Execution time of this code is too long.
df.rolling(window=255).apply(myFunc)
My dataframes shape is (500, 10000).
0 1 ... 9999
2021-11-01 0.011111 0.054242
2021-11-04 0.025244 0.003653
2021-11-05 0.524521 0.099521
2021-11-06 0.054241 0.138321
...
I make the calculation for each date with the last 255 date values. myFunc looks like:
def myFunc(x):
coefs = ...
return np.sqrt(np.sum(x ** 2 * coefs))
I tried to use swifter but performances are the same:
import swifter
df.swifter.rolling(window=255).apply(myFunc)
I also tried with Dask, but I think I didn't understand it well because the performance are not much better:
import dask.dataframe as dd
ddf = dd.from_pandas(df)
ddf = ddf.rolling(window=255).apply(myFunc, raw=False)
ddf.execute()
I didn't manage to parallelize the execution with partitions. How can I use dask to improve performance? I'm on Windows.
This can be done using numpy
+ numba
pretty efficiently.
Quick MRE:
import numpy as np, pandas as pd, numba
df = pd.DataFrame(
np.random.random(size=(500, 10000)),
index=pd.date_range("2021-11-01", freq="D", periods=500)
)
coefs = np.random.random(size=255)
Write the function using pure numpy operations and simple loops, making use of numba.njit(parallel=True)
and numba.prange
:
@numba.njit(parallel=True)
def numba_func(values, coefficients):
# define result array: size of original, minus length of
# coefficients, + 1
result_tmp = np.zeros(
shape=(values.shape[0] - len(coefficients) + 1, values.shape[1]),
dtype=values.dtype,
)
result_final = np.empty_like(result_tmp)
# nested for loops are your friend with numba!
# (you must unlearn what you have learned)
for j in numba.prange(values.shape[1]):
for i in range(values.shape[0] - len(coefficients) + 1):
for k in range(len(coefficients)):
result_tmp[i, j] += values[i + k, j] ** 2 * coefficients[k]
result_final[:, j] = np.sqrt(result_tmp[:, j])
return result_final
This runs very quickly:
In [5]: %%time
...: result = pd.DataFrame(
...: numba_func(df.values, coefs),
...: index=df.index[len(coefs) - 1:],
...: )
...:
...:
CPU times: user 1.69 s, sys: 40.9 ms, total: 1.73 s
Wall time: 844 ms
Note: I'm a huge fan of dask. But the first rule of dask performance is don't use dask . If it's small enough to fit comfortably into memory, you'll usually get the best performance from tuning your pandas or numpy operations and leveraging speedups from cython, numba, etc. And once a problem is big enough to move to dask, these same tuning rules apply to the operations you perform on dask chunks/partitions, too!
First, since you are using numpy
functions, specify the parameter raw=True
. Toy example:
import pandas as pd
import numpy as np
def foo(x):
coefs = 2
return np.sqrt(np.sum(x ** 2 * coefs))
df = pd.DataFrame(np.random.random((500, 10000)))
%%time
res = df.rolling(250).apply(foo)
Wall time: 359.3 s
# with raw=True
%%time
res = df.rolling(250).apply(foo, raw=True)
Wall time: 15.2 s
You can also easily parallelize your calculations using the parallel-pandas library. Only two additional lines of code!
# pip install parallel-pandas
import pandas as pd
import numpy as np
from parallel_pandas import ParallelPandas
#initialize parallel-pandas
ParallelPandas.initialize(n_cpu=8, disable_pr_bar=True)
def foo(x):
coefs = 2
return np.sqrt(np.sum(x ** 2 * coefs))
df = pd.DataFrame(np.random.random((500, 1000)))
# p_apply - is parallel analogue of apply method
%%time
res = df.rolling(250).p_apply(foo, raw=True, executor='processes')
Wall time: 2.2 s
With engine='numba'
%%time
res = df.rolling(250).p_apply(foo, raw=True, executor='processes', engine='numba')
Wall time: 1.2 s
Total speedup is 359/1.2 ~ 300
!
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