// Copyright (c) 2020-2025 Advanced Micro Devices, Inc. All rights reserved. // // Permission is hereby granted, free of charge, to any person obtaining a copy // of this software and associated documentation files (the "Software"), to deal // in the Software without restriction, including without limitation the rights // to use, copy, modify, merge, publish, distribute, sublicense, and/or sell // copies of the Software, and to permit persons to whom the Software is // furnished to do so, subject to the following conditions: // // The above copyright notice and this permission notice shall be included in all // copies or substantial portions of the Software. // // THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR // IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY, // FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE // AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER // LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, // OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE // SOFTWARE. #include #include #include #include #include #include #include #include #include "include/host_device.h" // Efficiently computes the simple moving average (SMA) [1] of a data series // using a parallel prefix-sum or "scan" operation. // // Note: additional numerical precision should be used in the cumulative summing // stage when computing the SMA of large data series. The most straightforward // remedy is to replace 'float' with 'double'. Alternatively a Kahan or // "compensated" summation algorithm could be applied [2]. // // [1] http://en.wikipedia.org/wiki/Moving_average#Simple_moving_average // [2] http://en.wikipedia.org/wiki/Kahan_summation_algorithm // compute the difference of two positions in the cumumulative sum and // divide by the SMA window size w. template struct minus_and_divide { T w; minus_and_divide(T w) : w(w) {} __host__ __device__ T operator()(const T& a, const T& b) const { return (a - b) / w; } }; template void simple_moving_average(const InputVector& data, size_t w, OutputVector& output) { using T = typename InputVector::value_type; if (data.size() < w) { return; } // allocate storage for cumulative sum thrust::device_vector temp(data.size() + 1); // compute cumulative sum thrust::exclusive_scan(data.begin(), data.end(), temp.begin()); temp[data.size()] = data.back() + temp[data.size() - 1]; // compute moving averages from cumulative sum thrust::transform(temp.begin() + w, temp.end(), temp.begin(), output.begin(), minus_and_divide(T(w))); } int main(void) { // length of data series size_t n = 30; // window size of the moving average size_t w = 4; // generate random data series thrust::device_vector data(n); thrust::default_random_engine rng; thrust::uniform_int_distribution dist(0, 10); for (size_t i = 0; i < n; i++) { data[i] = static_cast(dist(rng)); } // allocate storage for averages thrust::device_vector averages(data.size() - (w - 1)); // compute SMA using standard summation simple_moving_average(data, w, averages); // print data series std::cout << "data series: [ "; for (size_t i = 0; i < data.size(); i++) { std::cout << data[i] << " "; } std::cout << "]" << std::endl; // print moving averages std::cout << "simple moving averages (window = " << w << ")" << std::endl; for (size_t i = 0; i < averages.size(); i++) { std::cout << " [" << std::setw(2) << i << "," << std::setw(2) << (i + w) << ") = " << averages[i] << std::endl; } return 0; }