def test_calculate_distance_profile(Q, T):
m = Q.shape[0]
left = np.linalg.norm(core.z_norm(core.rolling_window(T, m), 1) -
core.z_norm(Q),
axis=1)
QT = core.sliding_dot_product(Q, T)
μ_Q, σ_Q = core.compute_mean_std(Q, m)
M_T, Σ_T = core.compute_mean_std(T, m)
right = core.calculate_distance_profile(m, QT, μ_Q, σ_Q, M_T, Σ_T)
npt.assert_almost_equal(left, right)
def update(self, t):
"""
Append a single new data point, `t`, to the existing time series `T` and update
the matrix profile and matrix profile indices.
Parameters
----------
t : float
A single new data point to be appended to `T`
Notes
-----
`DOI: 10.1007/s10618-017-0519-9 \
<https://www.cs.ucr.edu/~eamonn/MP_journal.pdf>`__
See Table V
Note that line 11 is missing an important `sqrt` operation!
"""
n = self._T.shape[0]
l = n - self._m + 1
T_new = np.append(self._T, t)
QT_new = np.empty(self._QT.shape[0] + 1)
S = T_new[l:]
t_drop = T_new[l - 1]
if np.isinf(t) or np.isnan(t):
self._illegal = np.append(self._illegal, True)
t = 0
T_new[-1] = 0
S[-1] = 0
else:
self._illegal = np.append(self._illegal, False)
if np.any(self._illegal[-self._m:]):
μ_Q = np.inf
σ_Q = np.nan
else:
μ_Q, σ_Q = core.compute_mean_std(S, self._m)
μ_Q = μ_Q[0]
σ_Q = σ_Q[0]
M_T_new = np.append(self._M_T, μ_Q)
Σ_T_new = np.append(self._Σ_T, σ_Q)
for j in range(l, 0, -1):
QT_new[j] = (self._QT[j - 1] - T_new[j - 1] * t_drop +
T_new[j + self._m - 1] * t)
QT_new[0] = 0
for j in range(self._m):
QT_new[0] = QT_new[0] + T_new[j] * S[j]
D = core.calculate_distance_profile(self._m, QT_new, μ_Q, σ_Q, M_T_new,
Σ_T_new)
if np.any(self._illegal[-self._m:]):
D[:] = np.inf
core.apply_exclusion_zone(D, D.shape[0] - 1, self._excl_zone)
for j in range(l):
if D[j] < self._P[j]:
self._I[j] = l
self._P[j] = D[j]
I_last = np.argmin(D)
if np.isinf(D[I_last]):
I_new = np.append(self._I, -1)
P_new = np.append(self._P, np.inf)
else:
I_new = np.append(self._I, I_last)
P_new = np.append(self._P, D[I_last])
left_I_new = np.append(self._left_I, I_last)
left_P_new = np.append(self._left_P, D[I_last])
self._T = T_new
self._P = P_new
self._I = I_new
self._left_I = left_I_new
self._left_P = left_P_new
self._QT = QT_new
self._M_T = M_T_new
self._Σ_T = Σ_T_new
