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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 · Fixed by #19549
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PERF: improve perf of variable window rolling_min/max #19521

jreback opened this issue Feb 3, 2018 · 1 comment · Fixed by #19549
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Performance Memory or execution speed performance Reshaping Concat, Merge/Join, Stack/Unstack, Explode
Milestone
0.23.0

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@jreback
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jreback commented Feb 3, 2018 •
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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 Performance Memory or execution speed performance Reshaping Concat, Merge/Join, Stack/Unstack, Explode Difficulty Intermediate labels Feb 3, 2018
@jreback jreback added this to the Next Major Release milestone Feb 3, 2018
@hexgnu hexgnu mentioned this issue Feb 6, 2018
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@hexgnu
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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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Performance Memory or execution speed performance Reshaping Concat, Merge/Join, Stack/Unstack, Explode
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Performance increase rolling min max hexgnu/pandas
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