可以将文章内容翻译成中文,广告屏蔽插件可能会导致该功能失效(如失效，请关闭广告屏蔽插件后再试):
问题:
How do I get the exponential weighted moving average in NumPy just like the following in pandas?
import pandas as pd
import pandas_datareader as pdr
from datetime import datetime
# Declare variables
ibm = pdr.get_data_yahoo(symbols='IBM', start=datetime(2000, 1, 1), end=datetime(2012, 1, 1)).reset_index(drop=True)['Adj Close']
windowSize = 20
# Get PANDAS exponential weighted moving average
ewm_pd = pd.DataFrame(ibm).ewm(span=windowSize, min_periods=windowSize).mean().as_matrix()
print(ewm_pd)
I tried the following with NumPy
import numpy as np
import pandas_datareader as pdr
from datetime import datetime
# From this post: http://stackoverflow.com/a/40085052/3293881 by @Divakar
def strided_app(a, L, S): # Window len = L, Stride len/stepsize = S
nrows = ((a.size - L) // S) + 1
n = a.strides[0]
return np.lib.stride_tricks.as_strided(a, shape=(nrows, L), strides=(S * n, n))
def numpyEWMA(price, windowSize):
weights = np.exp(np.linspace(-1., 0., windowSize))
weights /= weights.sum()
a2D = strided_app(price, windowSize, 1)
returnArray = np.empty((price.shape[0]))
returnArray.fill(np.nan)
for index in (range(a2D.shape[0])):
returnArray[index + windowSize-1] = np.convolve(weights, a2D[index])[windowSize - 1:-windowSize + 1]
return np.reshape(returnArray, (-1, 1))
# Declare variables
ibm = pdr.get_data_yahoo(symbols='IBM', start=datetime(2000, 1, 1), end=datetime(2012, 1, 1)).reset_index(drop=True)['Adj Close']
windowSize = 20
# Get NumPy exponential weighted moving average
ewma_np = numpyEWMA(ibm, windowSize)
print(ewma_np)
But the results are not similar as the ones in pandas.
Is there maybe a better approach to calculate the exponential weighted moving average directly in NumPy and get the exact same result as the pandas.ewm().mean()?
At 60,000 requests on pandas solution, I get about 230 seconds. I am sure that with a pure NumPy, this can be decreased significantly.
回答1:
Updated 27/11/2018
WORKING PURE NUMPY, FAST & VECTORIZED SOLUTION FOR LARGE INPUTS
out parameter for in-place computation,
dtype parameter,
index order parameter
@Divakar's answer leads to floating point precision problems when the input is too large. This is because (1-alpha)**(n+1) -> 0 when n -> inf and alpha -> 1, leading to divide-by-zero's and NaN values popping up in the calculation.
Here is my fastest solution with no precision problems, nearly fully vectorized. It's gotten a little complicated but the performance is great, especially for really huge inputs. Without using in-place calculations (which is possible using the out parameter, saving memory allocation time): 3.62 seconds for 100M element input vector, 3.2ms for a 100K element input vector, and 293µs for a 5000 element input vector on a pretty old PC (results will vary with different alpha/row_size values).
# tested with python3 & numpy 1.15.2
import numpy as np
def ewma_vectorized_safe(data, alpha, row_size=None, dtype=None, order='C', out=None):
"""
Reshapes data before calculating EWMA, then iterates once over the rows
to calculate the offset without precision issues
:param data: Input data, will be flattened.
:param alpha: scalar float in range (0,1)
The alpha parameter for the moving average.
:param row_size: int, optional
The row size to use in the computation. High row sizes need higher precision,
low values will impact performance. The optimal value depends on the
platform and the alpha being used. Higher alpha values require lower
row size.
:param dtype: optional
Data type used for calculations. Defaults to float64 unless
data.dtype is float32, then it will use float32.
:param order: {'C', 'F', 'A'}, optional
Order to use when flattening the data. Defaults to 'C'.
:param out: ndarray, or None, optional
A location into which the result is stored. If provided, it must have
the same shape as the desired output. If not provided or `None`,
a freshly-allocated array is returned.
