Re: RDD Moving Average
Read this: http://mail-archives.apache.org/mod_mbox/spark-user/201405.mbox/%3ccalrvtpkn65rolzbetc+ddk4o+yjm+tfaf5dz8eucpl-2yhy...@mail.gmail.com%3E http://mail-archives.apache.org/mod_mbox/spark-user/201405.mbox/%3ccalrvtpkn65rolzbetc+ddk4o+yjm+tfaf5dz8eucpl-2yhy...@mail.gmail.com%3E
Re: RDD Moving Average
Hi, On Wed, Jan 7, 2015 at 9:47 AM, Asim Jalis asimja...@gmail.com wrote: One approach I was considering was to use mapPartitions. It is straightforward to compute the moving average over a partition, except for near the end point. Does anyone see how to fix that? Well, I guess this is not a perfect use case for mapPartitions, in particular since you would have to implement the behavior near the beginning and end of a partition yourself. I would rather go with the high-level RDD functions that are partition-independent. By the way, I am now also trying to implement sliding windows based on count and embedded timestamp... seems like I should have had a look at rdd.sliding() before... Tobias
Re: RDD Moving Average
So you want windows covering the same length of time, some of which will be fuller than others? You could, for example, simply bucket the data by minute to get this kind of effect. If you an RDD[Ticker], where Ticker has a timestamp in ms, you could: tickerRDD.groupBy(ticker = (ticker.timestamp / 6) * 6)) ... to get an RDD[(Long,Iterable[Ticker])], where the keys are the moment at the start of each minute, and the values are the Tickers within the following minute. You can try variations on this to bucket in different ways. Just be careful because a minute with a huge number of values might cause you to run out of memory. If you're just doing aggregations of some kind there are more efficient methods than this most generic method, like the aggregate methods. On Tue, Jan 6, 2015 at 8:34 PM, Asim Jalis asimja...@gmail.com wrote: Thanks. Another question. I have event data with timestamps. I want to create a sliding window using timestamps. Some windows will have a lot of events in them others won’t. Is there a way to get an RDD made of this kind of a variable length window? On Tue, Jan 6, 2015 at 1:03 PM, Sean Owen so...@cloudera.com wrote: First you'd need to sort the RDD to give it a meaningful order, but I assume you have some kind of timestamp in your data you can sort on. I think you might be after the sliding() function, a developer API in MLlib: https://github.com/apache/spark/blob/master/mllib/src/main/scala/org/apache/spark/mllib/rdd/RDDFunctions.scala#L43 On Tue, Jan 6, 2015 at 5:25 PM, Asim Jalis asimja...@gmail.com wrote: Is there an easy way to do a moving average across a single RDD (in a non-streaming app). Here is the use case. I have an RDD made up of stock prices. I want to calculate a moving average using a window size of N. Thanks. Asim
Re: RDD Moving Average
Thanks. Another question. I have event data with timestamps. I want to create a sliding window using timestamps. Some windows will have a lot of events in them others won’t. Is there a way to get an RDD made of this kind of a variable length window? On Tue, Jan 6, 2015 at 1:03 PM, Sean Owen so...@cloudera.com wrote: First you'd need to sort the RDD to give it a meaningful order, but I assume you have some kind of timestamp in your data you can sort on. I think you might be after the sliding() function, a developer API in MLlib: https://github.com/apache/spark/blob/master/mllib/src/main/scala/org/apache/spark/mllib/rdd/RDDFunctions.scala#L43 On Tue, Jan 6, 2015 at 5:25 PM, Asim Jalis asimja...@gmail.com wrote: Is there an easy way to do a moving average across a single RDD (in a non-streaming app). Here is the use case. I have an RDD made up of stock prices. I want to calculate a moving average using a window size of N. Thanks. Asim
Re: RDD Moving Average
