I am working with a Pandas dataframe where each element contains a list of values. I would like to run a regression between the lists in the first column and the lists in each subsequent column for every row in the dataframe, and store the t-stats of each regression (currently using a numpy array to store them). I am able to do this using a nested for loop that loops through each row and column, but the performance is not optimal for the amount of data I am working with.
Here is a quick sample of what I have so far:
import numpy as np
import pandas as pd
from scipy.stats import linregress
df = pd.DataFrame(
{'a': [list(np.random.rand(11)) for i in range(100)],
'b': [list(np.random.rand(11)) for i in range(100)],
'c': [list(np.random.rand(11)) for i in range(100)],
'd': [list(np.random.rand(11)) for i in range(100)],
'e': [list(np.random.rand(11)) for i in range(100)],
'f': [list(np.random.rand(11)) for i in range(100)]
}
)
Here is what the data looks like:
a b c d e f
0 [0.279347961395256, 0.07198822780319691, 0.209... [0.4733815106836531, 0.5807425586417414, 0.068... [0.9377037591435088, 0.9698329284595916, 0.241... [0.03984770879654953, 0.650429630364027, 0.875... [0.04654151678901641, 0.1959629573862498, 0.36... [0.01328000288459652, 0.10429773699794731, 0.0...
1 [0.1739544898167934, 0.5279297754363472, 0.635... [0.6464841177367048, 0.004013634850660308, 0.2... [0.0403944630279538, 0.9163938509072009, 0.350... [0.8818108296208096, 0.2910758930807579, 0.739... [0.5263032002243185, 0.3746299115677546, 0.122... [0.5511171062367501, 0.327702669239891, 0.9147...
2 [0.49678125158054476, 0.807770957943305, 0.396... [0.6218806473477556, 0.01720135741717188, 0.15... [0.6110516368605904, 0.20848099927159314, 0.51... [0.7473669581190695, 0.5107081859246958, 0.442... [0.8231961741887535, 0.9686869510163731, 0.473... [0.34358121300094313, 0.9787339533782848, 0.72...
3 [0.7672751789941814, 0.412055981587398, 0.9951... [0.8470471648467321, 0.9967427749160083, 0.818... [0.8591072331661481, 0.6279199806511635, 0.365... [0.9456189188046846, 0.5084362869897466, 0.586... [0.2685328112579779, 0.8893788305422594, 0.235... [0.029919732007230193, 0.6377951981939682, 0.1...
4 [0.21420195955828203, 0.15178914447352077, 0.9... [0.6865307542882283, 0.0620359602798356, 0.382... [0.6469510945986712, 0.676059598071864, 0.0396... [0.2320436872397288, 0.09558341089961908, 0.98... [0.7733653233006889, 0.2405189745554751, 0.016... [0.8359561624563979, 0.24335481664355396, 0.38...
... ... ... ... ... ... ...
95 [0.42373270776373506, 0.7731750012629109, 0.90... [0.9430465078763153, 0.8506292743184455, 0.567... [0.41367168515273345, 0.9040247409476362, 0.72... [0.23016875953835192, 0.8206550830081965, 0.26... [0.954233948805146, 0.995068745046983, 0.20247... [0.26269690906898413, 0.5032835345055103, 0.26...
96 [0.36114607798432685, 0.11322299769211142, 0.0... [0.729848741496316, 0.9946930423163686, 0.2265... [0.17207915211677138, 0.3270055732644267, 0.73... [0.13211243241239223, 0.28382298905995607, 0.2... [0.03915259352564071, 0.05639914089770948, 0.0... [0.12681415759423675, 0.006417761276839351, 0....
97 [0.5020186971295065, 0.04018166955309821, 0.19... [0.9082402680300308, 0.1334790715379094, 0.991... [0.7003469664104871, 0.9444397336912727, 0.113... [0.7982221018200218, 0.9097963438776192, 0.163... [0.07834894180973451, 0.7948519146738178, 0.56... [0.5833962514812425, 0.403689767723475, 0.7792...
98 [0.16413822314461857, 0.40683312270714234, 0.4... [0.07366489230864415, 0.2706766599711766, 0.71... [0.6410967759869383, 0.5780018716586993, 0.622... [0.5466463581695835, 0.4949639043264169, 0.749... [0.40235314091318986, 0.8305539205264385, 0.35... [0.009668651763079184, 0.8071825962911674, 0.0...
