STUMPY documentation

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STUMPY

STUMPY is a powerful and scalable library that efficiently computes something called the matrix profile, which can be used for a variety of time series data mining tasks such as:

  • pattern/motif (approximately repeated subsequences within a longer time series) discovery
  • anomaly/novelty (discord) discovery
  • shapelet discovery
  • semantic segmentation
  • density estimation
  • time series chains (temporally ordered set of subsequence patterns)
  • and more …

Whether you are an academic, data scientist, software developer, or time series enthusiast, STUMPY is straightforward to install and our goal is to allow you to get to your time series insights faster. See documentation for more information.

How to use STUMPY

Please see our API documentation for a complete list of available functions and see our informative tutorials for more comprehensive example use cases. Below, you will find code snippets that quickly demonstrate how to use STUMPY.

Typical usage (1-dimensional time series data) with STUMP:

import stumpy
import numpy as np

your_time_series = np.random.rand(10000)
window_size = 50  # Approximately, how many data points might be found in a pattern

matrix_profile = stumpy.stump(your_time_series, m=window_size)

Distributed usage for 1-dimensional time series data with Dask Distributed via STUMPED:

import stumpy
import numpy as np
from dask.distributed import Client
dask_client = Client()

your_time_series = np.random.rand(10000)
window_size = 50  # Approximately, how many data points might be found in a pattern

matrix_profile = stumpy.stumped(dask_client, your_time_series, m=window_size)

GPU usage for 1-dimensional time series data with GPU-STUMP:

import stumpy
import numpy as np
from numba import cuda

your_time_series = np.random.rand(10000)
window_size = 50  # Approximately, how many data points might be found in a pattern
all_gpu_devices = [device.id for device in cuda.list_devices()]  # Get a list of all available GPU devices

matrix_profile = stumpy.gpu_stump(your_time_series, m=window_size, device_id=all_gpu_devices)

Multi-dimensional time series data with MSTUMP:

import stumpy
import numpy as np

your_time_series = np.random.rand(3, 1000)  # Each row represents data from a different dimension while each column represents data from the same dimension
window_size = 50  # Approximately, how many data points might be found in a pattern

matrix_profile, matrix_profile_indices = stumpy.mstump(your_time_series, m=window_size)

Distributed multi-dimensional time series data analysis with Dask Distributed MSTUMPED:

import stumpy
import numpy as np
from dask.distributed import Client
dask_client = Client()

your_time_series = np.random.rand(3, 1000)   # Each row represents data from a different dimension while each column represents data from the same dimension
window_size = 50  # Approximately, how many data points might be found in a pattern

matrix_profile, matrix_profile_indices = stumpy.mstumped(dask_client, your_time_series, m=window_size)

Time Series Chains with Anchored Time Series Chains (ATSC):

import stumpy
import numpy as np

your_time_series = np.random.rand(10000)
window_size = 50  # Approximately, how many data points might be found in a pattern

matrix_profile = stumpy.stump(your_time_series, m=window_size)

left_matrix_profile_index = matrix_profile[:, 2]
right_matrix_profile_index = matrix_profile[:, 3]
idx = 10  # Subsequence index for which to retrieve the anchored time series chain for

anchored_chain = stumpy.atsc(left_matrix_profile_index, right_matrix_profile_index, idx)

all_chain_set, longest_unanchored_chain = stumpy.allc(left_matrix_profile_index, right_matrix_profile_index)

Semantic Segmentation with Fast Low-cost Unipotent Semantic Segmentation (FLUSS):

import stumpy
import numpy as np

your_time_series = np.random.rand(10000)
window_size = 50  # Approximately, how many data points might be found in a pattern

matrix_profile = stumpy.stump(your_time_series, m=window_size)

subseq_len = 50
correct_arc_curve, regime_locations = stumpy.fluss(matrix_profile[:, 1],
                                                   L=subseq_len,
                                                   n_regimes=2,
                                                   excl_factor=1
                                                  )

Dependencies

Where to get it

Conda install (preferred):

conda install -c conda-forge stumpy

PyPI install, presuming you have numpy, scipy, and numba installed:

python -m pip install stumpy

To install stumpy from source, see the instructions in the documentation.

Documentation

In order to fully understand and appreciate the underlying algorithms and applications, it is imperative that you read the original publications. For a more detailed example of how to use STUMPY please consult the latest documentation or explore the following tutorials:

  1. The Matrix Profile
  2. STUMPY Basics
  3. Time Series Chains
  4. Semantic Segmentation

Performance

We tested the performance of computing the exact matrix profile using the Numba JIT compiled version of the code on randomly generated time series data with various lengths (i.e., np.random.rand(n)) along with different CPU and GPU hardware resources.

