/
pmp.R
350 lines (300 loc) · 12.8 KB
/
pmp.R
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
259
260
261
262
263
264
265
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
288
289
290
291
292
293
294
295
296
297
298
299
300
301
302
303
304
305
306
307
308
309
310
311
312
313
314
315
316
317
318
319
320
321
322
323
324
325
326
327
328
329
330
331
332
333
334
335
336
337
338
339
340
341
342
343
344
345
346
347
348
349
350
#' Pan-Matrix Profile
#'
#' Computes the Pan-Matrix Profile (PMP) for the given time series.
#'
#' The work closest in spirit to ours is VALMOD. The idea of VALMOD is to compute the MP for
#' the shortest length of interest, then use the information gleaned from it to guide a search
#' through longer subsequence lengths, exploiting lower bounds to prune off some calculations.
#' This idea works well for the first few of the longer subsequence lengths, but the lower bounds
#' progressively weaken, making the pruning ineffective. Thus, in the five case studies they
#' presented, the mean value of U/L was just 1.24. In contrast, consider that our termite example
#' in Fig. 15 has a U/L ratio of 240, more than two orders of magnitude larger. Thus, VALMOD is
#' perhaps best seen as finding motifs with some tolerance for a slightly (~25%) too short
#' user-specified query length, rather than a true "motif-of-all-lengths" algorithm. Also note
#' that apart from the shortest length, VALMOD only gives some information for the other lengths,
#' unlike pmp, which contains exact distances for all subsequences of all lengths.
#'
#' @param data a `matrix` or a `vector` of `numeric`.
#' @param window_sizes a `vector` of the window sizes that will be evaluated. They will be rounded to the lower integer
#' and sorted. (Default is a sequence of 20 values from 10 to half data size).
#' @param plot a `logical`. If `TRUE`, every new computation will be plotted. (Default is `FALSE`).
#' @param pmp_obj a `PMP` object that may or not contain an upper bound value, and previous computed profiles. The function will
#' add new profiles, not replace. (Default is `NULL`).
#' @param n_workers an `int`. Number of workers for parallel. (Default is `1`).
#' @param verbose an `int`. See details. (Default is `2`).
#'
#' @details
#' When just the `data` is provided, the exploration will be done using the default `window_sizes` that is a sequence
#' of 20 values between 10 and the half data size and the resulting object will have an `upper_bound` equals to `Inf`.
#' If an object is provided by the argument `pmp_obj`, this function will add more information to the resulting object,
#' never changing the values already computed.
#' `verbose` changes how much information is printed by this function; `0` means nothing, `1` means text, `2`
#' adds the progress bar, `3` adds the finish sound.
#'
#' Talk about upper bound and window sizes
#' 1. upper_window will be set to Inf on new objects
#' 1.1. upper_window will also be used for plot, and for discovery, it must not remove any existing data from the object
#' 2. window_sizes is used for plot, it must not remove any mp inside the object
#' 2.1. window_sizes tells the function what mp are stored, it may be updated with as.numeric(names(pmp))
#' 3. the functions must be capable to handle the data without need to sort by window_size, but sort may be useful later(?)
#'
#' @return Returns a `PMP` object.