:return: The flattened result.
"""
if dtype is None:
if data.dtype == np.float32:
dtype = np.float32
else:
dtype = np.float64
else:
dtype = np.dtype(dtype)
row_size = int(row_size) if row_size is not None
else get_max_row_size(alpha, dtype)
data = np.array(data, copy=False)
if data.size <= row_size:
# The normal function can handle this input, use that
return ewma_vectorized(data, alpha, dtype=dtype, order=order, out=out)
if data.ndim > 1:
# flatten input
data = np.reshape(data, -1, order=order)
if out is None:
out = np.empty_like(data, dtype=dtype)
else:
assert out.shape == data.shape
assert out.dtype == dtype
row_n = int(data.size // row_size) # the number of rows to use
trailing_n = int(data.size % row_size) # the amount of data leftover
first_offset = data[0]
if trailing_n > 0:
# set temporary results to slice view of out parameter
out_main_view = np.reshape(out[:-trailing_n], (row_n, row_size))
data_main_view = np.reshape(data[:-trailing_n], (row_n, row_size))
else:
out_main_view = out
data_main_view = data
# get all the scaled cumulative sums with 0 offset
ewma_vectorized_2d(data_main_view, alpha, axis=1, offset=0, dtype=dtype,
order='C', out=out_main_view)
scaling_factors = (1 - alpha) ** (np.arange(1, row_size + 1, dtype=dtype))
last_scaling_factor = scaling_factors[-1]
# create offset array
offsets = np.empty(out_main_view.shape[0], dtype=dtype)
offsets[0] = first_offset
# iteratively calculate offset for each row
for i in range(1, out_main_view.shape[0]):
offsets[i] = offsets[i - 1] * last_scaling_factor + out_main_view[i - 1, -1]
# add the offsets to the result
out_main_view += offsets[:, np.newaxis] * scaling_factors[np.newaxis, :]
if trailing_n > 0:
# process trailing data in the 2nd slice of the out parameter
ewma_vectorized(data[-trailing_n:], alpha, offset=out_main_view[-1, -1],
dtype=dtype, order='C', out=out[-trailing_n:])
return out
def get_max_row_size(alpha, dtype=float):
assert 0. <= alpha < 1.
# This will return the maximum row size possible on
# your platform for the given dtype. I can find no impact on accuracy
# at this value on my machine.
# Might not be the optimal value for speed, which is hard to predict
# due to numpy's optimizations
# Use np.finfo(dtype).eps if you are worried about accuracy
# and want to be extra safe.
epsilon = np.finfo(dtype).tiny
# If this produces an OverflowError, make epsilon larger
return int(np.log(epsilon)/np.log(1-alpha)) + 1
The 1D ewma function:
def ewma_vectorized(data, alpha, offset=None, dtype=None, order='C', out=None):
"""
Calculates the exponential moving average over a vector.
Will fail for large inputs.
:param data: Input data
:param alpha: scalar float in range (0,1)
The alpha parameter for the moving average.
:param offset: optional
The offset for the moving average, scalar. Defaults to data[0].
:param dtype: optional
Data type used for calculations. Defaults to float64 unless
data.dtype is float32, then it will use float32.
:param order: {'C', 'F', 'A'}, optional
Order to use when flattening the data. Defaults to 'C'.
:param out: ndarray, or None, optional
A location into which the result is stored. If provided, it must have
the same shape as the input. If not provided or `None`,
a freshly-allocated array is returned.
