Static extension work for time series.

Microsoft.ML.sln

@@ -147,6 +147,8 @@ Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "Microsoft.ML.OnnxTransform.
 EndProject
 Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "Microsoft.ML.LightGBM.StaticPipe", "src\Microsoft.ML.LightGBM.StaticPipe\Microsoft.ML.LightGBM.StaticPipe.csproj", "{22C51B08-ACAE-47B2-A312-462DC239A23B}"
 EndProject
+Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "Microsoft.ML.TimeSeries.StaticPipe", "src\Microsoft.ML.TimeSeries.StaticPipe\Microsoft.ML.TimeSeries.StaticPipe.csproj", "{06A147ED-15EA-4106-9105-9B745125B470}"
+EndProject
 Global
 	GlobalSection(SolutionConfigurationPlatforms) = preSolution
 		Debug|Any CPU = Debug|Any CPU
@@ -781,6 +783,18 @@ Global
 		{22C51B08-ACAE-47B2-A312-462DC239A23B}.Release-Intrinsics|Any CPU.Build.0 = Release-Intrinsics|Any CPU
 		{22C51B08-ACAE-47B2-A312-462DC239A23B}.Release-netfx|Any CPU.ActiveCfg = Release-netfx|Any CPU
 		{22C51B08-ACAE-47B2-A312-462DC239A23B}.Release-netfx|Any CPU.Build.0 = Release-netfx|Any CPU
+		{06A147ED-15EA-4106-9105-9B745125B470}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
+		{06A147ED-15EA-4106-9105-9B745125B470}.Debug|Any CPU.Build.0 = Debug|Any CPU
+		{06A147ED-15EA-4106-9105-9B745125B470}.Debug-Intrinsics|Any CPU.ActiveCfg = Debug-Intrinsics|Any CPU
+		{06A147ED-15EA-4106-9105-9B745125B470}.Debug-Intrinsics|Any CPU.Build.0 = Debug-Intrinsics|Any CPU
+		{06A147ED-15EA-4106-9105-9B745125B470}.Debug-netfx|Any CPU.ActiveCfg = Debug-netfx|Any CPU
+		{06A147ED-15EA-4106-9105-9B745125B470}.Debug-netfx|Any CPU.Build.0 = Debug-netfx|Any CPU
+		{06A147ED-15EA-4106-9105-9B745125B470}.Release|Any CPU.ActiveCfg = Release|Any CPU
+		{06A147ED-15EA-4106-9105-9B745125B470}.Release|Any CPU.Build.0 = Release|Any CPU
+		{06A147ED-15EA-4106-9105-9B745125B470}.Release-Intrinsics|Any CPU.ActiveCfg = Release-Intrinsics|Any CPU
+		{06A147ED-15EA-4106-9105-9B745125B470}.Release-Intrinsics|Any CPU.Build.0 = Release-Intrinsics|Any CPU
+		{06A147ED-15EA-4106-9105-9B745125B470}.Release-netfx|Any CPU.ActiveCfg = Release-netfx|Any CPU
+		{06A147ED-15EA-4106-9105-9B745125B470}.Release-netfx|Any CPU.Build.0 = Release-netfx|Any CPU
 	EndGlobalSection
 	GlobalSection(SolutionProperties) = preSolution
 		HideSolutionNode = FALSE
@@ -843,6 +857,7 @@ Global
 		{2F25EF6A-C754-45BE-AD9E-7DDF46A1B51A} = {09EADF06-BE25-4228-AB53-95AE3E15B530}
 		{D1324668-9568-40F4-AA55-30A9A516C230} = {09EADF06-BE25-4228-AB53-95AE3E15B530}
 		{22C51B08-ACAE-47B2-A312-462DC239A23B} = {09EADF06-BE25-4228-AB53-95AE3E15B530}
+		{06A147ED-15EA-4106-9105-9B745125B470} = {09EADF06-BE25-4228-AB53-95AE3E15B530}
 	EndGlobalSection
 	GlobalSection(ExtensibilityGlobals) = postSolution
 		SolutionGuid = {41165AF1-35BB-4832-A189-73060F82B01D}

src/Microsoft.ML.Core/Properties/AssemblyInfo.cs

@@ -45,6 +45,7 @@
 [assembly: InternalsVisibleTo(assemblyName: "Microsoft.ML.HalLearners.StaticPipe" + PublicKey.Value)]
 [assembly: InternalsVisibleTo(assemblyName: "Microsoft.ML.OnnxTransform.StaticPipe" + PublicKey.Value)]
 [assembly: InternalsVisibleTo(assemblyName: "Microsoft.ML.LightGBM.StaticPipe" + PublicKey.Value)]
+[assembly: InternalsVisibleTo(assemblyName: "Microsoft.ML.TimeSeries.StaticPipe" + PublicKey.Value)]
 
