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core.py
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# STUMPY
# Copyright 2019 TD Ameritrade. Released under the terms of the 3-Clause BSD license. # noqa: E501
# STUMPY is a trademark of TD Ameritrade IP Company, Inc. All rights reserved.
import functools
import inspect
import math
import tempfile
import warnings
import numpy as np
from numba import cuda, njit, prange
from scipy import linalg
from scipy.ndimage import maximum_filter1d, minimum_filter1d
from scipy.signal import convolve
from scipy.spatial.distance import cdist
from . import config
try:
from numba.cuda.cudadrv.driver import _raise_driver_not_found
except ImportError:
pass
def _compare_parameters(norm, non_norm, exclude=None):
"""
Compare if the parameters in `norm` and `non_norm` are the same
Parameters
----------
norm : function
The normalized function (or class) that is complementary to the
non-normalized function (or class)
non_norm : function
The non-normalized function (or class) that is complementary to the
z-normalized function (or class)
exclude : list
A list of parameters to exclude for the comparison
Returns
-------
is_same_params : bool
`True` if parameters from both `norm` and `non-norm` are the same. `False`
otherwise.
"""
norm_params = list(inspect.signature(norm).parameters.keys())
non_norm_params = list(inspect.signature(non_norm).parameters.keys())
if exclude is not None:
for param in exclude:
if param in norm_params:
norm_params.remove(param)
if param in non_norm_params:
non_norm_params.remove(param)
is_same_params = set(norm_params) == set(non_norm_params)
if not is_same_params:
msg = ""
if exclude is not None or (isinstance(exclude, list) and len(exclude)):
msg += f"Excluding `{exclude}` parameters, "
msg += f"function `{norm.__name__}({norm_params}) and "
msg += f"function `{non_norm.__name__}({non_norm_params}) "
msg += "have different arguments/parameters."
warnings.warn(msg)
return is_same_params
def non_normalized(non_norm, exclude=None, replace=None):
"""
Decorator for swapping a z-normalized function (or class) for its complementary
non-normalized function (or class) as defined by `non_norm`. This requires that
the z-normalized function (or class) has a `normalize` parameter.
With the exception of `normalize` parameter, the `non_norm` function (or class)
must have the same siganture as the `norm` function (or class) signature in order
to be compatible. Please use a combination of the `exclude` and/or `replace`
parameters when necessary.
```
def non_norm_func(Q, T, A_non_norm):
...
return
@non_normalized(
non_norm_func,
exclude=["normalize", "p", "A_norm", "A_non_norm"],
replace={"A_norm": "A_non_norm", "other_norm": None},
)
def norm_func(Q, T, A_norm=None, other_norm=None, normalize=True, p=2.0):
...
return
```
Parameters
----------
non_norm : function
The non-normalized function (or class) that is complementary to the
z-normalized function (or class)
exclude : list, default None
A list of function (or class) parameter names to exclude when comparing the
function (or class) signatures. When `exlcude is None`, this parameter is
automatically set to `exclude = ["normalize", "p", "T_A_subseq_isconstant",
T_B_subseq_isconstant]` by default.
replace : dict, default None
A dictionary of function (or class) parameter key-value pairs. Each key that
is found as a parameter name in the `norm` function (or class) will be replaced
by its corresponding or complementary parameter name in the `non_norm` function
(or class) (e.g., {"norm_param": "non_norm_param"}). To remove any parameter in
the `norm` function (or class) that does not exist in the `non_norm` function,
simply set the value to `None` (i.e., {"norm_param": None}).
Returns
-------
outer_wrapper : function
The desired z-normalized/non-normalized function (or class)
"""
if exclude is None:
exclude = [
"normalize",
"p",
"T_A_subseq_isconstant",
"T_B_subseq_isconstant",
]
@functools.wraps(non_norm)
def outer_wrapper(norm):
@functools.wraps(norm)
def inner_wrapper(*args, **kwargs):
is_same_params = _compare_parameters(norm, non_norm, exclude=exclude)
if not is_same_params or kwargs.get("normalize", True):
return norm(*args, **kwargs)
else:
kwargs = {k: v for k, v in kwargs.items() if k != "normalize"}
if replace is not None:
for k, v in replace.items():
if k in kwargs.keys():
if v is None: # pragma: no cover
_ = kwargs.pop(k)
else:
kwargs[v] = kwargs.pop(k)
return non_norm(*args, **kwargs)
return inner_wrapper
return outer_wrapper
def driver_not_found(*args, **kwargs): # pragma: no cover
"""
Helper function to raise CudaSupportError driver not found error.
