# 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.
import numpy as np
from . import config, core
from .maamped import maamped
from .mstump import _get_first_mstump_profile, _get_multi_QT, _mstump
def _dask_mstumped(
dask_client,
T_A,
T_B,
m,
excl_zone,
M_T,
Σ_T,
μ_Q,
σ_Q,
T_subseq_isconstant,
Q_subseq_isconstant,
include,
discords,
):
"""
Compute the multi-dimensional z-normalized matrix profile with a distributed
dask cluster
This is a highly distributed implementation around the Numba JIT-compiled
parallelized `_mstump` function which computes the multi-dimensional matrix
profile according to STOMP. Note that only self-joins are supported.
Parameters
----------
dask_client : client
A Dask Distributed client. Setting up a distributed cluster is beyond
the scope of this library. Please refer to the Dask Distributed
documentation.
T_A : numpy.ndarray
The time series or sequence for which to compute the multi-dimensional
matrix profile. Each row in `T_A` represents data from a different
dimension while each column in `T_A` represents data from the same
dimension.
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. Default is
`None` which corresponds to a self-join.
m : int
Window size
excl_zone : int
The half width for the exclusion zone relative to the current
sliding window
M_T : numpy.ndarray
Sliding mean of time series, `T`
Σ_T : numpy.ndarray
Sliding standard deviation of time series, `T`
μ_Q : numpy.ndarray
Mean of the query sequence, `Q`, relative to the current sliding window
σ_Q : numpy.ndarray
Standard deviation of the query sequence, `Q`, relative to the current
sliding window
T_subseq_isconstant : numpy.ndarray
A boolearn array representing Rolling isconstant for `T`
Q_subseq_isconstant : numpy.ndarray
A boolearn array representing Rolling isconstant for `Q`
include : numpy.ndarray
A list of (zero-based) indices corresponding to the dimensions in `T` that
must be included in the constrained multidimensional motif search.
For more information, see Section IV D in:
`DOI: 10.1109/ICDM.2017.66 \
<https://www.cs.ucr.edu/~eamonn/Motif_Discovery_ICDM.pdf>`__
discords : bool
When set to `True`, this reverses the distance profile to favor discords rather
than motifs. Note that indices in `include` are still maintained and respected.
Returns
-------
P : numpy.ndarray
The multi-dimensional matrix profile. Each row of the array corresponds
to each matrix profile for a given dimension (i.e., the first row is
the 1-D matrix profile and the second row is the 2-D matrix profile).
I : numpy.ndarray
The multi-dimensional matrix profile index where each row of the array
corresponds to each matrix profile index for a given dimension.
"""
d, n = T_B.shape
k = n - m + 1
P = np.empty((d, k), dtype=np.float64)
I = np.empty((d, k), dtype=np.int64)
hosts = list(dask_client.ncores().keys())
nworkers = len(hosts)
step = 1 + k // nworkers
for i, start in enumerate(range(0, k, step)):
P[:, start], I[:, start] = _get_first_mstump_profile(
start,
T_A,
T_B,
m,
excl_zone,
M_T,
Σ_T,
μ_Q,
σ_Q,
T_subseq_isconstant,
Q_subseq_isconstant,
include,
discords,
)
# Scatter data to Dask cluster
T_A_future = dask_client.scatter(T_A, broadcast=True, hash=False)
M_T_future = dask_client.scatter(M_T, broadcast=True, hash=False)
Σ_T_future = dask_client.scatter(Σ_T, broadcast=True, hash=False)
μ_Q_future = dask_client.scatter(μ_Q, broadcast=True, hash=False)
σ_Q_future = dask_client.scatter(σ_Q, broadcast=True, hash=False)
T_subseq_isconstant_future = dask_client.scatter(
T_subseq_isconstant, broadcast=True, hash=False
)
Q_subseq_isconstant_future = dask_client.scatter(
Q_subseq_isconstant, broadcast=True, hash=False
)
QT_futures = []
QT_first_futures = []
for i, start in enumerate(range(0, k, step)):
QT, QT_first = _get_multi_QT(start, T_A, m)
QT_future = dask_client.scatter(QT, workers=[hosts[i]], hash=False)
QT_first_future = dask_client.scatter(QT_first, workers=[hosts[i]], hash=False)
QT_futures.append(QT_future)
QT_first_futures.append(QT_first_future)
futures = []
for i, start in enumerate(range(0, k, step)):
stop = min(k, start + step)
futures.append(
dask_client.submit(
_mstump,
T_A_future,
m,
stop,
excl_zone,
M_T_future,
Σ_T_future,
QT_futures[i],
QT_first_futures[i],
μ_Q_future,
σ_Q_future,
T_subseq_isconstant_future,
Q_subseq_isconstant_future,
k,
start + 1,
include,
discords,
)
)
results = dask_client.gather(futures)
for i, start in enumerate(range(0, k, step)):
stop = min(k, start + step)
P[:, start + 1 : stop], I[:, start + 1 : stop] = results[i]
return P, I
[docs]
@core.non_normalized(
maamped,
exclude=["normalize", "T_subseq_isconstant"],
)
def mstumped(
client,
T,
m,
include=None,
discords=False,
p=2.0,
normalize=True,
T_subseq_isconstant=None,
):
"""
Compute the multi-dimensional z-normalized matrix profile with a distributed
dask/ray cluster
This is a highly distributed implementation around the Numba JIT-compiled
parallelized `_mstump` function which computes the multi-dimensional matrix
profile according to STOMP. Note that only self-joins are supported.
