Numpy reshape from (m,w,l) to (w,m,l) dimension - python

I'm working with financial time series data and a bit confused with numpy reshape function. My goal is to calculate log-returns for adj_close parameter.
inputs = np.array([df_historical_data[key][-W:], axis = 1).values for key in stock_list])
inputs.shape //(8, 820, 5)
prices = inputs[:, :, 0]
prices.shape //(8, 820)
prices[:,0]
array([ 4.17000004e+02, 4.68800000e+00, 8.47889000e-03,
3.18835850e+00, 3.58412583e+00, 8.35364850e-01,
5.54610005e-04, 3.33600003e-05]) //close prices of 8 stock for 0 day
However for my program, I need the shape of my inputs be (820, 8, 5) so I decided to reshape my numpy array
inputs = np.array([df_historical_data[key][-W:], axis = 1).values for key in stock_list]).reshape(820, 8, 5)
inputs.shape //(820, 8, 5)
prices = inputs[:, :, 0]
prices.shape //(820, 8)
prices[0]
array([ 417.00000354, 436.5100001 , 441.00000442, 440. ,
416.10000178, 409.45245 , 422.999999 , 432.48000001])
// close price of 1 stock for 8 days
// but should be the same as in the example above
Seems that I didn't reshaped my array properly.
Anyway I can't understand why such strange behaviour occurs.

What you need is transpose not reshape.
Let's assume we have an array as follows:
import numpy as np
m, w, l = 2, 3, 4
array1 = np.array([[['m%d w%d l%d' % (mi, wi, li) for li in range(l)] for wi in range(w)] for mi in range(m)])
print(array1.shape)
print(array1)
Reshape is probably not what you want, but here is how can you do it:
array2 = array1.reshape(w, m, l)
print(array2.shape)
print(array2)
Here is how transpose is done:
# originally
# 0, 1, 2
# m, w, l
# -------
# transposed
array3 = array1.transpose(1, 0, 2)
# w, m, l
print(array3.shape)
print(array3)

Related

Numpy: Iterate multiplication of 3D array by 1D array

I have a 3D array (4,3,3) in which I would like to iteratively multiply with a 1D array (t variable) and sum to end up with an array (A) that is a summation of the four 3,3 arrays
I'm unsure on how I should be assigning indexes or how and if I should be using np.ndenumerate
Thanks
import numpy as np
import math
#Enter material constants for calculation of stiffness matrix
E1 = 20
E2 = 1.2
G12 = 0.8
v12=0.25
v21=(v12/E1)*E2
theta = np.array([30,-30,-30,30])
deg = ((math.pi*theta/180))
k = len(theta) #number of layers
t = np.array([0.005,0.005,0.005,0.005])
#Calculation of Q Values
Q11 = 1
Q12 = 2
Q21 = 3
Q22 = 4
Q66 = 5
Qbar = np.zeros((len(theta),3,3),order='F')
#CALCULATING THE VALUES OF THE QBAR MATRIX
for i, x in np.ndenumerate(deg):
m= np.cos(x) #sin of rotated lamina
n= np.sin(x) #cos of rotated lamina
Qbar11=Q11*3
Qbar12=Q22*4
Qbar16=Q16*4
Qbar21 = Qbar12
Qbar22=Q22*1
Qbar26=Q66*2
Qbar66=Q12*3
Qbar[i] = np.array([[Qbar11, Qbar12, Qbar16], [Qbar21, Qbar22, Qbar26], [Qbar16, Qbar26, Qbar66]], order = 'F')
print(Qbar)
A = np.zeros((3,3))
for i in np.nditer(t):
A[i]=Qbar[i]*t[i]
A=sum(A[i])
If I understand correctly, you want to multiply Qbar and t over the first axis, and then summing the result over the first axis (which results in an array of shape (3, 3)).
I created random arrays to make the code minimal:
import numpy as np
Qbar = np.random.randint(2, size=(4, 3, 3))
t = np.arange(4)
A = (Qbar * t[:, None, None]).sum(axis=0)
t[:, None, None] will create two new dimensions so that the shape becomes (4, 1, 1), which can be multiplied to Qbar element-wise. Then we just have to sum over the first axis.
NB: A = np.tensordot(t, Qbar, axes=([0],[0])) also works and can be faster for larger dimensions, but for the dimensions you provided I prefer the first solution.