#' @export
#'
#' @examples
#' \donttest{
#' # Just compute
#' pan <- pmp(mp_gait_data)
#' # Compute the upper bound, than add new profiles
#' pan <- pmp_upper_bound(mp_gait_data)
#' pan <- pmp(mp_gait_data, pmp_obj = pan)
#' }
pmp <- function(data,
window_sizes = seq.int(from = 10, to = length(data) / 2, length.out = 20),
plot = FALSE,
pmp_obj = NULL,
n_workers = 1,
verbose = getOption("tsmp.verbose", 2)) {
# Parse arguments ---------------------------------
window_sizes <- floor(window_sizes)
checkmate::qassert(data, "N+")
checkmate::qassert(window_sizes, "X+")
checkmate::qassert(plot, "B")
checkmate::qassert(pmp_obj, c("0", "l"))
checkmate::qassert(n_workers, paste0("X1[1,", parallel::detectCores(), "]"))
checkmate::qassert(verbose, "X1")
# checks if the given object is actualy a skimp object
if (!is.null(pmp_obj)) {
if (!inherits(pmp_obj, "PMP")) {
stop("`pmp_obj` must be of class `PMP`")
}
}
## Prepare things ----
data_size <- length(data)
# if an object is given, remove the windows that already have been computed and are below the upper_window
if (!is.null(pmp_obj)) {
# remove already computed
window_sizes <- window_sizes[!(window_sizes %in% pmp_obj$w)]
if (!is.null(pmp_obj$upper_window)) {
# remove those above the upper_window
window_sizes <- window_sizes[window_sizes < pmp_obj$upper_window]
} else {
# else, keep them and set the upper_window to Inf, since it is NULL
pmp_obj$upper_window <- Inf
}
}
# get the extreme values and sort the window_sizes for later binary_split correctly
min_window <- min(window_sizes)
max_window <- max(window_sizes)
window_sizes <- sort(window_sizes)
# print(str(list(min_window = min_window, max_window = max_window, window_sizes = window_sizes)))
# if we'll plot while computing, prepare the canvas
if (plot == TRUE) {
# if an object is given, plot it using existing windows
if (!is.null(pmp_obj)) {
graphics::plot(pmp_obj) # skimp_plot_set_canvas(pmp_obj = pmp_obj)
Sys.sleep(1) # needed for plot update
} else {
# create a blank canvas with the proper size
skimp_plot_set_canvas(
ymin = min_window,
ymax = max_window + floor((max_window - min_window) / 24), # arbitrary
xmin = 1,
xmax = data_size
)
Sys.sleep(1) # needed for plot update
}
}
# anytime must return the result always
on.exit(
{
if (is.null(pmp_obj)) {
return(NULL)
} else {
# final arrangements to existing object
expected_profiles <- as.numeric(names(pmp_obj$pmp))
expected_indexes <- as.numeric(names(pmp_obj$pmpi))
# check if the windows vector contains any uncomputed matrix profile
if (any(!(pmp_obj$w %in% expected_profiles))) {
warning("`windows` contains values not computed in `pmp`")
}
# check if there is any matrix profile without a profile index
if (any(!(expected_profiles %in% expected_indexes))) {
warning("`pmp` contains values without respective `pmpi")
}
# check if there is any profile index without a matrix profile
if (any(!(expected_indexes %in% expected_profiles))) {
warning("`pmpi` contains values without respective `pmp")
}
# if (sorted == TRUE) {
# sorted <- sort(as.numeric(names(pmp_obj$pmp)), index.return = TRUE)
# window_sizes <- sorted$x
#
# pmp_obj$pmp <- pmp_obj$pmp[sorted$ix]
# pmp_obj$pmpi <- pmp_obj$pmpi[sorted$ix]
# } else {
# window_sizes <- as.numeric(names(pmp_obj$pmp))
# }
pmp_obj$ez <- getOption("tsmp.exclusion_zone", 1 / 2)
return(pmp_obj)
}
},
TRUE
)
# if not given, create a new object to start with
if (is.null(pmp_obj)) {
pmp_obj <- list(pmp = list(), pmpi = list())
class(pmp_obj) <- "PMP"
}
# Determine the order in which we will explore the window_sizes
split_idx <- binary_split(length(window_sizes))
## Begin the main Loop ----
for (i in seq_along(split_idx)) {
# i holds the sequence from 1 to ...length(split_idx)
# idx holds the actual binary split index
idx <- split_idx[i]
# w holds the current window being explored
w <- window_sizes[idx]
if (is.na(w) || w == 0) {
warning("Invalid window size ", w)
next
}
# Run Matrix Profile
result <- mpx(data = data, window_size = w, idx = TRUE, dist = "euclidean", n_workers = n_workers)
if (verbose > 0) {
message(
"step: ", i, "/", length(split_idx), " binary idx: ", idx, " window: ", w
)
}
# if pmp_obj is a new empty object, accessing windows will return NULL, so it's fine
pmp_obj$w <- c(pmp_obj$w, w)
# using character to create a tuple list. Numbers would create NULL's
pmp_obj$pmp[[as.character(w)]] <- result$mp
pmp_obj$pmpi[[as.character(w)]] <- result$pi
if (plot == TRUE) {
# add a layer to the plot. `pmp_obj$w` is currently used to know the heigth of
# the new layer. May be room to improve.
skimp_plot_add_layer(result$mp, w, pmp_obj$w)
Sys.sleep(1) # needed for plot update
}
}
# A dict with the following:
# {
# 'pmp': the pan matrix profile as a 2D array,
# 'pmpi': the pmp indices,
# 'data': {
# 'ts': time series used,
# },
# 'windows': the windows used to compute the pmp,
# 'sample_pct': the sample percent used,
# 'metric':The distance metric computed for the pmp,
# 'algorithm': the algorithm used,
# 'class': PMP
# }
} # function skimp
#' Pan Matrix Profile upper bound
#'
#' Finds the upper bound for Pan Matrix Profile calculation.
