ucrdtw 0.0.1

checksums.yaml

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data/.gitignore

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+/.bundle/
+/.yardoc
+/Gemfile.lock
+/_yardoc/
+/coverage/
+/doc/
+/pkg/
+/spec/reports/
+/tmp/

data/.rspec

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+--format documentation
+--color

data/.travis.yml

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+language: ruby
+rvm:
+  - 2.2.1

data/Gemfile

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+source 'https://rubygems.org'
+
+# Specify your gem's dependencies in ucrdtw.gemspec
+gemspec

data/README.md

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+# Ucrdtw
+
+Welcome to your new gem! In this directory, you'll find the files you need to be able to package up your Ruby library into a gem. Put your Ruby code in the file `lib/ucrdtw`. To experiment with that code, run `bin/console` for an interactive prompt.
+
+TODO: Delete this and the text above, and describe your gem
+
+## Installation
+
+Add this line to your application's Gemfile:
+
+```ruby
+gem 'ucrdtw'
+```
+
+And then execute:
+
+    $ bundle
+
+Or install it yourself as:
+
+    $ gem install ucrdtw
+
+## Usage
+
+TODO: Write usage instructions here
+
+## Development
+
+After checking out the repo, run `bin/setup` to install dependencies. Then, run `bin/console` for an interactive prompt that will allow you to experiment.
+
+To install this gem onto your local machine, run `bundle exec rake install`. To release a new version, update the version number in `version.rb`, and then run `bundle exec rake release` to create a git tag for the version, push git commits and tags, and push the `.gem` file to [rubygems.org](https://rubygems.org).
+
+## Contributing
+
+1. Fork it ( https://github.com/[my-github-username]/ucrdtw/fork )
+2. Create your feature branch (`git checkout -b my-new-feature`)
+3. Commit your changes (`git commit -am 'Add some feature'`)
+4. Push to the branch (`git push origin my-new-feature`)
+5. Create a new Pull Request

data/Rakefile

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+require "bundler/gem_tasks"

data/bin/console

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+#!/usr/bin/env ruby
+
+require "bundler/setup"
+require "ucrdtw"
+
+# You can add fixtures and/or initialization code here to make experimenting
+# with your gem easier. You can also use a different console, if you like.
+
+# (If you use this, don't forget to add pry to your Gemfile!)
+# require "pry"
+# Pry.start
+
+require "irb"
+IRB.start

data/bin/setup

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+#!/bin/bash
+set -euo pipefail
+IFS=$'\n\t'
+
+bundle install
+
+# Do any other automated setup that you need to do here

data/ext/Rakefile

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+require 'ffi-compiler/compile_task'
+
+FFI::Compiler::CompileTask.new('ucrdtw')