selecting random elements from each column of numpy array

I have an n row, m column numpy array, and would like to create a new k x m array by selecting k random elements from each column of the array. I wrote the following python function to do this, but would like to implement something more efficient and faster:
def sample_array_cols(MyMatrix, nelements):
vmat = []
TempMat = MyMatrix.T
for v in TempMat:
v = np.ndarray.tolist(v)
subv = random.sample(v, nelements)
vmat = vmat + [subv]
return(np.array(vmat).T)
One question is whether there's a way to loop over each column without transposing the array (and then transposing back). More importantly, is there some way to map the random sample onto each column that would be faster than having a for loop over all columns? I don't have that much experience with numpy objects, but I would guess that there should be something analogous to apply/mapply in R that would work?
One alternative is to randomly generate the indices first, and then use take_along_axis to map them to the original array:
arr = np.random.randn(1000, 5000) # arbitrary
k = 10 # arbitrary
n, m = arr.shape
idx = np.random.randint(0, n, (k, m))
new = np.take_along_axis(arr, idx, axis=0)
Output (shape):
in [215]: new.shape
out[215]: (10, 500) # (k x m)
To sample each column without replacement just like your original solution
import numpy as np
matrix = np.arange(4*3).reshape(4,3)
matrix
Output
array([[ 0, 1, 2],
[ 3, 4, 5],
[ 6, 7, 8],
[ 9, 10, 11]])
k = 2
np.take_along_axis(matrix, np.random.rand(*matrix.shape).argsort(axis=0)[:k], axis=0)
Output
array([[ 9, 1, 2],
[ 3, 4, 11]])
I would
Pre-allocate the result array, and fill in columns, and
Use numpy index based indexing
def sample_array_cols(matrix, n_result):
(n,m) = matrix.shape
vmat = numpy.array([n_result, m], dtype= matrix.dtype)
for c in range(m):
random_indices = numpy.random.randint(0, n, n_result)
vmat[:,c] = matrix[random_indices, c]
return vmat
Not quite fully vectorized, but better than building up a list, and the code scans just like your description.

How to broadcast or vectorize a linear interpolation of a 2D array that uses scipy.ndimage map_coordinates?