 [assembly: InternalsVisibleTo(assemblyName: "Microsoft.ML.Internal.MetaLinearLearner" + InternalPublicKey.Value)]
 [assembly: InternalsVisibleTo(assemblyName: "TreeVisualizer" + InternalPublicKey.Value)]

src/Microsoft.ML.TimeSeries.StaticPipe/Microsoft.ML.TimeSeries.StaticPipe.csproj

@@ -0,0 +1,13 @@
+<Project Sdk="Microsoft.NET.Sdk">
+
+  <PropertyGroup>
+    <TargetFramework>netstandard2.0</TargetFramework>
+  </PropertyGroup>
+
+  <ItemGroup>
+    <ProjectReference Include="..\Microsoft.ML.Data\Microsoft.ML.Data.csproj" />
+    <ProjectReference Include="..\Microsoft.ML.StaticPipe\Microsoft.ML.StaticPipe.csproj" />
+    <ProjectReference Include="..\Microsoft.ML.TimeSeries\Microsoft.ML.TimeSeries.csproj" />
+  </ItemGroup>
+
+</Project>

src/Microsoft.ML.TimeSeries.StaticPipe/TimeSeriesStatic.cs

@@ -0,0 +1,314 @@
+// Licensed to the .NET Foundation under one or more agreements.
+// The .NET Foundation licenses this file to you under the MIT license.
+// See the LICENSE file in the project root for more information.
+
+using System.Collections.Generic;
+using Microsoft.ML.Core.Data;
+using Microsoft.ML.StaticPipe.Runtime;
+using Microsoft.ML.TimeSeriesProcessing;
+
+namespace Microsoft.ML.StaticPipe
+{
+    using IidBase = Microsoft.ML.TimeSeriesProcessing.SequentialAnomalyDetectionTransformBase<float, Microsoft.ML.TimeSeriesProcessing.IidAnomalyDetectionBase.State>;
+    using SsaBase = Microsoft.ML.TimeSeriesProcessing.SequentialAnomalyDetectionTransformBase<float, Microsoft.ML.TimeSeriesProcessing.SsaAnomalyDetectionBase.State>;
+
+    /// <summary>
+    /// Static API extension methods for <see cref="IidChangePointEstimator"/>.
+    /// </summary>
+    public static class IidChangePointStaticExtensions
+    {
+        private sealed class OutColumn : Vector<double>
+        {
+            public PipelineColumn Input { get; }
+
+            public OutColumn(
+                Scalar<float> input,
+                int confidence,
+                int changeHistoryLength,
+                IidBase.MartingaleType martingale,
+                double eps)
+                : base(new Reconciler(confidence, changeHistoryLength, martingale, eps), input)
+            {
+                Input = input;
+            }
+        }
+
+        private sealed class Reconciler : EstimatorReconciler
+        {
+            private readonly int _confidence;
+            private readonly int _changeHistoryLength;
+            private readonly IidBase.MartingaleType _martingale;
+            private readonly double _eps;
+
+            public Reconciler(
+                int confidence,
+                int changeHistoryLength,
+                IidBase.MartingaleType martingale,
+                double eps)
+            {
+                _confidence = confidence;
+                _changeHistoryLength = changeHistoryLength;
+                _martingale = martingale;
+                _eps = eps;
+            }
+
+            public override IEstimator<ITransformer> Reconcile(IHostEnvironment env,
+                PipelineColumn[] toOutput,
+                IReadOnlyDictionary<PipelineColumn, string> inputNames,
+                IReadOnlyDictionary<PipelineColumn, string> outputNames,
+                IReadOnlyCollection<string> usedNames)
+            {
+                Contracts.Assert(toOutput.Length == 1);
+                var outCol = (OutColumn)toOutput[0];
+                return new IidChangePointEstimator(env,
+                    inputNames[outCol.Input],
+                    outputNames[outCol],
+                    _confidence,
+                    _changeHistoryLength,
+                    _martingale,
+                    _eps);
+            }
+        }
+
+        /// <summary>
+        /// Perform IID change point detection over a column of time series data. See <see cref="IidChangePointEstimator"/>.
+        /// </summary>
+        public static Vector<double> IidChangePointDetect(
+            this Scalar<float> input,
+            int confidence,
+            int changeHistoryLength,
+            IidBase.MartingaleType martingale = IidBase.MartingaleType.Power,
+            double eps = 0.1) => new OutColumn(input, confidence, changeHistoryLength, martingale, eps);
+    }
+
+    /// <summary>
+    /// Static API extension methods for <see cref="IidSpikeEstimator"/>.
+    /// </summary>
+    public static class IidSpikeDetectorStaticExtensions
+    {
+        private sealed class OutColumn : Vector<double>
+        {
+            public PipelineColumn Input { get; }
+
+            public OutColumn(Scalar<float> input,
+                int confidence,
+                int pvalueHistoryLength,
+                IidBase.AnomalySide side)
+                : base(new Reconciler(confidence, pvalueHistoryLength, side), input)
+            {
+                Input = input;
