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|RTD Status| |Binder| |JOSS| |NumFOCUS|
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.. image:: https://raw.githubusercontent.com/stumpy-dev/stumpy/main/docs/images/stumpy_logo_small.png :target: https://github.com/stumpy-dev/stumpy :alt: STUMPY Logo
STUMPY 是一个功能强大且可扩展的 Python 库,它能够高效地计算所谓的 矩阵轮廓 <https://stumpy.readthedocs.io/en/latest/Tutorial_The_Matrix_Profile.html>__,这是一种学术化的说法,意思是“对于时间序列中的每一个(绿色)子序列,自动识别其对应的最近邻(灰色)”:
.. image:: https://github.com/stumpy-dev/stumpy/blob/main/docs/images/stumpy_demo.gif?raw=true :alt: STUMPY Animated GIF
重要的是,一旦你计算出矩阵轮廓(如上图中部面板所示),它就可以用于各种时间序列数据挖掘任务,例如:
以及更多 ... <https://www.cs.ucr.edu/~eamonn/100_Time_Series_Data_Mining_Questions__with_Answers.pdf>__无论你是学者、数据科学家、软件开发人员还是时间序列爱好者,STUMPY 都易于安装,我们的目标是让你更快地获得时间序列洞察。更多信息请参阅 文档 <https://stumpy.readthedocs.io/en/latest/>__。
请参阅我们的 API 文档 <https://stumpy.readthedocs.io/en/latest/api.html>__ 获取完整可用函数列表,并查看内容丰富的 教程 <https://stumpy.readthedocs.io/en/latest/tutorials.html>__ 以了解更全面的示例用例。下面你会找到快速演示如何使用 STUMPY 的代码片段。
典型用法(一维时间序列数据),使用 STUMP <https://stumpy.readthedocs.io/en/latest/api.html#stumpy.stump>__:
.. code:: python
import stumpy
import numpy as np
if __name__ == "__main__":
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)
通过 STUMPED <https://stumpy.readthedocs.io/en/latest/api.html#stumpy.stumped>__ 使用 Dask Distributed 对一维时间序列数据进行分布式处理:
.. code:: python
import stumpy
import numpy as np
from dask.distributed import Client
if __name__ == "__main__":
with Client() as dask_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)
使用 GPU-STUMP <https://stumpy.readthedocs.io/en/latest/api.html#stumpy.gpu_stump>__ 对一维时间序列数据进行 GPU 处理:
.. code:: python
import stumpy
import numpy as np
from numba import cuda
if __name__ == "__main__":
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)
多维时间序列数据,使用 MSTUMP <https://stumpy.readthedocs.io/en/latest/api.html#stumpy.mstump>__:
.. code:: python
import stumpy
import numpy as np
if __name__ == "__main__":
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)
使用 Dask Distributed MSTUMPED <https://stumpy.readthedocs.io/en/latest/api.html#stumpy.mstumped>__ 进行分布式多维时间序列数据分析:
.. code:: python
import stumpy
import numpy as np
from dask.distributed import Client
if __name__ == "__main__":
with Client() as dask_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)
时间序列链,使用 Anchored Time Series Chains (ATSC) <https://stumpy.readthedocs.io/en/latest/api.html#stumpy.atsc>__:
.. code:: python
import stumpy
import numpy as np
if __name__ == "__main__":
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)
语义分割,使用 Fast Low-cost Unipotent Semantic Segmentation (FLUSS) <https://stumpy.readthedocs.io/en/latest/api.html#stumpy.fluss>__:
.. code:: python
import stumpy
import numpy as np
if __name__ == "__main__":
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
)
支持的 Python 和 NumPy 版本根据 NEP 29 弃用策略 <https://numpy.org/neps/nep-0029-deprecation_policy.html>__ 确定。
NumPy <http://www.numpy.org/>__Numba <http://numba.pydata.org/>__SciPy <https://www.scipy.org/>__conda:
.. code:: bash
conda install -c conda-forge stumpy
pip:
.. code:: bash
python -m pip install stumpy
pixi:
.. code:: bash
pixi add stumpy
uv:
.. code:: bash
uv add stumpy
要从源码安装 stumpy,请参阅 文档 <https://stumpy.readthedocs.io/en/latest/install.html>__ 中的说明。
为了充分理解和领会底层算法与应用,你务必阅读原始 publications_。如需更详细的使用 STUMPY 示例,请查阅最新 文档 <https://stumpy.readthedocs.io/en/latest/>__ 或探索我们的 实践教程 <https://stumpy.readthedocs.io/en/latest/tutorials.html>__。
我们使用 Numba JIT 编译版本的代码,在具有不同长度的随机生成时间序列数据(即 np.random.rand(n))以及不同的 CPU 和 GPU 硬件资源 <hardware_>_ 上测试了计算精确矩阵轮廓的性能。
.. image:: https://raw.githubusercontent.com/stumpy-dev/stumpy/main/docs/images/performance.png :alt: STUMPY Performance Plot
原始结果如下表所示,格式为 小时:分钟:秒.毫秒,并且窗口大小固定为 m = 50。请注意,这些报告的运行时间包括将数据从主机传输到所有 GPU 设备所需的时间。你可能需要将表格滚动到右侧才能看到所有运行时间。
+----------+-------------------+--------------+-------------+-------------+-------------+-------------+-------------+-------------+----------------+----------------+
| i | n = 2\ :sup:i | 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 |
+----------+-------------------+--------------+-------------+-------------+-------------+-------------+-------------+-------------+----------------+----------------+
^^^^^^^^^^^^^^^^^^ 硬件资源 ^^^^^^^^^^^^^^^^^^
.. _hardware:
GPU-STOMP:这些结果复制自原始 Matrix Profile II <https://ieeexplore.ieee.org/abstract/document/7837898>__ 论文——NVIDIA Tesla K80(包含 2 个 GPU),用作对比的性能基准。
STUMP.2:stumpy.stump <https://stumpy.readthedocs.io/en/latest/api.html#stumpy.stump>__ 共使用 2 个 CPU 执行——在单台服务器上使用 2x Intel(R) Xeon(R) CPU E5-2650 v4 @ 2.20GHz 处理器,通过 Numba 并行化,未使用 Dask。
STUMP.16:stumpy.stump <https://stumpy.readthedocs.io/en/latest/api.html#stumpy.stump>__ 共使用 16 个 CPU 执行——在单台服务器上使用 16x Intel(R) Xeon(R) CPU E5-2650 v4 @ 2.20GHz 处理器,通过 Numba 并行化,未使用 Dask。STUMPED.128: stumpy.stumped <https://stumpy.readthedocs.io/en/latest/api.html#stumpy.stumped>__ 使用总计 128 个 CPU 执行——16 台服务器,每台配备 8 个 Intel(R) Xeon(R) CPU E5-2650 v4 @ 2.20GHz 处理器,通过 Numba 并行化,并使用 Dask Distributed 进行分布式计算。
STUMPED.256: stumpy.stumped <https://stumpy.readthedocs.io/en/latest/api.html#stumpy.stumped>__ 使用总计 256 个 CPU 执行——32 台服务器,每台配备 8 个 Intel(R) Xeon(R) CPU E5-2650 v4 @ 2.20GHz 处理器,通过 Numba 并行化,并使用 Dask Distributed 进行分布式计算。
GPU-STUMP.1: stumpy.gpu_stump <https://stumpy.readthedocs.io/en/latest/api.html#stumpy.gpu_stump>__ 使用 1 块 NVIDIA GeForce GTX 1080 Ti GPU 执行,每个线程块 512 个线程,200W 功耗限制,使用 Numba 编译为 CUDA,并通过 Python multiprocessing 并行化。
GPU-STUMP.2: stumpy.gpu_stump <https://stumpy.readthedocs.io/en/latest/api.html#stumpy.gpu_stump>__ 使用 2 块 NVIDIA GeForce GTX 1080 Ti GPU 执行,每个线程块 512 个线程,200W 功耗限制,使用 Numba 编译为 CUDA,并通过 Python multiprocessing 并行化。
GPU-STUMP.DGX1: stumpy.gpu_stump <https://stumpy.readthedocs.io/en/latest/api.html#stumpy.gpu_stump>__ 使用 8 块 NVIDIA Tesla V100 执行,每个线程块 512 个线程,使用 Numba 编译为 CUDA,并通过 Python multiprocessing 并行化。
GPU-STUMP.DGX2: stumpy.gpu_stump <https://stumpy.readthedocs.io/en/latest/api.html#stumpy.gpu_stump>__ 使用 16 块 NVIDIA Tesla V100 执行,每个线程块 512 个线程,使用 Numba 编译为 CUDA,并通过 Python multiprocessing 并行化。