99 [0.8189246990381518, 0.69175150213841, 0.82687... [0.40469941577758317, 0.49004906937461257, 0.7... [0.4940080411615112, 0.33621539942693246, 0.67... [0.8637418291877355, 0.34876318713083676, 0.09... [0.3526913672876807, 0.5177762589812651, 0.746... [0.3463129199717484, 0.9694802522161138, 0.732...
100 rows × 6 columns
My code to run the regressions and store the t-stats:
rows = len(df)
cols = len(df.columns)
tstats = np.zeros(shape=(rows,cols-1))
for i in range(0,rows):
for j in range(1,cols):
lg = linregress(df.iloc[i,0],df.iloc[i,j])
tstats[i,j-1] = lg.slope/lg.stderr
The code above works just fine and is doing exactly what I need, however as I mentioned above the performance begins to slow down when the # of rows and columns in df increases substantially.
I'm hoping someone could offer advice on how to optimize my code for better performance.
Thank you!
I am newbie to this but I do optimization your original code:
by purely use python builtin list object (there is no need to use pandas and to be honest I cannot find a better way to solve your problem in pandas than you original code :D)
by using numpy, which should be (at least they claimed) faster than python builtin list.
You can jump to see the code, its in Jupyter notebook format so you need to install Jupyter first.
Conclusion
Here is the test result:
On a (100, 100) matrix containing (30,) length random lists,
the total time difference is around 1 second.
Time elapsed to run 1 times on new method is 24.282760 seconds.
Time elapsed to run 1 times on old method is 25.954801 seconds.
Refer to
test_perf
in sample code for result.
PS: During test only one thread is used, so maybe multi-thread will help to improve performance, but that's out of my ability...
Idea
I think numpy.nditer is suitable for your request, though the result of optimization is not that significant. Here is my idea:
Generate the input array
I have altered you first part of script, I think using list comprehension along is enough to build a matrix of random lists. Refer to
get_matrix_from_builtin.
Please note I have stored the random lists in another 1-element tuple to keep the shape as ndarray generate from numpy.
As a compare, you can also construct such matrix with numpy. Refer to
get_matrix_from_numpy.
Because ndarray try to boardcast list-like object (and I don't know how to stop it), I have to wrap it into a tuple to avoid auto boardcast from numpy.array constructor. If anyone have a better solution please note it, thanks :)
Calculate the result
I altered you original code using pandas.DataFrame to access element by row/col index, but it is not that way.
Pandas provides some iteration tool for DataFrame: pipe, apply, agg, and appymap, search API for more info, but it seems not suitable for your request here, as you want to obtain the current index of row and col during iteration.
I searched and found numpy.nditer can provide that needs: it return a iterator of ndarray, which have an attribution multi_index that provide the row/col pair of current element. see iterating-over-arrays
Explain on solve.ipynb
I use Jupyter Notebook to test this, you might need got one, here is the instruction of install.
I have altered your original code, which remove the request of pandas and purely used builtin list. Refer to
old_calc_tstat
in the sample code.
Also, I used numpy.nditer to calc your tstats matrix, Refer to
new_calc_tstat
in the sample code.
Then, I tested if the result of both methods are equal, I used same input array to ensure random won't affect the test. Refer to
test_equal
for result.
Finally, do the time performance. I am not patient so I only run it for one time, you may add the repeats count of test in the
test_perf function.
The code
# To add a new cell, type '# %%'
# To add a new markdown cell, type '# %% [markdown]'
# %% [markdown]
# [origin question](https://stackoverflow.com/questions/69228572/running-scipy-linregress-across-dataframe-where-each-element-is-a-list)
#
# %%
import sys
import time
import numpy as np
from scipy.stats import linregress
# %%
def get_matrix_from_builtin():