+            }
+        }
+
+        private sealed class Reconciler : EstimatorReconciler
+        {
+            private readonly int _confidence;
+            private readonly int _pvalueHistoryLength;
+            private readonly IidBase.AnomalySide _side;
+
+            public Reconciler(
+                int confidence,
+                int pvalueHistoryLength,
+                IidBase.AnomalySide side)
+            {
+                _confidence = confidence;
+                _pvalueHistoryLength = pvalueHistoryLength;
+                _side = side;
+            }
+
+            public override IEstimator<ITransformer> Reconcile(IHostEnvironment env,
+                PipelineColumn[] toOutput,
+                IReadOnlyDictionary<PipelineColumn, string> inputNames,
+                IReadOnlyDictionary<PipelineColumn, string> outputNames,
+                IReadOnlyCollection<string> usedNames)
+            {
+                Contracts.Assert(toOutput.Length == 1);
+                var outCol = (OutColumn)toOutput[0];
+                return new IidSpikeEstimator(env,
+                    inputNames[outCol.Input],
+                    outputNames[outCol],
+                    _confidence,
+                    _pvalueHistoryLength,
+                    _side);
+            }
+        }
+
+        /// <summary>
+        /// Perform IID spike detection over a column of time series data. See <see cref="IidSpikeEstimator"/>.
+        /// </summary>
+        public static Vector<double> IidSpikeDetect(
+            this Scalar<float> input,
+            int confidence,
+            int pvalueHistoryLength,
+            IidBase.AnomalySide side = IidBase.AnomalySide.TwoSided
+            ) => new OutColumn(input, confidence, pvalueHistoryLength, side);
+    }
+
+    /// <summary>
+    /// Static API extension methods for <see cref="SsaChangePointEstimator"/>.
+    /// </summary>
+    public static class SsaChangePointStaticExtensions
+    {
+        private sealed class OutColumn : Vector<double>
+        {
+            public PipelineColumn Input { get; }
+
+            public OutColumn(Scalar<float> input,
+                int confidence,
+                int changeHistoryLength,
+                int trainingWindowSize,
+                int seasonalityWindowSize,
+                ErrorFunctionUtils.ErrorFunction errorFunction,
+                SsaBase.MartingaleType martingale,
+                double eps)
+                : base(new Reconciler(confidence, changeHistoryLength, trainingWindowSize, seasonalityWindowSize, errorFunction, martingale, eps), input)
+            {
+                Input = input;
+            }
+        }
+
+        private sealed class Reconciler : EstimatorReconciler
+        {
+            private readonly int _confidence;
+            private readonly int _changeHistoryLength;
+            private readonly int _trainingWindowSize;
+            private readonly int _seasonalityWindowSize;
+            private readonly ErrorFunctionUtils.ErrorFunction _errorFunction;
+            private readonly SsaBase.MartingaleType _martingale;
+            private readonly double _eps;
+
+            public Reconciler(
+                int confidence,
+                int changeHistoryLength,
+                int trainingWindowSize,
+                int seasonalityWindowSize,
+                ErrorFunctionUtils.ErrorFunction errorFunction,
+                SsaBase.MartingaleType martingale,
+                double eps)
+            {
+                _confidence = confidence;
+                _changeHistoryLength = changeHistoryLength;
+                _trainingWindowSize = trainingWindowSize;
+                _seasonalityWindowSize = seasonalityWindowSize;
+                _errorFunction = errorFunction;
+                _martingale = martingale;
+                _eps = eps;
+            }
+
+            public override IEstimator<ITransformer> Reconcile(IHostEnvironment env,
+                PipelineColumn[] toOutput,
+                IReadOnlyDictionary<PipelineColumn, string> inputNames,
+                IReadOnlyDictionary<PipelineColumn, string> outputNames,
+                IReadOnlyCollection<string> usedNames)
+            {
+                Contracts.Assert(toOutput.Length == 1);
+                var outCol = (OutColumn)toOutput[0];
+                return new SsaChangePointEstimator(env,
+                    inputNames[outCol.Input],
+                    outputNames[outCol],
+                    _confidence,
+                    _changeHistoryLength,
+                    _trainingWindowSize,
+                    _seasonalityWindowSize,
+                    _errorFunction,
+                    _martingale,
+                    _eps);
+            }
+        }
+
+        /// <summary>
