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Refactor groupby group_prod, group_var, group_mean, group_ohlc #25249

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merged 2 commits into from
Feb 11, 2019
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Refactor groupby group_prod, group_var, group_mean, group_ohlc #25249

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b2d93b1
Refactor groupby group_prod, group_var, group_mean, group_ohlc from t…
noamher Feb 9, 2019
0cb991b
Minor fixes to groupby functions
noamher Feb 11, 2019
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217 changes: 214 additions & 3 deletions pandas/_libs/groupby.pyx
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Original file line number Diff line number Diff line change
Expand Up @@ -382,6 +382,10 @@ def group_any_all(uint8_t[:] out,
if values[i] == flag_val:
out[lab] = flag_val

# ----------------------------------------------------------------------
# group_add, group_prod, group_var, group_mean, group_ohlc
# ----------------------------------------------------------------------


@cython.wraparound(False)
@cython.boundscheck(False)
Expand All @@ -396,9 +400,9 @@ def _group_add(floating[:, :] out,
cdef:
Py_ssize_t i, j, N, K, lab, ncounts = len(counts)
floating val, count
ndarray[floating, ndim=2] sumx, nobs
floating[:, :] sumx, nobs

if not len(values) == len(labels):
if len(values) != len(labels):
raise AssertionError("len(index) != len(labels)")

nobs = np.zeros_like(out)
Expand All @@ -407,7 +411,6 @@ def _group_add(floating[:, :] out,
N, K = (<object>values).shape

with nogil:

for i in range(N):
lab = labels[i]
if lab < 0:
Expand All @@ -433,5 +436,213 @@ def _group_add(floating[:, :] out,
group_add_float32 = _group_add['float']
group_add_float64 = _group_add['double']


@cython.wraparound(False)
@cython.boundscheck(False)
def _group_prod(floating[:, :] out,
int64_t[:] counts,
floating[:, :] values,
const int64_t[:] labels,
Py_ssize_t min_count=0):
"""
Only aggregates on axis=0
"""
cdef:
Py_ssize_t i, j, N, K, lab, ncounts = len(counts)
floating val, count
floating[:, :] prodx, nobs

if not len(values) == len(labels):
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!=

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I made the minimum amount of changes when I refactored from tempita to fused types.

So just to make sure, you would like me to take this opportunity to the fix small issues inside the functions themselves?

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Yes please. Be sure to comment to point out where you have made changes.

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generally when moving large blocks of code best to just move them and not make any other changes. generally prefer to just have these changes in a followup; if very small ok though.

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Fixed.

raise AssertionError("len(index) != len(labels)")

nobs = np.zeros_like(out)
prodx = np.ones_like(out)

N, K = (<object>values).shape

with nogil:
for i in range(N):
lab = labels[i]
if lab < 0:
continue

counts[lab] += 1
for j in range(K):
val = values[i, j]

# not nan
if val == val:
nobs[lab, j] += 1
prodx[lab, j] *= val
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Is this overflow safe?

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I am not sure, kept the same logic as was in tempita.

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OK. Definitely not something to worry about for this PR. Ditto with the performance in the variance calculation.


for i in range(ncounts):
for j in range(K):
if nobs[i, j] < min_count:
out[i, j] = NAN
else:
out[i, j] = prodx[i, j]


group_prod_float32 = _group_prod['float']
group_prod_float64 = _group_prod['double']


@cython.wraparound(False)
@cython.boundscheck(False)
@cython.cdivision(True)
def _group_var(floating[:, :] out,
int64_t[:] counts,
floating[:, :] values,
const int64_t[:] labels,
Py_ssize_t min_count=-1):
cdef:
Py_ssize_t i, j, N, K, lab, ncounts = len(counts)
floating val, ct, oldmean
floating[:, :] nobs, mean

assert min_count == -1, "'min_count' only used in add and prod"

if not len(values) == len(labels):
raise AssertionError("len(index) != len(labels)")

nobs = np.zeros_like(out)
mean = np.zeros_like(out)

N, K = (<object>values).shape

out[:, :] = 0.0

with nogil:
for i in range(N):
lab = labels[i]
if lab < 0:
continue

counts[lab] += 1

for j in range(K):
val = values[i, j]

# not nan
if val == val:
nobs[lab, j] += 1
oldmean = mean[lab, j]
mean[lab, j] += (val - oldmean) / nobs[lab, j]
out[lab, j] += (val - mean[lab, j]) * (val - oldmean)
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Is this performant? Seems like a lot of unnecessary operations

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I am not sure. kept logic as-is.


for i in range(ncounts):
for j in range(K):
ct = nobs[i, j]
if ct < 2:
out[i, j] = NAN
else:
out[i, j] /= (ct - 1)


group_var_float32 = _group_var['float']
group_var_float64 = _group_var['double']


@cython.wraparound(False)
@cython.boundscheck(False)
def _group_mean(floating[:, :] out,
int64_t[:] counts,
floating[:, :] values,
const int64_t[:] labels,
Py_ssize_t min_count=-1):
cdef:
Py_ssize_t i, j, N, K, lab, ncounts = len(counts)
floating val, count
floating[:, :] sumx, nobs

assert min_count == -1, "'min_count' only used in add and prod"

if not len(values) == len(labels):
raise AssertionError("len(index) != len(labels)")

nobs = np.zeros_like(out)
sumx = np.zeros_like(out)

N, K = (<object>values).shape

with nogil:
for i in range(N):
lab = labels[i]
if lab < 0:
continue

counts[lab] += 1
for j in range(K):
val = values[i, j]
# not nan
if val == val:
nobs[lab, j] += 1
sumx[lab, j] += val

for i in range(ncounts):
for j in range(K):
count = nobs[i, j]
if nobs[i, j] == 0:
out[i, j] = NAN
else:
out[i, j] = sumx[i, j] / count


group_mean_float32 = _group_mean['float']
group_mean_float64 = _group_mean['double']


@cython.wraparound(False)
@cython.boundscheck(False)
def _group_ohlc(floating[:, :] out,
int64_t[:] counts,
floating[:, :] values,
const int64_t[:] labels,
Py_ssize_t min_count=-1):
"""
Only aggregates on axis=0
"""
cdef:
Py_ssize_t i, j, N, K, lab
floating val, count
Py_ssize_t ngroups = len(counts)

assert min_count == -1, "'min_count' only used in add and prod"

if len(labels) == 0:
return

N, K = (<object>values).shape

if out.shape[1] != 4:
raise ValueError('Output array must have 4 columns')

if K > 1:
raise NotImplementedError("Argument 'values' must have only "
"one dimension")
out[:] = np.nan

with nogil:
for i in range(N):
lab = labels[i]
if lab == -1:
continue

counts[lab] += 1
val = values[i, 0]
if val != val:
continue

if out[lab, 0] != out[lab, 0]:
out[lab, 0] = out[lab, 1] = out[lab, 2] = out[lab, 3] = val
else:
out[lab, 1] = max(out[lab, 1], val)
out[lab, 2] = min(out[lab, 2], val)
out[lab, 3] = val


group_ohlc_float32 = _group_ohlc['float']
group_ohlc_float64 = _group_ohlc['double']

# generated from template
include "groupby_helper.pxi"
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