data/ext/ucrdtw.c

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+/***********************************************************************/
+/************************* DISCLAIMER **********************************/
+/***********************************************************************/
+/** This UCR Suite software is copyright protected (c) 2012 by          **/
+/** Thanawin Rakthanmanon, Bilson Campana, Abdullah Mueen,            **/
+/** Gustavo Batista and Eamonn Keogh.                                 **/
+/**                                                                   **/
+/** Unless stated otherwise, all software is provided free of charge. **/
+/** As well, all software is provided on an "as is" basis without     **/
+/** warranty of any kind, express or implied. Under no circumstances  **/
+/** and under no legal theory, whether in tort, contract,or otherwise,**/
+/** shall Thanawin Rakthanmanon, Bilson Campana, Abdullah Mueen,      **/
+/** Gustavo Batista, or Eamonn Keogh be liable to you or to any other **/
+/** person for any indirect, special, incidental, or consequential    **/
+/** damages of any character including, without limitation, damages   **/
+/** for loss of goodwill, work stoppage, computer failure or          **/
+/** malfunction, or for any and all other damages or losses.          **/
+/**                                                                   **/
+/** If you do not agree with these terms, then you you are advised to **/
+/** not use this software.                                            **/
+/***********************************************************************/
+/***********************************************************************/
+#include <stdio.h>
+#include <stdlib.h>
+#include <math.h>
+#include <string.h>
+#include <time.h>
+
+#include "ucrdtw.h"
+
+#define min(x,y) ((x)<(y)?(x):(y))
+#define max(x,y) ((x)>(y)?(x):(y))
+#define dist(x,y) ((x-y)*(x-y))
+
+#define INF 1e20 // Pseudo-infinite number for this code
+
+/// Data structure for sorting the query
+typedef struct index {
+    double value;
+    int index;
+} index_t;
+
+/// Sorting function for the query, sort by abs(z_norm(q[i])) from high to low
+int index_comp(const void* a, const void* b) {
+    index_t* x = (index_t*) a;
+    index_t* y = (index_t*) b;
+    return fabs(y->value) - fabs(x->value);   // high to low
+}
+
+/// Data structure (circular array) for finding minimum and maximum for LB_Keogh envolop
+typedef struct deque {
+    int* dq;
+    int size, capacity;
+    int f, r;
+} deque_t;
+
+/// Initial the queue at the beginning step of envelope calculation
+void deque_init(deque_t* d, int capacity) {
+    d->capacity = capacity;
+    d->size = 0;
+    d->dq = (int*) calloc(d->capacity, sizeof(int));
+    d->f = 0;
+    d->r = d->capacity - 1;
+}
+
+/// Destroy the queue
+void deque_free(deque_t* d) {
+    free(d->dq);
+}
+
+/// Insert to the queue at the back
+void deque_push_back(deque_t* d, int v) {
+    d->dq[d->r] = v;
+    d->r--;
+    if (d->r < 0)
+        d->r = d->capacity - 1;
+    d->size++;
+}
+
+/// Delete the current (front) element from queue
+void deque_pop_front(deque_t* d) {
+    d->f--;
+    if (d->f < 0)
+        d->f = d->capacity - 1;
+    d->size--;
+}
+
+/// Delete the last element from queue
+void deque_pop_back(deque_t* d) {
+    d->r = (d->r + 1) % d->capacity;
+    d->size--;
+}
+
+/// Get the value at the current position of the circular queue
+int deque_front(deque_t* d) {
+    int aux = d->f - 1;
+
+    if (aux < 0)
+        aux = d->capacity - 1;
+    return d->dq[aux];
+}
+
+/// Get the value at the last position of the circular queue
+int deque_back(deque_t* d) {
+    int aux = (d->r + 1) % d->capacity;
+    return d->dq[aux];
+}
+
+/// Check whether or not the queue is empty
+int deque_empty(deque_t* d) {
+    return d->size == 0;
+}
+
+/// Finding the envelope of min and max value for LB_Keogh
+/// Implementation idea is introduced by Danial Lemire in his paper
+/// "Faster Retrieval with a Two-Pass Dynamic-Time-Warping Lower Bound", Pattern Recognition 42(9), 2009.
+void lower_upper_lemire(double *t, int len, int r, double *l, double *u) {
+    struct deque du, dl;
+    int i;
+
+    deque_init(&du, 2 * r + 2);
+    deque_init(&dl, 2 * r + 2);
+
+    deque_push_back(&du, 0);
+    deque_push_back(&dl, 0);
+
+    for (i = 1; i < len; i++) {
+        if (i > r) {
+            u[i - r - 1] = t[deque_front(&du)];
+            l[i - r - 1] = t[deque_front(&dl)];
+        }
+        if (t[i] > t[i - 1]) {
+            deque_pop_back(&du);
+            while (!deque_empty(&du) && t[i] > t[deque_back(&du)]) {
+                deque_pop_back(&du);
+            }
+        } else {
+            deque_pop_back(&dl);
+            while (!deque_empty(&dl) && t[i] < t[deque_back(&dl)]) {
+                deque_pop_back(&dl);
+            }
+        }
+        deque_push_back(&du, i);
+        deque_push_back(&dl, i);
+        if (i == 2 * r + 1 + deque_front(&du)) {
+            deque_pop_front(&du);
+        } else if (i == 2 * r + 1 + deque_front(&dl)) {
+            deque_pop_front(&dl);
+        }
+    }
+    for (i = len; i < len + r + 1; i++) {
+        u[i - r - 1] = t[deque_front(&du)];
+        l[i - r - 1] = t[deque_front(&dl)];
+        if (i - deque_front(&du) >= 2 * r + 1) {
+            deque_pop_front(&du);
+        }
+        if (i - deque_front(&dl) >= 2 * r + 1) {
+            deque_pop_front(&dl);
+        }
+    }
+    deque_free(&du);
+    deque_free(&dl);
+}
+
+/// Calculate quick lower bound
+/// Usually, LB_Kim take time O(m) for finding top,bottom,fist and last.
+/// However, because of z-normalization the top and bottom cannot give significant benefits.
+/// And using the first and last points can be computed in constant time.
+/// The pruning power of LB_Kim is non-trivial, especially when the query is not long, say in length 128.
+double lb_kim_hierarchy(double *t, double *q, int j, int len, double mean, double std, double best_so_far) {
