[Numpy-discussion] Error in Covariance and Variance calculation
Gunter Meissner
meissner at hawaii.edu
Fri Mar 20 18:20:18 EDT 2020
Thanks Warren! Worked like a charm 😊 Will mention you in the book...
Gunter Meissner, PhD
University of Hawaii
Adjunct Professor of MathFinance at Columbia University and NYU
President of Derivatives Software www.dersoft.com
CEO Cassandra Capital Management www.cassandracm.com
CV: www.dersoft.com/cv.pdf
Email: meissner at hawaii.edu
Tel: USA (808) 779 3660
-----Original Message-----
From: NumPy-Discussion <numpy-discussion-bounces+meissner=hawaii.edu at python.org> On Behalf Of Warren Weckesser
Sent: Friday, March 20, 2020 8:45 AM
To: Discussion of Numerical Python <numpy-discussion at python.org>
Subject: Re: [Numpy-discussion] Error in Covariance and Variance calculation
On 3/20/20, Gunter Meissner <meissner at hawaii.edu> wrote:
> Dear Programmers,
>
>
>
> This is Gunter Meissner. I am currently writing a book on Forecasting
> and derived the regression coefficient with Numpy:
>
>
>
> import numpy as np
> X=[1,2,3,4]
> Y=[10000,8000,5000,1000]
> print(np.cov(X,Y))
> print(np.var(X))
> Beta1 = np.cov(X,Y)/np.var(X)
> print(Beta1)
>
>
>
> However, Numpy is using the SAMPLE covariance , (which divides by n-1)
> and the POPULATION variance
>
> VarX = (which divides by n). Therefore the regression coefficient BETA1 is
> not correct.
>
> The solution is easy: Please use the population approach (dividing by
> n) for BOTH covariance and variance or use the sample approach
> (dividing by n-1)
>
> for BOTH covariance and variance. You may also allow the user to use
> both as in EXCEL, where the user can choose between Var.S and Var.P
>
> and Cov.P and Var.P.
>
>
>
> Thanks!!!
>
> Gunter
>
Gunter,
This is an unfortunate discrepancy in the API: `var` uses the default `ddof=0`, while `cov` uses, in effect, `ddof=1` by default.
You can get the consistent behavior you want by using `ddof=1` in both functions. E.g.
Beta1 = np.cov(X,Y, ddof=1) / np.var(X, ddof=1)
Using `ddof=1` in `np.cov` is redundant, but in this context, it is probably useful to make explicit to the reader of the code that both functions are using the same convention.
Changing the default in either function breaks backwards
compatibility. That would require a long and potentially painful
deprecation process.
Warren
>
>
>
>
> Gunter Meissner, PhD
>
> University of Hawaii
>
> Adjunct Professor of MathFinance at Columbia University and NYU
>
> President of Derivatives Software www.dersoft.com
> <http://www.dersoft.com/>
>
>
> CEO Cassandra Capital Management <http://www.cassandracm.com>
> www.cassandracm.com
>
> CV: <http://www.dersoft.com/cv.pdf> www.dersoft.com/cv.pdf
>
> Email: <mailto:meissner at hawaii.edu> meissner at hawaii.edu
>
> Tel: USA (808) 779 3660
>
>
>
>
>
>
>
>
>
> From: NumPy-Discussion
> <numpy-discussion-bounces+meissner=hawaii.edu at python.org> On Behalf Of
> Ralf Gommers
> Sent: Wednesday, March 18, 2020 5:16 AM
> To: Discussion of Numerical Python <numpy-discussion at python.org>
> Subject: Re: [Numpy-discussion] Proposal: NEP 41 -- First step towards
> a new Datatype System
>
>
>
>
>
>
>
> On Tue, Mar 17, 2020 at 9:03 PM Sebastian Berg
> <sebastian at sipsolutions.net <mailto:sebastian at sipsolutions.net> > wrote:
>
> Hi all,
>
> in the spirit of trying to keep this moving, can I assume that the
> main reason for little discussion is that the actual changes proposed
> are not very far reaching as of now? Or is the reason that this is a
> fairly complex topic that you need more time to think about it?
