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PERF: ExpandingGroupby #37064

Merged
merged 23 commits into from
Oct 12, 2020
Merged

PERF: ExpandingGroupby #37064

merged 23 commits into from
Oct 12, 2020

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mroeschke
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  • tests added / passed
  • passes black pandas
  • passes git diff upstream/master -u -- "*.py" | flake8 --diff
  • whatsnew entry
       before           after         ratio
     [89cc5bf9]       [6af880e7]
     <master>         <feature/groupby_expanding_indexer>
-      45.5±0.6ms      3.78±0.04ms     0.08  rolling.ExpandingMethods.time_expanding_groupby('Series', 'int', 'max')
-      46.5±0.5ms      3.86±0.06ms     0.08  rolling.ExpandingMethods.time_expanding_groupby('Series', 'int', 'mean')
-      45.4±0.4ms      3.74±0.05ms     0.08  rolling.ExpandingMethods.time_expanding_groupby('DataFrame', 'int', 'min')
-      45.5±0.4ms      3.73±0.06ms     0.08  rolling.ExpandingMethods.time_expanding_groupby('Series', 'int', 'min')
-      46.6±0.3ms      3.80±0.01ms     0.08  rolling.ExpandingMethods.time_expanding_groupby('Series', 'int', 'median')
-        46.7±1ms      3.77±0.05ms     0.08  rolling.ExpandingMethods.time_expanding_groupby('DataFrame', 'int', 'max')
-      46.3±0.6ms      3.73±0.02ms     0.08  rolling.ExpandingMethods.time_expanding_groupby('DataFrame', 'int', 'sum')
-      46.8±0.3ms       3.76±0.1ms     0.08  rolling.ExpandingMethods.time_expanding_groupby('Series', 'int', 'sum')
-      46.7±0.5ms      3.75±0.02ms     0.08  rolling.ExpandingMethods.time_expanding_groupby('DataFrame', 'int', 'mean')
-      47.2±0.3ms      3.78±0.04ms     0.08  rolling.ExpandingMethods.time_expanding_groupby('DataFrame', 'int', 'median')
-      51.2±0.7ms       3.89±0.1ms     0.08  rolling.ExpandingMethods.time_expanding_groupby('Series', 'int', 'std')
-      51.3±0.3ms      3.78±0.02ms     0.07  rolling.ExpandingMethods.time_expanding_groupby('DataFrame', 'int', 'std')
-      62.6±0.6ms      3.98±0.02ms     0.06  rolling.ExpandingMethods.time_expanding_groupby('Series', 'int', 'count')
-      62.2±0.7ms      3.91±0.03ms     0.06  rolling.ExpandingMethods.time_expanding_groupby('DataFrame', 'int', 'count')
-      64.3±0.7ms      3.98±0.05ms     0.06  rolling.ExpandingMethods.time_expanding_groupby('Series', 'float', 'sum')
-      63.5±0.7ms      3.92±0.01ms     0.06  rolling.ExpandingMethods.time_expanding_groupby('DataFrame', 'float', 'max')
-      63.6±0.6ms      3.91±0.03ms     0.06  rolling.ExpandingMethods.time_expanding_groupby('Series', 'float', 'min')
-      63.2±0.7ms      3.86±0.02ms     0.06  rolling.ExpandingMethods.time_expanding_groupby('DataFrame', 'float', 'min')
-        64.2±1ms      3.89±0.04ms     0.06  rolling.ExpandingMethods.time_expanding_groupby('Series', 'float', 'max')
-      64.8±0.8ms      3.91±0.06ms     0.06  rolling.ExpandingMethods.time_expanding_groupby('DataFrame', 'float', 'sum')
-      65.2±0.6ms      3.92±0.05ms     0.06  rolling.ExpandingMethods.time_expanding_groupby('DataFrame', 'float', 'mean')
-      65.2±0.9ms      3.90±0.05ms     0.06  rolling.ExpandingMethods.time_expanding_groupby('Series', 'float', 'median')
-      65.5±0.5ms      3.91±0.02ms     0.06  rolling.ExpandingMethods.time_expanding_groupby('DataFrame', 'float', 'median')
-      65.3±0.2ms      3.86±0.01ms     0.06  rolling.ExpandingMethods.time_expanding_groupby('Series', 'float', 'mean')
-      69.4±0.8ms      4.01±0.07ms     0.06  rolling.ExpandingMethods.time_expanding_groupby('Series', 'float', 'std')
-      69.8±0.6ms      3.93±0.01ms     0.06  rolling.ExpandingMethods.time_expanding_groupby('DataFrame', 'float', 'std')
-      80.1±0.2ms       4.24±0.1ms     0.05  rolling.ExpandingMethods.time_expanding_groupby('DataFrame', 'float', 'count')
-      80.5±0.9ms      4.14±0.02ms     0.05  rolling.ExpandingMethods.time_expanding_groupby('Series', 'float', 'count')