+    /// 1 point at front and back
+    double d, lb;
+    double x0 = (t[j] - mean) / std;
+    double y0 = (t[(len - 1 + j)] - mean) / std;
+    lb = dist(x0,q[0]) + dist(y0, q[len - 1]);
+    if (lb >= best_so_far)
+        return lb;
+
+    /// 2 points at front
+    double x1 = (t[(j + 1)] - mean) / std;
+    d = min(dist(x1,q[0]), dist(x0,q[1]));
+    d = min(d, dist(x1,q[1]));
+    lb += d;
+    if (lb >= best_so_far)
+        return lb;
+
+    /// 2 points at back
+    double y1 = (t[(len - 2 + j)] - mean) / std;
+    d = min(dist(y1,q[len-1]), dist(y0, q[len-2]));
+    d = min(d, dist(y1,q[len-2]));
+    lb += d;
+    if (lb >= best_so_far)
+        return lb;
+
+    /// 3 points at front
+    double x2 = (t[(j + 2)] - mean) / std;
+    d = min(dist(x0,q[2]), dist(x1, q[2]));
+    d = min(d, dist(x2,q[2]));
+    d = min(d, dist(x2,q[1]));
+    d = min(d, dist(x2,q[0]));
+    lb += d;
+    if (lb >= best_so_far)
+        return lb;
+
+    /// 3 points at back
+    double y2 = (t[(len - 3 + j)] - mean) / std;
+    d = min(dist(y0,q[len-3]), dist(y1, q[len-3]));
+    d = min(d, dist(y2,q[len-3]));
+    d = min(d, dist(y2,q[len-2]));
+    d = min(d, dist(y2,q[len-1]));
+    lb += d;
+
+    return lb;
+}
+
+/// LB_Keogh 1: Create Envelope for the query
+/// Note that because the query is known, envelope can be created once at the beginning.
+///
+/// Variable Explanation,
+/// order : sorted indices for the query.
+/// uo, lo: upper and lower envelops for the query, which already sorted.
+/// t     : a circular array keeping the current data.
+/// j     : index of the starting location in t
+/// cb    : (output) current bound at each position. It will be used later for early abandoning in DTW.
+double lb_keogh_cumulative(int* order, double *t, double *uo, double *lo, double *cb, int j, int len, double mean, double std, double best_so_far) {
+    double lb = 0;
+    double x, d;
+    int i;
+
+    for (i = 0; i < len && lb < best_so_far; i++) {
+        x = (t[(order[i] + j)] - mean) / std;
+        d = 0;
+        if (x > uo[i]) {
+            d = dist(x, uo[i]);
+        } else if (x < lo[i]) {
+            d = dist(x, lo[i]);
+        }
+        lb += d;
+        cb[order[i]] = d;
+    }
+    return lb;
+}
+
+/// LB_Keogh 2: Create Envelop for the data
+/// Note that the envelops have been created (in main function) when each data point has been read.
+///
+/// Variable Explanation,
+/// tz: Z-normalized data
+/// qo: sorted query
+/// cb: (output) current bound at each position. Used later for early abandoning in DTW.
+/// l,u: lower and upper envelope of the current data
+double lb_keogh_data_cumulative(int* order, double *tz, double *qo, double *cb, double *l, double *u, int len, double mean, double std, double best_so_far) {
+    double lb = 0;
+    double uu, ll, d;
+    int i;
+
+    for (i = 0; i < len && lb < best_so_far; i++) {
+        uu = (u[order[i]] - mean) / std;
+        ll = (l[order[i]] - mean) / std;
+        d = 0;
+        if (qo[i] > uu) {
+            d = dist(qo[i], uu);
+        } else {
+            if (qo[i] < ll) {
+                d = dist(qo[i], ll);
+            }
+        }
+        lb += d;
+        cb[order[i]] = d;
+    }
+    return lb;
+}
+
+/// Calculate Dynamic Time Wrapping distance
+/// A,B: data and query, respectively
+/// cb : cummulative bound used for early abandoning
+/// r  : size of Sakoe-Chiba warpping band
+double dtw(double* A, double* B, double *cb, int m, int r, double best_so_far) {
+    double *cost;
+    double *cost_prev;
+    double *cost_tmp;
+    int i, j, k;
+    double x, y, z, min_cost;
+
+    /// Instead of using matrix of size O(m^2) or O(mr), we will reuse two arrays of size O(r).
+    cost = (double*) calloc(2 * r + 1, sizeof(double));
+    cost_prev = (double*) calloc(2 * r + 1, sizeof(double));
+    for (k = 0; k < 2 * r + 1; k++) {
+        cost[k] = INF;
+        cost_prev[k] = INF;
+    }
+
+    for (i = 0; i < m; i++) {
+        k = max(0, r - i);
+        min_cost = INF;
+
+        for (j = max(0, i - r); j <= min(m - 1, i + r); j++, k++) {
+            /// Initialize all row and column
+            if ((i == 0) && (j == 0)) {
+                cost[k] = dist(A[0], B[0]);
+                min_cost = cost[k];
+                continue;
+            }
+
+            if ((j - 1 < 0) || (k - 1 < 0)) {
+                y = INF;
+            } else {
+                y = cost[k - 1];
+            }
+            if ((i - 1 < 0) || (k + 1 > 2 * r)) {
+                x = INF;
+            } else {
+                x = cost_prev[k + 1];
+            }
+            if ((i - 1 < 0) || (j - 1 < 0)) {
+                z = INF;
+            } else {
+                z = cost_prev[k];
+            }
+
+            /// Classic DTW calculation
+            cost[k] = min( min( x, y) , z) + dist(A[i], B[j]);
+
+            /// Find minimum cost in row for early abandoning (possibly to use column instead of row).
+            if (cost[k] < min_cost) {
+                min_cost = cost[k];
+            }
+        }
+
+        /// We can abandon early if the current cummulative distance with lower bound together are larger than best_so_far
+        if (i + r < m - 1 && min_cost + cb[i + r + 1] >= best_so_far) {
+            free(cost);
+            free(cost_prev);
+            return min_cost + cb[i + r + 1];
+        }
+
+        /// Move current array to previous array.
+        cost_tmp = cost;
+        cost = cost_prev;
+        cost_prev = cost_tmp;
+    }
+    k--;
+
+    /// the DTW distance is in the last cell in the matrix of size O(m^2) or at the middle of our array.
+    double final_dtw = cost_prev[k];
+    free(cost);
+    free(cost_prev);
+    return final_dtw;
+}
+
+
+/// Calculate the nearest neighbor of a times series in a larger time series expressed as location and distance,
+/// using the UCR suite optimizations.