>
>
>
> Probably (a) it's a long NEP on a complex topic, (b) the past week has
> been a very weird week for everyone (in the extra-news-reading-time I
> could easily have re-reviewed the NEP), and (c) the amount of feedback
> one expects to get on a NEP is roughly inversely proportional to the
> scope and complexity of the NEP contents.
>
>
>
> Today I re-read the parts I commented on before. This version is a big
> improvement over the previous ones. Thanks in particular for adding
> clear examples and the diagram, it helps a lot.
>
>
>
> If it is the latter, is there some way I can help with it? I tried to
> minimize how much is part of this initial NEP.
>
> If there is not much need for discussion, I would like to officially
> accept the NEP very soon, sending out an official one week notice in
> the next days.
>
>
>
> I agree. I think I would like to keep the option open though to come
> back to the NEP later to improve the clarity of the text about
> motivation/plan/examples/scope, given that this will be the reference
> for a major amount of work for a long time to come.
>
>
>
> To summarize one more time, the main point is that:
>
>
>
> This point seems fine, and I'm +1 for going ahead with the described
> parts of the technical design.
>
>
>
> Cheers,
>
> Ralf
>
>
>
>
> type(np.dtype(np.float64))
>
> will be `np.dtype[float64]`, a subclass of dtype, so that:
>
> issubclass(np.dtype[float64], np.dtype)
>
> is true. This means that we will have one class for every current type
> number: `dtype.num`. The implementation of these subclasses will be a
> C-written (extension) MetaClass, all details of this class are
> supposed to remain experimental in flux at this time.
>
> Cheers
>
> Sebastian
>
>
> On Wed, 2020-03-11 at 17:02 -0700, Sebastian Berg wrote:
>> Hi all,
>>
>> I am pleased to propose NEP 41: First step towards a new Datatype
>> System https://numpy.org/neps/nep-0041-improved-dtype-support.html
>>
>> This NEP motivates the larger restructure of the datatype machinery
>> in NumPy and defines a few fundamental design aspects. The long term
>> user impact will be allowing easier and more rich featured user
>> defined datatypes.
>>
>> As this is a large restructure, the NEP represents only the first
>> steps with some additional information in further NEPs being drafted
>> [1] (this may be helpful to look at depending on the level of detail
>> you are interested in).
>> The NEP itself does not propose to add significant new public API.
>> Instead it proposes to move forward with an incremental internal
>> refactor and lays the foundation for this process.
>>
>> The main user facing change at this time is that datatypes will
>> become classes (e.g. ``type(np.dtype("float64"))`` will be a float64
>> specific class.
>> For most users, the main impact should be many new datatypes in the
>> long run (see the user impact section). However, for those interested
>> in API design within NumPy or with respect to implementing new
>> datatypes, this and the following NEPs are important decisions in the
>> future roadmap for NumPy.
>>
>> The current full text is reproduced below, although the above link is
>> probably a better way to read it.
>>
>> Cheers
>>
>> Sebastian
>>
>>
>> [1] NEP 40 gives some background information about the current
>> systems and issues with it:
>> https://github.com/numpy/numpy/blob/1248cf7a8765b7b53d883f9e706117381
>> 7533aac/doc/neps/nep-0040-legacy-datatype-impl.rst
>> and NEP 42 being a first draft of how the new API may look like:
>>
>> https://github.com/numpy/numpy/blob/f07e25cdff3967a19c4cc45c6e1a94a38
>> f53cee3/doc/neps/nep-0042-new-dtypes.rst
>> (links to current rendered versions, check
>> https://github.com/numpy/numpy/pull/15505 and
>> https://github.com/numpy/numpy/pull/15507 for updates)
>>
>>
>> -------------------------------------------------------------------
>> ---
>>
>>
>> =================================================
>> NEP 41 — First step towards a new Datatype System
>> =================================================
>>
>> :title: Improved Datatype Support
>> :Author: Sebastian Berg
>> :Author: Stéfan van der Walt
>> :Author: Matti Picus
>> :Status: Draft
>> :Type: Standard Track
>> :Created: 2020-02-03
>>
>>
>> .. note::
>>
>> This NEP is part of a series of NEPs encompassing first
>> information
>> about the previous dtype implementation and issues with it in NEP
>> 40.
>> NEP 41 (this document) then provides an overview and generic
>> design
>> choices for the refactor.
>> Further NEPs 42 and 43 go into the technical details of the
>> datatype
>> and universal function related internal and external API changes.
