stumpy/stumpy/aamp.py at main · stumpy-dev/stumpy · GitHub

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# STUMPY

import numba

import numpy as np

from numba import njit, prange

from . import config, core

from .mparray import mparray

@njit(

# "(f8[:], f8[:], i8, b1[:], b1[:], f8, i8[:], i8, i8, i8, f8[:, :, :],"

# "f8[:, :], f8[:, :], i8[:, :, :], i8[:, :], i8[:, :], b1)",

fastmath=config.STUMPY_FASTMATH_FLAGS,

)

def _compute_diagonal(

T_A,

T_B,

T_A_subseq_isfinite,

T_B_subseq_isfinite,

diags,

diags_start_idx,

diags_stop_idx,

thread_idx,

PL,

PR,

IL,

IR,

ignore_trivial,

"""

Compute (Numba JIT-compiled) and update the (top-k) matrix profile P,

PL, PR, I, IL, and IR sequentially along individual diagonals using a single

thread and avoiding race conditions.

Parameters

----------

T_A : numpy.ndarray

The time series or sequence for which to compute the matrix profile

T_B : numpy.ndarray

The time series or sequence that will be used to annotate T_A. For every

subsequence in T_A, its nearest neighbor in T_B will be recorded.

m : int

Window size

T_A_subseq_isfinite : numpy.ndarray

A boolean array that indicates whether a subsequence in `T_A` contains a

`np.nan`/`np.inf` value (False)

T_B_subseq_isfinite : numpy.ndarray

A boolean array that indicates whether a subsequence in `T_B` contains a

`np.nan`/`np.inf` value (False)

p : float

The p-norm to apply for computing the Minkowski distance. Minkowski distance is

typically used with `p` being 1 or 2, which correspond to the Manhattan distance

and the Euclidean distance, respectively.

diags : numpy.ndarray

The diag of diagonals to process and compute

diags_start_idx : int

The start index for a range of diagonal diag to process and compute

diags_stop_idx : int

The (exclusive) stop index for a range of diagonal diag to process and compute

thread_idx : int

The thread index

P : numpy.ndarray

The (top-k) matrix profile, sorted in ascending order per row

PL : numpy.ndarray

The top-1 left marix profile

PR : numpy.ndarray

The top-1 right marix profile

I : numpy.ndarray

The (top-k) matrix profile indices

IL : numpy.ndarray

The top-1 left matrix profile indices

IR : numpy.ndarray

The top-1 right matrix profile indices

ignore_trivial : bool

Set to `True` if this is a self-join. Otherwise, for AB-join, set this to

`False`. Default is `True`.

Returns

-------

None

"""

n_A = T_A.shape[0]

n_B = T_B.shape[0]

uint64_m = np.uint64(m)

uint64_1 = np.uint64(1)

for diag_idx in range(diags_start_idx, diags_stop_idx):

g = diags[diag_idx]

if g >= 0:

iter_range = range(0, min(n_A - m + 1, n_B - m + 1 - g))

else:

iter_range = range(-g, min(n_A - m + 1, n_B - m + 1 - g))

for i in iter_range:

uint64_i = np.uint64(i)

uint64_j = np.uint64(i + g)

if uint64_i == 0 or uint64_j == 0:

p_norm = (

np.linalg.norm(

T_B[uint64_j : uint64_j + uint64_m]

- T_A[uint64_i : uint64_i + uint64_m],

ord=p,

)

** p

)

else:

p_norm = np.abs(

p_norm

- np.absolute(T_B[uint64_j - uint64_1] - T_A[uint64_i - uint64_1])

** p

+ np.absolute(

T_B[uint64_j + uint64_m - uint64_1]

- T_A[uint64_i + uint64_m - uint64_1]

)

** p

)

if p_norm < config.STUMPY_P_NORM_THRESHOLD:

p_norm = 0.0

if T_A_subseq_isfinite[uint64_i] and T_B_subseq_isfinite[uint64_j]:

# Neither subsequence contains NaNs

# `P[thread_idx, i, :]` is sorted in ascending order and MUST be updated

# when the newly-calculated `p_norm` value becomes smaller than the

# last (i.e. greatest) element in this array. Note that the goal

# is to have top-k smallest distances for each subsequence.

if p_norm < P[thread_idx, uint64_i, -1]:

idx = np.searchsorted(P[thread_idx, uint64_i], p_norm)

core._shift_insert_at_index(

P[thread_idx, uint64_i], idx, p_norm, shift="right"

)

core._shift_insert_at_index(

I[thread_idx, uint64_i], idx, uint64_j, shift="right"