Except I want it to be a sliding window. So the same record could be in multiple buckets. On Tue, Jan 6, 2015 at 3:43 PM, Sean Owen so...@cloudera.com wrote: So you want windows covering the same length of time, some of which will be fuller than others? You could, for example, simply bucket the data by minute to get this kind of effect. If you an RDD[Ticker], where Ticker has a timestamp in ms, you could: tickerRDD.groupBy(ticker = (ticker.timestamp / 6) * 6)) ... to get an RDD[(Long,Iterable[Ticker])], where the keys are the moment at the start of each minute, and the values are the Tickers within the following minute. You can try variations on this to bucket in different ways. Just be careful because a minute with a huge number of values might cause you to run out of memory. If you're just doing aggregations of some kind there are more efficient methods than this most generic method, like the aggregate methods. On Tue, Jan 6, 2015 at 8:34 PM, Asim Jalis asimja...@gmail.com wrote: Thanks. Another question. I have event data with timestamps. I want to create a sliding window using timestamps. Some windows will have a lot of events in them others won’t. Is there a way to get an RDD made of this kind of a variable length window? On Tue, Jan 6, 2015 at 1:03 PM, Sean Owen so...@cloudera.com wrote: First you'd need to sort the RDD to give it a meaningful order, but I assume you have some kind of timestamp in your data you can sort on. I think you might be after the sliding() function, a developer API in MLlib: https://github.com/apache/spark/blob/master/mllib/src/main/scala/org/apache/spark/mllib/rdd/RDDFunctions.scala#L43 On Tue, Jan 6, 2015 at 5:25 PM, Asim Jalis asimja...@gmail.com wrote: Is there an easy way to do a moving average across a single RDD (in a non-streaming app). Here is the use case. I have an RDD made up of stock prices. I want to calculate a moving average using a window size of N. Thanks. Asim
Re: RDD Moving Average
One problem with this is that we are creating a lot of iterables containing a lot of repeated data. Is there a way to do this so that we can calculate a moving average incrementally? On Tue, Jan 6, 2015 at 4:44 PM, Sean Owen so...@cloudera.com wrote: Yes, if you break it down to... tickerRDD.map(ticker = (ticker.timestamp, ticker) ).map { case(ts, ticker) = ((ts / 6) * 6, ticker) }.groupByKey ... as Michael alluded to, then it more naturally extends to the sliding window, since you can flatMap one Ticker to many (bucket, ticker) pairs, then group. I think this would implementing 1 minute buckets, sliding by 10 seconds: tickerRDD.flatMap(ticker = (ticker.timestamp - 6 to ticker.timestamp by 15000).map(ts = (ts, ticker)) ).map { case(ts, ticker) = ((ts / 6) * 6, ticker) }.groupByKey On Tue, Jan 6, 2015 at 8:47 PM, Asim Jalis asimja...@gmail.com wrote: I guess I can use a similar groupBy approach. Map each event to all the windows that it can belong to. Then do a groupBy, etc. I was wondering if there was a more elegant approach. On Tue, Jan 6, 2015 at 3:45 PM, Asim Jalis asimja...@gmail.com wrote: Except I want it to be a sliding window. So the same record could be in multiple buckets.
Re: RDD Moving Average
Interesting, I am not sure the order in which fold() encounters elements is guaranteed, although from reading the code, I imagine in practice it is first-to-last by partition and then folded first-to-last from those results on the driver. I don't know this would lead to a solution though as the result here needs to be an RDD, not one value. On Wed, Jan 7, 2015 at 12:10 AM, Paolo Platter paolo.plat...@agilelab.it wrote: In my opinion you should use fold pattern. Obviously after an sort by trasformation. Paolo Inviata dal mio Windows Phone -- Da: Asim Jalis asimja...@gmail.com Inviato: 06/01/2015 23:11 A: Sean Owen so...@cloudera.com Cc: user@spark.apache.org Oggetto: Re: RDD Moving Average One problem with this is that we are creating a lot of iterables containing a lot of repeated data. Is there a way to do this so that we can calculate a moving average incrementally? On Tue, Jan 6, 2015 at 4:44 PM, Sean Owen so...@cloudera.com wrote: Yes, if you break it down to... tickerRDD.map(ticker = (ticker.timestamp, ticker) ).map { case(ts, ticker) = ((ts / 6) * 6, ticker) }.groupByKey ... as Michael alluded to, then it more naturally extends to the sliding window, since you can flatMap one Ticker to many (bucket, ticker) pairs, then group. I think this would implementing 1 minute buckets, sliding by 10 seconds: tickerRDD.flatMap(ticker = (ticker.timestamp - 6 to ticker.timestamp by 15000).map(ts = (ts, ticker)) ).map { case(ts, ticker) = ((ts / 6) * 6, ticker) }.groupByKey On Tue, Jan 6, 2015 at 8:47 PM, Asim Jalis asimja...@gmail.com wrote: I guess I can use a similar groupBy approach. Map each event to all the windows that it can belong to. Then do a groupBy, etc. I was wondering if there was a more elegant approach. On Tue, Jan 6, 2015 at 3:45 PM, Asim Jalis asimja...@gmail.com wrote: Except I want it to be a sliding window. So the same record could be in multiple buckets.