>> In some cases it may be necessary to consult the other NEPs for a
>> full
>> picture of the desired changes and why these changes are
>> necessary.
>>
>>
>> Abstract
>> --------
>>
>> `Datatypes <data-type-objects-dtype>` in NumPy describe how to
>> interpret each element in arrays. NumPy provides ``int``, ``float``,
>> and ``complex`` numerical types, as well as string, datetime, and
>> structured datatype capabilities.
>> The growing Python community, however, has need for more diverse
>> datatypes.
>> Examples are datatypes with unit information attached (such as
>> meters) or
>> categorical datatypes (fixed set of possible values).
>> However, the current NumPy datatype API is too limited to allow the
>> creation of these.
>>
>> This NEP is the first step to enable such growth; it will lead to a
>> simpler development path for new datatypes.
>> In the long run the new datatype system will also support the
>> creation of datatypes directly from Python rather than C.
>> Refactoring the datatype API will improve maintainability and
>> facilitate development of both user-defined external datatypes, as
>> well as new features for existing datatypes internal to NumPy.
>>
>>
>> Motivation and Scope
>> --------------------
>>
>> .. seealso::
>>
>> The user impact section includes examples of what kind of new
>> datatypes
>> will be enabled by the proposed changes in the long run.
>> It may thus help to read these section out of order.
>>
>> Motivation
>> ^^^^^^^^^^
>>
>> One of the main issues with the current API is the definition of
>> typical functions such as addition and multiplication for parametric
>> datatypes (see also NEP 40) which require additional steps to
>> determine the output type.
>> For example when adding two strings of length 4, the result is a
>> string of length 8, which is different from the input.
>> Similarly, a datatype which embeds a physical unit must calculate the
>> new unit
>> information: dividing a distance by a time results in a speed.
>> A related difficulty is that the :ref:`current casting rules
>> <_ufuncs.casting>`
>> -- the conversion between different datatypes -- cannot describe
>> casting for such parametric datatypes implemented outside of NumPy.
>>
>> This additional functionality for supporting parametric datatypes
>> introduces increased complexity within NumPy itself, and furthermore
>> is not available to external user-defined datatypes.
>> In general the concerns of different datatypes are not well well-
>> encapsulated.
>> This burden is exacerbated by the exposure of internal C structures,
>> limiting the addition of new fields (for example to support new
>> sorting methods [new_sort]_).
>>
>> Currently there are many factors which limit the creation of new
>> user-defined
>> datatypes:
>>
>> * Creating casting rules for parametric user-defined dtypes is either
>> impossible
>> or so complex that it has never been attempted.
>> * Type promotion, e.g. the operation deciding that adding float and
>> integer
>> values should return a float value, is very valuable for numeric
>> datatypes
>> but is limited in scope for user-defined and especially parametric
>> datatypes.
>> * Much of the logic (e.g. promotion) is written in single functions
>> instead of being split as methods on the datatype itself.
>> * In the current design datatypes cannot have methods that do not
>> generalize
>> to other datatypes. For example a unit datatype cannot have a
>> ``.to_si()`` method to
>> easily find the datatype which would represent the same values in
>> SI units.
>>
>> The large need to solve these issues has driven the scientific
>> community to create work-arounds in multiple projects implementing
>> physical units as an array-like class instead of a datatype, which
>> would generalize better across multiple array-likes (Dask, pandas,
>> etc.).
>> Already, Pandas has made a push into the same direction with its
>> extension arrays [pandas_extension_arrays]_ and undoubtedly the
>> community would be best served if such new features could be common
>> between NumPy, Pandas, and other projects.
>>
>> Scope
>> ^^^^^
>>
>> The proposed refactoring of the datatype system is a large
>> undertaking and thus is proposed to be split into various phases,
>> roughly:
>>
>> * Phase I: Restructure and extend the datatype infrastructure (This
>> NEP 41)
>> * Phase II: Incrementally define or rework API (Detailed largely in
>> NEPs 42/43)
>> * Phase III: Growth of NumPy and Scientific Python Ecosystem
>> capabilities.
>>
>> For a more detailed accounting of the various phases, see "Plan to
>> Approach the Full Refactor" in the Implementation section below.