+        /// Perform SSA change point detection over a column of time series data. See <see cref="SsaChangePointEstimator"/>.
+        /// </summary>
+        public static Vector<double> SsaChangePointDetect(
+            this Scalar<float> input,
+            int confidence,
+            int changeHistoryLength,
+            int trainingWindowSize,
+            int seasonalityWindowSize,
+            ErrorFunctionUtils.ErrorFunction errorFunction = ErrorFunctionUtils.ErrorFunction.SignedDifference,
+            SsaBase.MartingaleType martingale = SsaBase.MartingaleType.Power,
+            double eps = 0.1) => new OutColumn(input, confidence, changeHistoryLength, trainingWindowSize, seasonalityWindowSize, errorFunction, martingale, eps);
+    }
+
+    /// <summary>
+    /// Static API extension methods for <see cref="SsaSpikeEstimator"/>.
+    /// </summary>
+    public static class SsaSpikeDetecotStaticExtensions
+    {
+        private sealed class OutColumn : Vector<double>
+        {
+            public PipelineColumn Input { get; }
+
+            public OutColumn(Scalar<float> input,
+                int confidence,
+                int pvalueHistoryLength,
+                int trainingWindowSize,
+                int seasonalityWindowSize,
+                SsaBase.AnomalySide side,
+                ErrorFunctionUtils.ErrorFunction errorFunction)
+                : base(new Reconciler(confidence, pvalueHistoryLength, trainingWindowSize, seasonalityWindowSize, side, errorFunction), input)
+            {
+                Input = input;
+            }
+        }
+
+        private sealed class Reconciler : EstimatorReconciler
+        {
+            private readonly int _confidence;
+            private readonly int _pvalueHistoryLength;
+            private readonly int _trainingWindowSize;
+            private readonly int _seasonalityWindowSize;
+            private readonly SsaBase.AnomalySide _side;
+            private readonly ErrorFunctionUtils.ErrorFunction _errorFunction;
+
+            public Reconciler(
+                int confidence,
+                int pvalueHistoryLength,
+                int trainingWindowSize,
+                int seasonalityWindowSize,
+                SsaBase.AnomalySide side,
+                ErrorFunctionUtils.ErrorFunction errorFunction)
+            {
+                _confidence = confidence;
+                _pvalueHistoryLength = pvalueHistoryLength;
+                _trainingWindowSize = trainingWindowSize;
+                _seasonalityWindowSize = seasonalityWindowSize;
+                _side = side;
+                _errorFunction = errorFunction;
+            }
+
+            public override IEstimator<ITransformer> Reconcile(IHostEnvironment env,
+                PipelineColumn[] toOutput,
+                IReadOnlyDictionary<PipelineColumn, string> inputNames,
+                IReadOnlyDictionary<PipelineColumn, string> outputNames,
+                IReadOnlyCollection<string> usedNames)
+            {
+                Contracts.Assert(toOutput.Length == 1);
+                var outCol = (OutColumn)toOutput[0];
+                return new SsaSpikeEstimator(env,
+                    inputNames[outCol.Input],
+                    outputNames[outCol],
+                    _confidence,
+                    _pvalueHistoryLength,
+                    _trainingWindowSize,
+                    _seasonalityWindowSize,
+                    _side,
+                    _errorFunction);
+            }
+        }
+
+        /// <summary>
+        /// Perform SSA spike detection over a column of time series data. See <see cref="SsaSpikeEstimator"/>.
+        /// </summary>
+        public static Vector<double> SsaSpikeDetect(
+            this Scalar<float> input,
+            int confidence,
+            int changeHistoryLength,
+            int trainingWindowSize,
+            int seasonalityWindowSize,
+            SsaBase.AnomalySide side = SsaBase.AnomalySide.TwoSided,
+            ErrorFunctionUtils.ErrorFunction errorFunction = ErrorFunctionUtils.ErrorFunction.SignedDifference
+            ) => new OutColumn(input, confidence, changeHistoryLength, trainingWindowSize, seasonalityWindowSize, side, errorFunction);
+
+    }
+}

test/Microsoft.ML.TimeSeries.Tests/Microsoft.ML.TimeSeries.Tests.csproj

@@ -5,6 +5,7 @@
   <ItemGroup>
     <ProjectReference Include="..\..\src\Microsoft.ML.Core\Microsoft.ML.Core.csproj" />
     <ProjectReference Include="..\..\src\Microsoft.ML.Data\Microsoft.ML.Data.csproj" />
+    <ProjectReference Include="..\..\src\Microsoft.ML.TimeSeries.StaticPipe\Microsoft.ML.TimeSeries.StaticPipe.csproj" />
     <ProjectReference Include="..\..\src\Microsoft.ML.TimeSeries\Microsoft.ML.TimeSeries.csproj" />
     <ProjectReference Include="..\Microsoft.ML.TestFramework\Microsoft.ML.TestFramework.csproj" />
   </ItemGroup>