Parameters
----------
client : client
A Dask Distributed client that is connected to a Dask scheduler and
Dask workers. Setting up a Dask distributed cluster is beyond the
scope of this library. Please refer to the Dask Distributed
documentation.
T : numpy.ndarray
The time series or sequence for which to compute the multi-dimensional
matrix profile. Each row in `T` represents data from a different
dimension while each column in `T` represents data from the same
dimension.
m : int
Window size
include : list, numpy.ndarray, default None
A list of (zero-based) indices corresponding to the dimensions in `T` that
must be included in the constrained multidimensional motif search.
For more information, see Section IV D in:
`DOI: 10.1109/ICDM.2017.66 \
<https://www.cs.ucr.edu/~eamonn/Motif_Discovery_ICDM.pdf>`__
discords : bool, default False
When set to `True`, this reverses the distance matrix which results in a
multi-dimensional matrix profile that favors larger matrix profile values
(i.e., discords) rather than smaller values (i.e., motifs). Note that indices
in `include` are still maintained and respected.
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.
normalize : bool, default True
When set to `True`, this z-normalizes subsequences prior to computing distances.
Otherwise, this function gets re-routed to its complementary non-normalized
equivalent set in the `@core.non_normalized` function decorator.
T_subseq_isconstant : numpy.ndarray, function, or list, default None
A parameter that is used to show whether a subsequence of a time series in `T`
is constant (True) or not. T_subseq_isconstant can be a 2D boolean numpy.ndarry
or a function that can be applied to each time series in `T`. Alternatively, for
maximum flexibility, a list (with length equal to the total number of time
series) may also be used. In this case, T_subseq_isconstant[i] corresponds to
the i-th time series T[i] and each element in the list can either be a 1D
boolean np.ndarray, a function, or None.
Returns
-------
P : numpy.ndarray
The multi-dimensional matrix profile. Each row of the array corresponds
to each matrix profile for a given dimension (i.e., the first row is
the 1-D matrix profile and the second row is the 2-D matrix profile).
I : numpy.ndarray
The multi-dimensional matrix profile index where each row of the array
corresponds to each matrix profile index for a given dimension.
See Also
--------
stumpy.mstump : Compute the multi-dimensional z-normalized matrix profile
stumpy.subspace : Compute the k-dimensional matrix profile subspace for a given
subsequence index and its nearest neighbor index
stumpy.mdl : Compute the number of bits needed to compress one array with another
using the minimum description length (MDL)
Notes
-----
`DOI: 10.1109/ICDM.2017.66 \
<https://www.cs.ucr.edu/~eamonn/Motif_Discovery_ICDM.pdf>`__
See mSTAMP Algorithm
Examples
--------
>>> import stumpy
>>> import numpy as np
>>> from dask.distributed import Client
>>> if __name__ == "__main__":
... with Client() as dask_client:
... stumpy.mstumped(
... np.array([[584., -11., 23., 79., 1001., 0., -19.],
... [ 1., 2., 4., 8., 16., 0., 32.]]),
... m=3)
(array([[0. , 1.43947142, 0. , 2.69407392, 0.11633857],
[0.777905 , 2.36179922, 1.50004632, 2.92246722, 0.777905 ]]),
array([[2, 4, 0, 1, 0],
[4, 4, 0, 1, 0]]))
"""
T_A = T
T_B = T_A
T_A = core._preprocess(T_A)
T_B = core._preprocess(T_B)
T_A_subseq_isconstant = T_subseq_isconstant
T_A_subseq_isconstant = core.process_isconstant(T_A, m, T_A_subseq_isconstant)
T_B_subseq_isconstant = T_A_subseq_isconstant
T_A, M_T, Σ_T, T_subseq_isconstant = core.preprocess(
T_A, m, T_subseq_isconstant=T_A_subseq_isconstant
)
T_B, μ_Q, σ_Q, Q_subseq_isconstant = core.preprocess(
T_B, m, T_subseq_isconstant=T_B_subseq_isconstant
)
if T_A.ndim <= 1: # pragma: no cover
err = f"T is {T_A.ndim}-dimensional and must be at least 1-dimensional"
raise ValueError(f"{err}")
core.check_window_size(m, max_size=min(T_A.shape[1], T_B.shape[1]))
if include is not None:
include = core._preprocess_include(include)
excl_zone = int(
np.ceil(m / config.STUMPY_EXCL_ZONE_DENOM)
) # See Definition 3 and Figure 3
_mstumped = core._client_to_func(client)
P, I = _mstumped(
client,
T_A,
T_B,
m,
excl_zone,
M_T,
Σ_T,
μ_Q,
σ_Q,
T_subseq_isconstant,
Q_subseq_isconstant,
include,
discords,
)
return P, I