#'
#' @param data a `matrix` or a `vector` of `numeric`.
#' @param threshold a `numeric`. Correlation threshold. See details. (Default is `0.95`).
#' @param refine_stepsize a `numeric`. Step size for the last upper bound search. See details. (Default is `0.25`).
#' @param return_pmp a `logical`. If `TRUE`, returns the computed data as a `PMP` object, if `FALSE`,
#' returns just the upper bound value. (Default is `TRUE`).
#' @param n_workers an `int`. Number of workers for parallel. (Default is `1`).
#' @param verbose verbose an `int`. See details. (Default is `2`).
#'
#' @details
#' The Pan Matrix Profile may not give any further information beyond a certain window size. This function starts
#' computing the matrix profile for the window size of 8 and doubles it until the minimum correlation value found is
#' less than the `threshold`. After that, it begins to refine the upper bound using the `refine_stepsize` values, until
#' the `threshold` value is hit.
#'
#' `verbose` changes how much information is printed by this function; `0` means nothing, `1` means text, `2`
#' adds the progress bar, `3` adds the finish sound.
#'
#' @return Returns a `PMP` object with computed data, or just the upper bound value if `return_pmp` is set to `FALSE`.
#' @export
#'
#' @references * Yet to be announced
#' @references Website: <http://www.cs.ucr.edu/~eamonn/MatrixProfile.html>
#'
#' @examples
#' # return the object
#' pan_matrix <- pmp_upper_bound(mp_gait_data)
#'
#' # just the upper bound
#' pan_ub <- pmp_upper_bound(mp_gait_data, return_pmp = FALSE)
pmp_upper_bound <- function(data,
threshold = getOption("tsmp.pmp_ub", 0.95),
refine_stepsize = getOption("tsmp.pmp_refine", 0.25),
return_pmp = TRUE, n_workers = 1,
verbose = getOption("tsmp.verbose", 2)) {
correlation_max <- Inf
if (return_pmp) {
pmp <- list()
pmpi <- list()
do_idxs <- TRUE
} else {
do_idxs <- FALSE
}
correlation_max <- Inf
window_size <- 8
windows <- NULL
max_window <- floor(length(data) / 2)
# Register the anytime exit point
on.exit(
{
if (return_pmp) {
pmp_obj <- list(upper_window = max(windows), pmp = pmp, pmpi = pmpi, w = windows)
class(pmp_obj) <- "PMP"
return(pmp_obj)
} else {
return(window_size)
}
},
TRUE
)
# first perform a wide search by increasing window by 2 in each iteration
while (window_size <= max_window) {
# message("window: ", window_size)
result <- mpx(data = data, window_size = window_size, idx = do_idxs, dist = "pearson", n_workers = n_workers)
if (is.null(result) || result$partial) {
warning("The computation was terminated prematurely. The results are partial.")
return()
}
correlation_max <- max(result$mp[!is.infinite(result$mp)], na.rm = TRUE)
if (correlation_max < threshold) {
# message("break at ", window_size)
break
}
if (return_pmp) {
pmp[[as.character(window_size)]] <- corr_ed(result$mp, window_size)
pmpi[[as.character(window_size)]] <- result$pi
}
windows <- c(windows, window_size)
window_size <- window_size * 2
}
if (window_size <= max_window) {
# refine the upper bound by increase by + X% increments
test_windows <- 2 * round(((seq(refine_stepsize, 1 - 1e-5, refine_stepsize) + 1) * window_size / 2) / 2)
for (window_size in test_windows) {
# message("refine window: ", window_size)
result <- mpx(data = data, window_size = window_size, idx = do_idxs, dist = "pearson", n_workers = n_workers)
if (is.null(result) || result$partial) {
warning("The computation was terminated prematurely. The results are partial.")
return()
}
windows <- c(windows, window_size)
correlation_max <- max(result$mp[!is.infinite(result$mp)], na.rm = TRUE)
if (return_pmp) {
pmp[[as.character(window_size)]] <- corr_ed(result$mp, window_size)
pmpi[[as.character(window_size)]] <- result$pi
}
if (correlation_max < threshold) {
# message("break refine at ", window_size)
break
}
}
}
}