Anomaly Detection for Monitoring

Appendix A. Appendix

Code

Control Chart Windows

Moving Window

function fixedWindow(size) {
  this.name = 'window';
  this.ready = false;
  this.points = [];
  this.total = 0;
  this.sos = 0;

  this.push = function(newValue) {
    if (this.points.length == size) {
      var removed = this.points.shift();
      this.total -= removed;
      this.sos -= removed*removed;
    }
    this.total += newValue;
    this.sos += newValue*newValue;
    this.points.push(newValue);
    this.ready = (this.points.length == size);
  }

  this.mean = function() {
    if (this.points.length == 0) {
      return 0;
    }
    return this.total / this.points.length;
  }

  this.stddev = function() {
    var mean = this.mean();
    return Math.sqrt(this.sos/this.points.length - mean*mean);
  }
}

var window = new fixedWindow(5);
window.push(1);
window.push(5);
window.push(9);
console.log(window);
console.log(window.mean());
console.log(window.stddev()*3);

EWMA Window

function movingAverage(alpha) {
  this.name = 'ewma';
  this.ready = true;

  function ma() {
    this.value = NaN;
    this.push = function(newValue) {
      if (isNaN(this.value)) {
        this.value = newValue;
        ready = true;
        return;
      }
      this.value = alpha*newValue + (1 - alpha)*this.value;
    };
  }

  this.MA = new ma(alpha);
  this.sosMA = new ma(alpha);

  this.push = function(newValue) {
    this.MA.push(newValue);
    this.sosMA.push(newValue*newValue);
  };

  this.mean = function() {
    return this.MA.