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PERF: improve perf of variable window rolling_min/max #19521

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jreback opened this Issue Feb 3, 2018 · 1 comment

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jreback commented Feb 3, 2018

The variable window implementation of rolling max/min
is O(n x w) rather than amortized O(n) with a deque
based algorithm

here is a possibility
we could easily use the cython c++ impl of deque. here is a suggestion to use a heap.

@jreback jreback added this to the Next Major Release milestone Feb 3, 2018

@hexgnu hexgnu referenced this issue Feb 6, 2018

Merged

Performance increase rolling min max #19549

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hexgnu commented Feb 6, 2018

I took a crack at this using the deque.

@jreback jreback modified the milestones: Next Major Release, 0.23.0 Feb 6, 2018

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