Parameters
----------
None
Returns
-------
None
"""
_raise_driver_not_found()
def _gpu_stump_driver_not_found(*args, **kwargs): # pragma: no cover
"""
Dummy function to raise CudaSupportError driver not found error.
Parameters
----------
None
Returns
-------
None
"""
driver_not_found()
def _gpu_aamp_driver_not_found(*args, **kwargs): # pragma: no cover
"""
Dummy function to raise CudaSupportError driver not found error.
Parameters
----------
None
Returns
-------
None
"""
driver_not_found()
def _gpu_ostinato_driver_not_found(*args, **kwargs): # pragma: no cover
"""
Dummy function to raise CudaSupportError driver not found error.
Parameters
----------
None
Returns
-------
None
"""
driver_not_found()
def _gpu_aamp_ostinato_driver_not_found(*args, **kwargs): # pragma: no cover
"""
Dummy function to raise CudaSupportError driver not found error.
Parameters
----------
None
Returns
-------
None
"""
driver_not_found()
def _gpu_mpdist_driver_not_found(*args, **kwargs): # pragma: no cover
"""
Dummy function to raise CudaSupportError driver not found error.
Parameters
----------
None
Returns
-------
None
"""
driver_not_found()
def _gpu_aampdist_driver_not_found(*args, **kwargs): # pragma: no cover
"""
Dummy function to raise CudaSupportError driver not found error.
Parameters
----------
None
Returns
-------
None
"""
driver_not_found()
def _gpu_stimp_driver_not_found(*args, **kwargs): # pragma: no cover
"""
Dummy function to raise CudaSupportError driver not found error.
Parameters
----------
None
Returns
-------
None
"""
driver_not_found()
def _gpu_aamp_stimp_driver_not_found(*args, **kwargs): # pragma: no cover
"""
Dummy function to raise CudaSupportError driver not found error.
Parameters
----------
None
Returns
-------
None
"""
driver_not_found()
def _gpu_searchsorted_left_driver_not_found(*args, **kwargs): # pragma: no cover
"""
Dummy function to raise CudaSupportError driver not found error.
Parameters
----------
None
Returns
-------
None
"""
driver_not_found()
def _gpu_searchsorted_right_driver_not_found(*args, **kwargs): # pragma: no cover
"""
Dummy function to raise CudaSupportError driver not found error.
Parameters
----------
None
Returns
-------
None
"""
driver_not_found()
def get_pkg_name(): # pragma: no cover
"""
Return package name.
Parameters
----------
None
Returns
-------
None
"""
return __name__.split(".")[0]
def rolling_window(a, window):
"""
Use strides to generate rolling/sliding windows for a numpy array.
Parameters
----------
a : numpy.ndarray
numpy array
window : int
Size of the rolling window
Returns
-------
output : numpy.ndarray
This will be a new view of the original input array.
"""
a = np.asarray(a)
shape = a.shape[:-1] + (a.shape[-1] - window + 1, window)
strides = a.strides + (a.strides[-1],)
return np.lib.stride_tricks.as_strided(a, shape=shape, strides=strides)
def z_norm(a, axis=0, threshold=config.STUMPY_STDDEV_THRESHOLD):
"""
Calculate the z-normalized input array `a` by subtracting the mean and
dividing by the standard deviation along a given axis.
Parameters
----------
a : numpy.ndarray
NumPy array
axis : int, default 0
NumPy array axis
threshold : float, default to config.STUMPY_STDDEV_THRESHOLD
A non-nan std value being less than `threshold` will be replaced with 1.0
Returns
-------
output : numpy.ndarray
An array with z-normalized values computed along a specified axis.
"""
std = np.std(a, axis, keepdims=True)
std[np.less(std, threshold, where=~np.isnan(std))] = 1.0
return (a - np.mean(a, axis, keepdims=True)) / std
def check_nan(a): # pragma: no cover
"""
Check if the array contains NaNs.
Parameters
----------
a : numpy.ndarray
NumPy array
Returns
-------
None
Raises
------
ValueError
If the array contains a NaN
"""
if np.any(np.isnan(a)):
msg = "Input array contains one or more NaNs"
raise ValueError(msg)
return
def check_dtype(a, dtype=np.float64): # pragma: no cover
"""
Check if the array type of `a` is of type specified by `dtype` parameter.
