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WindowAgg.py
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WindowAgg.py
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# My cleanest code
import numpy as np
def window_index(times, dt):
"""
Returns two lists - forward window f and backward window p defined as follows:
For each index i in times:
f[i] is the smallest index j <= i such that (times[i]-times[j]) <= dt
p[i] is the largest index k >= i such that (times[k]-times[i]) <= dt
Parameters
------------------------
times: list of of non decreasing times
dt: time difference
Returns
-------------------------
f: list of ints - forward window for each index as above
p: list of ints - past window for each index as above
"""
l = len(times)
f = np.arange(0, l)
p = np.arange(0, l)
# i is leftmost window, j is rightmost
i,j = 0,0
while (j < l):
diff = times[j] - times[i]
if (diff <= dt):
p[j] = i
j = j+1
elif (diff > dt):
f[i] = (j-1)
i = i+1
return p,f
def sum_future(values, jump):
""" Given list of forward window compute sum corresponding to that window for each index """
totals = [np.sum(values[0:jump[0]+1])]
for i in range(1, len(values)):
totals.append(totals[i-1] - values[i-1] + np.sum(values[jump[i-1]+1:jump[i]+1]))
return totals
def sum_past(values, jump):
""" Given list of backward windows compute sum corresponding to that window for each index """
l = len(values)-1
return sum_future(values[::-1], [l-j for j in jump[::-1]])[::-1]
def transform_sum_past(values, times, dt):
p,f = window_index(times, dt)
return sum_past(values, p)
# From these three functions we can do lots of things including compute the rolling mean
def rolling_mean_window(values, times, dt):
p,f = window_index(times, dt)
return (np.array(sum_future(values,f)) + np.array(sum_past(values, p)) - np.array(values))/(f-p+1)
def rolling_sum(values, times, dt):
p,f = window_index(times, dt)
return sum_future(values,f)