fx_holt_winters_state.h

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#pragma once
 
#include <vector>
 
#include "fx_stats_util.h"
 
/**
  @struct Holt_Winters_State
  @brief Holt-Winters parameters, fitted state and residual statistics.
 
  This struct encapsulates the parameters and state variables required by the
  Holt-Winters algorithm to generate forecasts. The members include:
    - Smoothing parameters: @ref m, @ref alpha, @ref beta, @ref gamma
    - Current level and trend: @ref level, @ref trend
    - Seasonal components: @ref season
    - Other state variables: @ref last_idx, @ref last_ts, @ref residual_stats
 
  @note The state variables are updated as new data is processed, allowing the
        model to adapt to changes in the underlying time series.
*/
struct Holt_Winters_State {
  // Model params
  int m{1440};         // seasonal period (e.g., 1440 for daily data)
  double alpha{0.3};   // smoothing factor for level (0 <= α <= 1)
  double beta{0.1};    // smoothing factor for trend (0 <= β <= 1)
  double gamma{0.05};  // smoothing factor for seasonal component (0 <= γ <= 1)
  double level{0.0};   // current level (baseline value)
  double trend{0.0};   // current trend (slope), MiB/min
  // Seasonal component ring buffer, size m, by phase (minute of day)
  std::vector<double> season;
 
  // Index of the last processed observation across all batches since model
  // initialization, used to select the seasonal slot when forecasting.
  int64_t last_idx{-1};
  // Timestamp of the last data point
  int64_t last_ts{0};
  // Index of the next metric to process, zero-based
  unsigned int next_metric{0};
  // Time series resolution (cadence) in seconds
  int sample_seconds{60};
  // Stats for the confidence interval, or basically what's left after
  // removing the trend, season and level components, aka 'noise'
  Welford_Stats residual_stats;
  // True if the model has been initialized
  bool initialized{false};
};