import numpy as np import pytest from pandas.compat import ( is_ci_environment, is_platform_mac, is_platform_windows, ) from pandas.errors import NumbaUtilError import pandas.util._test_decorators as td from pandas import ( DataFrame, Series, option_context, to_datetime, ) import pandas._testing as tm pytestmark = [ pytest.mark.single_cpu, pytest.mark.skipif( is_ci_environment() and (is_platform_windows() or is_platform_mac()), reason="On GHA CI, Windows can fail with " "'Windows fatal exception: stack overflow' " "and macOS can timeout", ), ] @pytest.fixture(params=["single", "table"]) def method(request): """method keyword in rolling/expanding/ewm constructor""" return request.param @pytest.fixture( params=[ ["sum", {}], ["mean", {}], ["median", {}], ["max", {}], ["min", {}], ["var", {}], ["var", {"ddof": 0}], ["std", {}], ["std", {"ddof": 0}], ] ) def arithmetic_numba_supported_operators(request): return request.param @td.skip_if_no("numba") @pytest.mark.filterwarnings("ignore") # Filter warnings when parallel=True and the function can't be parallelized by Numba class TestEngine: @pytest.mark.parametrize("jit", [True, False]) def test_numba_vs_cython_apply(self, jit, nogil, parallel, nopython, center, step): def f(x, *args): arg_sum = 0 for arg in args: arg_sum += arg return np.mean(x) + arg_sum if jit: import numba f = numba.jit(f) engine_kwargs = {"nogil": nogil, "parallel": parallel, "nopython": nopython} args = (2,) s = Series(range(10)) result = s.rolling(2, center=center, step=step).apply( f, args=args, engine="numba", engine_kwargs=engine_kwargs, raw=True ) expected = s.rolling(2, center=center, step=step).apply( f, engine="cython", args=args, raw=True ) tm.assert_series_equal(result, expected) @pytest.mark.parametrize( "data", [ DataFrame(np.eye(5)), DataFrame( [ [5, 7, 7, 7, np.nan, np.inf, 4, 3, 3, 3], [5, 7, 7, 7, np.nan, np.inf, 7, 3, 3, 3], [np.nan, np.nan, 5, 6, 7, 5, 5, 5, 5, 5], ] ).T, Series(range(5), name="foo"), Series([20, 10, 10, np.inf, 1, 1, 2, 3]), Series([20, 10, 10, np.nan, 10, 1, 2, 3]), ], ) def test_numba_vs_cython_rolling_methods( self, data, nogil, parallel, nopython, arithmetic_numba_supported_operators, step, ): method, kwargs = arithmetic_numba_supported_operators engine_kwargs = {"nogil": nogil, "parallel": parallel, "nopython": nopython} roll = data.rolling(3, step=step) result = getattr(roll, method)( engine="numba", engine_kwargs=engine_kwargs, **kwargs ) expected = getattr(roll, method)(engine="cython", **kwargs) tm.assert_equal(result, expected) @pytest.mark.parametrize( "data", [DataFrame(np.eye(5)), Series(range(5), name="foo")] ) def test_numba_vs_cython_expanding_methods( self, data, nogil, parallel, nopython, arithmetic_numba_supported_operators ): method, kwargs = arithmetic_numba_supported_operators engine_kwargs = {"nogil": nogil, "parallel": parallel, "nopython": nopython} data = DataFrame(np.eye(5)) expand = data.expanding() result = getattr(expand, method)( engine="numba", engine_kwargs=engine_kwargs, **kwargs ) expected = getattr(expand, method)(engine="cython", **kwargs) tm.assert_equal(result, expected) @pytest.mark.parametrize("jit", [True, False]) def test_cache_apply(self, jit, nogil, parallel, nopython, step): # Test that the functions are cached correctly if we switch functions def func_1(x): return np.mean(x) + 4 def func_2(x): return np.std(x) * 5 if jit: import numba func_1 = numba.jit(func_1) func_2 = numba.jit(func_2) engine_kwargs = {"nogil": nogil, "parallel": parallel, "nopython": nopython} roll = Series(range(10)).rolling(2, step=step) result = roll.apply( func_1, engine="numba", engine_kwargs=engine_kwargs, raw=True ) expected = roll.apply(func_1, engine="cython", raw=True) tm.assert_series_equal(result, expected) result = roll.apply( func_2, engine="numba", engine_kwargs=engine_kwargs, raw=True ) expected = roll.apply(func_2, engine="cython", raw=True) tm.assert_series_equal(result, expected) # This run should use the cached func_1 result = roll.apply( func_1, engine="numba", engine_kwargs=engine_kwargs, raw=True ) expected = roll.apply(func_1, engine="cython", raw=True) tm.assert_series_equal(result, expected) @pytest.mark.parametrize( "window,window_kwargs", [ ["rolling", {"window": 3, "min_periods": 0}], ["expanding", {}], ], ) def