ucrdtw

Python extension for UCR Suite highly optimized subsequence search using Dynamic Time Warping (DTW)

Based on the paper Searching and Mining Trillions of Time Series Subsequences under Dynamic Time Warping

More info on the UCR Suite web page http://www.cs.ucr.edu/~eamonn/UCRsuite.html

Requirements

Python 2.7+, numpy 1.8+

Installation

python setup.py build && python setup.py install

Usage

import _ucrdtw
import numpy as np
import matplotlib.pyplot as plt

data = np.cumsum(np.random.uniform(-0.5, 0.5, 1000000))
query = np.cumsum(np.random.uniform(-0.5, 0.5, 100))
loc, dist = _ucrdtw.ucrdtw(data, query, 0.05, True)
query = np.concatenate((np.linspace(0.0, 0.0, loc), query)) + (data[loc] - query[0])

plt.figure()
plt.plot(data)
plt.plot(query)
plt.show()