)

if ignore_trivial: # self-joins only

if p_norm < P[thread_idx, uint64_j, -1]:

idx = np.searchsorted(P[thread_idx, uint64_j], p_norm)

core._shift_insert_at_index(

P[thread_idx, uint64_j], idx, p_norm, shift="right"

)

core._shift_insert_at_index(

I[thread_idx, uint64_j], idx, uint64_i, shift="right"

)

if uint64_i < uint64_j:

# left matrix profile and left matrix profile index

if p_norm < PL[thread_idx, uint64_j]:

PL[thread_idx, uint64_j] = p_norm

IL[thread_idx, uint64_j] = uint64_i

# right matrix profile and right matrix profile index

if p_norm < PR[thread_idx, uint64_i]:

PR[thread_idx, uint64_i] = p_norm

IR[thread_idx, uint64_i] = uint64_j

return

@njit(

# "(f8[:], f8[:], i8, b1[:], b1[:], i8[:], b1, i8)",

parallel=True,

fastmath=config.STUMPY_FASTMATH_FLAGS,

)

def _aamp(

T_A,

T_B,

T_A_subseq_isfinite,

T_B_subseq_isfinite,

diags,

ignore_trivial,

"""

A Numba JIT-compiled version of AAMP for parallel computation of the matrix

profile and matrix profile indices.

Parameters

----------

T_A : numpy.ndarray

The time series or sequence for which to compute the matrix profile

T_B : numpy.ndarray

The time series or sequence that will be used to annotate T_A. For every

subsequence in T_A, its nearest neighbor in T_B will be recorded.

m : int

Window size

T_A_subseq_isfinite : numpy.ndarray

A boolean array that indicates whether a subsequence in `T_A` contains a

`np.nan`/`np.inf` value (False)

T_B_subseq_isfinite : numpy.ndarray

A boolean array that indicates whether a subsequence in `T_B` contains a

`np.nan`/`np.inf` value (False)

p : float

The p-norm to apply for computing the Minkowski distance. Minkowski distance is

typically used with `p` being 1 or 2, which correspond to the Manhattan distance

and the Euclidean distance, respectively.

diags : numpy.ndarray

The diag of diagonals to process and compute

ignore_trivial : bool

Set to `True` if this is a self-join. Otherwise, for AB-join, set this to

`False`. Default is `True`.

k : int

The number of top `k` smallest distances used to construct the matrix profile.

Note that this will increase the total computational time and memory usage

when k > 1.

Returns

-------

out1 : numpy.ndarray

The (top-k) matrix profile

out2 : numpy.ndarray

The (top-1) left matrix profile

out3 : numpy.ndarray

The (top-1) right matrix profile

out4 : numpy.ndarray

The (top-k) matrix profile indices

out5 : numpy.ndarray

The (top-1) left matrix profile indices

out6 : numpy.ndarray

The (top-1) right matrix profile indices

Notes

-----

`DOI: 10.1109/ICDM.2018.00099 \

<https://www.cs.ucr.edu/~eamonn/SCRIMP_ICDM_camera_ready_updated.pdf>`__

See Algorithm 1

"""

n_A = T_A.shape[0]

n_B = T_B.shape[0]

l = n_A - m + 1

n_threads = numba.config.NUMBA_NUM_THREADS

P = np.full((n_threads, l, k), np.inf, dtype=np.float64)

I = np.full((n_threads, l, k), -1, dtype=np.int64)

PL = np.full((n_threads, l), np.inf, dtype=np.float64)

IL = np.full((n_threads, l), -1, dtype=np.int64)

PR = np.full((n_threads, l), np.inf, dtype=np.float64)

IR = np.full((n_threads, l), -1, dtype=np.int64)

ndist_counts = core._count_diagonal_ndist(diags, m, n_A, n_B)

diags_ranges = core._get_array_ranges(ndist_counts, n_threads, False)

for thread_idx in prange(n_threads):

# Compute and update P, I within a single thread while avoiding race conditions

_compute_diagonal(

T_A,

T_B,

T_A_subseq_isfinite,

T_B_subseq_isfinite,

diags,

diags_ranges[thread_idx, 0],

diags_ranges[thread_idx, 1],

thread_idx,

PL,

PR,

IL,

IR,

ignore_trivial,

)

# Reduction of results from all threads

for thread_idx in range(1, n_threads):

# update top-k arrays

core._merge_topk_PI(P[0], P[thread_idx], I[0], I[thread_idx])

# update left matrix profile and matrix profile indices

mask = PL[0] > PL[thread_idx]

PL[0][mask] = PL[thread_idx][mask]

IL[0][mask] = IL[thread_idx][mask]