+int ucrdtw(double* data, long long data_size, double* query, long query_size, double warp_width, int verbose, long long* location, double* distance) {
+    long m = query_size;
+    int r = warp_width <= 1 ? floor(warp_width * m) : floor(warp_width);
+
+    double best_so_far; /// best-so-far
+    double *q, *t; /// data array
+    int *order; ///new order of the query
+    double *u, *l, *qo, *uo, *lo, *tz, *cb, *cb1, *cb2, *u_d, *l_d;
+
+    double d = 0.0;
+    long long i, j;
+    double ex, ex2, mean, std;
+
+    long long loc = 0;
+    double t1, t2;
+    int kim = 0, keogh = 0, keogh2 = 0;
+    double dist = 0, lb_kim = 0, lb_k = 0, lb_k2 = 0;
+    double *buffer, *u_buff, *l_buff;
+    index_t *q_tmp;
+
+    /// For every EPOCH points, all cumulative values, such as ex (sum), ex2 (sum square), will be restarted for reducing the floating point error.
+    int EPOCH = 100000;
+
+    if (verbose) {
+        t1 = clock();
+    }
+
+    /// calloc everything here
+    q = (double*) calloc(m, sizeof(double));
+    if (q == NULL) {
+        printf("ERROR: Memory can't be allocated!\n");
+        return -1;
+    }
+    memcpy((void*)q, (void*)query, m * sizeof(double));
+
+    qo = (double*) calloc(m, sizeof(double));
+    if (qo == NULL) {
+        printf("ERROR: Memory can't be allocated!\n");
+        return -1;
+    }
+
+    uo = (double*) calloc(m, sizeof(double));
+    if (uo == NULL) {
+        printf("ERROR: Memory can't be allocated!\n");
+        return -1;
+    }
+
+    lo = (double*) calloc(m, sizeof(double));
+    if (lo == NULL) {
+        printf("ERROR: Memory can't be allocated!\n");
+        return -1;
+    }
+
+    order = (int *) calloc(m, sizeof(int));
+    if (order == NULL) {
+        printf("ERROR: Memory can't be allocated!\n");
+        return -1;
+    }
+
+    q_tmp = (index_t *) calloc(m, sizeof(index_t));
+    if (q_tmp == NULL) {
+        printf("ERROR: Memory can't be allocated!\n");
+        return -1;
+    }
+
+    u = (double*) calloc(m, sizeof(double));
+    if (u == NULL) {
+        printf("ERROR: Memory can't be allocated!\n");
+        return -1;
+    }
+
+    l = (double*) calloc(m, sizeof(double));
+    if (l == NULL) {
+        printf("ERROR: Memory can't be allocated!\n");
+        return -1;
+    }
+
+    cb = (double*) calloc(m, sizeof(double));
+    if (cb == NULL) {
+        printf("ERROR: Memory can't be allocated!\n");
+    }
+
+    cb1 = (double*) calloc(m, sizeof(double));
+    if (cb1 == NULL) {
+        printf("ERROR: Memory can't be allocated!\n");
+        return -1;
+    }
+
+    cb2 = (double*) calloc(m, sizeof(double));
+    if (cb2 == NULL) {
+        printf("ERROR: Memory can't be allocated!\n");
+        return -1;
+    }
+
+    u_d = (double*) calloc(m, sizeof(double));
+    if (u == NULL) {
+        printf("ERROR: Memory can't be allocated!\n");
+        return -1;
+    }
+
+    l_d = (double*) calloc(m, sizeof(double));
+    if (l == NULL) {
+        printf("ERROR: Memory can't be allocated!\n");
+        return -1;
+    }
+
+    t = (double*) calloc(m, sizeof(double) * 2);
+    if (t == NULL) {
+        printf("ERROR: Memory can't be allocated!\n");
+        return -1;
+    }
+
+    tz = (double*) calloc(m, sizeof(double));
+    if (tz == NULL) {
+        printf("ERROR: Memory can't be allocated!\n");
+        return -1;
+    }
+
+    buffer = (double*) calloc(EPOCH, sizeof(double));
+    if (buffer == NULL) {
+        printf("ERROR: Memory can't be allocated!\n");
+        return -1;
+    }
+
+    u_buff = (double*) calloc(EPOCH, sizeof(double));
+    if (u_buff == NULL) {
+        printf("ERROR: Memory can't be allocated!\n");
+        return -1;
+    }
+
+    l_buff = (double*) calloc(EPOCH, sizeof(double));
+    if (l_buff == NULL) {
+        printf("ERROR: Memory can't be allocated!\n");
+        return -1;
+    }
+
+    /// Read query
+    best_so_far = INF;
+    ex = ex2 = 0;
+    for (i = 0; i < m; i++) {
+        d = q[i];
+        ex += d;
+        ex2 += d * d;
+    }
+    /// Do z-normalize the query, keep in same array, q
+    mean = ex / m;
+    std = ex2 / m;
+    std = sqrt(std - mean * mean);
+    for (i = 0; i < m; i++)
+        q[i] = (q[i] - mean) / std;
+
+    /// Create envelope of the query: lower envelope, l, and upper envelope, u
+    lower_upper_lemire(q, m, r, l, u);
+
+    /// Sort the query one time by abs(z-norm(q[i]))
+    for (i = 0; i < m; i++) {
+        q_tmp[i].value = q[i];
+        q_tmp[i].index = i;
+    }
+    qsort(q_tmp, m, sizeof(index_t), index_comp);
+
+    /// also create another arrays for keeping sorted envelope
+    for (i = 0; i < m; i++) {
+        int o = q_tmp[i].index;
+        order[i] = o;
+        qo[i] = q[o];
+        uo[i] = u[o];
+        lo[i] = l[o];
+    }
+
+    /// Initial the cummulative lower bound
+    for (i = 0; i < m; i++) {
+        cb[i] = 0;
+        cb1[i] = 0;
+        cb2[i] = 0;
+    }
+
+    i = 0;          /// current index of the data in current chunk of size EPOCH
+    j = 0;          /// the starting index of the data in the circular array, t
+    ex = ex2 = 0;
+    int done = 0;
+    int it = 0, ep = 0, k = 0;
+    long long I; /// the starting index of the data in current chunk of size EPOCH
+    long long data_index = 0;
+    while (!done) {
+        /// Read first m-1 points
+        ep = 0;
+        if (it == 0) {
+            for (k = 0; k < m - 1 && data_index < data_size; k++) {
+                buffer[k] = data[data_index++];
+            }
+        } else {
+            for (k = 0; k < m - 1; k++)
+                buffer[k] = buffer[EPOCH - m + 1 + k];
+        }
+
+        /// Read buffer of size EPOCH or when all data has been read.
+        ep = m - 1;
+        while (ep < EPOCH && data_index < data_size) {
+            buffer[ep] = data[data_index++];
+            ep++;
+        }
+
+        /// Data are read in chunk of size EPOCH.
+        /// When there is nothing to read, the loop is end.
+        if (ep <= m - 1) {
+            done = 1;