>> This NEP proposes to move ahead with the necessary creation of new
>> dtype subclasses (Phase I), and start working on implementing current
>> functionality.
>> Within the context of this NEP all development will be fully private
>> API or use preliminary underscored names which must be changed in the
>> future.
>> Most of the internal and public API choices are part of a second
>> Phase and will be discussed in more detail in the following NEPs 42
>> and 43.
>> The initial implementation of this NEP will have little or no effect
>> on users, but provides the necessary ground work for incrementally
>> addressing the full rework.
>>
>> The implementation of this NEP and the following, implied large
>> rework of how datatypes are defined in NumPy is expected to create
>> small incompatibilities (see backward compatibility section).
>> However, a transition requiring large code adaption is not
>> anticipated and not within scope.
>>
>> Specifically, this NEP makes the following design choices which are
>> discussed in more details in the detailed description section:
>>
>> 1. Each datatype will be an instance of a subclass of ``np.dtype``,
>> with most of the
>> datatype-specific logic being implemented
>> as special methods on the class. In the C-API, these correspond to
>> specific
>> slots. In short, for ``f = np.dtype("f8")``, ``isinstance(f,
>> np.dtype)`` will remain true,
>> but ``type(f)`` will be a subclass of ``np.dtype`` rather than
>> just ``np.dtype`` itself.
>> The ``PyArray_ArrFuncs`` which are currently stored as a pointer
>> on the instance (as ``PyArray_Descr->f``),
>> should instead be stored on the class as typically done in Python.
>> In the future these may correspond to python side dunder methods.
>> Storage information such as itemsize and byteorder can differ
>> between
>> different dtype instances (e.g. "S3" vs. "S8") and will remain
>> part of the instance.
>> This means that in the long run the current lowlevel access to
>> dtype methods
>> will be removed (see ``PyArray_ArrFuncs`` in NEP 40).
>>
>> 2. The current NumPy scalars will *not* change, they will not be
>> instances of
>> datatypes. This will also be true for new datatypes, scalars will
>> not be
>> instances of a dtype (although ``isinstance(scalar, dtype)`` may
>> be made
>> to return ``True`` when appropriate).
>>
>> Detailed technical decisions to follow in NEP 42.
>>
>> Further, the public API will be designed in a way that is extensible
>> in the future:
>>
>> 3. All new C-API functions provided to the user will hide
>> implementation details
>> as much as possible. The public API should be an identical, but
>> limited,
>> version of the C-API used for the internal NumPy datatypes.
>>
>> The changes to the datatype system in Phase II must include a large
>> refactor of the UFunc machinery, which will be further defined in NEP
>> 43:
>>
>> 4. To enable all of the desired functionality for new user-defined
>> datatypes,
>> the UFunc machinery will be changed to replace the current
>> dispatching
>> and type resolution system.
>> The old system should be *mostly* supported as a legacy version
>> for some time.
>>
>> Additionally, as a general design principle, the addition of new
>> user-defined datatypes will *not* change the behaviour of programs.
>> For example ``common_dtype(a, b)`` must not be ``c`` unless ``a`` or
>> ``b`` know that ``c`` exists.
>>
>>
>> User Impact
>> -----------
>>
>> The current ecosystem has very few user-defined datatypes using
>> NumPy, the two most prominent being: ``rational`` and ``quaternion``.
>> These represent fairly simple datatypes which are not strongly
>> impacted by the current limitations.
>> However, we have identified a need for datatypes such as:
>>
>> * bfloat16, used in deep learning
>> * categorical types
>> * physical units (such as meters)
>> * datatypes for tracing/automatic differentiation
>> * high, fixed precision math
>> * specialized integer types such as int2, int24
>> * new, better datetime representations
>> * extending e.g. integer dtypes to have a sentinel NA value
>> * geometrical objects [pygeos]_
>>
>> Some of these are partially solved; for example unit capability is
>> provided in ``astropy.units``, ``unyt``, or ``pint``, as
>> `numpy.ndarray` subclasses.
>> Most of these datatypes, however, simply cannot be reasonably defined
>> right now.
>> An advantage of having such datatypes in NumPy is that they should
>> integrate seamlessly with other array or array-like packages such as
>> Pandas, ``xarray`` [xarray_dtype_issue]_, or ``Dask``.