test_dont_cache_args( self, window, window_kwargs, nogil, parallel, nopython, method ): # GH 42287 def add(values, x): return np.sum(values) + x engine_kwargs = {"nopython": nopython, "nogil": nogil, "parallel": parallel} df = DataFrame({"value": [0, 0, 0]}) result = getattr(df, window)(method=method, **window_kwargs).apply( add, raw=True, engine="numba", engine_kwargs=engine_kwargs, args=(1,) ) expected = DataFrame({"value": [1.0, 1.0, 1.0]}) tm.assert_frame_equal(result, expected) result = getattr(df, window)(method=method, **window_kwargs).apply( add, raw=True, engine="numba", engine_kwargs=engine_kwargs, args=(2,) ) expected = DataFrame({"value": [2.0, 2.0, 2.0]}) tm.assert_frame_equal(result, expected) def test_dont_cache_engine_kwargs(self): # If the user passes a different set of engine_kwargs don't return the same # jitted function nogil = False parallel = True nopython = True def func(x): return nogil + parallel + nopython engine_kwargs = {"nopython": nopython, "nogil": nogil, "parallel": parallel} df = DataFrame({"value": [0, 0, 0]}) result = df.rolling(1).apply( func, raw=True, engine="numba", engine_kwargs=engine_kwargs ) expected = DataFrame({"value": [2.0, 2.0, 2.0]}) tm.assert_frame_equal(result, expected) parallel = False engine_kwargs = {"nopython": nopython, "nogil": nogil, "parallel": parallel} result = df.rolling(1).apply( func, raw=True, engine="numba", engine_kwargs=engine_kwargs ) expected = DataFrame({"value": [1.0, 1.0, 1.0]}) tm.assert_frame_equal(result, expected) @td.skip_if_no("numba") class TestEWM: @pytest.mark.parametrize( "grouper", [lambda x: x, lambda x: x.groupby("A")], ids=["None", "groupby"] ) @pytest.mark.parametrize("method", ["mean", "sum"]) def test_invalid_engine(self, grouper, method): df = DataFrame({"A": ["a", "b", "a", "b"], "B": range(4)}) with pytest.raises(ValueError, match="engine must be either"): getattr(grouper(df).ewm(com=1.0), method)(engine="foo") @pytest.mark.parametrize( "grouper", [lambda x: x, lambda x: x.groupby("A")], ids=["None", "groupby"] ) @pytest.mark.parametrize("method", ["mean", "sum"]) def test_invalid_engine_kwargs(self, grouper, method): df = DataFrame({"A": ["a", "b", "a", "b"], "B": range(4)}) with pytest.raises(ValueError, match="cython engine does not"): getattr(grouper(df).ewm(com=1.0), method)( engine="cython", engine_kwargs={"nopython": True} ) @pytest.mark.parametrize("grouper", ["None", "groupby"]) @pytest.mark.parametrize("method", ["mean", "sum"]) def test_cython_vs_numba( self, grouper, method, nogil, parallel, nopython, ignore_na, adjust ): df = DataFrame({"B": range(4)}) if grouper == "None": grouper = lambda x: x else: df["A"] = ["a", "b", "a", "b"] grouper = lambda x: x.groupby("A") if method == "sum": adjust = True ewm = grouper(df).ewm(com=1.0, adjust=adjust, ignore_na=ignore_na) engine_kwargs = {"nogil": nogil, "parallel": parallel, "nopython": nopython} result = getattr(ewm, method)(engine="numba", engine_kwargs=engine_kwargs) expected = getattr(ewm, method)(engine="cython") tm.assert_frame_equal(result, expected) @pytest.mark.parametrize("grouper", ["None", "groupby"]) def test_cython_vs_numba_times(self, grouper, nogil, parallel, nopython, ignore_na): # GH 40951 df = DataFrame({"B": [0, 0, 1, 1, 2, 2]}) if grouper == "None": grouper = lambda x: x else: grouper = lambda x: x.groupby("A") df["A"] = ["a", "b", "a", "b", "b", "a"] halflife = "23 days" times = to_datetime( [ "2020-01-01", "2020-01-01", "2020-01-02", "2020-01-10", "2020-02-23", "2020-01-03", ] ) ewm = grouper(df).ewm( halflife=halflife, adjust=True, ignore_na=ignore_na, times=times ) engine_kwargs = {"nogil": nogil, "parallel": parallel, "nopython": nopython} result = ewm.mean(engine="numba", engine_kwargs=engine_kwargs) expected = ewm.mean(engine="cython") tm.assert_frame_equal(result, expected) @td.skip_if_no("numba") def test_use_global_config(): def f(x): return np.mean(x) + 2 s = Series(range(10)) with option_context("compute.use_numba", True): result = s.rolling(2).apply(f, engine=None, raw=True) expected = s.rolling(2).apply(f, engine="numba", raw=True) tm.assert_series_equal(expected, result) @td.skip_if_no("numba") def test_invalid_kwargs_nopython(): with pytest.raises(NumbaUtilError, match="numba does not support kwargs with"): Series(range(1)).rolling(1).apply( lambda x: x, kwargs={"a": 