STUMPY Performance Plot

The raw results are displayed in the table below as Hours:Minutes:Seconds.Milliseconds and with a constant window size of m = 50. Note that these reported runtimes include the time that it takes to move the data from the host to all of the GPU device(s). You may need to scroll to the right side of the table in order to see all of the runtimes.

i n = 2i GPU-STOMP STUMP.2 STUMP.16 STUMPED.128 STUMPED.256 GPU-STUMP.1 GPU-STUMP.2 GPU-STUMP.DGX1 GPU-STUMP.DGX2
6 64 00:00:10.00 00:00:00.00 00:00:00.00 00:00:05.77 00:00:06.08 00:00:00.03 00:00:01.63 NaN NaN
7 128 00:00:10.00 00:00:00.00 00:00:00.00 00:00:05.93 00:00:07.29 00:00:00.04 00:00:01.66 NaN NaN
8 256 00:00:10.00 00:00:00.00 00:00:00.01 00:00:05.95 00:00:07.59 00:00:00.08 00:00:01.69 00:00:06.68 00:00:25.68
9 512 00:00:10.00 00:00:00.00 00:00:00.02 00:00:05.97 00:00:07.47 00:00:00.13 00:00:01.66 00:00:06.59 00:00:27.66
10 1024 00:00:10.00 00:00:00.02 00:00:00.04 00:00:05.69 00:00:07.64 00:00:00.24 00:00:01.72 00:00:06.70 00:00:30.49
11 2048 NaN 00:00:00.05 00:00:00.09 00:00:05.60 00:00:07.83 00:00:00.53 00:00:01.88 00:00:06.87 00:00:31.09
12 4096 NaN 00:00:00.22 00:00:00.19 00:00:06.26 00:00:07.90 00:00:01.04 00:00:02.19 00:00:06.91 00:00:33.93
13 8192 NaN 00:00:00.50 00:00:00.41 00:00:06.29 00:00:07.73 00:00:01.97 00:00:02.49 00:00:06.61 00:00:33.81
14 16384 NaN 00:00:01.79 00:00:00.99 00:00:06.24 00:00:08.18 00:00:03.69 00:00:03.29 00:00:07.36 00:00:35.23
15 32768 NaN 00:00:06.17 00:00:02.39 00:00:06.48 00:00:08.29 00:00:07.45 00:00:04.93 00:00:07.02 00:00:36.09
16 65536 NaN 00:00:22.94 00:00:06.42 00:00:07.33 00:00:09.01 00:00:14.89 00:00:08.12 00:00:08.10 00:00:36.54
17 131072 00:00:10.00 00:01:29.27 00:00:19.52 00:00:09.75 00:00:10.53 00:00:29.97 00:00:15.42 00:00:09.45 00:00:37.33
18 262144 00:00:18.00 00:05:56.50 00:01:08.44 00:00:33.38 00:00:24.07 00:00:59.62 00:00:27.41 00:00:13.18 00:00:39.30
19 524288 00:00:46.00 00:25:34.58 00:03:56.82 00:01:35.27 00:03:43.66 00:01:56.67 00:00:54.05 00:00:19.65 00:00:41.45
20 1048576 00:02:30.00 01:51:13.43 00:19:54.75 00:04:37.15 00:03:01.16 00:05:06.48 00:02:24.73 00:00:32.95 00:00:46.14
21 2097152 00:09:15.00 09:25:47.64 03:05:07.64 00:13:36.51 00:08:47.47 00:20:27.94 00:09:41.43 00:01:06.51 00:01:02.67
22 4194304 NaN 36:12:23.74 10:37:51.21 00:55:44.43 00:32:06.70 01:21:12.33 00:38:30.86 00:04:03.26 00:02:23.47
23 8388608 NaN 143:16:09.94 38:42:51.42 03:33:30.53 02:00:49.37 05:11:44.45 02:33:14.60 00:15:46.26 00:08:03.76
24 16777216 NaN NaN NaN 14:39:11.99 07:13:47.12 20:43:03.80 09:48:43.42 01:00:24.06 00:29:07.84
NaN 17729800 09:16:12.00 NaN NaN 15:31:31.75 07:18:42.54 23:09:22.43 10:54:08.64 01:07:35.39 00:32:51.55
25 33554432 NaN NaN NaN 56:03:46.81 26:27:41.29 83:29:21.06 39:17:43.82 03:59:32.79 01:54:56.52
26 67108864 NaN NaN NaN 211:17:37.60 106:40:17.17 328:58:04.68 157:18:30.50 15:42:15.94 07:18:52.91
NaN 100000000 291:07:12.00 NaN NaN NaN 234:51:35.39 NaN NaN 35:03:44.61 16:22:40.81
27 134217728 NaN NaN NaN NaN NaN NaN NaN 64:41:55.09 29:13:48.12

Hardware Resources

GPU-STOMP: These results are reproduced from the original Matrix Profile II paper - NVIDIA Tesla K80 (contains 2 GPUs) and serves as the performance benchmark to compare against.