I have recently hit a roadblock when it comes to performance. I know how to manually loop and do the interpolation from the origin cell to all the other cells by brute-forcing/looping each row and column in 2d array.
however when I process a 2D array of a shape say (3000, 3000), the linear spacing and the interpolation come to a standstill and severely hurt performance.
I am looking for a way I can optimize this loop, I am aware of vectorization and broadcasting just not sure how I can apply it in this situation.
I will explain it with code and figures
import numpy as np
from scipy.ndimage import map_coordinates
m = np.array([
[10,10,10,10,10,10],
[9,9,9,10,9,9],
[9,8,9,10,8,9],
[9,7,8,0,8,9],
[8,7,7,8,8,9],
[5,6,7,7,6,7]])
origin_row = 3
origin_col = 3
m_max = np.zeros(m.shape)
m_dist = np.zeros(m.shape)
rows, cols = m.shape
for col in range(cols):
for row in range(rows):
# Get spacing linear interpolation
x_plot = np.linspace(col, origin_col, 5)
y_plot = np.linspace(row, origin_row, 5)
# grab the interpolated line
interpolated_line = map_coordinates(m,
np.vstack((y_plot,
x_plot)),
order=1, mode='nearest')
m_max[row][col] = max(interpolated_line)
m_dist[row][col] = np.argmax(interpolated_line)
print(m)
print(m_max)
print(m_dist)
As you can see this is very brute force, and I have managed to broadcast all the code around this part but stuck on this part.
here is an illustration of what I am trying to achieve, I will go through the first iteration
1.) the input array
2.) the first loop from 0,0 to origin (3,3)
3.) this will return [10 9 9 8 0] and the max will be 10 and the index will be 0
5.) here is the output for the sample array I used
Here is an update of the performance based on the accepted answer.
To speed up the code, you could first create the x_plot and y_plot outside of the loops instead of creating them several times each one:
#this would be outside of the loops
num = 5
lin_col = np.array([np.linspace(i, origin_col, num) for i in range(cols)])
lin_row = np.array([np.linspace(i, origin_row, num) for i in range(rows)])
then you could access them in each loop by x_plot = lin_col[col] and y_plot = lin_row[row]
Second, you can avoid both loops by using map_coordinates on more than just one v_stack for each couple (row, col). To do so, you can create all the combinaisons of x_plot and y_plot by using np.tile and np.ravel such as:
arr_vs = np.vstack(( np.tile( lin_row, cols).ravel(),
np.tile( lin_col.ravel(), rows)))
Note that ravel is not used at the same place each time to get all the combinaisons. Now you can use map_coordinates with this arr_vs and reshape the result with the number of rows, cols and num to get each interpolated_line in the last axis of a 3D-array:
arr_map = map_coordinates(m, arr_vs, order=1, mode='nearest').reshape(rows,cols,num)
Finally, you can use np.max and np.argmax on the last axis of arr_map to get the results m_max and m_dist. So all the code would be:
import numpy as np
from scipy.ndimage import map_coordinates
m = np.array([
[10,10,10,10,10,10],
[9,9,9,10,9,9],
[9,8,9,10,8,9],
[9,7,8,0,8,9],
[8,7,7,8,8,9],
[5,6,7,7,6,7]])
origin_row = 3
origin_col = 3
rows, cols = m.shape
num = 5
lin_col = np.array([np.linspace(i, origin_col, num) for i in range(cols)])
lin_row = np.array([np.linspace(i, origin_row, num) for i in range(rows)])
arr_vs = np.vstack(( np.tile( lin_row, cols).ravel(),
np.tile( lin_col.ravel(), rows)))
arr_map = map_coordinates(m, arr_vs, order=1, mode='nearest').reshape(rows,cols,num)
m_max = np.max( arr_map, axis=-1)
m_dist = np.argmax( arr_map, axis=-1)
print (m_max)
print (m_dist)
and you get like expected:
#m_max
array([[10, 10, 10, 10, 10, 10],
[ 9, 9, 10, 10, 9, 9],
[ 9, 9, 9, 10, 8, 9],
[ 9, 8, 8, 0, 8, 9],
[ 8, 8, 7, 8, 8, 9],
[ 7, 7, 8, 8, 8, 8]])
#m_dist
array([[0, 0, 0, 0, 0, 0],
[0, 0, 2, 0, 0, 0],
[0, 2, 0, 0, 0, 0],
[0, 1, 0, 0, 0, 0],
[0, 2, 0, 0, 0, 0],
[1, 1, 2, 1, 2, 1]])
EDIT: lin_col and lin_row are related, so you can do faster:
if cols >= rows:
arr = np.arange(cols)[:,None]
lin_col = arr + (origin_col-arr)/(num-1.)*np.arange(num)
lin_row = lin_col[:rows] + np.linspace(0, origin_row - origin_col, num)[None,:]
else:
arr = np.arange(rows)[:,None]
lin_row = arr + (origin_row-arr)/(num-1.)*np.arange(num)
lin_col = lin_row[:cols] + np.linspace(0, origin_col - origin_row, num)[None,:]
Here is a sort-of-vectorized approach. It is not very optimized and there may be one or two index-off-by-one errors, but it may give you ideas.
Two examples a monochrome 384x512 test pattern and a "real" 3-channel 768x1024 image. Both are uint8.
This takes half a minute on my machine.
For larger images one would require more RAM than I have (8GB). Or one would have to break it down into smaller chunks.
And the code
import numpy as np
def rays(img, ctr):
M, N, *d = img.shape
aidx = 2*(slice(None),) + (img.ndim-2)*(None,)
m, n = ctr
out = np.empty_like(img)
offsI = np.empty(img.shape, np.uint16)
offsJ = np.empty(img.shape, np.uint16)
img4, out4, I4, J4 = ((x[m:, n:], x[m:, n::-1], x[m::-1, n:], x[m::-1, n::-1]) for x in (img, out, offsI, offsJ))
for i, o, y, x in zip(img4, out4, I4, J4):
for _ in range(2):
M, N, *d = i.shape
widths = np.arange(1, M+1, dtype=np.uint16).clip(None, N)
I = np.arange(M, dtype=np.uint16).repeat(widths)
J = np.ones_like(I)
J[0] = 0
J[widths[:-1].cumsum()] -= widths[:-1]
J = J.cumsum(dtype=np.uint16)
ii = np.arange(1, 2*M-1, dtype=np.uint16) // 2
II = ii.clip(None, I[:, None])
jj = np.arange(2*M-2, dtype=np.uint32) // 2 * 2 + 1
jj[0] = 0
JJ = ((1 + jj) * J[:, None] // (2*(I+1))[:, None]).astype(np.uint16).clip(None, J[:, None])
idx = i[II, JJ].argmax(axis=1)
II, JJ = (np.take_along_axis(ZZ[aidx] , idx[:, None], 1)[:, 0] for ZZ in (II, JJ))
y[I, J], x[I, J] = II, JJ
SH = II, JJ, *np.ogrid[tuple(map(slice, img.shape))][2:]
o[I, J] = i[SH]
i, o = i.swapaxes(0, 1), o.swapaxes(0, 1)
y, x = x.swapaxes(0, 1), y.swapaxes(0, 1)
return out, offsI, offsJ
from scipy.misc import face
f = face()
fr, *fidx = rays(f, (200, 400))
s = np.uint8((np.arange(384)[:, None] % 41 < 2)&(np.arange(512) % 41 < 2))
s = 255*s + 128*s[::-1, ::-1] + 64*s[::-1] + 32*s[:, ::-1]
sr, *sidx = rays(s, (200, 400))
import Image
Image.fromarray(f).show()
Image.fromarray(fr).show()
Image.fromarray(s).show()
Image.fromarray(sr).show()

