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f111952 Jul 24, 2014
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"""Cumulative sum algorithm (CUSUM) to detect abrupt changes in data."""
from __future__ import division, print_function
import numpy as np
__author__ = 'Marcos Duarte,'
__version__ = "1.0.4"
__license__ = "MIT"
def detect_cusum(x, threshold=1, drift=0, ending=False, show=True, ax=None):
"""Cumulative sum algorithm (CUSUM) to detect abrupt changes in data.
x : 1D array_like
threshold : positive number, optional (default = 1)
amplitude threshold for the change in the data.
drift : positive number, optional (default = 0)
drift term that prevents any change in the absence of change.
ending : bool, optional (default = False)
True (1) to estimate when the change ends; False (0) otherwise.
show : bool, optional (default = True)
True (1) plots data in matplotlib figure, False (0) don't plot.
ax : a matplotlib.axes.Axes instance, optional (default = None).
ta : 1D array_like [indi, indf], int
alarm time (index of when the change was detected).
tai : 1D array_like, int
index of when the change started.
taf : 1D array_like, int
index of when the change ended (if `ending` is True).
amp : 1D array_like, float
amplitude of changes (if `ending` is True).
Tuning of the CUSUM algorithm according to Gustafsson (2000)[1]_:
Start with a very large `threshold`.
Choose `drift` to one half of the expected change, or adjust `drift` such
that `g` = 0 more than 50% of the time.
Then set the `threshold` so the required number of false alarms (this can
be done automatically) or delay for detection is obtained.
If faster detection is sought, try to decrease `drift`.
If fewer false alarms are wanted, try to increase `drift`.
If there is a subset of the change times that does not make sense,
try to increase `drift`.
Note that by default repeated sequential changes, i.e., changes that have
the same beginning (`tai`) are not deleted because the changes were
detected by the alarm (`ta`) at different instants. This is how the
classical CUSUM algorithm operates.
If you want to delete the repeated sequential changes and keep only the
beginning of the first sequential change, set the parameter `ending` to
True. In this case, the index of the ending of the change (`taf`) and the
amplitude of the change (or of the total amplitude for a repeated
sequential change) are calculated and only the first change of the repeated
sequential changes is kept. In this case, it is likely that `ta`, `tai`,
and `taf` will have less values than when `ending` was set to False.
See this IPython Notebook [2]_.
.. [1] Gustafsson (2000) Adaptive Filtering and Change Detection.
.. [2] h
>>> from detect_cusum import detect_cusum
>>> x = np.random.randn(300)/5
>>> x[100:200] += np.arange(0, 4, 4/100)
>>> ta, tai, taf, amp = detect_cusum(x, 2, .02, True, True)
>>> x = np.random.randn(300)
>>> x[100:200] += 6
>>> detect_cusum(x, 4, 1.5, True, True)
>>> x = 2*np.sin(2*np.pi*np.arange(0, 3, .01))
>>> ta, tai, taf, amp = detect_cusum(x, 1, .05, True, True)
x = np.atleast_1d(x).astype('float64')
gp, gn = np.zeros(x.size), np.zeros(x.size)
ta, tai, taf = np.array([[], [], []], dtype=int)
tap, tan = 0, 0
amp = np.array([])
# Find changes (online form)
for i in range(1, x.size):
s = x[i] - x[i-1]
gp[i] = gp[i-1] + s - drift # cumulative sum for + change
gn[i] = gn[i-1] - s - drift # cumulative sum for - change
if gp[i] < 0:
gp[i], tap = 0, i
if gn[i] < 0:
gn[i], tan = 0, i
if gp[i] > threshold or gn[i] > threshold: # change detected!
ta = np.append(ta, i) # alarm index
tai = np.append(tai, tap if gp[i] > threshold else tan) # start
gp[i], gn[i] = 0, 0 # reset alarm
# Estimation of when the change ends (offline form)
if tai.size and ending:
_, tai2, _, _ = detect_cusum(x[::-1], threshold, drift, show=False)
taf = x.size - tai2[::-1] - 1
# Eliminate repeated changes, changes that have the same beginning
tai, ind = np.unique(tai, return_index=True)
ta = ta[ind]
# taf = np.unique(taf, return_index=False) # corect later
if tai.size != taf.size:
if tai.size < taf.size:
taf = taf[[np.argmax(taf >= i) for i in ta]]
ind = [np.argmax(i >= ta[::-1])-1 for i in taf]
ta = ta[ind]
tai = tai[ind]
# Delete intercalated changes (the ending of the change is after
# the beginning of the next change)
ind = taf[:-1] - tai[1:] > 0
if ind.any():
ta = ta[~np.append(False, ind)]
tai = tai[~np.append(False, ind)]
taf = taf[~np.append(ind, False)]
# Amplitude of changes
amp = x[taf] - x[tai]
if show:
_plot(x, threshold, drift, ending, ax, ta, tai, taf, gp, gn)
return ta, tai, taf, amp
def _plot(x, threshold, drift, ending, ax, ta, tai, taf, gp, gn):
"""Plot results of the detect_cusum function, see its help."""
import matplotlib.pyplot as plt
except ImportError:
print('matplotlib is not available.')
if ax is None:
_, (ax1, ax2) = plt.subplots(2, 1, figsize=(8, 6))
t = range(x.size)
ax1.plot(t, x, 'b-', lw=2)
if len(ta):
ax1.plot(tai, x[tai], '>', mfc='g', mec='g', ms=10,
if ending:
ax1.plot(taf, x[taf], '<', mfc='g', mec='g', ms=10,
ax1.plot(ta, x[ta], 'o', mfc='r', mec='r', mew=1, ms=5,
ax1.legend(loc='best', framealpha=.5, numpoints=1)
ax1.set_xlim(-.01*x.size, x.size*1.01-1)
ax1.set_xlabel('Data #', fontsize=14)
ax1.set_ylabel('Amplitude', fontsize=14)
ymin, ymax = x[np.isfinite(x)].min(), x[np.isfinite(x)].max()
yrange = ymax - ymin if ymax > ymin else 1
ax1.set_ylim(ymin - 0.1*yrange, ymax + 0.1*yrange)
ax1.set_title('Time series and detected changes ' +
'(threshold= %.3g, drift= %.3g): N changes = %d'
% (threshold, drift, len(tai)))
ax2.plot(t, gp, 'y-', label='+')
ax2.plot(t, gn, 'm-', label='-')
ax2.set_xlim(-.01*x.size, x.size*1.01-1)
ax2.set_xlabel('Data #', fontsize=14)
ax2.set_ylim(-0.01*threshold, 1.1*threshold)
ax2.axhline(threshold, color='r')
ax1.set_ylabel('Amplitude', fontsize=14)
ax2.set_title('Time series of the cumulative sums of ' +
'positive and negative changes')
ax2.legend(loc='best', framealpha=.5, numpoints=1)