data.table 的不同 window 的滾動總和

Question

我有一個包含三個感興趣的數字列的數據集。 考慮三列之一，對於每一行，我希望對鄰域觀察值求和，我用 window 定義。 所以我對所有觀察（每列）都這樣做。

到目前為止，我管理的是這個 function：

slideSum <- function(data, column, window){

  total <- nrow(data)

  for(window_i in seq(window[1],window[2],window[3])){

      left = pmax(1,c(1:total)-window_i)
      right = pmin(total,c(1:total)+window_i)
      for(i in 1:total){

        set(data, i, j = paste0(column,window_i), 
            value = data[left[i]:right[i],sum(get(column))])

      }
  }

}

the arguments are the data, which of the three columns I want, and a vector of three entries (minimum window length, maximum window length, and window steps), eg window=c(10,20,1) will use windows of length 10, 11, 12, ..., 20。

我認為我的代碼相對較快，但有沒有辦法讓它更快？ 另外，我的 function 分別處理每一列，有沒有辦法以相同的速度對感興趣的三列進行相同的操作？

數據：

         data <- data.table(money=runif(1000, min=0, max=.1),
                            debt=runif(1000, min=.05, max=.1),
                            misc =  runif(1000, min=.05, max=1))

給我以下運行時：

    > system.time(slideSum(data, "money", c(10, 20, 2)))
       user  system elapsed 
       16.23    9.73   23.89

Answer 1

jangorecki 在評論中提到的另一個使用frollsum的選項和 Cole 回答中的cumsum ：

sz <- seq(10, 20, 2)
DT[, c(t(outer(names(DT), sz, paste0))) := {

        #use frollsum with centering alignment
        C <- matrix(unlist(frollsum(.SD, 2L*sz + 1L, align="center")), nrow=.N)

        #largest window size
        winsz <- 2L*last(sz)+1L

        #extract head and tail of data and reverse row order of tail
        H <- head(.SD, winsz)
        B <- tail(.SD, winsz)[.N:1L]

        #calculate sums of those head and tail using frollmean and cumsum
        U <- matrix(unlist(frollsum(H, sz+1L, align="left")), nrow=winsz) +
            rep(H[, as.matrix(lapply(.SD, cumsum) - .SD)], length(sz))
        D <- matrix(unlist(frollsum(B, sz+1L, align="left")), nrow=winsz) +
            rep(B[, as.matrix(lapply(.SD, cumsum) - .SD)], length(sz))
        D <- D[rev(seq_len(nrow(D))), ]

        #update NAs in C with values from U and D
        C[is.na(C) & row(C) <= winsz] <- U[is.na(C) & row(C) <= winsz]
        C[is.na(C) & row(C) >= .N - winsz] <- D[is.na(C) & row(C) >= .N - winsz]
        as.data.table(C)
    }]

