0b_1100);
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var vPW2_1 = Avx.Add(vPW1_1, vShiftW2_1);
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var vShiftW1_2 = Avx2.Permute4x64(vU2.AsUInt64(), 0b_10_01_00_00).AsDouble();
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vShiftW1_2 = Avx.Blend(vZero, vShiftW1_2, 0b_1110);
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var vPW1_2 = Avx.Add(vU2, vShiftW1_2);
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var vShiftW2_2 = Avx2.Permute4x64(vPW1_2.AsUInt64(), 0b_01_00_00_00).AsDouble();
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vShiftW2_2 = Avx.Blend(vZero, vShiftW2_2, 0b_1100);
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var vPW2_2 = Avx.Add(vPW1_2, vShiftW2_2);
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var vWsums1 = Avx.Add(vWsumState, vPW2_1);
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var vLastW1 = Avx2.Permute4x64(vWsums1.AsUInt64(), 0b_11_11_11_11).AsDouble();
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var vWsums2 = Avx.Add(vLastW1, vPW2_2);
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Vector256.StoreUnsafe(Avx.Multiply(vWsums1, vInvDivisor), ref Unsafe.Add(ref outRef, idx));
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Vector256.StoreUnsafe(Avx.Multiply(vWsums2, vInvDivisor), ref Unsafe.Add(ref outRef, idx + VectorWidth));
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vSumState = Avx2.Permute4x64(vSums2.AsUInt64(), 0b_11_11_11_11).AsDouble();
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vWsumState = Avx2.Permute4x64(vWsums2.AsUInt64(), 0b_11_11_11_11).AsDouble();
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}
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for (; idx < nextSync; idx += VectorWidth)
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{
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var vNew = Vector256.LoadUnsafe(ref Unsafe.Add(ref srcRef, idx));
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var vOld = Vector256.LoadUnsafe(ref Unsafe.Add(ref srcRef, idx - period));
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var vDeltaS = Avx.Subtract(vNew, vOld);
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var vShiftS1 = Avx2.Permute4x64(vDeltaS.AsUInt64(), 0b_10_01_00_00).AsDouble();
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vShiftS1 = Avx.Blend(vZero, vShiftS1, 0b_1110);
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var vPS1 = Avx.Add(vDeltaS, vShiftS1);
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var vShiftS2 = Avx2.Permute4x64(vPS1.AsUInt64(), 0b_01_00_00_00).AsDouble();
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vShiftS2 = Avx.Blend(vZero, vShiftS2, 0b_1100);
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var vPS2 = Avx.Add(vPS1, vShiftS2);
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var vSums = Avx.Add(vSumState, vPS2);
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var vSumsShifted = Avx2.Permute4x64(vSums.AsUInt64(), 0b_10_01_00_00).AsDouble();
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vSumsShifted = Avx.Blend(vSumState, vSumsShifted, 0b_1110);
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var vTerm1 = Avx.Multiply(vPeriod, vNew);
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var vU = Avx.Subtract(vTerm1, vSumsShifted);
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var vShiftW1 = Avx2.Permute4x64(vU.AsUInt64(), 0b_10_01_00_00).AsDouble();
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vShiftW1 = Avx.Blend(vZero, vShiftW1, 0b_1110);
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var vPW1 = Avx.Add(vU, vShiftW1);
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var vShiftW2 = Avx2.Permute4x64(vPW1.AsUInt64(), 0b_01_00_00_00).AsDouble();
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vShiftW2 = Avx.Blend(vZero, vShiftW2, 0b_1100);
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var vPW2 = Avx.Add(vPW1, vShiftW2);
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var vWsums = Avx.Add(vWsumState, vPW2);
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var vResult = Avx.Multiply(vWsums, vInvDivisor);
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Vector256.StoreUnsafe(vResult, ref Unsafe.Add(ref outRef, idx));
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vSumState = Avx2.Permute4x64(vSums.AsUInt64(), 0b_11_11_11_11).AsDouble();
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vWsumState = Avx2.Permute4x64(vWsums.AsUInt64(), 0b_11_11_11_11).AsDouble();
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}
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if (idx < len)
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{
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int lastIdx = idx - 1;
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double recalcSum = 0;
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double recalcWsum = 0;
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for (int k = 0; k < period; k++)
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{
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double val = Unsafe.Add(ref srcRef, lastIdx - k);
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recalcSum += val;
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recalcWsum += (period - k) * val;
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}
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sum = recalcSum;
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wsum = recalcWsum;
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vSumState = Vector256.Create(sum);
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vWsumState = Vector256.Create(wsum);
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}
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}
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sum = vSumState.GetElement(0);
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wsum = vWsumState.GetElement(0);
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for (; idx < len; idx++)
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{
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double val = Unsafe.Add(ref srcRef, idx);
|
|
double oldSum = sum;
|
|
double oldest = Unsafe.Add(ref srcRef, idx - period);
|
|
sum = sum - oldest + val;
|
|
wsum = wsum - oldSum + (period * val);
|
|
Unsafe.Add(ref outRef, idx) = wsum * invDivisor;
|
|
}
|
|
}
|
|
|
|
[MethodImpl(MethodImplOptions.AggressiveInlining)]
|
|
private static bool HasNonFiniteValues(ReadOnlySpan<double> span)
|
|
{
|
|
for (int idx = 0; idx < span.Length; idx++)
|
|
{
|
|
if (!double.IsFinite(span[idx]))
|
|
return true;
|
|
}
|
|
return false;
|
|
}
|
|
|
|
public void Reset()
|
|
{
|
|
_buffer.Clear();
|
|
_sum = _wsum = _p_sum = _p_wsum = _p_lastInput = _lastValidValue = _p_lastValidValue = 0;
|
|
Last = default;
|
|
}
|
|
}
|