Re: RDD Moving Average
One approach I was considering was to use mapPartitions. It is straightforward to compute the moving average over a partition, except for near the end point. Does anyone see how to fix that? On Tue, Jan 6, 2015 at 7:20 PM, Sean Owen so...@cloudera.com wrote: Interesting, I am not sure the order in which fold() encounters elements is guaranteed, although from reading the code, I imagine in practice it is first-to-last by partition and then folded first-to-last from those results on the driver. I don't know this would lead to a solution though as the result here needs to be an RDD, not one value. On Wed, Jan 7, 2015 at 12:10 AM, Paolo Platter paolo.plat...@agilelab.it wrote: In my opinion you should use fold pattern. Obviously after an sort by trasformation. Paolo Inviata dal mio Windows Phone -- Da: Asim Jalis asimja...@gmail.com Inviato: 06/01/2015 23:11 A: Sean Owen so...@cloudera.com Cc: user@spark.apache.org Oggetto: Re: RDD Moving Average One problem with this is that we are creating a lot of iterables containing a lot of repeated data. Is there a way to do this so that we can calculate a moving average incrementally? On Tue, Jan 6, 2015 at 4:44 PM, Sean Owen so...@cloudera.com wrote: Yes, if you break it down to... tickerRDD.map(ticker = (ticker.timestamp, ticker) ).map { case(ts, ticker) = ((ts / 6) * 6, ticker) }.groupByKey ... as Michael alluded to, then it more naturally extends to the sliding window, since you can flatMap one Ticker to many (bucket, ticker) pairs, then group. I think this would implementing 1 minute buckets, sliding by 10 seconds: tickerRDD.flatMap(ticker = (ticker.timestamp - 6 to ticker.timestamp by 15000).map(ts = (ts, ticker)) ).map { case(ts, ticker) = ((ts / 6) * 6, ticker) }.groupByKey On Tue, Jan 6, 2015 at 8:47 PM, Asim Jalis asimja...@gmail.com wrote: I guess I can use a similar groupBy approach. Map each event to all the windows that it can belong to. Then do a groupBy, etc. I was wondering if there was a more elegant approach. On Tue, Jan 6, 2015 at 3:45 PM, Asim Jalis asimja...@gmail.com wrote: Except I want it to be a sliding window. So the same record could be in multiple buckets.