测试代码位于 tests 目录中,使用 PyTest <https://docs.pytest.org/en/latest/>__ 运行,并需要 coverage.py 进行代码覆盖率分析。可通过以下命令执行测试:
.. code:: bash
./test.sh
STUMPY 支持 Python 3.10+ <https://python3statement.org/>__,并且由于使用了 Unicode 变量名/标识符,因此不兼容 Python 2.x。鉴于依赖项较少,STUMPY 可能可以在更旧的 Python 版本上运行,但这超出了我们的支持范围,我们强烈建议您升级到最新版本的 Python。
首先,请查看 GitHub 上的 讨论 <https://github.com/stumpy-dev/stumpy/discussions>__ 和 问题 <https://github.com/stumpy-dev/stumpy/issues?utf8=%E2%9C%93&q=>__,确认您的问题是否已得到解答。如果那里没有解决方案,欢迎新建讨论或问题,作者将尽力在合理时间内做出回复。
我们欢迎任何形式的 贡献 <https://github.com/stumpy-dev/stumpy/blob/main/CONTRIBUTING.md>!我们始终欢迎文档方面的帮助,尤其是扩展教程。要贡献代码,请先 复刻(fork)项目 <https://github.com/stumpy-dev/stumpy/fork>,进行修改,然后提交拉取请求(pull request)。我们将尽最大努力与您一起解决任何问题,并将您的代码合并到主分支中。
如果您在科学出版物中使用了本代码库并希望引用它,请使用 Journal of Open Source Software 文章 <http://joss.theoj.org/papers/10.21105/joss.01504>__。
S.M. Law, (2019). *STUMPY: A Powerful and Scalable Python Library for Time Series Data Mining*. Journal of Open Source Software, 4(39), 1504.
.. code:: bibtex
@article{law2019stumpy,
author = {Law, Sean M.},
title = {{STUMPY: A Powerful and Scalable Python Library for Time Series Data Mining}},
journal = {{The Journal of Open Source Software}},
volume = {4},
number = {39},
pages = {1504},
year = {2019}
}
.. _publications:
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. 链接 <https://ieeexplore.ieee.org/abstract/document/7837992>__
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. 链接 <https://ieeexplore.ieee.org/abstract/document/7837898>__
Yeh, Chin-Chia Michael, et al. (2017) Matrix Profile VI: Meaningful Multidimensional Motif Discovery. ICDM:565-574. 链接 <https://ieeexplore.ieee.org/abstract/document/8215529>__
Zhu, Yan, et al. (2017) Matrix Profile VII: Time Series Chains: A New Primitive for Time Series Data Mining. ICDM:695-704. 链接 <https://ieeexplore.ieee.org/abstract/document/8215542>__
Gharghabi, Shaghayegh, et al. (2017) Matrix Profile VIII: Domain Agnostic Online Semantic Segmentation at Superhuman Performance Levels. ICDM:117-126. 链接 <https://ieeexplore.ieee.org/abstract/document/8215484>__
Zhu, Yan, et al. (2017) Exploiting a Novel Algorithm and GPUs to Break the Ten Quadrillion Pairwise Comparisons Barrier for Time Series Motifs and Joins. KAIS:203-236. 链接 <https://link.springer.com/article/10.1007%2Fs10115-017-1138-x>__
Zhu, Yan, et al. (2018) Matrix Profile XI: SCRIMP++: Time Series Motif Discovery at Interactive Speeds. ICDM:837-846. 链接 <https://ieeexplore.ieee.org/abstract/document/8594908>__
Yeh, Chin-Chia Michael, et al. (2018) Time Series Joins, Motifs, Discords and Shapelets: a Unifying View that Exploits the Matrix Profile. Data Min Knowl Disc:83-123. 链接 <https://link.springer.com/article/10.1007/s10618-017-0519-9>__
Gharghabi, Shaghayegh, et al. (2018) "Matrix Profile XII: MPdist: A Novel Time Series Distance Measure to Allow Data Mining in More Challenging Scenarios." ICDM:965-970. 链接 <https://ieeexplore.ieee.org/abstract/document/8594928>__
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