1}, engine="numba", raw=True ) @td.skip_if_no("numba") @pytest.mark.slow @pytest.mark.filterwarnings("ignore") # Filter warnings when parallel=True and the function can't be parallelized by Numba class TestTableMethod: def test_table_series_valueerror(self): def f(x): return np.sum(x, axis=0) + 1 with pytest.raises( ValueError, match="method='table' not applicable for Series objects." ): Series(range(1)).rolling(1, method="table").apply( f, engine="numba", raw=True ) def test_table_method_rolling_methods( self, axis, nogil, parallel, nopython, arithmetic_numba_supported_operators, step, ): method, kwargs = arithmetic_numba_supported_operators engine_kwargs = {"nogil": nogil, "parallel": parallel, "nopython": nopython} df = DataFrame(np.eye(3)) roll_table = df.rolling(2, method="table", axis=axis, min_periods=0, step=step) if method in ("var", "std"): with pytest.raises(NotImplementedError, match=f"{method} not supported"): getattr(roll_table, method)( engine_kwargs=engine_kwargs, engine="numba", **kwargs ) else: roll_single = df.rolling( 2, method="single", axis=axis, min_periods=0, step=step ) result = getattr(roll_table, method)( engine_kwargs=engine_kwargs, engine="numba", **kwargs ) expected = getattr(roll_single, method)( engine_kwargs=engine_kwargs, engine="numba", **kwargs ) tm.assert_frame_equal(result, expected) def test_table_method_rolling_apply(self, axis, nogil, parallel, nopython, step): engine_kwargs = {"nogil": nogil, "parallel": parallel, "nopython": nopython} def f(x): return np.sum(x, axis=0) + 1 df = DataFrame(np.eye(3)) result = df.rolling( 2, method="table", axis=axis, min_periods=0, step=step ).apply(f, raw=True, engine_kwargs=engine_kwargs, engine="numba") expected = df.rolling( 2, method="single", axis=axis, min_periods=0, step=step ).apply(f, raw=True, engine_kwargs=engine_kwargs, engine="numba") tm.assert_frame_equal(result, expected) def test_table_method_rolling_weighted_mean(self, step): def weighted_mean(x): arr = np.ones((1, x.shape[1])) arr[:, :2] = (x[:, :2] * x[:, 2]).sum(axis=0) / x[:, 2].sum() return arr df = DataFrame([[1, 2, 0.6], [2, 3, 0.4], [3, 4, 0.2], [4, 5, 0.7]]) result = df.rolling(2, method="table", min_periods=0, step=step).apply( weighted_mean, raw=True, engine="numba" ) expected = DataFrame( [ [1.0, 2.0, 1.0], [1.8, 2.0, 1.0], [3.333333, 2.333333, 1.0], [1.555556, 7, 1.0], ] )[::step] tm.assert_frame_equal(result, expected) def test_table_method_expanding_apply(self, axis, nogil, parallel, nopython): engine_kwargs = {"nogil": nogil, "parallel": parallel, "nopython": nopython} def f(x): return np.sum(x, axis=0) + 1 df = DataFrame(np.eye(3)) result = df.expanding(method="table", axis=axis).apply( f, raw=True, engine_kwargs=engine_kwargs, engine="numba" ) expected = df.expanding(method="single", axis=axis).apply( f, raw=True, engine_kwargs=engine_kwargs, engine="numba" ) tm.assert_frame_equal(result, expected) def test_table_method_expanding_methods( self, axis, nogil, parallel, nopython, arithmetic_numba_supported_operators ): method, kwargs = arithmetic_numba_supported_operators engine_kwargs = {"nogil": nogil, "parallel": parallel, "nopython": nopython} df = DataFrame(np.eye(3)) expand_table = df.expanding(method="table", axis=axis) if method in ("var", "std"): with pytest.raises(NotImplementedError, match=f"{method} not supported"): getattr(expand_table, method)( engine_kwargs=engine_kwargs, engine="numba", **kwargs ) else: expand_single = df.expanding(method="single", axis=axis) result = getattr(expand_table, method)( engine_kwargs=engine_kwargs, engine="numba", **kwargs ) expected = getattr(expand_single, method)( engine_kwargs=engine_kwargs, engine="numba", **kwargs ) tm.assert_frame_equal(result, expected) @pytest.mark.parametrize("data", [np.eye(3), np.ones((2, 3)), np.ones((3, 2))]) @pytest.mark.parametrize("method", ["mean", "sum"]) def test_table_method_ewm(self, data, method, axis, nogil, parallel, nopython): engine_kwargs = {"nogil": nogil, "parallel": parallel, "nopython": nopython} df = DataFrame(data) result = getattr(df.ewm(com=1, method="table", axis=axis), method)( engine_kwargs=engine_kwargs, engine="numba" ) expected = getattr(df.ewm(com=1, method="single", axis=axis), method)( engine_kwargs=engine_kwargs, engine="numba" ) tm.assert_frame_equal(result, expected)