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A powerful and scalable library that can be usedfor a variety of time series data mining tasks

Project description

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STUMPY

STUMPY is a powerful and scalable library that efficiently computes something called the matrix profile, which can be used for a variety of time series data mining tasks such as:

  • pattern/motif (approximately repeated subsequences within a longer time series) discovery
  • anomaly/novelty (discord) discovery
  • shapelet discovery
  • semantic segmentation
  • density estimation
  • time series chains (temporally ordered set of subsequence patterns)
  • and more …

Whether you are an academic, data scientist, software developer, or time series enthusiast, STUMPY is straightforward to install and allows you to compute the matrix profile in the most efficient way. Our goal is to allow you to get to your time series insights faster. See documentation for more information.

How to use STUMPY

Typical usage (1-dimensional time series data) with STUMP:

import stumpy
import numpy as np

your_time_series = np.random.rand(10000)
window_size = 50  # Approximately, how many data points might be found in a pattern

matrix_profile = stumpy.stump(your_time_series, m=window_size)

Distributed usage for 1-dimensional time series data with Dask Distributed via STUMPED:

import stumpy
import numpy as np
from dask.distributed import Client
dask_client = Client()

your_time_series = np.random.rand(10000)
window_size = 50  # Approximately, how many data points might be found in a pattern

matrix_profile = stumpy.stumped(dask_client, your_time_series, m=window_size)

GPU usage for 1-dimensional time series data with GPU-STUMP:

import stumpy
import numpy as np

your_time_series = np.random.rand(10000)
window_size = 50  # Approximately, how many data points might be found in a pattern

matrix_profile = stumpy.gpu_stump(your_time_series, m=window_size)

Multi-dimensional time series data with MSTUMP:

import stumpy
import numpy as np

your_time_series = np.random.rand(3, 1000)  # Each row represents data from a different dimension while each column represents data from the same dimension
window_size = 50  # Approximately, how many data points might be found in a pattern

matrix_profile, matrix_profile_indices = stumpy.mstump(your_time_series, m=window_size)

Distributed multi-dimensional time series data analysis with Dask Distributed MSTUMPED:

import stumpy
import numpy as np
from dask.distributed import Client
dask_client = Client()

your_time_series = np.random.rand(3, 1000)   # Each row represents data from a different dimension while each column represents data from the same dimension
window_size = 50  # Approximately, how many data points might be found in a pattern

matrix_profile, matrix_profile_indices = stumpy.mstumped(dask_client, your_time_series, m=window_size)

Time Series Chains with Anchored Time Series Chains (ATSC):

import stumpy
import numpy as np

your_time_series = np.random.rand(10000)
window_size = 50  # Approximately, how many data points might be found in a pattern

matrix_profile = stumpy.stump(your_time_series, m=window_size)

left_matrix_profile_index = matrix_profile[:, 2]
right_matrix_profile_index = matrix_profile[:, 3]
idx = 10  # Subsequence index for which to retrieve the anchored time series chain for

anchored_chain = stumpy.atsc(left_matrix_profile_index, right_matrix_profile_index, idx)

all_chain_set, longest_unanchored_chain = stumpy.allc(left_matrix_profile_index, right_matrix_profile_index)

Semantic Segmentation with Fast Low-cost Unipotent Semantic Segmentation (FLUSS):

import stumpy
import numpy as np

your_time_series = np.random.rand(10000)
window_size = 50  # Approximately, how many data points might be found in a pattern

matrix_profile = stumpy.stump(your_time_series, m=window_size)

subseq_len = 50
correct_arc_curve, regime_locations = stumpy.fluss(matrix_profile[:, 1],
                                                   L=subseq_len,
                                                   n_regimes=2,
                                                   excl_factor=1
                                                  )

Dependencies

Where to get it

Conda install (preferred):

conda install -c conda-forge stumpy

PyPI install, presuming you have numpy, scipy, and numba installed:

pip install stumpy

To install stumpy from source, see the instructions in the documentation.

Documentation

In order to fully understand and appreciate the underlying algorithms and applications, it is imperative that you read the original publications. For a more detailed example of how to use STUMPY please consult the latest documentation or explore the following tutorials:

  1. The Matrix Profile
  2. STUMPY Basics
  3. Time Series Chains
  4. Semantic Segmentation

Performance

We tested the performance using the Numba JIT compiled version of the code on randomly generated data with various lengths (i.e., np.random.rand(n)).