STUMP.2: stumpy.stump executed with 2 CPUs in Total - 2x Intel(R) Xeon(R) CPU E5-2650 v4 @ 2.20GHz processors parallelized with Numba on a single server without Dask.

STUMP.16: stumpy.stump executed with 16 CPUs in Total - 16x Intel(R) Xeon(R) CPU E5-2650 v4 @ 2.20GHz processors parallelized with Numba on a single server without Dask.

STUMPED.128: stumpy.stumped executed with 128 CPUs in Total - 8x Intel(R) Xeon(R) CPU E5-2650 v4 @ 2.20GHz processors x 16 servers, parallelized with Numba, and distributed with Dask Distributed.

STUMPED.256: stumpy.stumped executed with 256 CPUs in Total - 8x Intel(R) Xeon(R) CPU E5-2650 v4 @ 2.20GHz processors x 32 servers, parallelized with Numba, and distributed with Dask Distributed.

GPU-STUMP.1: stumpy.gpu_stump executed with 1x NVIDIA GeForce GTX 1080 Ti GPU, 512 threads per block, 200W power limit, compiled to CUDA with Numba, and parallelized with Python multiprocessing

GPU-STUMP.2: stumpy.gpu_stump executed with 2x NVIDIA GeForce GTX 1080 Ti GPU, 512 threads per block, 200W power limit, compiled to CUDA with Numba, and parallelized with Python multiprocessing

GPU-STUMP.DGX1: stumpy.gpu_stump executed with 8x NVIDIA Tesla V100, 512 threads per block, compiled to CUDA with Numba, and parallelized with Python multiprocessing

GPU-STUMP.DGX2: stumpy.gpu_stump executed with 16x NVIDIA Tesla V100, 512 threads per block, compiled to CUDA with Numba, and parallelized with Python multiprocessing

Running Tests

Tests are written in the tests directory and processed using PyTest and requires coverage.py for code coverage analysis. Tests can be executed with:

./test.sh

Python Version

STUMPY supports Python 3.6+ and, due to the use of unicode variable names/identifiers, is not compatible with Python 2.x. Given the small dependencies, STUMPY may work on older versions of Python but this is beyond the scope of our support and we strongly recommend that you upgrade to the most recent version of Python.

Getting Help

First, please check the issues on github to see if your question has already been answered there. If no solution is available there feel free to open a new issue and the authors will attempt to respond in a reasonably timely fashion.

Contributing

We welcome contributions in any form! Assistance with documentation, particularly expanding tutorials, is always welcome. To contribute please fork the project, make your changes, and submit a pull request. We will do our best to work through any issues with you and get your code merged into the main branch.

Citing

If you have used this codebase in a scientific publication and wish to cite it, please use the Journal of Open Source Software article.

S.M. Law, (2019). STUMPY: A Powerful and Scalable Python Library for Time Series Data Mining. Journal of Open Source Software, 4(39), 1504.
@article{law2019stumpy,
  title={{STUMPY: A Powerful and Scalable Python Library for Time Series Data Mining}},
  author={Law, Sean M.},
  journal={{The Journal of Open Source Software}},
  volume={4},
  number={39},
  pages={1504},
  year={2019}
}

References

Yeh, Chin-Chia Michael, et al. (2016) Matrix Profile I: All Pairs Similarity Joins for Time Series: A Unifying View that Includes Motifs, Discords, and Shapelets. ICDM:1317-1322. Link

Zhu, Yan, et al. (2016) Matrix Profile II: Exploiting a Novel Algorithm and GPUs to Break the One Hundred Million Barrier for Time Series Motifs and Joins. ICDM:739-748. Link

Yeh, Chin-Chia Michael, et al. (2017) Matrix Profile VI: Meaningful Multidimensional Motif Discovery. ICDM:565-574. Link

Zhu, Yan, et al. (2017) Matrix Profile VII: Time Series Chains: A New Primitive for Time Series Data Mining. ICDM:695-704. Link

Gharghabi, Shaghayegh, et al. (2017) Matrix Profile VIII: Domain Agnostic Online Semantic Segmentation at Superhuman Performance Levels. ICDM:117-126. Link

Zhu, Yan, et al. (2018) Matrix Profile XI: SCRIMP++: Time Series Motif Discovery at Interactive Speeds. ICDM:837-846. Link

License & Trademark

STUMPY
Copyright 2019 TD Ameritrade. Released under the terms of the 3-Clause BSD license.
STUMPY is a trademark of TD Ameritrade IP Company, Inc. All rights reserved.

Indices and tables