+        } else {
+            lower_upper_lemire(buffer, ep, r, l_buff, u_buff);
+            /// Do main task here..
+            ex = 0;
+            ex2 = 0;
+            for (i = 0; i < ep; i++) {
+                /// A bunch of data has been read and pick one of them at a time to use
+                d = buffer[i];
+
+                /// Calcualte sum and sum square
+                ex += d;
+                ex2 += d * d;
+
+                /// t is a circular array for keeping current data
+                t[i % m] = d;
+
+                /// Double the size for avoiding using modulo "%" operator
+                t[(i % m) + m] = d;
+
+                /// Start the task when there are more than m-1 points in the current chunk
+                if (i >= m - 1) {
+                    mean = ex / m;
+                    std = ex2 / m;
+                    std = sqrt(std - mean * mean);
+
+                    /// compute the start location of the data in the current circular array, t
+                    j = (i + 1) % m;
+                    /// the start location of the data in the current chunk
+                    I = i - (m - 1);
+
+                    /// Use a constant lower bound to prune the obvious subsequence
+                    lb_kim = lb_kim_hierarchy(t, q, j, m, mean, std, best_so_far);
+
+                    if (lb_kim < best_so_far) {
+                        /// Use a linear time lower bound to prune; z_normalization of t will be computed on the fly.
+                        /// uo, lo are envelope of the query.
+                        lb_k = lb_keogh_cumulative(order, t, uo, lo, cb1, j, m, mean, std, best_so_far);
+                        if (lb_k < best_so_far) {
+                            /// Take another linear time to compute z_normalization of t.
+                            /// Note that for better optimization, this can merge to the previous function.
+                            for (k = 0; k < m; k++) {
+                                tz[k] = (t[(k + j)] - mean) / std;
+                            }
+
+                            /// Use another lb_keogh to prune
+                            /// qo is the sorted query. tz is unsorted z_normalized data.
+                            /// l_buff, u_buff are big envelope for all data in this chunk
+                            lb_k2 = lb_keogh_data_cumulative(order, tz, qo, cb2, l_buff + I, u_buff + I, m, mean, std, best_so_far);
+                            if (lb_k2 < best_so_far) {
+                                /// Choose better lower bound between lb_keogh and lb_keogh2 to be used in early abandoning DTW
+                                /// Note that cb and cb2 will be cumulative summed here.
+                                if (lb_k > lb_k2) {
+                                    cb[m - 1] = cb1[m - 1];
+                                    for (k = m - 2; k >= 0; k--)
+                                        cb[k] = cb[k + 1] + cb1[k];
+                                } else {
+                                    cb[m - 1] = cb2[m - 1];
+                                    for (k = m - 2; k >= 0; k--)
+                                        cb[k] = cb[k + 1] + cb2[k];
+                                }
+
+                                /// Compute DTW and early abandoning if possible
+                                dist = dtw(tz, q, cb, m, r, best_so_far);
+
+                                if (dist < best_so_far) {   /// Update best_so_far
+                                                    /// loc is the real starting location of the nearest neighbor in the file
+                                    best_so_far = dist;
+                                    loc = (it) * (EPOCH - m + 1) + i - m + 1;
+                                }
+                            } else
+                                keogh2++;
+                        } else
+                            keogh++;
+                    } else
+                        kim++;
+
+                    /// Reduce absolute points from sum and sum square
+                    ex -= t[j];
+                    ex2 -= t[j] * t[j];
+                }
+            }
+
+            /// If the size of last chunk is less then EPOCH, then no more data and terminate.
+            if (ep < EPOCH)
+                done = 1;
+            else
+                it++;
+        }
+    }
+
+    i = (it) * (EPOCH - m + 1) + ep;
+
+    free(q);
+    free(qo);
+    free(uo);
+    free(lo);
+    free(order);
+    free(q_tmp);
+    free(u);
+    free(l);
+    free(cb);
+    free(cb1);
+    free(cb2);
+    free(u_d);
+    free(l_d);
+    free(t);
+    free(tz);
+    free(buffer);
+    free(u_buff);
+    free(l_buff);
+
+    if (verbose) {
+        t2 = clock();
+        printf("Location : %lld\n", loc);
+        printf("Distance : %.6f\n", sqrt(best_so_far));
+        printf("Data Scanned : %lld\n", i);
+        printf("Total Execution Time : %.4f secs\n", (t2 - t1) / CLOCKS_PER_SEC);
+        printf("\n");
+        printf("Pruned by LB_Kim    : %6.2f%%\n", ((double) kim / i) * 100);
+        printf("Pruned by LB_Keogh  : %6.2f%%\n", ((double) keogh / i) * 100);
+        printf("Pruned by LB_Keogh2 : %6.2f%%\n", ((double) keogh2 / i) * 100);
+        printf("DTW Calculation     : %6.2f%%\n", 100 - (((double) kim + keogh + keogh2) / i * 100));
+    }
+    *location = loc;
+    *distance = sqrt(best_so_far);
+    return 0;
+}
+
+/// Calculate the nearest neighbor of a times series in a larger time series expressed as location and distance,
+/// using the UCR suite optimizations. This function supports streaming the data and the query to search.
+int ucrdtwf(FILE* data_file, FILE* query_file, long query_length, double warp_width, int verbose, long long* location, double* distance) {
+    FILE* fp = data_file;
+    FILE* qp = query_file;
+    long m = query_length;
+    int r = warp_width <= 1 ? floor(warp_width * m) : floor(warp_width);
+
