ASOF Joins, OLS Regression, and extra summarizers

Since sparklyr.flint, a sparklyr extension for leveraging Flint time collection functionalities by way of sparklyr, was launched in September, we’ve made numerous enhancements to it, and have efficiently submitted sparklyr.flint 0.2 to CRAN.

On this weblog submit, we spotlight the next new options and enhancements from sparklyr.flint 0.2:

ASOF Joins

For these unfamiliar with the time period, ASOF joins are temporal be part of operations primarily based on inexact matching of timestamps. Throughout the context of Apache Spark, a be part of operation, loosely talking, matches data from two knowledge frames (let’s name them left and proper) primarily based on some standards. A temporal be part of implies matching data in left and proper primarily based on timestamps, and with inexact matching of timestamps permitted, it’s sometimes helpful to hitch left and proper alongside one of many following temporal instructions:

1. Wanting behind: if a file from left has timestamp t, then it will get matched with ones from proper having the newest timestamp lower than or equal to t.
2. Wanting forward: if a file from left has timestamp t, then it will get matched with ones from proper having the smallest timestamp better than or equal to (or alternatively, strictly better than) t.

Nonetheless, oftentimes it’s not helpful to think about two timestamps as “matching” if they’re too far aside. Subsequently, an extra constraint on the utmost period of time to look behind or look forward is normally additionally a part of an ASOF be part of operation.

In sparklyr.flint 0.2, all ASOF be part of functionalities of Flint are accessible through the asof_join() methodology. For instance, given 2 timeseries RDDs left and proper:

library(sparklyr)
library(sparklyr.flint)

sc <- spark_connect(grasp = "native")
left <- copy_to(sc, tibble::tibble(t = seq(10), u = seq(10))) %>%
  from_sdf(is_sorted = TRUE, time_unit = "SECONDS", time_column = "t")
proper <- copy_to(sc, tibble::tibble(t = seq(10) + 1, v = seq(10) + 1L)) %>%
  from_sdf(is_sorted = TRUE, time_unit = "SECONDS", time_column = "t")

The next prints the results of matching every file from left with the newest file(s) from proper which can be at most 1 second behind.

print(asof_join(left, proper, tol = "1s", path = ">=") %>% to_sdf())

## # Supply: spark<?> [?? x 3]
##    time                    u     v
##    <dttm>              <int> <int>
##  1 1970-01-01 00:00:01     1    NA
##  2 1970-01-01 00:00:02     2     2
##  3 1970-01-01 00:00:03     3     3
##  4 1970-01-01 00:00:04     4     4
##  5 1970-01-01 00:00:05     5     5
##  6 1970-01-01 00:00:06     6     6
##  7 1970-01-01 00:00:07     7     7
##  8 1970-01-01 00:00:08     8     8
##  9 1970-01-01 00:00:09     9     9
## 10 1970-01-01 00:00:10    10    10

Whereas if we alter the temporal path to “<”, then every file from left will likely be matched with any file(s) from proper that’s strictly sooner or later and is at most 1 second forward of the present file from left:

print(asof_join(left, proper, tol = "1s", path = "<") %>% to_sdf())

## # Supply: spark<?> [?? x 3]
##    time                    u     v
##    <dttm>              <int> <int>
##  1 1970-01-01 00:00:01     1     2
##  2 1970-01-01 00:00:02     2     3
##  3 1970-01-01 00:00:03     3     4
##  4 1970-01-01 00:00:04     4     5
##  5 1970-01-01 00:00:05     5     6
##  6 1970-01-01 00:00:06     6     7
##  7 1970-01-01 00:00:07     7     8
##  8 1970-01-01 00:00:08     8     9
##  9 1970-01-01 00:00:09     9    10
## 10 1970-01-01 00:00:10    10    11

Discover no matter which temporal path is chosen, an outer-left be part of is all the time carried out (i.e., all timestamp values and u values of left from above will all the time be current within the output, and the v column within the output will comprise NA at any time when there is no such thing as a file from proper that meets the matching standards).

