Parallelize pandas apply

Question

New to pandas, I already want to parallelize a row-wise apply operation. So far I found Parallelize apply after pandas groupby However, that only seems to work for grouped data frames.

My use case is different: I have a list of holidays and for my current row/date want to find the no-of-days before and after this day to the next holiday.

This is the function I call via apply:

def get_nearest_holiday(x, pivot):
    nearestHoliday = min(x, key=lambda x: abs(x- pivot))
    difference = abs(nearesHoliday - pivot)
    return difference / np.timedelta64(1, 'D')

How can I speed it up?

edit

I experimented a bit with pythons pools - but it was neither nice code, nor did I get my computed results.

Answer 1

I think going down the route of trying stuff in parallel is probably over complicating this. I haven't tried this approach on a large sample so your mileage may vary, but it should give you an idea...

Let's just start with some dates...

import pandas as pd

dates = pd.to_datetime(['2016-01-03', '2016-09-09', '2016-12-12', '2016-03-03'])

We'll use some holiday data from pandas.tseries.holiday - note that in effect we want a DatetimeIndex...

from pandas.tseries.holiday import USFederalHolidayCalendar

holiday_calendar = USFederalHolidayCalendar()
holidays = holiday_calendar.holidays('2016-01-01')

This gives us:

DatetimeIndex(['2016-01-01', '2016-01-18', '2016-02-15', '2016-05-30',
               '2016-07-04', '2016-09-05', '2016-10-10', '2016-11-11',
               '2016-11-24', '2016-12-26',
               ...
               '2030-01-01', '2030-01-21', '2030-02-18', '2030-05-27',
               '2030-07-04', '2030-09-02', '2030-10-14', '2030-11-11',
               '2030-11-28', '2030-12-25'],
              dtype='datetime64[ns]', length=150, freq=None)

Now we find the indices of the nearest nearest holiday for the original dates using searchsorted:

indices = holidays.searchsorted(dates)
# array([1, 6, 9, 3])
next_nearest = holidays[indices]
# DatetimeIndex(['2016-01-18', '2016-10-10', '2016-12-26', '2016-05-30'], dtype='datetime64[ns]', freq=None)

Then take the difference between the two:

next_nearest_diff = pd.to_timedelta(next_nearest.values - dates.values).days
# array([15, 31, 14, 88])

You'll need to be careful about the indices so you don't wrap around, and for the previous date, do the calculation with the indices - 1 but it should act as (I hope) a relatively good base.

Answer 2

For the parallel approach this is the answer based on Parallelize apply after pandas groupby:

from joblib import Parallel, delayed
import multiprocessing

def get_nearest_dateParallel(df):
    df['daysBeforeHoliday'] = df.myDates.apply(lambda x: get_nearest_date(holidays.day[holidays.day < x], x))
    df['daysAfterHoliday']  =  df.myDates.apply(lambda x: get_nearest_date(holidays.day[holidays.day > x], x))
    return df

def applyParallel(dfGrouped, func):
    retLst = Parallel(n_jobs=multiprocessing.cpu_count())(delayed(func)(group) for name, group in dfGrouped)
    return pd.concat(retLst)

print ('parallel version: ')
# 4 min 30 seconds
%time result = applyParallel(datesFrame.groupby(datesFrame.index), get_nearest_dateParallel)

but I prefer @NinjaPuppy's approach because it does not require O(n * number_of_holidays)