output：

          money       debt      misc   money10   money12   money14   money16   money18   money20    debt10   debt12   debt14   debt16   debt18    debt20    misc10    misc12    misc14    misc16    misc18   misc20
 1: 0.089669720 0.09104731 0.7268889 0.6411836 0.6794367 0.7865494 0.9133034 1.0842559  1.200004 0.8763139 1.041279 1.157053 1.277840 1.436872  1.602857  4.271920  5.814550  7.411962  8.334052  9.779066 10.83659
 2: 0.026550866 0.08235301 0.4299947 0.6617810 0.7495166 1.5007527 0.9850653 1.1236370  1.930694 0.9679968 1.103519 1.847868 1.352394 1.507213  2.303379  4.294875  5.968677  7.894473  8.517160  9.815212 11.14334
 3: 0.037212390 0.08914664 0.3590845 0.6794367 0.8437291 1.9539665 1.0842559 1.2571837  2.355352 0.9840995 1.157053 2.261323 1.379692 1.602857  2.723974  4.773886  6.428479  8.334052  8.738403  9.853108 12.13639
 4: 0.057285336 0.07765182 0.7692328 0.7481390 0.9726475 2.3476005 1.1222594 1.4025885  2.742391 0.9944051 1.212026 2.607193 1.398099 1.667537  3.060532  5.241983  6.641051  9.154379  9.088518  9.889917 12.78821
 5: 0.090820779 0.07648598 0.2425576 0.7865494 1.0427839 3.1587385 1.2000039 1.4441692  3.466894 1.0275726 1.277840 3.381874 1.473377 1.740491  3.834656  5.337479  6.389050  9.779066  8.762108 10.191386 13.04075
 6: 0.020168193 0.08946781 0.7255652 0.8635335 1.1002110 3.3484789 1.2934745 1.4950018  3.645353 1.0968807 1.353772 3.618287 1.552392 1.807110  4.063629  5.668253  7.043305 10.451054  8.917119 10.677133 13.21366
 7: 0.089838968 0.05116656 0.1656073 0.9133034 1.2687012 4.1316204 1.3146887 1.5768569  4.389362 1.0933946 1.436872 4.350028 1.556045 1.889654  4.773653  5.402436  7.031895 10.836591  9.204771 10.293583 13.71787
 8: 0.094467527 0.07386150 0.2832141 0.9850653 1.2680323 4.3008593 1.3798561 1.5649066  4.466469 1.2079988 1.507213 4.529149 1.661338 1.952555  4.976409  6.146994  7.589442 11.143338  9.780822 10.352046 14.64574
 9: 0.066079779 0.08661569 0.1861392 1.0842559 1.3251708 4.5108201 1.3924116 1.5829119  4.693454 1.3117050 1.602857 4.811455 1.764487 2.026482  5.239974  6.582934  7.765626 12.136388  9.844623 10.646906 15.26456
10: 0.062911404 0.08463658 0.2776479 1.1222594 1.4391772 4.6960468 1.4191337 1.6047869  4.900483 1.3615106 1.667537 4.977598 1.806852 2.114798  5.433264  7.134863  7.972850 12.788207  9.897467 11.475253 16.24193
11: 0.006178627 0.07388098 0.1059877 1.2000039 1.4821167 4.9233389 1.4577451 1.6647508  5.149254 1.6028572 1.740491 5.253153 1.859054 2.169010  5.693229 10.836591  8.772889 13.040754 10.186943 11.901064 16.98713
12: 0.020597457 0.09306047 0.6601738 1.2038047 1.6149864 5.0498700 1.4590841 1.8194223  5.297271 1.5764900 1.807110 5.348161 1.879667 2.262776  5.817308 10.416449  9.392601 13.213658 11.015005 12.846320 17.37602
13: 0.017655675 0.07190486 0.8824558 1.1984681 1.3924116 5.7280578 1.4973229 1.9259202  5.996804 1.5670903 1.889654 5.989201 1.861417 2.329730  6.451755 10.979504 13.040754 13.717870 10.994251 13.024409 17.83592
14: 0.068702285 0.06223986 0.7899689 1.2264231 1.3294640 6.5941969 1.5842920 2.0283774  6.910958 1.5445634 1.861507 6.888068 1.900933 2.421702  7.328995 11.272238 12.486769 14.645741 11.106813 12.602749 18.02672
15: 0.038410372 0.05353395 0.8074434 1.1816933 1.3415245 1.4973229 1.6183269 2.0818716  7.650847 1.5494551 1.853082 2.169010 1.974350 2.489036  8.130541 10.755553 12.560987 15.264564 11.130749 12.334920 18.08914
16: 0.076984142 0.05497331 0.4825107 1.1175946 1.3056511 1.4946223 1.6665349 2.1463493  8.502617 1.5358700 1.852251 2.171729 2.051198 2.555725  8.979061 10.685899 13.129773 15.515037 10.750607 11.771812 18.81893
17: 0.049769924 0.06581359 0.4395799 1.1360378 1.2866046 1.5021063 1.7264915 2.1429602  8.974990 1.5203294 1.828811 2.156329 2.489036 2.629542  9.499815 10.464546 12.979363 15.830245 17.835919 11.406698 18.96696
18: 0.071761851 0.07593171 0.8203267 1.0475379 1.2827529 1.5131019 1.6861759 2.2417412  9.444224 1.5574784 1.846091 2.159155 2.464677 2.724152  9.943081 11.226810 13.714167 15.860051 17.299831 11.762719 19.44093
19: 0.099190609 0.08310025 0.6246866 0.9913091 1.2966196 1.5157732 1.6782468 1.9440514 10.203584 1.5378292 1.823577 2.148837 2.456142 2.817369 10.776342 11.562419 13.733805 15.550718 16.932260 18.966957 20.09902
20: 0.038003518 0.07034151 0.6719877 1.0121984 1.2549887 1.4743065 1.7237717 1.9338057 10.801451 1.5449796 1.864382 2.139040 2.461605 2.795821 11.415959 12.353642 13.957088 15.498962 17.302964 18.714038 21.09127