# use builtin list to construct matrix of random list
# note I put random list inside a tuple to keep it same shape
# as I later use numpy to do the same thing.
return [
[(list(np.random.rand(11)),)
for col in range(6)]
for row in range(100)
]
# %timeit get_matrix_from_builtin()
# %%
def get_matrix_from_numpy(
gen=np.random.rand,
shape=(1, 1),
nest_shape=(1, ),
):
# custom dtype for random lists
mydtype = [
('randonlist', 'f', nest_shape)
]
a = np.empty(shape, dtype=mydtype)
# [DOC] moditfying array values
# https://numpy.org/doc/stable/reference/arrays.nditer.html#modifying-array-values
# enable per operation flags 'readwrite' to modify element in ndarray
# enable global flag 'refs_ok' to allow use callable function 'gen' in iteration
with np.nditer(a, op_flags=['readwrite'], flags=['refs_ok']) as it:
for x in it:
# pack list in a 1-d turple to prevent numpy boardcast it
x[...] = (gen(nest_shape[0]), )
return a
def test_get_matrix_from_numpy():
gen = np.random.rand # generator of random list
shape = (6, 100) # shape of matrix to hold random lists
nest_shape = (11, ) # shape of random lists
return get_matrix_from_numpy(gen, shape, nest_shape)
# access a random list by a[row][col][0]
# %timeit test_get_matrix_from_numpy()
# %%
def test_get_matrix_from_numpy():
gen = np.random.rand
shape = (6, 100)
nest_shape = (11, )
return get_matrix_from_numpy(gen, shape, nest_shape)
# %%
def old_calc_tstat(a=None):
if a is None:
a = get_matrix_from_builtin()
a = np.array(a)
rows, cols = a.shape[:2]
tstats = np.zeros(shape=(rows, cols))
for i in range(0, rows):
for j in range(1, cols):
lg = linregress(a[i][0][0], a[i][j][0])
tstats[i, j-1] = lg.slope/lg.stderr
return tstats
# %%
def new_calc_tstat(a=None):
# read input metrix of random lists
if a is None:
gen = np.random.rand
shape = (6, 100)
nest_shape = (11, )
a = get_matrix_from_numpy(gen, shape, nest_shape)
# construct ndarray for t-stat result
tstats = np.empty(a.shape)
# enable global flags 'multi_index' to retrive index of current element
# [DOC] Tracking an Index or Multi-Index
# https://numpy.org/doc/stable/reference/arrays.nditer.html#tracking-an-index-or-multi-index
it = np.nditer(tstats, op_flags=['readwrite'], flags=['multi_index'])
# obtain total columns count of tstats's shape
col = tstats.shape[1]
for x in it:
i, j = it.multi_index
# trick to avoid IndexError: substract len(list) after +1 to index
j = j + 1 - col
lg = linregress(
a[i][0][0],
a[i][j][0]
)
# note: nditer ignore ZeroDivisionError by default, and return np.inf to the element
# you have to override it manually:
if lg.stderr == 0:
x[...] = 0
else:
x[...] = lg.slope / lg.stderr
return tstats
# new_calc_tstat()
# %%
def test_equal():
"""Test if the new method has equal output to old one"""
# use same input list to avoid affect of rand
a = test_get_matrix_from_numpy()
old = old_calc_tstat(a)
new = new_calc_tstat(a)
print(
"Is the shape of old and new same ?\n%s. old: %s, new: %s\n" % (
old.shape == new.shape, old.shape, new.shape),
)
res = (old == new)
print(
"Is the result object same?"
)
if res.all() == True:
print("True.")
else:
print("False. Difference(new - old) as below:\n")
print(new - old)
return old, new
old, new = test_equal()
# %%
# the only diff is the last element
# in old method it is 0
# in new method it is inf
# if you perfer the old method, just add condition in new method to override
# [new[x][99] for x in range(6)]
# %%
# python version: 3.8.8
timer = time.clock if sys.platform[:3] == 'win' else time.time
def total(func, *args, _reps=1, **kwargs):
start = timer()
for i in range(_reps):
ret = func(*args, **kwargs)
elapsed = timer() - start
return elapsed
def test_perf():
"""Test of performance"""
# first, get a larger input array
gen = np.random.rand
shape = (1000, 100)
nest_shape = (30, )
a = get_matrix_from_numpy(gen, shape, nest_shape)
# repeat how many time for each test
reps = 1
# then, time both old and new calculation method
old = total(old_calc_tstat, a, _reps=reps)
new = total(new_calc_tstat, a, _reps=reps)
msg = "Time elapsed to run %d times on %s is %f seconds."
print(msg % (reps, 'new method', new))
print(msg % (reps, 'old method', old))
test_perf()
I create an expandable earray of Nx4 columns. Some columns require float64 datatype, the others can be managed with int32. Is it possible to vary the data types among the columns? Right now I just use one (float64, below) for all, but it takes huge disk space for (>10 GB) files.