+    double best_so_far;          /// best-so-far
+    double *t, *q;       /// data array and query array
+    int *order;          ///new order of the query
+    double *u, *l, *qo, *uo, *lo, *tz, *cb, *cb1, *cb2, *u_d, *l_d;
+
+    double d;
+    long long i, j;
+    double ex, ex2, mean, std;
+
+    long long loc = 0;
+    double t1, t2;
+    int kim = 0, keogh = 0, keogh2 = 0;
+    double dist = 0, lb_kim = 0, lb_k = 0, lb_k2 = 0;
+    double *buffer, *u_buff, *l_buff;
+    index_t *q_tmp;
+
+    /// For every EPOCH points, all cumulative values, such as ex (sum), ex2 (sum square), will be restarted for reducing the floating point error.
+    int EPOCH = 100000;
+
+    if (verbose) {
+        t1 = clock();
+    }
+
+    /// calloc everything here
+    q = (double*) calloc(m, sizeof(double));
+    if (q == NULL) {
+        printf("ERROR: Memory can't be allocated!\n");
+        return -1;
+    }
+
+    qo = (double*) calloc(m, sizeof(double));
+    if (qo == NULL) {
+        printf("ERROR: Memory can't be allocated!\n");
+        return -1;
+    }
+
+    uo = (double*) calloc(m, sizeof(double));
+    if (uo == NULL) {
+        printf("ERROR: Memory can't be allocated!\n");
+        return -1;
+    }
+
+    lo = (double*) calloc(m, sizeof(double));
+    if (lo == NULL) {
+        printf("ERROR: Memory can't be allocated!\n");
+        return -1;
+    }
+
+    order = (int*) calloc(m, sizeof(int));
+    if (order == NULL) {
+        printf("ERROR: Memory can't be allocated!\n");
+        return -1;
+    }
+
+    q_tmp = (index_t*) calloc(m, sizeof(index_t));
+    if (q_tmp == NULL) {
+        printf("ERROR: Memory can't be allocated!\n");
+        return -1;
+    }
+
+    u = (double*) calloc(m, sizeof(double));
+    if (u == NULL) {
+        printf("ERROR: Memory can't be allocated!\n");
+        return -1;
+    }
+
+    l = (double*) calloc(m, sizeof(double));
+    if (l == NULL) {
+        printf("ERROR: Memory can't be allocated!\n");
+        return -1;
+    }
+
+    cb = (double*) calloc(m, sizeof(double));
+    if (cb == NULL) {
+        printf("ERROR: Memory can't be allocated!\n");
+    }
+
+    cb1 = (double*) calloc(m, sizeof(double));
+    if (cb1 == NULL) {
+        printf("ERROR: Memory can't be allocated!\n");
+        return -1;
+    }
+
+    cb2 = (double*) calloc(m, sizeof(double));
+    if (cb2 == NULL) {
+        printf("ERROR: Memory can't be allocated!\n");
+        return -1;
+    }
+
+    u_d = (double*) calloc(m, sizeof(double));
+    if (u == NULL) {
+        printf("ERROR: Memory can't be allocated!\n");
+        return -1;
+    }
+
+    l_d = (double*) calloc(m, sizeof(double));
+    if (l == NULL) {
+        printf("ERROR: Memory can't be allocated!\n");
+        return -1;
+    }
+
+    t = (double*) calloc(m, sizeof(double) * 2);
+    if (t == NULL) {
+        printf("ERROR: Memory can't be allocated!\n");
+        return -1;
+    }
+
+    tz = (double*) calloc(m, sizeof(double));
+    if (tz == NULL) {
+        printf("ERROR: Memory can't be allocated!\n");
+        return -1;
+    }
+
+    buffer = (double*) calloc(EPOCH, sizeof(double));
+    if (buffer == NULL) {
+        printf("ERROR: Memory can't be allocated!\n");
+        return -1;
+    }
+
+    u_buff = (double*) calloc(EPOCH, sizeof(double));
+    if (u_buff == NULL) {
+        printf("ERROR: Memory can't be allocated!\n");
+        return -1;
+    }
+
+    l_buff = (double*) calloc(EPOCH, sizeof(double));
+    if (l_buff == NULL) {
+        printf("ERROR: Memory can't be allocated!\n");
+        return -1;
+    }
+
+    /// Read query file
+    best_so_far = INF;
+    i = 0;
+    j = 0;
+    ex = ex2 = 0;
+
+    while (fscanf(qp, "%lf", &d) != EOF && i < m) {
+        ex += d;
+        ex2 += d * d;
+        q[i] = d;
+        i++;
+    }
+
+    /// Do z-normalize the query, keep in same array, q
+    mean = ex / m;
+    std = ex2 / m;
+    std = sqrt(std - mean * mean);
+    for (i = 0; i < m; i++)
+        q[i] = (q[i] - mean) / std;
+
+    /// Create envelope of the query: lower envelope, l, and upper envelope, u
+    lower_upper_lemire(q, m, r, l, u);
+
+    /// Sort the query one time by abs(z-norm(q[i]))
+    for (i = 0; i < m; i++) {
+        q_tmp[i].value = q[i];
+        q_tmp[i].index = i;
+    }
+    qsort(q_tmp, m, sizeof(index_t), index_comp);
+
+    /// also create another arrays for keeping sorted envelope
+    for (i = 0; i < m; i++) {
+        int o = q_tmp[i].index;
+        order[i] = o;
+        qo[i] = q[o];
+        uo[i] = u[o];
+        lo[i] = l[o];
+    }
+
+    /// Initial the cummulative lower bound
+    for (i = 0; i < m; i++) {
+        cb[i] = 0;
+        cb1[i] = 0;
+        cb2[i] = 0;
+    }
+
+    i = 0;          /// current index of the data in current chunk of size EPOCH
+    j = 0;          /// the starting index of the data in the circular array, t
+    ex = ex2 = 0;
+    int done = 0;
+    int it = 0, ep = 0, k = 0;
+    long long I; /// the starting index of the data in current chunk of size EPOCH
+
+    while (!done) {
+        /// Read first m-1 points
+        ep = 0;
+        if (it == 0) {
+            for (k = 0; k < m - 1; k++)
+                if (fscanf(fp, "%lf", &d) != EOF)
+                    buffer[k] = d;
+        } else {
+            for (k = 0; k < m - 1; k++)
+                buffer[k] = buffer[EPOCH - m + 1 + k];
+        }
+
+        /// Read buffer of size EPOCH or when all data has been read.
+        ep = m - 1;
+        while (ep < EPOCH) {
+            if (fscanf(fp, "%lf", &d) == EOF)
+                break;
+            buffer[ep] = d;
+            ep++;
+        }
+
+        /// Data are read in chunk of size EPOCH.
+        /// When there is nothing to read, the loop is end.
+        if (ep <= m - 1) {
+            done = 1;
+        } else {
+            lower_upper_lemire(buffer, ep, r, l_buff, u_buff);
+            /// Do main task here..
+            ex = 0;
+            ex2 = 0;
+            for (i = 0; i < ep; i++) {