Adding matrix rows to columns in numpy

Say I have two 3D matrices/tensors with dimensions:
[10, 3, 1000]
[10, 4, 1000]
How do I add each combination of the third dimensions of each vector together such that to get a dimension of:
[10, 3, 4, 1000]
So each row if you will, in the second x third dimension for each of the vectors adds to the other one in every combination. Sorry if this is not clear I'm having a hard time articulating this...
Is there some kind of clever way to do this with numpy or pytorch (perfectly happy with a numpy solution, though I'm trying to use this in a pytorch context so a torch tensor manipulation would be even better) that doesn't involve me writing a bunch of nested for loops?
Nested loops example:
x = np.random.randint(50, size=(32, 16, 512))
y = np.random.randint(50, size=(32, 21, 512))
scores = np.zeros(shape=(x.shape[0], x.shape[1], y.shape[1], 512))
for b in range(x.shape[0]):
for i in range(x.shape[1]):
for j in range(y.shape[1]):
scores[b, i, j, :] = y[b, j, :] + x[b, i, :]
Does it work for you?
import torch
x1 = torch.rand(5, 3, 6)
y1 = torch.rand(5, 4, 6)
dim1, dim2 = x1.size()[0:2], y1.size()[-2:]
x2 = x1.unsqueeze(2).expand(*dim1, *dim2)
y2 = y1.unsqueeze(1).expand(*dim1, *dim2)
result = x2 + y2
print(x1[0, 1, :])
print(y1[0, 2, :])
print(result[0, 1, 2, :])
Output:
0.2884
0.5253
0.1463
0.4632
0.8944
0.6218
[torch.FloatTensor of size 6]
0.5654
0.0536
0.9355
0.1405
0.9233
0.1738
[torch.FloatTensor of size 6]
0.8538
0.5789
1.0818
0.6037
1.8177
0.7955
[torch.FloatTensor of size 6]