For example, how can I ensure column 1-2 elements are int32 and 3-4 elements are float64?
import tables
f1 = tables.open_file("table.h5", "w")
a = f1.create_earray(f1.root, "dataset_1", atom=tables.Float32Atom(), shape=(0, 4))
Here is a simplistic version of how I am appending using Earray:
Matrix = np.ones(shape=(10**6, 4))
if counter <= 10**6: # keep appending to Matrix until 10**6 rows
Matrix[s:s+length, 0:4] = chunk2[left:right] # chunk2 is input np.ndarray
s += length
# save to disk when rows = 10**6
if counter > 10**6:
a.append(Matrix[:s])
del Matrix
Matrix = np.ones(shape=(10**6, 4))
What are the cons for the following method?
import tables as tb
import numpy as np
filename = 'foo.h5'
f = tb.open_file(filename, mode='w')
int_app = f.create_earray(f.root, "col1", atom=tb.Int32Atom(), shape=(0,2), chunkshape=(3,2))
float_app = f.create_earray(f.root, "col2", atom=tb.Float64Atom(), shape=(0,2), chunkshape=(3,2))
# array containing ints..in reality it will be 10**6x2
arr1 = np.array([[1, 1],
[2, 2],
[3, 3]], dtype=np.int32)
# array containing floats..in reality it will be 10**6x2
arr2 = np.array([[1.1,1.2],
[1.1,1.2],
[1.1,1.2]], dtype=np.float64)
for i in range(3):
int_app.append(arr1)
float_app.append(arr2)
f.close()
print('\n*********************************************************')
print("\t\t Reading Now=> ")
print('*********************************************************')
c = tb.open_file('foo.h5', mode='r')
chunks1 = c.root.col1
chunks2 = c.root.col2
chunk1 = chunks1.read()
chunk2 = chunks2.read()
print(chunk1)
print(chunk2)
No and Yes. All PyTables array types (Array, CArray, EArray, VLArray) are for homogeneous datatypes (similar to a NumPy ndarray). If you want to mix datatypes, you need to use a Table. Tables are extendable; they have an .append() method to add rows of data.
The creation process is similar to this answer (only the dtype is different): PyTables create_array fails to save numpy array. You only define the datatypes for a row. You don't define the shape or number of rows. That is implied as you add data to the table. If you already have your data in a NumPy recarray, you can reference it with the description= entry, and the Table will use the dtype for the table and populate with the data. More info here: PyTables Tables Class
Your code would look something like this:
import tables as tb
import numpy as np
table_dt = np.dtype(
{'names': ['int1', 'int2', 'float1', 'float2'],
'formats': [int, int, float, float] } )
# Create some random data:
i1 = np.random.randint(0,1000, (10**6,) )
i2 = np.random.randint(0,1000, (10**6,) )
f1 = np.random.rand(10**6)
f2 = np.random.rand(10**6)
with tb.File('table.h5', 'w') as h5f:
a = h5f.create_table('/', 'dataset_1', description=table_dt)
# Method 1 to create empty recarray 'Matrix', then add data:
Matrix = np.recarray( (10**6,), dtype=table_dt)
Matrix['int1'] = i1
Matrix['int2'] = i2
Matrix['float1'] = f1
Matrix['float2'] = f2
# Append Matrix to the table
a.append(Matrix)
# Method 2 to create recarray 'Matrix' with data in 1 step:
Matrix = np.rec.fromarrays([i1, i2, f1, f2], dtype=table_dt)
# Append Matrix to the table
a.append(Matrix)
You mentioned creating a very large file, but did not say how many rows (obviously way more than 10**6). Here are some additional thoughts based on comments in another thread.
The .create_table() method has an optional parameter: expectedrows=. This parameter is used 'to optimize the HDF5 B-Tree and amount of memory used'. Default value is set in tables/parameters.py (look for EXPECTED_ROWS_TABLE; It's only 10000 in my installation.) I highly suggest you set this to a larger value if you are creating 10**6 (or more) rows.