21: 0.077744522 0.09564380 0.3855374 0.9833219 1.2204777 1.4727601 1.7333331 1.9180492  2.147768 1.5272967 1.857855 2.123390 2.477170 2.802334  3.145498 12.821197 14.133774 14.835820 16.681756 18.942139 21.61208
22: 0.093470523 0.06468017 0.3067471 1.0253513 1.2037521 1.4656585 1.7219363 1.9532079 11.672550 1.5453877 1.837928 2.166833 2.470184 2.811218 12.045236 13.104099 14.138436 15.400001 16.913168 19.575302 20.88519
23: 0.021214252 0.07295329 0.9930499 1.0647104 1.1594624 1.4380376 1.7125625 1.9370500 10.674164 1.5196614 1.827109 2.186188 2.469582 2.805300 11.042786 12.903826 13.923212 15.264812 16.845699 19.326883 20.45520
24: 0.065167377 0.06661973 0.6518186 1.0964089 1.2360211 1.4513818 1.6950946 2.4167050 10.050300 1.5144453 1.847838 2.169072 2.516446 2.728814 10.368440 12.212171 14.547012 15.552643 17.672339 11.598836 20.09612
25: 0.012555510 0.08254352 0.2525477 1.0463284 1.2822703 1.3992648 1.6417545 2.3265488  9.753023 1.5260230 1.847995 2.173302 2.514318 2.639346 10.120784 11.484626 14.034863 15.933091 17.909938 11.043275 19.32688
26: 0.026722067 0.06290084 0.1729037 1.0906553 1.3440387 1.4654572 1.5756747 2.2005311  9.516020 1.5670990 1.845589 2.197452 1.963393 2.588179  9.934296 11.406970 13.626378 16.819350 10.054008 10.987671 19.08433
27: 0.038611409 0.07392726 0.5042121 1.0805179 1.2861307 1.4859872 1.5127633 2.0707477  9.030251 1.6053427 1.872215 2.176124 1.914072 2.514318  9.414543 11.072484 13.494505 16.679990 10.241961 11.134741 18.35876
28: 0.001339033 0.08831553 0.9278707 1.1101719 1.3200915 7.7459901 1.5065847 1.9176914  8.013881 1.6090285 1.916712 8.039861 1.927168 2.427702  8.523821 11.106875 13.679308 15.797534 11.062505 11.788157 18.19315
29: 0.038238796 0.05421235 0.6188229 1.0492044 1.2842348 7.0967037 1.4859872 1.8388064  7.338829 1.6219629 1.933472 7.413011 1.850081 2.343065  7.885349 10.944644 13.717611 15.007565 10.982915 12.075120 17.90994
30: 0.086969085 0.09376607 0.9773622 1.0223849 1.5537110 6.1679003 1.4683316 1.8258308  6.382356 1.6368935 1.867658 6.475881 1.784973 2.269184  6.915137 11.312204  8.790596 14.200122 10.990853 12.852728 17.72380
31: 0.034034900 0.06695365 0.7452029 1.0255088 1.4490304 5.3797481 1.3996293 1.7723146  5.608277 1.6382850 1.791727 5.742658 1.755652 2.176124  6.152251 11.161030  8.648518 13.717611 10.912052 12.870804 17.44615
32: 0.048208012 0.09197202 0.3888906 0.9477643 1.3060758 4.9892956 1.3612189 1.7108949  5.261416 1.3000778 1.708626 5.379926 1.745882 2.104219  5.781452  7.020662  8.320750 13.278031 10.445291 12.285267 17.34016
33: 0.059956583 0.06733417 0.4599000 0.8542938 1.2606947 4.5175904 1.2842348 1.6348151  4.840875 1.2427752 1.638285 4.911428 1.698286 2.041979  5.295826  7.113858  8.041328 12.457704 10.362724 11.887864 16.67999
34: 0.049354131 0.06668875 0.1908010 0.8330796 1.1656155 4.2769529 1.2344648 1.5790701  4.681772 1.1871565 1.542641 4.704216 1.649807 1.988445  5.099809  6.262255  7.779903 11.833018 10.064591 11.204532 15.79753
35: 0.018621760 0.07381756 0.0624237 0.7679122 1.0169492 4.1951475 1.1627030 1.4468901  4.569268 1.1757326 1.477961 4.645268 1.629071 1.933472  5.048963  5.654238  7.461762 11.161030  9.288066 10.710628 15.00757
36: 0.082737332 0.09460992 0.7297878 0.7553567 0.9838624 3.4703525 1.0635124 1.3852476  3.883807 1.1050617 1.405008 3.914447 1.557844 1.867658  4.360251  6.048741  7.103890 10.775493  9.310430 10.906226 14.20012
37: 0.066846674 0.09321697 0.1480250 0.7286346 0.8923247 3.2957036 1.0255088 1.2871155  3.725645 1.0685311 1.338388 3.794958 1.513872 1.791727  4.250469  5.957016  6.506880 10.468746  8.719620 10.140707 13.71761
38: 0.079423986 0.06949948 0.4739701 0.6900232 0.8896937 2.8799432 0.9477643 1.1978494  3.281329 0.9846794 1.255844 3.317534 1.408304 1.708626  3.780185  5.847350  6.658803  9.475696  8.728629  9.920491 13.27803
39: 0.010794363 0.08886603 0.6580960 0.6886842 0.7848999 2.1674742 0.8542938 1.0817742  2.562265 0.9744355 1.192944 2.681685 1.421696 1.638285  3.135023  5.566781  7.055129  8.823877  9.069183  9.817733 12.45770
40: 0.072371095 0.09803090 0.9922467 0.6504454 0.7206287 1.2350431 0.8330796 0.9783699  1.543199 0.9458830 1.119016 1.704925 1.374402 1.542641  2.157707  5.867833  7.445133  8.571329  8.996009 10.326412 11.83302
41: 0.041127443 0.07173297 0.5208139 0.5634763 0.6886842 0.7286346 0.7679122 0.8542938  1.025509 0.8827224 1.030701 1.192944 1.338388 1.477961  1.638285  5.370158  6.966343  8.398426  8.823877 10.468746 11.16103
          money       debt      misc   money10   money12   money14   money16   money18   money20    debt10   debt12   debt14   debt16   debt18    debt20    misc10    misc12    misc14    misc16    misc18   misc20