"""
if dtype is None:
if data.dtype == np.float32:
dtype = np.float32
else:
dtype = np.float64
else:
dtype = np.dtype(dtype)
data = np.array(data, copy=False)
if data.ndim > 1:
# flatten input
data = data.reshape(-1, order)
if out is None:
out = np.empty_like(data, dtype=dtype)
else:
assert out.shape == data.shape
assert out.dtype == dtype
if data.size < 1:
# empty input, return empty array
return out
if offset is None:
offset = data[0]
alpha = np.array(alpha, copy=False).astype(dtype, copy=False)
# scaling_factors -> 0 as len(data) gets large
# this leads to divide-by-zeros below
scaling_factors = np.power(1. - alpha, np.arange(row_size + 1, dtype=dtype),
dtype=dtype)
# create cumulative sum array
np.multiply(data, (alpha * scaling_factors[-2]) / scaling_factors[:-1],
dtype=dtype, out=out)
np.cumsum(out, dtype=dtype, out=out)
# cumsums / scaling
out /= scaling_factors[-2::-1]
if offset != 0:
offset = np.array(offset, copy=False).astype(dtype, copy=False)
# add offsets
out += offset * scaling_factors[1:]
return out
The 2D ewma function:
def ewma_vectorized_2d(data, alpha, axis=None, offset=None, dtype=None, order='C', out=None):
"""
Calculates the exponential moving average over a given axis.
:param data: Input data, must be 1D or 2D array.
:param alpha: scalar float in range (0,1)
The alpha parameter for the moving average.
:param axis: The axis to apply the moving average on.
If axis==None, the data is flattened.
:param offset: optional
The offset for the moving average. Must be scalar or a
vector with one element for each row of data. If set to None,
defaults to the first value of each row.
:param dtype: optional
Data type used for calculations. Defaults to float64 unless
data.dtype is float32, then it will use float32.
:param order: {'C', 'F', 'A'}, optional
Order to use when flattening the data. Ignored if axis is not None.
:param out: ndarray, or None, optional
A location into which the result is stored. If provided, it must have
the same shape as the desired output. If not provided or `None`,
a freshly-allocated array is returned.
"""
data = np.array(data, copy=False)
assert data.ndim <= 2
if dtype is None:
if data.dtype == np.float32:
dtype = np.float32
else:
dtype = np.float64
else:
dtype = np.dtype(dtype)
if out is None:
out = np.empty_like(data, dtype=dtype)
else:
assert out.shape == data.shape
assert out.dtype == dtype
if data.size < 1:
# empty input, return empty array
return out
if axis is None or data.ndim < 2:
# use 1D version
if isinstance(offset, np.ndarray):
offset = offset[0]
return ewma_vectorized(data, alpha, offset, dtype=dtype, order=order,
out=out)
assert -data.ndim <= axis < data.ndim
# create reshaped data views
out_view = out
if axis < 0:
axis = data.ndim - int(axis)
if axis == 0:
# transpose data views so columns are treated as rows
data = data.T
out_view = data.T
if offset is None:
# use the first element of each row as the offset
offset = np.copy(data[:, 0])
elif np.size(offset) == 1:
offset = np.reshape(offset, (1,))
alpha = np.array(alpha, copy=False).astype(dtype, copy=False)
# calculate the moving average
row_size = data.shape[1]
row_n = data.shape[0]
scaling_factors = np.power(1. - alpha, np.arange(row_size + 1, dtype=dtype),
dtype=dtype)
# create a scaled cumulative sum array
np.multiply(
data,
np.multiply(alpha * scaling_factors[-2], np.ones((row_n, 1), dtype=dtype),
dtype=dtype)
/ scaling_factors[np.newaxis, :-1],
dtype=dtype, out=out_view
)
np.cumsum(out_view, axis=1, dtype=dtype, out=out_view)
out_view /= scaling_factors[np.newaxis, -2::-1]
if not (np.size(offset) == 1 and offset == 0):
offset = offset.astype(dtype, copy=False)
# add the offsets to the scaled cumulative sums
out_view += offset[:, np.newaxis] * scaling_factors[np.newaxis, 1:]
return out
usage:
data_n = 100000000
data = ((0.5*np.random.randn(data_n)+0.5) % 1) * 100
window = 5000
sum_proportion = .875
alpha = 1 - np.exp(np.log(1 - sum_proportion) / window) # or 2/(window+1) for panda's span function
result = ewma_vectorized_safe(data, alpha)
Just a tip
It is easy to calculate a 'window size' (technically exponential averages have infinite 'windows') for a given alpha, dependent on the contribution of the data in that window to the average. This is useful for example to chose how much of the start of the result to treat as unreliable due to border effects.