R: RDD Moving Average
In my opinion you should use fold pattern. Obviously after an sort by trasformation. Paolo Inviata dal mio Windows Phone Da: Asim Jalismailto:asimja...@gmail.com Inviato: 06/01/2015 23:11 A: Sean Owenmailto:so...@cloudera.com Cc: user@spark.apache.orgmailto:user@spark.apache.org Oggetto: Re: RDD Moving Average One problem with this is that we are creating a lot of iterables containing a lot of repeated data. Is there a way to do this so that we can calculate a moving average incrementally? On Tue, Jan 6, 2015 at 4:44 PM, Sean Owen so...@cloudera.commailto:so...@cloudera.com wrote: Yes, if you break it down to... tickerRDD.map(ticker = (ticker.timestamp, ticker) ).map { case(ts, ticker) = ((ts / 6) * 6, ticker) }.groupByKey ... as Michael alluded to, then it more naturally extends to the sliding window, since you can flatMap one Ticker to many (bucket, ticker) pairs, then group. I think this would implementing 1 minute buckets, sliding by 10 seconds: tickerRDD.flatMap(ticker = (ticker.timestamp - 6 to ticker.timestamp by 15000).map(ts = (ts, ticker)) ).map { case(ts, ticker) = ((ts / 6) * 6, ticker) }.groupByKey On Tue, Jan 6, 2015 at 8:47 PM, Asim Jalis asimja...@gmail.commailto:asimja...@gmail.com wrote: I guess I can use a similar groupBy approach. Map each event to all the windows that it can belong to. Then do a groupBy, etc. I was wondering if there was a more elegant approach. On Tue, Jan 6, 2015 at 3:45 PM, Asim Jalis asimja...@gmail.commailto:asimja...@gmail.com wrote: Except I want it to be a sliding window. So the same record could be in multiple buckets.
Re: RDD Moving Average
I guess I can use a similar groupBy approach. Map each event to all the windows that it can belong to. Then do a groupBy, etc. I was wondering if there was a more elegant approach. On Tue, Jan 6, 2015 at 3:45 PM, Asim Jalis asimja...@gmail.com wrote: Except I want it to be a sliding window. So the same record could be in multiple buckets. On Tue, Jan 6, 2015 at 3:43 PM, Sean Owen so...@cloudera.com wrote: So you want windows covering the same length of time, some of which will be fuller than others? You could, for example, simply bucket the data by minute to get this kind of effect. If you an RDD[Ticker], where Ticker has a timestamp in ms, you could: tickerRDD.groupBy(ticker = (ticker.timestamp / 6) * 6)) ... to get an RDD[(Long,Iterable[Ticker])], where the keys are the moment at the start of each minute, and the values are the Tickers within the following minute. You can try variations on this to bucket in different ways. Just be careful because a minute with a huge number of values might cause you to run out of memory. If you're just doing aggregations of some kind there are more efficient methods than this most generic method, like the aggregate methods. On Tue, Jan 6, 2015 at 8:34 PM, Asim Jalis asimja...@gmail.com wrote: Thanks. Another question. I have event data with timestamps. I want to create a sliding window using timestamps. Some windows will have a lot of events in them others won’t. Is there a way to get an RDD made of this kind of a variable length window? On Tue, Jan 6, 2015 at 1:03 PM, Sean Owen so...@cloudera.com wrote: First you'd need to sort the RDD to give it a meaningful order, but I assume you have some kind of timestamp in your data you can sort on. I think you might be after the sliding() function, a developer API in MLlib: https://github.com/apache/spark/blob/master/mllib/src/main/scala/org/apache/spark/mllib/rdd/RDDFunctions.scala#L43 On Tue, Jan 6, 2015 at 5:25 PM, Asim Jalis asimja...@gmail.com wrote: Is there an easy way to do a moving average across a single RDD (in a non-streaming app). Here is the use case. I have an RDD made up of stock prices. I want to calculate a moving average using a window size of N. Thanks. Asim
RDD Moving Average
Is there an easy way to do a moving average across a single RDD (in a non-streaming app). Here is the use case. I have an RDD made up of stock prices. I want to calculate a moving average using a window size of N. Thanks. Asim
Re: RDD Moving Average
First you'd need to sort the RDD to give it a meaningful order, but I assume you have some kind of timestamp in your data you can sort on. I think you might be after the sliding() function, a developer API in MLlib: https://github.com/apache/spark/blob/master/mllib/src/main/scala/org/apache/spark/mllib/rdd/RDDFunctions.scala#L43 On Tue, Jan 6, 2015 at 5:25 PM, Asim Jalis asimja...@gmail.com wrote: Is there an easy way to do a moving average across a single RDD (in a non-streaming app). Here is the use case. I have an RDD made up of stock prices. I want to calculate a moving average using a window size of N. Thanks. Asim