SOME BENCHMARKS HAVE CHANGED SIGNIFICANTLY.
PERFORMANCE INCREASED.

Matt Roeschke added 20 commits September 27, 2020 12:09
Add groupby expanding indexer
c1d6af1
Impliment apply for ExpandingGroupby
37cefba
Merge remote-tracking branch 'upstream/master' into feature/groupby_e…
6918c28 
…xpanding_indexer
Get most tests to work except numerical precision test
77deb50
Make signature of GroupbyExpanding indexer match base class
43d2682
Share groupbyindexer implementation
409bda8
Merge remote-tracking branch 'upstream/master' into feature/groupby_e…
1146a2f 
…xpanding_indexer
Merge remote-tracking branch 'upstream/master' into feature/groupby_e…
a04702e 
…xpanding_indexer
Merge remote-tracking branch 'upstream/master' into feature/groupby_e…
542444d 
…xpanding_indexer
Remove need to select variable algorithm
0dacaa5
Merge remote-tracking branch 'upstream/master' into feature/groupby_e…
7683214 
…xpanding_indexer
Create new subclass for shared window groupby algorithms
ed211e7
Merge remote-tracking branch 'upstream/master' into feature/groupby_e…
6885d14 
…xpanding_indexer
Add expanding groupby benchmark
57471be
Merge remote-tracking branch 'upstream/master' into feature/groupby_e…
bff2316 
…xpanding_indexer
Merge remote-tracking branch 'upstream/master' into feature/groupby_e…
6af880e 
…xpanding_indexer
Add benchmarks
608e7d6
Remove unneeded args passed to _apply
859541e
Remove unnecessary poping of kwargs
fc43e23
Add whatsnew
bab0a1d
@mroeschke mroeschke added Performance Memory or execution speed performance Window rolling, ewma, expanding labels Oct 12, 2020
@mroeschke mroeschke added this to the 1.2 milestone Oct 12, 2020
mroeschke
mroeschke commented Oct 12, 2020
View reviewed changes
pandas/_libs/window/aggregations.pyx
@@ -302,7 +302,7 @@ cdef inline float64_t calc_var(int64_t minp, int ddof, float64_t nobs,
result = ssqdm_x / (nobs - <float64_t>ddof)
# Fix for numerical imprecision.
# Can be result < 0 once Kahan Summation is implemented
if result < 1e-15:
if result < 1e-14:
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xref #37051, needed to change for an expanding groupby test

@mroeschke mroeschke mentioned this pull request Oct 12, 2020
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jreback
jreback requested changes Oct 12, 2020
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do we expose the GroupIndexer in pandas.api.indexers? (if not then this is not public yet)

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do we expose the GroupIndexer in pandas.api.indexers?

No. I don't think GroupByIndexer should be public though

@jreback jreback merged commit ca27cca into pandas-dev:master Oct 12, 2020
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jreback commented Oct 12, 2020

great thanks

@mroeschke mroeschke deleted the feature/groupby_expanding_indexer branch October 12, 2020 17:08
JulianWgs pushed a commit to JulianWgs/pandas that referenced this pull request Oct 26, 2020
@mroeschke @JulianWgs
PERF: ExpandingGroupby (pandas-dev#37064)
8b7c006
kesmit13 pushed a commit to kesmit13/pandas that referenced this pull request Nov 2, 2020
@mroeschke
PERF: ExpandingGroupby (pandas-dev#37064)
355cbb1
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