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knappa | 2 years ago
This is off the cuff, but you might be able to fix this as follows: Interpret exponential smoothing as a ODE on the distance to the target. Call that distance D. Then exponential smoothing is the Euler update for dD/dt=-C*D. (the constant C>0 being a speed parameter) The issue you bring up is basically the fact that the solutions to the ODE are D(t)=A*exp(-C*t), which is asymptotic to zero as t->oo, but never reaches zero. Now, the fix is to replace the ODE with one that goes to zero in finite time. e.g. dD/dt=-C*sqrt(D). (Solutions are half-quadratic. i.e. they are quadratic for a bit then stay zero once you hit zero.) The Euler update for this is stateless like you wanted.
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