STUMPY Performance Plot

The raw results are displayed below as Hours:Minutes:Seconds.

i n = 2i GPU-STOMP STUMP.16 STUMPED.128 STUMPED.256
6 64 00:00:10.00 00:00:00.00 00:00:05.77 00:00:06.08
7 128 00:00:10.00 00:00:00.00 00:00:05.93 00:00:07.29
8 256 00:00:10.00 00:00:00.01 00:00:05.95 00:00:07.59
9 512 00:00:10.00 00:00:00.02 00:00:05.97 00:00:07.47
10 1024 00:00:10.00 00:00:00.04 00:00:05.69 00:00:07.64
11 2048 NaN 00:00:00.09 00:00:05.60 00:00:07.83
12 4096 NaN 00:00:00.19 00:00:06.26 00:00:07.90
13 8192 NaN 00:00:00.41 00:00:06.29 00:00:07.73
14 16384 NaN 00:00:00.99 00:00:06.24 00:00:08.18
15 32768 NaN 00:00:02.39 00:00:06.48 00:00:08.29
16 65536 NaN 00:00:06.42 00:00:07.33 00:00:09.01
17 131072 00:00:10.00 00:00:19.52 00:00:09.75 00:00:10.53
18 262144 00:00:18.00 00:01:08.44 00:00:33.38 00:00:24.07
19 524288 00:00:46.00 00:03:56.82 00:01:35.27 00:03:43.66
20 1048576 00:02:30.00 00:19:54.75 00:04:37.15 00:03:01.16
21 2097152 00:09:15.00 03:05:07.64 00:13:36.51 00:08:47.47
22 4194304 NaN 10:37:51.21 00:55:44.43 00:32:06.70
23 8388608 NaN 38:42:51.42 03:33:30.53 02:00:49.37
24 16777216 NaN NaN 13:03:43.86 07:13:47.12
NaN 17729800 09:16:12.00 NaN NaN 07:18:42.54
25 33554432 NaN NaN NaN 26:27:41.29
26 67108864 NaN NaN NaN 106:40:17.17
NaN 100000000 291:07:12.00 NaN NaN 234:51:35.39
27 134217728 NaN NaN NaN NaN

GPU-STOMP: Results are reproduced from the original Matrix Profile II paper - NVIDIA Tesla K80 (contains 2 GPUs)

STUMP.16: 16 CPUs in Total - 16x Intel(R) Xeon(R) CPU E5-2650 v4 @ 2.20GHz processors parallelized with Numba on a single server without Dask.

STUMPED.128: 128 CPUs in Total - 8x Intel(R) Xeon(R) CPU E5-2650 v4 @ 2.20GHz processors x 16 servers, parallelized with Numba, and distributed with Dask Distributed.

STUMPED.256: 256 CPUs in Total - 8x Intel(R) Xeon(R) CPU E5-2650 v4 @ 2.20GHz processors x 32 servers, parallelized with Numba, and distributed with Dask Distributed.

Running Tests

Tests are written in the tests directory and processed using PyTest and requires coverage.py for code coverage analysis. Tests can be executed with:

./test.sh

Python Version

STUMPY supports Python 3.6+ and, due to the use of unicode variable names/identifiers, is not compatible with Python 2.x. Given the small dependencies, STUMPY may work on older versions of Python but this is beyond the scope of our support and we strongly recommend that you upgrade to the most recent version of Python.

Getting Help

First, please check the issues on github to see if your question has already been answered there. If no solution is available there feel free to open a new issue and the authors will attempt to respond in a reasonably timely fashion.

Contributing

We welcome contributions in any form! Assistance with documentation, particularly expanding tutorials, is always welcome. To contribute please fork the project, make your changes, and submit a pull request. We will do our best to work through any issues with you and get your code merged into the main branch.

Citing

If you have used this codebase in a scientific publication and wish to cite it, please use the Journal of Open Source Software article.

S. M. Law, STUMPY: A Powerful and Scalable Python Library for Time Series Data Mining In: Journal of Open Source Software, The Open Journal, Volume 4, Number 39. 2019
@article{law2017stumpy,
  title={{STUMPY: A Powerful and Scalable Python Library for Time Series Data Mining}},
  author={Law, Sean M.},
  journal={{The Journal of Open Source Software}},
  volume={4},
  number={39},
  pages={1504},
  year={2019}
}

References

Yeh, Chin-Chia Michael, et al. (2016) Matrix Profile I: All Pairs Similarity Joins for Time Series: A Unifying View that Includes Motifs, Discords, and Shapelets. ICDM:1317-1322. Link

Zhu, Yan, et al. (2016) Matrix Profile II: Exploiting a Novel Algorithm and GPUs to Break the One Hundred Million Barrier for Time Series Motifs and Joins. ICDM:739-748. Link

Yeh, Chin-Chia Michael, et al. (2017) Matrix Profile VI: Meaningful Multidimensional Motif Discovery. ICDM:565-574. Link

Zhu, Yan, et al. (2017) Matrix Profile VII: Time Series Chains: A New Primitive for Time Series Data Mining. ICDM:695-704. Link

Gharghabi, Shaghayegh, et al. (2017) Matrix Profile VIII: Domain Agnostic Online Semantic Segmentation at Superhuman Performance Levels. ICDM:117-126. Link

License & Trademark

STUMPY
Copyright 2019 TD Ameritrade. Released under the terms of the 3-Clause BSD license.
STUMPY is a trademark of TD Ameritrade IP Company, Inc. All rights reserved.

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