sum_proportion = .99 # window covers 99% of contribution to the moving average
scale_factors = (1 - alpha) ** (np.arange(data.shape[0] + 1))
scale_factor_cumsum = np.cumsum(scale_factors)
# window_size is the index of the first partial sum of scale_factors
# where partial_sum > sum_proportion * total_sum.
# Increases with increased sum_proportion and decreased alpha
window_size = np.argmax(scale_factor_cumsum > sum_proportion * scale_factor_cumsum[-1])
or more math-y but efficiently:
def window_size(alpha, sum_proportion):
# solve (1-alpha)**window_size = (1-sum_proportion) for window_size
return int(np.log(1-sum_proportion) / np.log(1-alpha))
The alpha = 2 / (window_size + 1.0) relation used in this thread (the 'span' option from pandas) is a very rough approximation of the inverse of the above function (with sum_proportion~=0.87). alpha = 1 - np.exp(np.log(1-sum_proportion)/window_size) is more accurate (the 'half-life' option from pandas equals this formula with sum_proportion=0.5).
In the following example, data represents a continuous noisy signal. cutoff_idx is the first position in result where at least 99% of the value is dependent on separate values in data (i.e. less than 1% depends on data[0]). The data up to cutoff_idx is excluded from the final results because it is too dependent on the first value in data, therefore possibly skewing the average.
result = ewma_vectorized_safe(data, alpha, chunk_size)
sum_proportion = .99
cutoff_idx = window_size(alpha, sum_proportion)
result = result[cutoff_idx:]
To illustrate the problem the above solve you can run this a few times, notice the often-appearing false start of the red line, which is skipped after cutoff_idx:
data_n = 100000
data = np.random.rand(data_n) * 100
window = 1000
chunk_size = 10000
sum_proportion = .99
alpha = 1 - np.exp(np.log(1-sum_proportion)/window)
result = ewma_vectorized_safe(data, alpha, chunk_size)
cutoff_idx = window_size(alpha, sum_proportion)
x = np.arange(start=0, stop=result.size)
import matplotlib.pyplot as plt
plt.plot(x[:cutoff_idx+1], result[:cutoff_idx+1], '-r',
x[cutoff_idx:], result[cutoff_idx:], '-b')
plt.show()
note that cutoff_idx==window because alpha was set with the inverse of the window_size() function, with the same sum_proportion.
回答2:
I think I have finally cracked it!
Here's a vectorized version of numpy_ewma function that's claimed to be producing the correct results from @RaduS's post -
def numpy_ewma_vectorized(data, window):
alpha = 2 /(window + 1.0)
alpha_rev = 1-alpha
scale = 1/alpha_rev
n = data.shape[0]
r = np.arange(n)
scale_arr = scale**r
offset = data[0]*alpha_rev**(r+1)
pw0 = alpha*alpha_rev**(n-1)
mult = data*pw0*scale_arr
cumsums = mult.cumsum()
out = offset + cumsums*scale_arr[::-1]
return out
Further boost
We can boost it further with some code re-use, like so -
def numpy_ewma_vectorized_v2(data, window):
alpha = 2 /(window + 1.0)
alpha_rev = 1-alpha
n = data.shape[0]
pows = alpha_rev**(np.arange(n+1))
scale_arr = 1/pows[:-1]
offset = data[0]*pows[1:]
pw0 = alpha*alpha_rev**(n-1)
mult = data*pw0*scale_arr
cumsums = mult.cumsum()
out = offset + cumsums*scale_arr[::-1]
return out
Runtime test
Let's time these two against the same loopy function for a big dataset.
In [97]: data = np.random.randint(2,9,(5000))
...: window = 20
...:
In [98]: np.allclose(numpy_ewma(data, window), numpy_ewma_vectorized(data, window))
Out[98]: True
In [99]: np.allclose(numpy_ewma(data, window), numpy_ewma_vectorized_v2(data, window))
Out[99]: True
In [100]: %timeit numpy_ewma(data, window)
100 loops, best of 3: 6.03 ms per loop
In [101]: %timeit numpy_ewma_vectorized(data, window)
1000 loops, best of 3: 665 µs per loop
In [102]: %timeit numpy_ewma_vectorized_v2(data, window)
1000 loops, best of 3: 357 µs per loop
In [103]: 6030/357.0
Out[103]: 16.89075630252101
There is around a 17 times speedup!