# update right matrix profile and matrix profile indices

mask = PR[0] > PR[thread_idx]

PR[0][mask] = PR[thread_idx][mask]

IR[0][mask] = IR[thread_idx][mask]

return (

np.power(P[0], 1.0 / p),

np.power(PL[0], 1.0 / p),

np.power(PR[0], 1.0 / p),

I[0],

IL[0],

IR[0],

)

def aamp(T_A, m, T_B=None, ignore_trivial=True, p=2.0, k=1):

"""

Compute the non-normalized (i.e., without z-normalization) matrix profile

This is a convenience wrapper around the Numba JIT-compiled parallelized

`_aamp` function which computes the matrix profile according to AAMP.

Parameters

----------

T_A : numpy.ndarray

The time series or sequence for which to compute the matrix profile

m : int

Window size

T_B : numpy.ndarray, default None

The time series or sequence that will be used to annotate T_A. For every

subsequence in T_A, its nearest neighbor in T_B will be recorded. Default is

`None` which corresponds to a self-join.

ignore_trivial : bool, default True

Set to `True` if this is a self-join. Otherwise, for AB-join, set this

to `False`. Default is `True`.

p : float, default 2.0

The p-norm to apply for computing the Minkowski distance. Minkowski distance is

typically used with `p` being 1 or 2, which correspond to the Manhattan distance

and the Euclidean distance, respectively.

k : int, default 1

The number of top `k` smallest distances used to construct the matrix profile.

Note that this will increase the total computational time and memory usage

when k > 1.

Returns

-------

out : numpy.ndarray

When k = 1 (default), the first column consists of the matrix profile,

the second column consists of the matrix profile indices, the third column

consists of the left matrix profile indices, and the fourth column consists

of the right matrix profile indices. However, when k > 1, the output array

will contain exactly 2 * k + 2 columns. The first k columns (i.e., out[:, :k])

consists of the top-k matrix profile, the next set of k columns

(i.e., out[:, k:2k]) consists of the corresponding top-k matrix profile

indices, and the last two columns (i.e., out[:, 2k] and out[:, 2k+1] or,

equivalently, out[:, -2] and out[:, -1]) correspond to the top-1 left

matrix profile indices and the top-1 right matrix profile indices, respectively.

For convenience, the matrix profile (distances) and matrix profile indices can

also be accessed via their corresponding named array attributes, `.P_` and

`.I_`,respectively. Similarly, the corresponding left matrix profile indices

and right matrix profile indices may also be accessed via the `.left_I_` and

`.right_I_` array attributes.

Notes

-----

`arXiv:1901.05708 \

<https://arxiv.org/pdf/1901.05708.pdf>`__

See Algorithm 1

Note that we have extended this algorithm for AB-joins as well.

"""

if T_B is None:

T_B = T_A.copy()

core.check_self_join(ignore_trivial)

ignore_trivial = True

T_A, T_A_subseq_isfinite = core.preprocess_non_normalized(T_A, m)

T_B, T_B_subseq_isfinite = core.preprocess_non_normalized(T_B, m)

if T_A.ndim != 1: # pragma: no cover

raise ValueError(f"T_A is {T_A.ndim}-dimensional and must be 1-dimensional. ")

if T_B.ndim != 1: # pragma: no cover

raise ValueError(f"T_B is {T_B.ndim}-dimensional and must be 1-dimensional. ")

n_A = T_A.shape[0]

n_B = T_B.shape[0]

l = n_A - m + 1

ignore_trivial = core.check_ignore_trivial(T_A, T_B, ignore_trivial)

excl_zone = int(np.ceil(m / config.STUMPY_EXCL_ZONE_DENOM))

if ignore_trivial: # self-join

core.check_window_size(m, max_size=min(n_A, n_B), n=n_A)

diags = np.arange(excl_zone + 1, n_A - m + 1, dtype=np.int64)

else: # AB-join

core.check_window_size(m, max_size=min(n_A, n_B))

diags = np.arange(-(n_A - m + 1) + 1, n_B - m + 1, dtype=np.int64)

P, PL, PR, I, IL, IR = _aamp(

T_A,

T_B,

T_A_subseq_isfinite,

T_B_subseq_isfinite,

diags,

ignore_trivial,

)

out = np.empty((l, 2 * k + 2), dtype=object)

out[:, :k] = P

out[:, k:] = np.column_stack((I, IL, IR))

core._check_P(out[:, 0])

return mparray(out, m, k, config.STUMPY_EXCL_ZONE_DENOM)

stumpy/stumpy/aamp.py at main · stumpy-dev/stumpy · GitHub

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