>>
>> The long term user impact of implementing this NEP will be to allow
>> both the growth of the whole ecosystem by having such new datatypes,
>> as well as consolidating implementation of such datatypes within
>> NumPy to achieve better interoperability.
>>
>>
>> Examples
>> ^^^^^^^^
>>
>> The following examples represent future user-defined datatypes we
>> wish to enable.
>> These datatypes are not part the NEP and choices (e.g. choice of
>> casting rules) are possibilities we wish to enable and do not
>> represent recommendations.
>>
>> Simple Numerical Types
>> """"""""""""""""""""""
>>
>> Mainly used where memory is a consideration, lower-precision numeric
>> types such as :ref:```bfloat16`` <
>> https://en.wikipedia.org/wiki/Bfloat16_floating-point_format>`
>> are common in other computational frameworks.
>> For these types the definitions of things such as ``np.common_type``
>> and ``np.can_cast`` are some of the most important interfaces. Once
>> they support ``np.common_type``, it is (for the most part) possible
>> to find the correct ufunc loop to call, since most ufuncs -- such as
>> add -- effectively only require ``np.result_type``::
>>
>> >>> np.add(arr1, arr2).dtype == np.result_type(arr1, arr2)
>>
>> and `~numpy.result_type` is largely identical to
>> `~numpy.common_type`.
>>
>>
>> Fixed, high precision math
>> """"""""""""""""""""""""""
>>
>> Allowing arbitrary precision or higher precision math is important in
>> simulations. For instance ``mpmath`` defines a precision::
>>
>> >>> import mpmath as mp
>> >>> print(mp.dps) # the current (default) precision
>> 15
>>
>> NumPy should be able to construct a native, memory-efficient array
>> from a list of ``mpmath.mpf`` floating point objects::
>>
>> >>> arr_15_dps = np.array(mp.arange(3)) # (mp.arange returns a
>> list)
>> >>> print(arr_15_dps) # Must find the correct precision from the
>> objects:
>> array(['0.0', '1.0', '2.0'], dtype=mpf[dps=15])
>>
>> We should also be able to specify the desired precision when creating
>> the datatype for an array. Here, we use ``np.dtype[mp.mpf]`` to find
>> the DType class (the notation is not part of this NEP), which is then
>> instantiated with the desired parameter.
>> This could also be written as ``MpfDType`` class::
>>
>> >>> arr_100_dps = np.array([1, 2, 3],
>> dtype=np.dtype[mp.mpf](dps=100))
>> >>> print(arr_15_dps + arr_100_dps)
>> array(['0.0', '2.0', '4.0'], dtype=mpf[dps=100])
>>
>> The ``mpf`` datatype can decide that the result of the operation
>> should be the higher precision one of the two, so uses a precision of
>> 100.
>> Furthermore, we should be able to define casting, for example as in::
>>
>> >>> np.can_cast(arr_15_dps.dtype, arr_100_dps.dtype,
>> casting="safe")
>> True
>> >>> np.can_cast(arr_100_dps.dtype, arr_15_dps.dtype,
>> casting="safe")
>> False # loses precision
>> >>> np.can_cast(arr_100_dps.dtype, arr_100_dps.dtype,
>> casting="same_kind")
>> True
>>
>> Casting from float is a probably always at least a ``same_kind``
>> cast, but in general, it is not safe::
>>
>> >>> np.can_cast(np.float64, np.dtype[mp.mpf](dps=4),
>> casting="safe")
>> False
>>
>> since a float64 has a higer precision than the ``mpf`` datatype with
>> ``dps=4``.
>>
>> Alternatively, we can say that::
>>
>> >>> np.common_type(np.dtype[mp.mpf](dps=5),
>> np.dtype[mp.mpf](dps=10))
>> np.dtype[mp.mpf](dps=10)
>>
>> And possibly even::
>>
>> >>> np.common_type(np.dtype[mp.mpf](dps=5), np.float64)
>> np.dtype[mp.mpf](dps=16) # equivalent precision to float64 (I
>> believe)
>>
>> since ``np.float64`` can be cast to a ``np.dtype[mp.mpf](dps=16)``
>> safely.
>>
>>
>> Categoricals
>> """"""""""""
>>
>> Categoricals are interesting in that they can have fixed, predefined
>> values, or can be dynamic with the ability to modify categories when
>> necessary.