+                /// A bunch of data has been read and pick one of them at a time to use
+                d = buffer[i];
+
+                /// Calcualte sum and sum square
+                ex += d;
+                ex2 += d * d;
+
+                /// t is a circular array for keeping current data
+                t[i % m] = d;
+
+                /// Double the size for avoiding using modulo "%" operator
+                t[(i % m) + m] = d;
+
+                /// Start the task when there are more than m-1 points in the current chunk
+                if (i >= m - 1) {
+                    mean = ex / m;
+                    std = ex2 / m;
+                    std = sqrt(std - mean * mean);
+
+                    /// compute the start location of the data in the current circular array, t
+                    j = (i + 1) % m;
+                    /// the start location of the data in the current chunk
+                    I = i - (m - 1);
+
+                    /// Use a constant lower bound to prune the obvious subsequence
+                    lb_kim = lb_kim_hierarchy(t, q, j, m, mean, std, best_so_far);
+
+                    if (lb_kim < best_so_far) {
+                        /// Use a linear time lower bound to prune; z_normalization of t will be computed on the fly.
+                        /// uo, lo are envelope of the query.
+                        lb_k = lb_keogh_cumulative(order, t, uo, lo, cb1, j, m, mean, std, best_so_far);
+                        if (lb_k < best_so_far) {
+                            /// Take another linear time to compute z_normalization of t.
+                            /// Note that for better optimization, this can merge to the previous function.
+                            for (k = 0; k < m; k++) {
+                                tz[k] = (t[(k + j)] - mean) / std;
+                            }
+
+                            /// Use another lb_keogh to prune
+                            /// qo is the sorted query. tz is unsorted z_normalized data.
+                            /// l_buff, u_buff are big envelope for all data in this chunk
+                            lb_k2 = lb_keogh_data_cumulative(order, tz, qo, cb2, l_buff + I, u_buff + I, m, mean, std, best_so_far);
+                            if (lb_k2 < best_so_far) {
+                                /// Choose better lower bound between lb_keogh and lb_keogh2 to be used in early abandoning DTW
+                                /// Note that cb and cb2 will be cumulative summed here.
+                                if (lb_k > lb_k2) {
+                                    cb[m - 1] = cb1[m - 1];
+                                    for (k = m - 2; k >= 0; k--)
+                                        cb[k] = cb[k + 1] + cb1[k];
+                                } else {
+                                    cb[m - 1] = cb2[m - 1];
+                                    for (k = m - 2; k >= 0; k--)
+                                        cb[k] = cb[k + 1] + cb2[k];
+                                }
+
+                                /// Compute DTW and early abandoning if possible
+                                dist = dtw(tz, q, cb, m, r, best_so_far);
+
+                                if (dist < best_so_far) {   /// Update best_so_far
+                                                    /// loc is the real starting location of the nearest neighbor in the file
+                                    best_so_far = dist;
+                                    loc = (it) * (EPOCH - m + 1) + i - m + 1;
+                                }
+                            } else
+                                keogh2++;
+                        } else
+                            keogh++;
+                    } else
+                        kim++;
+
+                    /// Reduce absolute points from sum and sum square
+                    ex -= t[j];
+                    ex2 -= t[j] * t[j];
+                }
+            }
+
+            /// If the size of last chunk is less then EPOCH, then no more data and terminate.
+            if (ep < EPOCH)
+                done = 1;
+            else
+                it++;
+        }
+    }
+
+    i = (it) * (EPOCH - m + 1) + ep;
+
+    free(q);
+    free(qo);
+    free(uo);
+    free(lo);
+    free(order);
+    free(q_tmp);
+    free(u);
+    free(l);
+    free(cb);
+    free(cb1);
+    free(cb2);
+    free(u_d);
+    free(l_d);
+    free(t);
+    free(tz);
+    free(buffer);
+    free(u_buff);
+    free(l_buff);
+
+    if (verbose) {
+        t2 = clock();
+        printf("Data Scanned : %lld\n", i);
+        printf("Total Execution Time : %.4f secs\n", (t2 - t1) / CLOCKS_PER_SEC);
+        printf("\n");
+        printf("Pruned by LB_Kim    : %6.2f%%\n", ((double) kim / i) * 100);
+        printf("Pruned by LB_Keogh  : %6.2f%%\n", ((double) keogh / i) * 100);
+        printf("Pruned by LB_Keogh2 : %6.2f%%\n", ((double) keogh2 / i) * 100);
+        printf("DTW Calculation     : %6.2f%%\n", 100 - (((double) kim + keogh + keogh2) / i * 100));
+    }
+    *location = loc;
+    *distance = sqrt(best_so_far);
+    return 0;
+}
+
+int main(int argc, char** argv) {
+    if (argc < 5) {
+        printf("Error: Invalid arguments\n");
+        printf("Command usage: dtwfind <data-file>  <query-file> <query-length> <warp-width>\n\n");
+        printf("For example: dtwfind data.txt query.txt 128 0.05\n");
+        return -2;
+    }
+
+    FILE* data_file = fopen(argv[1], "r");
+    if (data_file == NULL) {
+        printf("ERROR: File not found: %s\n", argv[1]);
+    }
+
+    FILE* query_file = fopen(argv[2], "r");
+    if (query_file == NULL) {
+        printf("ERROR: File not found: %s\n", argv[2]);
+    }
+
+    long long location = -1;
+    double distance = -1;
+    int ret = ucrdtwf(data_file, query_file, atoll(argv[3]), atof(argv[4]), 1, &location, &distance);
+    printf("Location: %lld\nDistance: %.6f\n", location, distance);
+    return ret;
+}