Also, you should consider file compression. There's a trade-off: compression reduces the file size, but will reduce I/O performance (increases access time).
There are a few options:
Enable compression when you create the file (add the filters= parameter when you create the file). Start with tb.Filters(complevel=1).
Use the HDF Group utility h5repack - run against a HDF5 file to create a new file (useful to go from uncompressed to compressed, or vice-versa).
Use the PyTables utility ptrepack - works similar to h4repack and delivered with PyTables.
I tend to use uncompressed files I work with often for best I/O performance. Then when done, I convert to compressed format for long term archiving.
I want to store the results of time series (sensor data) into a HDF5 file. I cannot seem to be able to assign values to my dataset. Clearly, I am doing something wrong, I am just not sure what…
The code:
from datetime import datetime, timezone
import h5py
TIME_SERIES_FLOAT = np.dtype([("time", h5py.special_dtype(vlen=str)),
("value", np.float)])
h5 = h5py.File('balh.h5', "w")
dset = create_dataset('data', (1, 2), chunks=True, maxshape=(None, 2), dtype=TIME_SERIES_FLOAT)
dset[0]['time'] = datetime.now(timezone.utc).astimezone().isoformat()
dset[0]['value'] = 0.0
Then the update code resizes the dataset and adds more values. Clearly doing that per value is inefficient:
size = list(dset.shape)
size[0] += 1
dset.resize(tuple(size))
dset[size[0]-1]['time'] = datetime.now(timezone.utc).astimezone().isoformat()
dset[size[0]-1]['value'] = value
A much better method would be to collate some data into an np.array and then add that every so often…
Is this sensible?…
I need more coffee…
The defined type is a tuple containing a string (aka the time) and a float (aka the value) so to add one, I need:
dset[-1] = (datetime.now(timezone.utc).astimezone().isoformat(), value)
It is actually that simple!
Adding many entries is done this way:
l = [('stamp', x) for x in range(10)]
size = list(dset.shape)
tmp = size[0]
size[0] += len(l)
dset.resize(tuple(size))
for x in range(len(l)):
dset[tmp+x] = l[x]
Nonetheless, this feels somewhat clunky and sub-optimal…
I can make numpy ndarrays with rec2csv,
data = recfromcsv(dataset1, names=True)
xvars = ['exp','exp_sqr','wks','occ','ind','south','smsa','ms','union','ed','fem','blk']
y = data['lwage']
X = data[xvars]
c = ones_like(data['lwage'])
X = add_field(X, 'constant', c)
But, I have no idea how to take this into an R data frame usable by Rpy2,
p = roptim(theta,robjects.r['ols'],method="BFGS",hessian=True ,y= robjects.FloatVector(y),X = base.matrix(X))
ValueError: Nothing can be done for the type <class 'numpy.core.records.recarray'> at the moment.
p = roptim(theta,robjects.r['ols'],method="BFGS",hessian=True ,y= robjects.FloatVector(y),X = base.matrix(array(X)))
ValueError: Nothing can be done for the type <type 'numpy.ndarray'> at the moment.
Just to get an RPY2 DataFrame from a csv file, in RPY2.3, you can just do:
df = robjects.DataFrame.from_csvfile('filename.csv')
Documentation here.
I'm not 100% sure I understand your issue, but a couple things:
1) if it's ok, you can read a csv into R directly, that is:
robjects.r('name <- read.csv(filename.csv)')
After which you can refer to the resulting data frame in later functions.
Or 2) you can convert a numpy array into a data frame - to do this you need to import the package 'rpy2.robjects.numpy2ri'
Then you could do something like:
array_ex = np.array([[4,3],[3,2], [1,5]])
rmatrix = robjects.r('matrix')
rdf = robjects.r('data.frame')
rlm = robjects.r('lm')
mat_ex = rmatrix(array_ex, ncol = 2)
df_ex = rdf(mat_ex)
fit_ex = rlm('X1 ~ X2', data = df_ex)
Or whatever other functions you wanted.
There may be a more direct way - I get frustrated going between the two data types and so I am much more likely to use option 1) if possible.
Would either of these methods get you to where you need to be?