Parameters
----------
a : numpy.ndarray
NumPy array
dtype : dtype, default np.float64
NumPy `dtype`
Returns
-------
None
Raises
------
TypeError
If the array type does not match `dtype`
"""
if dtype == int:
dtype = np.int64
if dtype == float:
dtype = np.float64
if dtype == bool:
dtype = np.bool_
if not np.issubdtype(a.dtype, dtype):
msg = f"{dtype} dtype expected but found {a.dtype} in input array\n"
msg += "Please change your input `dtype` with `.astype(dtype)`"
raise TypeError(msg)
return True
def transpose_dataframe(df): # pragma: no cover
"""
Check if the input is a column-wise Pandas `DataFrame`. If `True`, return a
transpose dataframe since stumpy assumes that each row represents data from a
different dimension while each column represents data from the same dimension.
If `False`, return `a` unchanged. Pandas `Series` do not need to be transposed.
Note that this function has zero dependency on Pandas (not even a soft dependency).
Parameters
----------
df : numpy.ndarray
Pandas dataframe
Returns
-------
output : df
If `df` is a Pandas `DataFrame` then return `df.T`. Otherwise, return `df`
"""
if type(df).__name__ == "DataFrame":
return df.T
return df
def are_arrays_equal(a, b): # pragma: no cover
"""
Check if two arrays are equal; first by comparing memory addresses,
and secondly by their values.
Parameters
----------
a : numpy.ndarray
NumPy array
b : numpy.ndarray
NumPy array
Returns
-------
output : bool
This is `True` if the arrays are equal and `False` otherwise.
"""
if id(a) == id(b):
return True
# For numpy >= 1.19
# return np.array_equal(a, b, equal_nan=True)
if a.shape != b.shape:
return False
return bool(((a == b) | (np.isnan(a) & np.isnan(b))).all())
def are_distances_too_small(a, threshold=10e-6): # pragma: no cover
"""
Check the distance values from a matrix profile.
If the values are smaller than the threshold (i.e., less than 10e-6) then
it could suggest that this is a self-join.
Parameters
----------
a : numpy.ndarray
NumPy array
threshold : float, default 10e-6
Minimum value in which to compare the matrix profile to
Returns
-------
output : bool
This is `True` if the matrix profile distances are all below the
threshold and `False` if they are all above the threshold.
"""
if a.mean() < threshold or np.all(a < threshold):
return True
return False
def get_max_window_size(n):
"""
Get the maximum window size for a self-join
Parameters
----------
n : int
The length of the time series
Returns
-------
max_m : int
The maximum window size allowed given `config.STUMPY_EXCL_ZONE_DENOM`
"""
max_m = (
int(
n
- np.floor(
(n + (config.STUMPY_EXCL_ZONE_DENOM - 1))
// (config.STUMPY_EXCL_ZONE_DENOM + 1)
)
)
- 1
)
return max_m
def check_window_size(m, max_size=None):
"""
Check the window size and ensure that it is greater than or equal to 3 and, if
`max_size` is provided, ensure that the window size is less than or equal to the
`max_size`
Parameters
----------
m : int
Window size
max_size : int, default None
The maximum window size allowed
Returns
-------
None
"""
if m <= 2:
raise ValueError(
"All window sizes must be greater than or equal to three",
"""A window size that is less than or equal to two is meaningless when
it comes to computing the z-normalized Euclidean distance. In the case of
`m=1` produces a standard deviation of zero. In the case of `m=2`, both
the mean and standard deviation for any given subsequence are identical
and so the z-normalization for any sequence will either be [-1., 1.] or
[1., -1.]. Thus, the z-normalized Euclidean distance will be (very likely)
zero between any subsequence and its nearest neighbor (assuming that the
time series is large enough to contain both scenarios).
""",
)
if max_size is not None and m > max_size:
raise ValueError(f"The window size must be less than or equal to {max_size}")
@njit(fastmath=True)
def _sliding_dot_product(Q, T):
"""
A Numba JIT-compiled implementation of the sliding window dot product.
Parameters
----------
Q : numpy.ndarray
Query array or subsequence
T : numpy.ndarray
Time series or sequence
Returns
-------
out : numpy.ndarray
Sliding dot product between `Q` and `T`.
"""
m = Q.shape[0]
l = T.shape[0] - m + 1
out = np.empty(l)
for i in range(l):
out[i] = np.dot(Q, T[i : i + m])
return out
def sliding_dot_product(Q, T):
"""
Use FFT convolution to calculate the sliding window dot product.
Parameters
----------
Q : numpy.ndarray
Query array or subsequence
T : numpy.ndarray
Time series or sequence
Returns
-------
output : numpy.ndarray
Sliding dot product between `Q` and `T`.