回答3:
Here is an implementation using NumPy that is equivalent to using df.ewm(alpha=alpha).mean(). After reading the documentation, it is just a few matrix operations. The trick is constructing the right matrices.
It is worth noting that because we are creating float matrices, you can quickly eat through your memory if the input array is too large.
import pandas as pd
import numpy as np
def ewma(x, alpha):
'''
Returns the exponentially weighted moving average of x.
Parameters:
-----------
x : array-like
alpha : float {0 <= alpha <= 1}
Returns:
--------
ewma: numpy array
the exponentially weighted moving average
'''
# Coerce x to an array
x = np.array(x)
n = x.size
# Create an initial weight matrix of (1-alpha), and a matrix of powers
# to raise the weights by
w0 = np.ones(shape=(n,n)) * (1-alpha)
p = np.vstack([np.arange(i,i-n,-1) for i in range(n)])
# Create the weight matrix
w = np.tril(w0**p,0)
# Calculate the ewma
return np.dot(w, x[::np.newaxis]) / w.sum(axis=1)
Let's test its:
alpha = 0.55
x = np.random.randint(0,30,15)
df = pd.DataFrame(x, columns=['A'])
df.ewm(alpha=alpha).mean()
# returns:
# A
# 0 13.000000
# 1 22.655172
# 2 20.443268
# 3 12.159796
# 4 14.871955
# 5 15.497575
# 6 20.743511
# 7 20.884818
# 8 24.250715
# 9 18.610901
# 10 17.174686
# 11 16.528564
# 12 17.337879
# 13 7.801912
# 14 12.310889
ewma(x=x, alpha=alpha)
# returns:
# array([ 13. , 22.65517241, 20.44326778, 12.1597964 ,
# 14.87195534, 15.4975749 , 20.74351117, 20.88481763,
# 24.25071484, 18.61090129, 17.17468551, 16.52856393,
# 17.33787888, 7.80191235, 12.31088889])
回答4:
Given alpha and windowSize, here's an approach to simulate the corresponding behavior on NumPy -
def numpy_ewm_alpha(a, alpha, windowSize):
wghts = (1-alpha)**np.arange(windowSize)
wghts /= wghts.sum()
out = np.full(df.shape[0],np.nan)
out[windowSize-1:] = np.convolve(a,wghts,'valid')
return out
Sample runs for verification -
In [54]: alpha = 0.55
...: windowSize = 20
...:
In [55]: df = pd.DataFrame(np.random.randint(2,9,(100)))
In [56]: out0 = df.ewm(alpha = alpha, min_periods=windowSize).mean().as_matrix().ravel()
...: out1 = numpy_ewm_alpha(df.values.ravel(), alpha = alpha, windowSize = windowSize)
...: print "Max. error : " + str(np.nanmax(np.abs(out0 - out1)))
...:
Max. error : 5.10531254605e-07
In [57]: alpha = 0.75
...: windowSize = 30
...:
In [58]: out0 = df.ewm(alpha = alpha, min_periods=windowSize).mean().as_matrix().ravel()
...: out1 = numpy_ewm_alpha(df.values.ravel(), alpha = alpha, windowSize = windowSize)
...: print "Max. error : " + str(np.nanmax(np.abs(out0 - out1)))
Max. error : 8.881784197e-16
Runtime test on bigger dataset -
In [61]: alpha = 0.55
...: windowSize = 20
...:
In [62]: df = pd.DataFrame(np.random.randint(2,9,(10000)))
In [63]: %timeit df.ewm(alpha = alpha, min_periods=windowSize).mean()
1000 loops, best of 3: 851 µs per loop
In [64]: %timeit numpy_ewm_alpha(df.values.ravel(), alpha = alpha, windowSize = windowSize)
1000 loops, best of 3: 204 µs per loop
Further boost
For further performance boost we could avoid the initialization with NaNs and instead use the array outputted from np.convolve, like so -
def numpy_ewm_alpha_v2(a, alpha, windowSize):
wghts = (1-alpha)**np.arange(windowSize)
wghts /= wghts.sum()
out = np.convolve(a,wghts)
out[:windowSize-1] = np.nan
return out[:a.size]
Timings -
In [117]: alpha = 0.55
...: windowSize = 20
...:
In [118]: df = pd.DataFrame(np.random.randint(2,9,(10000)))
In [119]: %timeit numpy_ewm_alpha(df.values.ravel(), alpha = alpha, windowSize = windowSize)
1000 loops, best of 3: 204 µs per loop
In [120]: %timeit numpy_ewm_alpha_v2(df.values.ravel(), alpha = alpha, windowSize = windowSize)
10000 loops, best of 3: 195 µs per loop
回答5:
Fastest EWMA 23x pandas
The question is strictly asking for a numpy solution, however, it seems that the OP was actually just after a pure numpy solution to speed up runtime.
