stumpy 0.1

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

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…

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)

Multi-dimensional time series data with MSTUMP:

import stumpy
import numpy as np

your_time_series = np.random.rand(3, 1000)
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)
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:

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)

Dependencies

• NumPy

• Numba

• SciPy

Where to get it

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

pip install stumpy

To install stumpy from source, you’ll need to install the dependencies above. For maximum performance, it is recommended that you install all dependencies using conda:

conda install -y numpy
conda install -y scipy
conda install -y numba

Alternatively, but with lower performance, you can also install these dependencies using the requirements.txt file (found in the stumpy directory (same directory where you found this file after cloning the git repo)):

pip install -r requirements.txt

Once the dependencies are installed (stay inside of the stumpy directory), execute:

python setup.py install

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)). Results are displayed 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.

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 detailed docstrings or explore the following tutorials:

1. Matrix Profile - Tutorial #1

2. Time Series Chains - Tutorial #2

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 3.5+ 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.

References

Yeh, Chin-Chia Michael, et al. (2016) Matrix Profile I: All Pairs Similarity Joins for Time Series: A Unifiying 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 Disocvery. 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

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.