data/ext/ucrdtw.h

@@ -0,0 +1,4 @@
+
+int ucrdtw(double* data, long long data_size, double* query, long query_size, double warp_width, int verbose, long long* location, double* distance);
+
+int ucrdtwf(FILE* data_stream, FILE* query_stream, long query_length, double warp_width, int verbose, long long* location, double* distance);

data/lib/ucrdtw.rb

@@ -0,0 +1,36 @@
+require "ucrdtw/version"
+require 'ffi'
+require 'ffi-compiler/loader'
+
+module Ucrdtw
+  extend FFI::Library
+  ffi_lib FFI::Compiler::Loader.find('ucrdtw')
+
+  attach_function :ucrdtw, [:pointer, :long_long, :pointer, :long, :double, :int, :pointer, :pointer], :int
+
+  class <<self
+    def verbose=(verbose)
+      @verbose = verbose
+    end
+
+    def verbose
+      @verbose ||= 0
+    end
+  end
+
+  def self.dtw(data, query, warp_width = 0.05)
+    dataBuf = FFI::MemoryPointer.new(:double, data.size)
+    dataBuf.write_array_of_double(data)
+
+    queryBuf = FFI::MemoryPointer.new(:double, query.size)
+    queryBuf.write_array_of_double(query)
+
+    location = FFI::MemoryPointer.new(:long_long, 1)
+    distance = FFI::MemoryPointer.new(:double, 1)
+
+    ucrdtw(dataBuf, data.length, queryBuf, query.length, warp_width, verbose, location, distance)
+
+    [location.read_long_long, distance.read_double]
+  end
+
+end

data/lib/ucrdtw/version.rb

@@ -0,0 +1,3 @@
+module Ucrdtw
+  VERSION = "0.0.1"
+end

data/ucrdtw.gemspec

@@ -0,0 +1,25 @@
+# coding: utf-8
+lib = File.expand_path('../lib', __FILE__)
+$LOAD_PATH.unshift(lib) unless $LOAD_PATH.include?(lib)
+require 'ucrdtw/version'
+
+Gem::Specification.new do |spec|
+  spec.name          = "ucrdtw"
+  spec.version       = Ucrdtw::VERSION
+  spec.authors       = ["Chris Beer"]
+  spec.email         = ["chris@cbeer.info"]
+
+  spec.summary       = %q{UCR DTW FFI wrapper}
+  spec.homepage      = "https://github.com/cbeer/ucrdtw"
+
+  spec.files         = `git ls-files -z`.split("\x0").reject { |f| f.match(%r{^(test|spec|features)/}) }
+  spec.bindir        = "exe"
+  spec.executables   = spec.files.grep(%r{^exe/}) { |f| File.basename(f) }
+  spec.require_paths = ["lib"]
+
+  spec.extensions << 'ext/Rakefile'
+  spec.add_dependency 'ffi-compiler'
+
+  spec.add_development_dependency "bundler", "~> 1.9"
+  spec.add_development_dependency "rake", "~> 10.0"
+end

metadata

@@ -0,0 +1,100 @@
+--- !ruby/object:Gem::Specification
+name: ucrdtw
+version: !ruby/object:Gem::Version
+  version: 0.0.1
+platform: ruby
+authors:
+- Chris Beer
+autorequire: 
+bindir: exe
+cert_chain: []
+date: 2015-05-24 00:00:00.000000000 Z
+dependencies:
+- !ruby/object:Gem::Dependency
+  name: ffi-compiler
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - ">="
+      - !ruby/object:Gem::Version
+        version: '0'
+  type: :runtime
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - ">="
+      - !ruby/object:Gem::Version
+        version: '0'
+- !ruby/object:Gem::Dependency
+  name: bundler
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '1.9'
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '1.9'
+- !ruby/object:Gem::Dependency
+  name: rake
+  requirement: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '10.0'
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    requirements:
+    - - "~>"
+      - !ruby/object:Gem::Version
+        version: '10.0'
+description: 
+email:
+- chris@cbeer.info
+executables: []
+extensions:
+- ext/Rakefile
+extra_rdoc_files: []
+files:
+- ".gitignore"
+- ".rspec"
+- ".travis.yml"
+- Gemfile
+- README.md
+- Rakefile
+- bin/console
+- bin/setup
+- ext/Rakefile
+- ext/ucrdtw.c
+- ext/ucrdtw.h
+- lib/ucrdtw.rb
+- lib/ucrdtw/version.rb
+- ucrdtw.gemspec
+homepage: https://github.com/cbeer/ucrdtw
+licenses: []
+metadata: {}
+post_install_message: 
+rdoc_options: []
+require_paths:
+- lib
+required_ruby_version: !ruby/object:Gem::Requirement
+  requirements:
+  - - ">="
+    - !ruby/object:Gem::Version
+      version: '0'
+required_rubygems_version: !ruby/object:Gem::Requirement
+  requirements:
+  - - ">="
+    - !ruby/object:Gem::Version
+      version: '0'
+requirements: []
+rubyforge_project: 
+rubygems_version: 2.4.5
+signing_key: 
+specification_version: 4
+summary: UCR DTW FFI wrapper
+test_files: []