I solved a similar problem but instead looked towards numba.jit which massively speeds the compute time
In [24]: a = np.random.random(10**7)
...: df = pd.Series(a)
In [25]: %timeit numpy_ewma(a, 10) # /a/42915307/4013571
...: %timeit df.ewm(span=10).mean() # pandas
...: %timeit numpy_ewma_vectorized_v2(a, 10) # best w/o numba: /a/42926270/4013571
...: %timeit _ewma(a, 10) # fastest accurate (below)
...: %timeit _ewma_infinite_hist(a, 10) # fastest overall (below)
4.14 s ± 116 ms per loop (mean ± std. dev. of 7 runs, 1 loop each)
991 ms ± 52.2 ms per loop (mean ± std. dev. of 7 runs, 1 loop each)
396 ms ± 8.39 ms per loop (mean ± std. dev. of 7 runs, 1 loop each)
181 ms ± 1.01 ms per loop (mean ± std. dev. of 7 runs, 10 loops each)
39.6 ms ± 979 µs per loop (mean ± std. dev. of 7 runs, 10 loops each)
Scaling down to smaller arrays of a = np.random.random(100) (results in the same order)
41.6 µs ± 491 ns per loop (mean ± std. dev. of 7 runs, 10000 loops each)
945 ms ± 12 ms per loop (mean ± std. dev. of 7 runs, 1 loop each)
16 µs ± 93.5 ns per loop (mean ± std. dev. of 7 runs, 100000 loops each)
1.66 µs ± 13.7 ns per loop (mean ± std. dev. of 7 runs, 1000000 loops each)
1.14 µs ± 5.57 ns per loop (mean ± std. dev. of 7 runs, 1000000 loops each)
It is also worth pointing out that my functions below are identically aligned to the pandas (see the examples in docstr), whereas a few of the answers here take various different approximations. For example,
In [57]: print(pd.DataFrame([1,2,3]).ewm(span=2).mean().values.ravel())
...: print(numpy_ewma_vectorized_v2(np.array([1,2,3]), 2))
...: print(numpy_ewma(np.array([1,2,3]), 2))
[1. 1.75 2.61538462]
[1. 1.66666667 2.55555556]
[1. 1.18181818 1.51239669]
The source code which I have documented for my own library
import numpy as np
from numba import jit
from numba import float64
from numba import int64
@jit((float64[:], int64), nopython=True, nogil=True)
def _ewma(arr_in, window):
r"""Exponentialy weighted moving average specified by a decay ``window``
to provide better adjustments for small windows via:
y[t] = (x[t] + (1-a)*x[t-1] + (1-a)^2*x[t-2] + ... + (1-a)^n*x[t-n]) /
(1 + (1-a) + (1-a)^2 + ... + (1-a)^n).