NumPy indexing with varying position

I have an array input_data of shape (A, B, C), and an array ind of shape (B,). I want to loop through the B axis and take the sum of elements C[B[i]] and C[B[i]+1]. The desired output is of shape (A, B). I have the following code which works, but I feel is inefficient due to index-based looping through the B axis. Is there a more efficient method?
import numpy as np
input_data = np.random.rand(2, 6, 10)
ind = [ 2, 3, 5, 6, 5, 4 ]
out = np.zeros( ( input_data.shape[0], input_data.shape[1] ) )
for i in range( len(ind) ):
d = input_data[:, i, ind[i]:ind[i]+2]
out[:, i] = np.sum(d, axis = 1)
Edited based on Divakar's answer:
import timeit
import numpy as np
N = 1000
input_data = np.random.rand(10, N, 5000)
ind = ( 4999 * np.random.rand(N) ).astype(np.int)
def test_1(): # Old loop-based method
out = np.zeros( ( input_data.shape[0], input_data.shape[1] ) )
for i in range( len(ind) ):
d = input_data[:, i, ind[i]:ind[i]+2]
out[:, i] = np.sum(d, axis = 1)
return out
def test_2():
extent = 2 # Comes from 2 in "ind[i]:ind[i]+2"
m,n,r = input_data.shape
idx = (np.arange(n)*r + ind)[:,None] + np.arange(extent)
out1 = input_data.reshape(m,-1)[:,idx].reshape(m,n,-1).sum(2)
return out1
print timeit.timeit(stmt = test_1, number = 1000)
print timeit.timeit(stmt = test_2, number = 1000)
print np.all( test_1() == test_2(), keepdims = True )
>> 7.70429363482
>> 0.392034666757
>> [[ True]]
Here's a vectorized approach using linear indexing with some help from broadcasting. We merge the last two axes of the input array, calculate the linear indices corresponding to the last two axes, perform slicing and reshape back to a 3D shape. Finally, we do summation along the last axis to get the desired output. The implementation would look something like this -
extent = 2 # Comes from 2 in "ind[i]:ind[i]+2"
m,n,r = input_data.shape
idx = (np.arange(n)*r + ind)[:,None] + np.arange(extent)
out1 = input_data.reshape(m,-1)[:,idx].reshape(m,n,-1).sum(2)
If the extent is always going to be 2 as stated in the question - "... sum of elements C[B[i]] and C[B[i]+1]", then you could simply do -
m,n,r = input_data.shape
ind_arr = np.array(ind)
axis1_r = np.arange(n)
out2 = input_data[:,axis1_r,ind_arr] + input_data[:,axis1_r,ind_arr+1]
You could also use integer array indexing combined with basic slicing:
import numpy as np
m,n,r = 2, 6, 10
input_data = np.arange(2*6*10).reshape(m, n, r)
ind = np.array([ 2, 3, 5, 6, 5, 4 ])
out = np.zeros( ( input_data.shape[0], input_data.shape[1] ) )
for i in range( len(ind) ):
d = input_data[:, i, ind[i]:ind[i]+2]
out[:, i] = np.sum(d, axis = 1)
out2 = input_data[:, np.arange(n)[:,None], np.add.outer(ind,range(2))].sum(axis=-1)
print(out2)
# array([[ 5, 27, 51, 73, 91, 109],
# [125, 147, 171, 193, 211, 229]])
assert np.allclose(out, out2)

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