Dtw algo (#9)

* feat: implement Dynamic Time Warping (DTW) functionality

- Added DTW distance computation and optimal warping path functions in Rust.
- Introduced corresponding Python bindings for DTW, DTW_DISTANCE, and BATCH_DTW.
- Enhanced WASM support with a new dtw_distance function.
- Included comprehensive unit tests for DTW functionality, validating against the dtaidistance library and ensuring mathematical properties.

* chore: update ferro-ta version to 1.1.4

- Bumped version number of ferro-ta to 1.1.4 in uv.lock and Cargo.lock files.
- Ensured consistency across package dependencies for the updated version.
This commit is contained in:
Pratik Bhadane
2026-04-07 23:38:36 +05:30
committed by GitHub
parent 388dc05c89
commit fd1bb137d6
19 changed files with 703 additions and 46 deletions
+109
View File
@@ -12,19 +12,33 @@ LINEARREG_ANGLE — Linear Regression Angle (degrees)
TSF — Time Series Forecast
BETA — Beta
CORREL — Pearson's Correlation Coefficient (r)
DTW — Dynamic Time Warping (distance + warping path)
DTW_DISTANCE — Dynamic Time Warping distance only (faster)
BATCH_DTW — Batch DTW: N series vs 1 reference, in parallel
"""
from __future__ import annotations
from typing import Optional
import numpy as np
from numpy.typing import ArrayLike
from ferro_ta._ferro_ta import (
batch_dtw as _batch_dtw,
)
from ferro_ta._ferro_ta import (
beta as _beta,
)
from ferro_ta._ferro_ta import (
correl as _correl,
)
from ferro_ta._ferro_ta import (
dtw as _dtw,
)
from ferro_ta._ferro_ta import (
dtw_distance as _dtw_distance,
)
from ferro_ta._ferro_ta import (
linearreg as _linearreg,
)
@@ -247,6 +261,98 @@ def CORREL(real0: ArrayLike, real1: ArrayLike, timeperiod: int = 30) -> np.ndarr
_normalize_rust_error(e)
def DTW(
series1: ArrayLike,
series2: ArrayLike,
window: Optional[int] = None,
) -> tuple[float, np.ndarray]:
"""Dynamic Time Warping — distance and optimal warping path.
Parameters
----------
series1 : array-like
First time series.
series2 : array-like
Second time series (may differ in length from series1).
window : int, optional
Sakoe-Chiba band width. ``None`` (default) = unconstrained.
Returns
-------
distance : float
DTW distance (accumulated Euclidean cost along the optimal path).
path : numpy.ndarray, shape (N, 2)
Warping path as ``(i, j)`` index pairs from ``(0, 0)`` to
``(len(series1)-1, len(series2)-1)``.
"""
try:
return _dtw(_to_f64(series1), _to_f64(series2), window)
except ValueError as e:
_normalize_rust_error(e)
def DTW_DISTANCE(
series1: ArrayLike,
series2: ArrayLike,
window: Optional[int] = None,
) -> float:
"""Dynamic Time Warping distance only (faster — no path reconstruction).
Parameters
----------
series1 : array-like
First time series.
series2 : array-like
Second time series (may differ in length from series1).
window : int, optional
Sakoe-Chiba band width. ``None`` (default) = unconstrained.
Returns
-------
float
DTW distance (accumulated Euclidean cost along the optimal path).
"""
try:
return _dtw_distance(_to_f64(series1), _to_f64(series2), window)
except ValueError as e:
_normalize_rust_error(e)
def BATCH_DTW(
matrix: ArrayLike,
reference: ArrayLike,
window: Optional[int] = None,
) -> np.ndarray:
"""Batch Dynamic Time Warping — N series vs 1 reference, computed in parallel.
Parameters
----------
matrix : array-like, shape (N, L)
N time series of length L. Each row is compared against ``reference``.
reference : array-like, shape (L,)
The reference series.
window : int, optional
Sakoe-Chiba band width. ``None`` (default) = unconstrained.
Returns
-------
numpy.ndarray, shape (N,)
DTW distance from each row of ``matrix`` to ``reference``.
"""
try:
mat = np.ascontiguousarray(matrix, dtype=np.float64)
if mat.ndim != 2:
from ferro_ta.core.exceptions import FerroTAInputError
raise FerroTAInputError(
f"matrix must be a 2-D array, got {mat.ndim}-D.",
suggestion="Pass a 2-D NumPy array of shape (N, L).",
)
return _batch_dtw(mat, _to_f64(reference), window)
except ValueError as e:
_normalize_rust_error(e)
__all__ = [
"STDDEV",
"VAR",
@@ -257,4 +363,7 @@ __all__ = [
"TSF",
"BETA",
"CORREL",
"DTW",
"DTW_DISTANCE",
"BATCH_DTW",
]