Parameters
----------
arr_in : np.ndarray, float64
A single dimenisional numpy array
window : int64
The decay window, or 'span'
Returns
-------
np.ndarray
The EWMA vector, same length / shape as ``arr_in``
Examples
--------
>>> import pandas as pd
>>> a = np.arange(5, dtype=float)
>>> exp = pd.DataFrame(a).ewm(span=10, adjust=True).mean()
>>> np.array_equal(_ewma_infinite_hist(a, 10), exp.values.ravel())
True
"""
n = arr_in.shape[0]
ewma = np.empty(n, dtype=float64)
alpha = 2 / float(window + 1)
w = 1
ewma_old = arr_in[0]
ewma[0] = ewma_old
for i in range(1, n):
w += (1-alpha)**i
ewma_old = ewma_old*(1-alpha) + arr_in[i]
ewma[i] = ewma_old / w
return ewma
@jit((float64[:], int64), nopython=True, nogil=True)
def _ewma_infinite_hist(arr_in, window):
r"""Exponentialy weighted moving average specified by a decay ``window``
assuming infinite history via the recursive form:
(2) (i) y[0] = x[0]; and
(ii) y[t] = a*x[t] + (1-a)*y[t-1] for t>0.
This method is less accurate that ``_ewma`` but
much faster:
In [1]: import numpy as np, bars
...: arr = np.random.random(100000)
...: %timeit bars._ewma(arr, 10)
...: %timeit bars._ewma_infinite_hist(arr, 10)
3.74 ms ± 60.2 µs per loop (mean ± std. dev. of 7 runs, 100 loops each)
262 µs ± 1.54 µs per loop (mean ± std. dev. of 7 runs, 1000 loops each)
Parameters
----------
arr_in : np.ndarray, float64
A single dimenisional numpy array
window : int64
The decay window, or 'span'
Returns
-------
np.ndarray
The EWMA vector, same length / shape as ``arr_in``
Examples
--------
>>> import pandas as pd
>>> a = np.arange(5, dtype=float)
>>> exp = pd.DataFrame(a).ewm(span=10, adjust=False).mean()
>>> np.array_equal(_ewma_infinite_hist(a, 10), exp.values.ravel())
True
"""
n = arr_in.shape[0]
ewma = np.empty(n, dtype=float64)
alpha = 2 / float(window + 1)
ewma[0] = arr_in[0]
for i in range(1, n):
ewma[i] = arr_in[i] * alpha + ewma[i-1] * (1 - alpha)
return ewma
回答6:
@Divakar's answer seems to cause overflow when dealing with
numpy_ewma_vectorized(np.random.random(500000), 10)
What I have been using is:
def EMA(input, time_period=10): # For time period = 10
t_ = time_period - 1
ema = np.zeros_like(input,dtype=float)
multiplier = 2.0 / (time_period + 1)
#multiplier = 1 - multiplier
for i in range(len(input)):
# Special Case
if i > t_:
ema[i] = (input[i] - ema[i-1]) * multiplier + ema[i-1]
else:
ema[i] = np.mean(input[:i+1])
return ema
However, this is way slower than the panda solution:
from pandas import ewma as pd_ema
def EMA_fast(X, time_period = 10):
out = pd_ema(X, span=time_period, min_periods=time_period)
out[:time_period-1] = np.cumsum(X[:time_period-1]) / np.asarray(range(1,time_period))
return out
回答7:
Here is another solution O came up with in the meantime. It is about four times faster than the pandas solution.
def numpy_ewma(data, window):
returnArray = np.empty((data.shape[0]))
returnArray.fill(np.nan)
e = data[0]
alpha = 2 / float(window + 1)
for s in range(data.shape[0]):
e = ((data[s]-e) *alpha ) + e
returnArray[s] = e
return returnArray
I used this formula as a starting point. I am sure that this can be improved even more, but it is at least a starting point.