OLS Regression

You could be questioning whether or not the model of this performance in Flint is kind of an identical to lm() in R. Seems it has way more to supply than lm() does. An OLS regression in Flint will compute helpful metrics reminiscent of Akaike info criterion and Bayesian info criterion, each of that are helpful for mannequin choice functions, and the calculations of each are parallelized by Flint to completely make the most of computational energy accessible in a Spark cluster. As well as, Flint helps ignoring regressors which can be fixed or almost fixed, which turns into helpful when an intercept time period is included. To see why that is the case, we have to briefly study the aim of the OLS regression, which is to seek out some column vector of coefficients (mathbf{beta}) that minimizes (|mathbf{y} – mathbf{X} mathbf{beta}|^2), the place (mathbf{y}) is the column vector of response variables, and (mathbf{X}) is a matrix consisting of columns of regressors plus a complete column of (1)s representing the intercept phrases. The answer to this drawback is (mathbf{beta} = (mathbf{X}^intercalmathbf{X})^{-1}mathbf{X}^intercalmathbf{y}), assuming the Gram matrix (mathbf{X}^intercalmathbf{X}) is non-singular. Nonetheless, if (mathbf{X}) comprises a column of all (1)s of intercept phrases, and one other column fashioned by a regressor that’s fixed (or almost so), then columns of (mathbf{X}) will likely be linearly dependent (or almost so) and (mathbf{X}^intercalmathbf{X}) will likely be singular (or almost so), which presents a difficulty computation-wise. Nonetheless, if a regressor is fixed, then it basically performs the identical function because the intercept phrases do. So merely excluding such a relentless regressor in (mathbf{X}) solves the issue. Additionally, talking of inverting the Gram matrix, readers remembering the idea of “situation quantity” from numerical evaluation should be pondering to themselves how computing (mathbf{beta} = (mathbf{X}^intercalmathbf{X})^{-1}mathbf{X}^intercalmathbf{y}) may very well be numerically unstable if (mathbf{X}^intercalmathbf{X}) has a big situation quantity. For this reason Flint additionally outputs the situation variety of the Gram matrix within the OLS regression outcome, in order that one can sanity-check the underlying quadratic minimization drawback being solved is well-conditioned.

So, to summarize, the OLS regression performance carried out in Flint not solely outputs the answer to the issue, but in addition calculates helpful metrics that assist knowledge scientists assess the sanity and predictive high quality of the ensuing mannequin.

To see OLS regression in motion with sparklyr.flint, one can run the next instance:

mtcars_sdf <- copy_to(sc, mtcars, overwrite = TRUE) %>%
  dplyr::mutate(time = 0L)
mtcars_ts <- from_sdf(mtcars_sdf, is_sorted = TRUE, time_unit = "SECONDS")
mannequin <- ols_regression(mtcars_ts, mpg ~ hp + wt) %>% to_sdf()

print(mannequin %>% dplyr::choose(akaikeIC, bayesIC, cond))

## # Supply: spark<?> [?? x 3]
##   akaikeIC bayesIC    cond
##      <dbl>   <dbl>   <dbl>
## 1     155.    159. 345403.

# ^ output says situation variety of the Gram matrix was inside motive

and procure (mathbf{beta}), the vector of optimum coefficients, with the next:

print(mannequin %>% dplyr::pull(beta))

## [[1]]
## [1] -0.03177295 -3.87783074

Extra Summarizers

The EWMA (Exponential Weighted Shifting Common), EMA half-life, and the standardized second summarizers (particularly, skewness and kurtosis) together with just a few others which have been lacking in sparklyr.flint 0.1 at the moment are totally supported in sparklyr.flint 0.2.

Higher Integration With sparklyr

Whereas sparklyr.flint 0.1 included a accumulate() methodology for exporting knowledge from a Flint time-series RDD to an R knowledge body, it didn’t have the same methodology for extracting the underlying Spark knowledge body from a Flint time-series RDD. This was clearly an oversight. In sparklyr.flint 0.2, one can name to_sdf() on a timeseries RDD to get again a Spark knowledge body that’s usable in sparklyr (e.g., as proven by mannequin %>% to_sdf() %>% dplyr::choose(...) examples from above). One can even get to the underlying Spark knowledge body JVM object reference by calling spark_dataframe() on a Flint time-series RDD (that is normally pointless in overwhelming majority of sparklyr use circumstances although).

Conclusion

We have now introduced numerous new options and enhancements launched in sparklyr.flint 0.2 and deep-dived into a few of them on this weblog submit. We hope you’re as enthusiastic about them as we’re.

Thanks for studying!

Acknowledgement

The writer wish to thank Mara (@batpigandme), Sigrid (@skeydan), and Javier (@javierluraschi) for his or her improbable editorial inputs on this weblog submit!