1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
#[derive(Clone)]
pub struct RollingOptionsFixedWindow {
pub window_size: usize,
pub min_periods: usize,
pub weights: Option<Vec<f64>>,
pub center: bool,
}
impl Default for RollingOptionsFixedWindow {
fn default() -> Self {
RollingOptionsFixedWindow {
window_size: 3,
min_periods: 1,
weights: None,
center: false,
}
}
}
#[cfg(feature = "rolling_window")]
mod inner_mod {
use crate::prelude::*;
use arrow::array::{Array, PrimitiveArray};
use arrow::bitmap::MutableBitmap;
use num::{Float, Zero};
use polars_arrow::bit_util::unset_bit_raw;
use polars_arrow::data_types::IsFloat;
use polars_arrow::trusted_len::PushUnchecked;
use std::ops::SubAssign;
fn check_input(window_size: usize, min_periods: usize) -> Result<()> {
if min_periods > window_size {
Err(PolarsError::ComputeError(
"`windows_size` should be >= `min_periods`".into(),
))
} else {
Ok(())
}
}
fn window_edges(idx: usize, len: usize, window_size: usize, center: bool) -> (usize, usize) {
let (start, end) = if center {
let right_window = (window_size + 1) / 2;
(
idx.saturating_sub(window_size - right_window),
std::cmp::min(len, idx + right_window),
)
} else {
(idx.saturating_sub(window_size - 1), idx + 1)
};
(start, end - start)
}
impl<T> ChunkRollApply for ChunkedArray<T>
where
T: PolarsNumericType,
Self: IntoSeries,
{
fn rolling_apply(
&self,
f: &dyn Fn(&Series) -> Series,
options: RollingOptionsFixedWindow,
) -> Result<Series> {
check_input(options.window_size, options.min_periods)?;
let ca = self.rechunk();
if options.weights.is_some()
&& !matches!(self.dtype(), DataType::Float64 | DataType::Float32)
{
let s = self.cast(&DataType::Float64)?;
return s.rolling_apply(f, options);
}
if options.window_size >= self.len() {
return Ok(Self::full_null(self.name(), self.len()).into_series());
}
let len = self.len();
let arr = ca.downcast_iter().next().unwrap();
let series_container =
ChunkedArray::<T>::from_slice("", &[T::Native::zero()]).into_series();
let array_ptr = &series_container.array_ref(0);
let ptr = Arc::as_ptr(array_ptr) as *mut dyn Array as *mut PrimitiveArray<T::Native>;
let mut builder = PrimitiveChunkedBuilder::<T>::new(self.name(), self.len());
if let Some(weights) = options.weights {
let weights_series = Float64Chunked::new("weights", &weights).into_series();
let weights_series = weights_series.cast(self.dtype()).unwrap();
for idx in 0..len {
let (start, size) = window_edges(idx, len, options.window_size, options.center);
if size < options.min_periods {
builder.append_null();
} else {
let arr_window = arr.slice(start, size);
unsafe {
*ptr = arr_window;
}
let s = if size == options.window_size {
f(&series_container.multiply(&weights_series).unwrap())
} else {
let weights_cutoff: Series = match self.dtype() {
DataType::Float64 => weights_series
.f64()
.unwrap()
.into_iter()
.take(series_container.len())
.collect(),
_ => weights_series
.f32()
.unwrap()
.into_iter()
.take(series_container.len())
.collect(),
};
f(&series_container.multiply(&weights_cutoff).unwrap())
};
let out = self.unpack_series_matching_type(&s)?;
builder.append_option(out.get(0));
}
}
Ok(builder.finish().into_series())
} else {
for idx in 0..len {
let (start, size) = window_edges(idx, len, options.window_size, options.center);
if size < options.min_periods {
builder.append_null();
} else {
let arr_window = arr.slice(start, size);
unsafe {
*ptr = arr_window;
}
let s = f(&series_container);
let out = self.unpack_series_matching_type(&s)?;
builder.append_option(out.get(0));
}
}
Ok(builder.finish().into_series())
}
}
}
impl<T> ChunkedArray<T>
where
ChunkedArray<T>: IntoSeries,
T: PolarsFloatType,
T::Native: Float + IsFloat + SubAssign + num::pow::Pow<T::Native, Output = T::Native>,
{
pub fn rolling_apply_float<F>(&self, window_size: usize, f: F) -> Result<Self>
where
F: Fn(&ChunkedArray<T>) -> Option<T::Native>,
{
if window_size >= self.len() {
return Ok(Self::full_null(self.name(), self.len()));
}
let ca = self.rechunk();
let arr = ca.downcast_iter().next().unwrap();
let arr_container = ChunkedArray::<T>::from_slice("", &[T::Native::zero()]);
let array_ptr = &arr_container.chunks()[0];
let ptr = Arc::as_ptr(array_ptr) as *mut dyn Array as *mut PrimitiveArray<T::Native>;
let mut validity = MutableBitmap::with_capacity(ca.len());
validity.extend_constant(window_size - 1, false);
validity.extend_constant(ca.len() - (window_size - 1), true);
let validity_ptr = validity.as_slice().as_ptr() as *mut u8;
let mut values = Vec::with_capacity(ca.len());
values.extend(std::iter::repeat(T::Native::default()).take(window_size - 1));
for offset in 0..self.len() + 1 - window_size {
let arr_window = arr.slice(offset, window_size);
unsafe {
*ptr = arr_window;
}
let out = f(&arr_container);
match out {
Some(v) => unsafe { values.push_unchecked(v) },
None => unsafe { unset_bit_raw(validity_ptr, offset + window_size - 1) },
}
}
let arr = PrimitiveArray::from_data(
T::get_dtype().to_arrow(),
values.into(),
Some(validity.into()),
);
Ok(Self::from_chunks(self.name(), vec![Arc::new(arr)]))
}
}
}
#[cfg(feature = "rolling_window")]
pub use inner_mod::*;