How to calculate a moving average in MySQL in a correlated subquery?

问题

I want to create a timeline report that shows, for each date in the timeline, a moving average of the latest N data points in a data set that has some measures and the dates they were measured. I have a calendar table populated with every day to provide the dates. I can calculate a timeline to show the overall average prior to that date fairly simply with a correlated subquery (the real situation is much more complex than this, but it can essentially be simplified to this):

SELECT  c.date
,       (   SELECT  AVERAGE(m.value) 
            FROM    measures as m
            WHERE   m.measured_on_dt <= c.date
        ) as `average_to_date`
FROM    calendar c
WHERE   c.date between date1 AND date2  -- graph boundaries
ORDER BY c.date ASC

I've spent days reading around this and I've not found any good solutions. Some have suggested that LIMIT might work in the subquery (LIMIT is supported in subqueries the current version of MySQL), however LIMIT applies to the return set, not the rows going into the aggregate, so it makes no difference to add it.

Nor can I write a non-aggregated SELECT with a LIMIT and then aggregate over that, because a correlated subquery is not allowed inside a FROM statement. So this (sadly) WON'T work:

SELECT  c.date
,       SELECT AVERAGE(last_5.value)
        FROM (  SELECT  m.value
                FROM    measures as m
                WHERE   m.measured_on_dt <= c.date
                ORDER BY m.measured_on_dt DESC
                LIMIT 5
              ) as `last_5`
FROM    calendar c
WHERE   c.date between date1 AND date2  -- graph boundaries
ORDER BY c.date ASC

I'm thinking I need to avoid the subquery approach completely and see if I do this with a clever join / row numbering technique with user-variables and then aggregate that but while I'm working on that I thought I'd ask if anyone knew a better method?

UPDATE: Okay, I've got a solution working which I've simplified for this example. It relies on some user-variable trickery to number the measures backwards from the calendar date. It also does a cross product with the calendar table (instead of a subquery) but this has the unfortunate side-effect of causing the row-numbering trick to fail (user-variables are evaluated when they're sent to the client, not when the row is evaluated) so to workaround this, I've had to nest the query one level, order the results and then apply the row-numbering trick to that set, which then works.

This query only returns calendar dates for which there are measures, so if you wanted the whole timeline you'd simply select the calendar and LEFT JOIN to this result set.

set @day = 0;
set @num = 0;
set @LIMIT = 5;

SELECT  date
,       AVG(value) as recent_N_AVG
FROM
(  SELECT *
  ,      @num := if(@day = c.date, @num + 1, 1) as day_row_number
  ,      @day := day as dummy
  FROM 
  ( SELECT  c.full_date
    ,       m.value
    ,       m.measured_on_dt
    FROM    calendar c 
    JOIN    measures as m
    WHERE   m.measured_on_dt <= c.full_date
    AND     c.full_date BETWEEN date1 AND date2  
    ORDER BY c.full_date ASC, measured_on_dt DESC
  ) as full_data
) as numbered
WHERE day_row_number <= @LIMIT
GROUP BY date

The row numbering trick can be generalised to more complex data (my measures are in several dimensions which need aggregating up).

回答1:

If your timeline is continuous (1 value each day) you could improve your first attempt like this:

SELECT c.date,
       ( SELECT AVERAGE(m.value) 
         FROM   measures as m
         WHERE  m.measured_on_dt 
                    BETWEEN DATE_SUB(c.date, INTERVAL 5 day) AND c.date
       ) as `average_to_date`
FROM    calendar c
WHERE   c.date between date1 AND date2  -- graph boundaries
ORDER BY c.date ASC

If your timeline has holes in it this would result in less than 5 values for the average.

来源：https://stackoverflow.com/questions/10121887/how-to-calculate-a-moving-average-in-mysql-in-a-correlated-subquery

标签

mysql

correlated-subquery

moving-average