Notes
-----
Calculate the sliding dot product
`DOI: 10.1109/ICDM.2016.0179 \
<https://www.cs.ucr.edu/~eamonn/PID4481997_extend_Matrix%20Profile_I.pdf>`__
See Table I, Figure 4
Following the inverse FFT, Fig. 4 states that only cells [m-1:n]
contain valid dot products
Padding is done automatically in fftconvolve step
"""
n = T.shape[0]
m = Q.shape[0]
Qr = np.flipud(Q) # Reverse/flip Q
QT = convolve(Qr, T)
return QT.real[m - 1 : n]
@njit(
# "f8[:](f8[:], i8, b1[:])",
fastmath={"nsz", "arcp", "contract", "afn", "reassoc"}
)
def _welford_nanvar(a, w, a_subseq_isfinite):
"""
Compute the rolling variance for a 1-D array while ignoring NaNs using a modified
version of Welford's algorithm but is much faster than using `np.nanstd` with stride
tricks.
Parameters
----------
a : numpy.ndarray
The input array
w : int
The rolling window size
a_subseq_isfinite : numpy.ndarray
A boolean array that describes whether each subequence of length `w` within `a`
is finite.
Returns
-------
all_variances : numpy.ndarray
Rolling window nanvar
"""
all_variances = np.empty(a.shape[0] - w + 1, dtype=np.float64)
prev_mean = 0.0
prev_var = 0.0
for start_idx in range(a.shape[0] - w + 1):
prev_start_idx = start_idx - 1
stop_idx = start_idx + w # Exclusive index value
last_idx = start_idx + w - 1 # Last inclusive index value
if (
start_idx == 0
or not a_subseq_isfinite[prev_start_idx]
or not a_subseq_isfinite[start_idx]
):
curr_mean = np.nanmean(a[start_idx:stop_idx])
curr_var = np.nanvar(a[start_idx:stop_idx])
else:
curr_mean = prev_mean + (a[last_idx] - a[prev_start_idx]) / w
curr_var = (
prev_var
+ (a[last_idx] - a[prev_start_idx])
* (a[last_idx] - curr_mean + a[prev_start_idx] - prev_mean)
/ w
)
all_variances[start_idx] = curr_var
prev_mean = curr_mean
prev_var = curr_var
return all_variances
def welford_nanvar(a, w=None):
"""
Compute the rolling variance for a 1-D array while ignoring NaNs using a modified
version of Welford's algorithm but is much faster than using `np.nanstd` with stride
tricks.
This is a convenience wrapper around the `_welford_nanvar` function.
Parameters
----------
a : numpy.ndarray
The input array
w : numpy.ndarray, default None
The rolling window size
Returns
-------
output : numpy.ndarray
Rolling window nanvar.
"""
if w is None:
w = a.shape[0]
a_subseq_isfinite = rolling_isfinite(a, w)
return _welford_nanvar(a, w, a_subseq_isfinite)
def welford_nanstd(a, w=None):
"""
Compute the rolling standard deviation for a 1-D array while ignoring NaNs using
a modified version of Welford's algorithm but is much faster than using `np.nanstd`
with stride tricks.
This a convenience wrapper around `welford_nanvar`.
Parameters
----------
a : numpy.ndarray
The input array
w : numpy.ndarray, default None
The rolling window size
Returns
-------
output : numpy.ndarray
Rolling window nanstd.
"""
if w is None:
w = a.shape[0]
return np.sqrt(np.clip(welford_nanvar(a, w), a_min=0, a_max=None))
@njit(parallel=True, fastmath={"nsz", "arcp", "contract", "afn", "reassoc"})
def _rolling_nanstd_1d(a, w):
"""
A Numba JIT-compiled and parallelized function for computing the rolling standard
deviation for 1-D array while ignoring NaN.
Parameters
----------
a : numpy.ndarray
The input array
w : int
The rolling window size
Returns
-------
out : numpy.ndarray
This 1D array has the length of `a.shape[0]-w+1`. `out[i]`
contains the stddev value of `a[i : i + w]`
"""
n = a.shape[0] - w + 1
out = np.empty(n, dtype=np.float64)
for i in prange(n):
out[i] = np.nanstd(a[i : i + w])
return out
def rolling_nanstd(a, w, welford=False):
"""
Compute the rolling standard deviation over the last axis of `a` while ignoring
NaNs.
