(此篇笔记未完全完成)
需添加测试示例
对numpy数组的滑窗操作,像pandas的rolling那样
生成滑动窗口
# ---------------------- Numpy array rolling window操作 ---------------
# 简单操作如果是pandas有的 就转为pandas再处理比较快
def rolling_window(a, window, axis=0):
"""
返回2D array的滑窗array的array
"""
if axis == 0:
shape = (a.shape[0] - window +1, window, a.shape[-1])
strides = (a.strides[0],) + a.strides
a_rolling = np.lib.stride_tricks.as_strided(a, shape=shape, strides=strides)
elif axis==1:
shape = (a.shape[-1] - window +1,) + (a.shape[0], window)
strides = (a.strides[-1],) + a.strides
a_rolling = np.lib.stride_tricks.as_strided(a, shape=shape, strides=strides)
return a_rolling
测试:
进行apply function
# 对于pandas DataFrame自带的函数,对于大维度,还是pandas rolling method快
# 小数组的话,此方法快
# 上述的快,都是能十倍的速度比。
def rolling_mean(A, window=None):
ret = np.full(A.shape, np.nan)
A_rolling = rolling_window(A, window=window, axis=0)
Atmp = np.stack(map(lambda x:np.mean(x, axis=0), A_rolling))
ret[window-1:,:] = Atmp
return ret
def rolling_nanmean(A, window=None):
ret = np.full(A.shape, np.nan)
A_rolling = rolling_window(A, window=window, axis=0)
Atmp = np.stack(map(lambda x:np.nanmean(x, axis=0), A_rolling))
ret[window-1:,:] = Atmp
return ret
参考连接: