pelt 0.2.0

Changepoint detection with Pruned Exact Linear Time

Changepoint detection with Pruned Exact Linear Time.

Usage

Python

from pelt import predict

predict(signal, penalty=20, segment_cost_function="l1", jump=10, minimum_segment_length=2, keep_initial_zero=False)

Rust

use pelt::{Pelt, SegmentCostFunction, Kahan};

// Setup the structure for calculating changepoints
let pelt = Pelt::new()
  .with_jump(NonZero::new(5).expect("Invalid number"))
  .with_minimum_segment_length(NonZero::new(2).expect("Invalid number"))
  .with_segment_cost_function(SegmentCostFunction::L1);

// Do the calculation on a data set
let penalty = 10.0;
// Use more accurate Kahan summation for all math
let result = pelt.predict::<Kahan<_>, _>(&signal[..], penalty)?;

Run locally

# Install maturin inside a Python environment
python3 -m venv .env
source .env/bin/activate
pip install maturin numpy

# Create a Python package from the Rust code
maturin develop --features python

# Open an interpreter
python

>>> from pelt import predict
>>> import numpy as np
>>> signal = np.array([np.sin(np.arange(0, 1000, 10))]).transpose()
>>> predict(signal, penalty=20)

Benchmarks

Like all benchmarks, take these with a grain of salt.

Python

Comparison with ruptures:

Benchmark	Min (+)	Max (+)	Mean (+)
ruptures L1 vs pelt L1	-102.1x	-101.4x	-101.6x
ruptures L2 vs pelt L2	-1578.8x	-1587.7x	-1591.1x

Command

richbench benches/

Rust

Timer precision: 20 ns
bench                fastest       │ slowest       │ median        │ mean          │ samples │ iters
├─ large                           │               │               │               │         │
│  ├─ Kahan<f64>                   │               │               │               │         │
│  │  ├─ L1          161.2 ms      │ 202.3 ms      │ 162.3 ms      │ 165.3 ms      │ 100     │ 100
│  │  ╰─ L2          4.832 ms      │ 4.923 ms      │ 4.845 ms      │ 4.852 ms      │ 100     │ 100
│  ╰─ Naive<f64>                   │               │               │               │         │
│     ├─ L1          126.6 ms      │ 159.2 ms      │ 127.7 ms      │ 131.5 ms      │ 100     │ 100
│     ╰─ L2          1.436 ms      │ 1.591 ms      │ 1.45 ms       │ 1.455 ms      │ 100     │ 100
╰─ small                           │               │               │               │         │
   ├─ Kahan<f64>                   │               │               │               │         │
   │  ├─ L1          247.4 µs      │ 295.3 µs      │ 252.7 µs      │ 254 µs        │ 100     │ 100
   │  ╰─ L2          65.22 µs      │ 73.42 µs      │ 66.02 µs      │ 66.31 µs      │ 100     │ 100
   ╰─ Naive<f64>                   │               │               │               │         │
      ├─ L1          189.7 µs      │ 254.7 µs      │ 196.3 µs      │ 197.5 µs      │ 100     │ 100
      ╰─ L2          27.19 µs      │ 38.14 µs      │ 28.05 µs      │ 28.45 µs      │ 100     │ 100

Command

cargo bench --profile release

Profile

Command

cargo build --example simple --profile profiling \
 && samply record target/profiling/examples/simple tests/signals-large.txt

Credits

• fastpelt
• ruptures