This essentially replaces:
`np.nanstd(rolling_window(a[..., start:stop], w), axis=a.ndim)`
Parameters
----------
a : numpy.ndarray
The input array
w : numpy.ndarray
The rolling window size
welford : bool, default False
When False (default), the computation is parallelized and the stddev of
each subsequence is calculated on its own. When `welford==True`, the
welford method is used to reduce the computing time at the cost of slightly
reduced precision.
Returns
-------
out : numpy.ndarray
Rolling window nanstd
"""
axis = a.ndim - 1 # Account for rolling
if welford:
return np.apply_along_axis(
lambda a_row, w: welford_nanstd(a_row, w), axis=axis, arr=a, w=w
)
else:
return np.apply_along_axis(
lambda a_row, w: _rolling_nanstd_1d(a_row, w), axis=axis, arr=a, w=w
)
def _rolling_nanmin_1d(a, w=None):
"""
Compute the rolling min for 1-D while ignoring NaNs.
This essentially replaces:
`np.nanmin(rolling_window(a[..., start:stop], w), axis=a.ndim)`
Parameters
----------
a : numpy.ndarray
The input array
w : numpy.ndarray, default None
The rolling window size
Returns
-------
output : numpy.ndarray
Rolling window nanmin.
"""
if w is None:
w = a.shape[0]
half_window_size = int(math.ceil((w - 1) / 2))
return minimum_filter1d(a, size=w)[
half_window_size : half_window_size + a.shape[0] - w + 1
]
def _rolling_nanmax_1d(a, w=None):
"""
Compute the rolling max for 1-D while ignoring NaNs.
This essentially replaces:
`np.nanmax(rolling_window(a[..., start:stop], w), axis=a.ndim)`
Parameters
----------
a : numpy.ndarray
The input array
w : numpy.ndarray, default None
The rolling window size
Returns
-------
output : numpy.ndarray
Rolling window nanmax.
"""
if w is None:
w = a.shape[0]
half_window_size = int(math.ceil((w - 1) / 2))
return maximum_filter1d(a, size=w)[
half_window_size : half_window_size + a.shape[0] - w + 1
]
def rolling_nanmin(a, w):
"""
Compute the rolling min for 1-D and 2-D arrays while ignoring NaNs.
This a convenience wrapper around `_rolling_nanmin_1d`.
This essentially replaces:
`np.nanmin(rolling_window(a[..., start:stop], w), axis=a.ndim)`
Parameters
----------
a : numpy.ndarray
The input array
w : numpy.ndarray
The rolling window size
Returns
-------
output : numpy.ndarray
Rolling window nanmin.
"""
axis = a.ndim - 1 # Account for rolling
return np.apply_along_axis(
lambda a_row, w: _rolling_nanmin_1d(a_row, w), axis=axis, arr=a, w=w
)
def rolling_nanmax(a, w):
"""
Compute the rolling max for 1-D and 2-D arrays while ignoring NaNs.
This a convenience wrapper around `_rolling_nanmax_1d`.
This essentially replaces:
`np.nanmax(rolling_window(a[..., start:stop], w), axis=a.ndim)`
Parameters
----------
a : numpy.ndarray
The input array
w : numpy.ndarray
The rolling window size
Returns
-------
output : numpy.ndarray
Rolling window nanmax.
"""
axis = a.ndim - 1 # Account for rolling
return np.apply_along_axis(
lambda a_row, w: _rolling_nanmax_1d(a_row, w), axis=axis, arr=a, w=w
)
def compute_mean_std(T, m):
"""
Compute the sliding mean and standard deviation for the array `T` with
a window size of `m`
Parameters
----------
T : numpy.ndarray
Time series or sequence
m : int
Window size
Returns
-------
M_T : numpy.ndarray
Sliding mean. All nan values are replaced with np.inf
Σ_T : numpy.ndarray
Sliding standard deviation
Notes
-----
`DOI: 10.1109/ICDM.2016.0179 \
<https://www.cs.ucr.edu/~eamonn/PID4481997_extend_Matrix%20Profile_I.pdf>`__
See Table II
DOI: 10.1145/2020408.2020587
See Page 2 and Equations 1, 2
DOI: 10.1145/2339530.2339576
See Page 4
http://www.cs.unm.edu/~mueen/FastestSimilaritySearch.html
Note that Mueen's algorithm has an off-by-one bug where the
sum for the first subsequence is omitted and we fixed that!
"""
num_chunks = config.STUMPY_MEAN_STD_NUM_CHUNKS
max_iter = config.STUMPY_MEAN_STD_MAX_ITER