回答8:
This answer may seem irrelevant. But, for those who also need to calculate the exponentially weighted variance (and also standard deviation) with NumPy, the following solution will be useful:
import numpy as np
def ew(a, alpha, winSize):
_alpha = 1 - alpha
ws = _alpha ** np.arange(winSize)
w_sum = ws.sum()
ew_mean = np.convolve(a, ws)[winSize - 1] / w_sum
bias = (w_sum ** 2) / ((w_sum ** 2) - (ws ** 2).sum())
ew_var = (np.convolve((a - ew_mean) ** 2, ws)[winSize - 1] / w_sum) * bias
ew_std = np.sqrt(ew_var)
return (ew_mean, ew_var, ew_std)
回答9:
Building on top of Divakar's great answer, here is an implementation which corresponds to the adjust=True flag of the pandas function, i.e. using weights rather than recursion.
def numpy_ewma(data, window):
alpha = 2 /(window + 1.0)
scale = 1/(1-alpha)
n = data.shape[0]
scale_arr = (1-alpha)**(-1*np.arange(n))
weights = (1-alpha)**np.arange(n)
pw0 = (1-alpha)**(n-1)
mult = data*pw0*scale_arr
cumsums = mult.cumsum()
out = cumsums*scale_arr[::-1] / weights.cumsum()
return out
回答10:
Thanks to @Divakar's solution and that is really fast. However, it does cause overflow problem which was pointed out by @Danny. The function doesn't return correct answers when the length is greater than 13835 or so at my end.
The following is my solution based on Divakar's solution and pandas.ewm().mean()
def numpy_ema(data, com=None, span=None, halflife=None, alpha=None):
"""Summary
Calculate ema with automatically-generated alpha. Weight of past effect
decreases as the length of window increasing.
# these functions reproduce the pandas result when the flag adjust=False is set.
References:
https://stackoverflow.com/questions/42869495/numpy-version-of-exponential-weighted-moving-average-equivalent-to-pandas-ewm
Args:
data (TYPE): Description
com (float, optional): Specify decay in terms of center of mass, alpha=1/(1+com), for com>=0
span (float, optional): Specify decay in terms of span, alpha=2/(span+1), for span>=1
halflife (float, optional): Specify decay in terms of half-life, alpha=1-exp(log(0.5)/halflife), for halflife>0
alpha (float, optional): Specify smoothing factor alpha directly, 0<alpha<=1
Returns:
TYPE: Description
Raises:
ValueError: Description
"""
n_input = sum(map(bool, [com, span, halflife, alpha]))
if n_input != 1:
raise ValueError(
'com, span, halflife, and alpha are mutually exclusive')
nrow = data.shape[0]
if np.isnan(data).any() or (nrow > 13835) or (data.ndim == 2):
df = pd.DataFrame(data)
df_ewm = df.ewm(com=com, span=span, halflife=halflife,
alpha=alpha, adjust=False)
out = df_ewm.mean().values.squeeze()
else:
if com:
alpha = 1 / (1 + com)
elif span:
alpha = 2 / (span + 1.0)
elif halflife:
alpha = 1 - np.exp(np.log(0.5) / halflife)
alpha_rev = 1 - alpha
pows = alpha_rev**(np.arange(nrow + 1))
scale_arr = 1 / pows[:-1]
offset = data[0] * pows[1:]
pw0 = alpha * alpha_rev**(nrow - 1)
mult = data * pw0 * scale_arr
cumsums = np.cumsum(mult)
out = offset + cumsums * scale_arr[::-1]
return out
{var%20f='http://v.t.sina.com.cn/share/share.php?appkey=1515056452',u=z||d.location,p=['&url=',e(u),'&title=',e(t||d.title),'&source=',e(r),'&sourceUrl=',e(l),'&content=',c||'gb2312','&pic=',e(p||'')].join('');function%20a(){if(!window.open([f,p].join(''),'mb',['toolbar=0,status=0,resizable=1,width=440,height=430,left=',(s.width-440)/2,',top=',(s.height-430)/2].join('')))u.href=[f,p].join('');};if(/Firefox/.test(navigator.userAgent))setTimeout(a,0);else%20a();})(screen,document,encodeURIComponent,'','','https://img.manongdao.com/sparkler-677774__340.jpg', '推荐 啃猪蹄的小仙女 的文章《NumPy version of “Exponential weighted moving aver》','https://www.manongdao.com/article-116192.html','页面编码gb2312|utf-8默认gb2312'));){kind=link}