數據：

library(data.table)
N <- 41
set.seed(0)
data <- data.table(money=runif(N, min=0, max=.1),
    debt=runif(N, min=.05, max=.1),
    misc =  runif(N, min=.05, max=1))
DT <- copy(data)

Answer 2

這實現了部分 window 滾動總和，嚴重依賴於cumsum()和創造性索引。

slideSum4 <- function(x, seqs){

  y = cumsum(x)

  lapply(seqs,
         function(win){
           seq_diff = length(x) - win
           rep_len = length(x) - 2 * seq_diff

           c(
             if (rep_len < 0) {
               y[-(seq_len(win))] - c(rep(0, win+1), head(y, -(win * 2+1)))
             }
             else {
               y[-(seq_len(win))]
             }
             ,
             if (rep_len >= 0){
               rep(y[length(x)], min(length(x), rep_len+1))
             },
             if (win-rep_len - 1 >= 0) {
               if (rep_len < 0) {
                 y[length(x)] - tail(head(y, seq_diff-1), rep_len + 1) 
               } else {
                 y[length(x)] - head(y, seq_diff-1)
               }
             } 
           )
         })
}

library(data.table)

seq_from = 10; seq_to = 20; seq_by = 2

seqs <- seq(seq_from, seq_to, seq_by)
cols <- paste0('money', seqs)

dt[, (cols) := slideSum4(money, seqs)]

表現：

使用bench::mark() ，對於nrow = c(10, 20, 100, 1000)的結果是相同的，而性能是一個快速的改進，特別是對於nrow = 1000 ，它需要不到 1 毫秒：

# A tibble: 2 x 13
  expression     min  median `itr/sec` mem_alloc
  <bch:expr> <bch:t> <bch:t>     <dbl> <bch:byt>
1 OP           6.96s   6.96s     0.144     116MB
2 revised    832.9us 858.3us  1037.        422KB

數據：和基准代碼

N <- 1000
set.seed(123)
data <- data.table(money=runif(N, min=0, max=.1),
                   debt=runif(N, min=.05, max=.1),
                   misc =  runif(N, min=.05, max=1))

dt <- copy(data)

seq_from = 10; seq_to = 20; seq_by = 2

bench::mark(
  OP = {
    slideSum(data, "money", c(seq_from, seq_to, seq_by))
    data
    }
  ,
  revised = {
    seqs <- seq(seq_from, seq_to, seq_by)
    cols <- paste0('money', seqs)

    dt[, (cols) := slideSum4(money, seqs)]
    dt
  }
)

Answer 3

我認為當 window 大小增加時，我的數據會累積並且處理變得更慢，所以我認為這是一種更好的解決方案。 期待從這個論壇獲得一些幫助和意見=）

slideSum_v2 <- function(data, column, window){
  #column="money" ; window=c(10,11,1)
  DT = data.table()
  total <- nrow(data)

  for(window_i in seq(window[1],window[2],window[3])){

      left = pmax(1,c(1:total)-window_i)
      right = pmin(total,c(1:total)+window_i)
      for(i in 1:total){

        set(data, i, j = paste0(column,window_i), 
            value = data[left[i]:right[i],sum(get(column))])

      }
      #replace 4 with ncol(data) + 1
      DT[ , paste0(column, window_i) := data[ , 4]]
      data[ , paste0(column, window_i) := NULL]
  }

  return(DT)
}

給我這樣的時差：

start_time <- Sys.time()
data2=copy(data)
slideSum(data2, "money", c(10, 20, 1))
end_time <- Sys.time()
end_time - start_time

時差 51.86244 秒

start_time <- Sys.time()
data2=copy(data)
DT = slideSum_v2(data2, "money", c(10, 20, 1))
end_time <- Sys.time()
end_time - start_time

時差 35.65021 秒