>> The fixed categories (defined ahead of time) is the most straight
>> forward categorical definition.
>> Categoricals are *hard*, since there are many strategies to implement
>> them, suggesting NumPy should only provide the scaffolding for
>> user-defined categorical types. For instance::
>>
>> >>> cat = Categorical(["eggs", "spam", "toast"])
>> >>> breakfast = array(["eggs", "spam", "eggs", "toast"],
>> dtype=cat)
>>
>> could store the array very efficiently, since it knows that there are
>> only 3 categories.
>> Since a categorical in this sense knows almost nothing about the data
>> stored in it, few operations makes, sense, although equality does:
>>
>> >>> breakfast2 = array(["eggs", "eggs", "eggs", "eggs"],
>> dtype=cat)
>> >>> breakfast == breakfast2
>> array[True, False, True, False])
>>
>> The categorical datatype could work like a dictionary: no two items
>> names can be equal (checked on dtype creation), so that the equality
>> operation above can be performed very efficiently.
>> If the values define an order, the category labels (internally
>> integers) could
>> be ordered the same way to allow efficient sorting and comparison.
>>
>> Whether or not casting is defined from one categorical with less to
>> one with strictly more values defined, is something that the
>> Categorical datatype would need to decide. Both options should be
>> available.
>>
>>
>> Unit on the Datatype
>> """"""""""""""""""""
>>
>> There are different ways to define Units, depending on how the
>> internal machinery would be organized, one way is to have a single
>> Unit datatype for every existing numerical type.
>> This will be written as ``Unit[float64]``, the unit itself is part of
>> the DType instance ``Unit[float64]("m")`` is a ``float64`` with
>> meters
>> attached::
>>
>> >>> from astropy import units
>> >>> meters = np.array([1, 2, 3], dtype=np.float64) * units.m #
>> meters
>> >>> print(meters)
>> array([1.0, 2.0, 3.0], dtype=Unit[float64]("m"))
>>
>> Note that units are a bit tricky. It is debatable, whether::
>>
>> >>> np.array([1.0, 2.0, 3.0], dtype=Unit[float64]("m"))
>>
>> should be valid syntax (coercing the float scalars without a unit to
>> meters).
>> Once the array is created, math will work without any issue::
>>
>> >>> meters / (2 * unit.seconds)
>> array([0.5, 1.0, 1.5], dtype=Unit[float64]("m/s"))
>>
>> Casting is not valid from one unit to the other, but can be valid
>> between different scales of the same dimensionality (although this
>> may be
>> "unsafe")::
>>
>> >>> meters.astype(Unit[float64]("s"))
>> TypeError: Cannot cast meters to seconds.
>> >>> meters.astype(Unit[float64]("km"))
>> >>> # Convert to centimeter-gram-second (cgs) units:
>> >>> meters.astype(meters.dtype.to_cgs())
>>
>> The above notation is somewhat clumsy. Functions could be used
>> instead to convert between units.
>> There may be ways to make these more convenient, but those must be
>> left for future discussions::
>>
>> >>> units.convert(meters, "km")
>> >>> units.to_cgs(meters)
>>
>> There are some open questions. For example, whether additional
>> methods on the array object could exist to simplify some of the
>> notions, and how these would percolate from the datatype to the
>> ``ndarray``.
>>
>> The interaction with other scalars would likely be defined through::
>>
>> >>> np.common_type(np.float64, Unit)
>> Unit[np.float64](dimensionless)
>>
>> Ufunc output datatype determination can be more involved than for
>> simple numerical dtypes since there is no "universal" output type::
>>
>> >>> np.multiply(meters, seconds).dtype != np.result_type(meters,
>> seconds)
>>
>> In fact ``np.result_type(meters, seconds)`` must error without
>> context of the operation being done.
>> This example highlights how the specific ufunc loop (loop with known,
>> specific DTypes as inputs), has to be able to to make certain
>> decisions before the actual calculation can start.
>>
>>
>>
>> Implementation
>> --------------
>>
>> Plan to Approach the Full Refactor
>> ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
>>
>> To address these issues in NumPy and enable new datatypes,
>> multiple development stages are required:
>>
>> * Phase I: Restructure and extend the datatype infrastructure (This
>> NEP)
>>
>> * Organize Datatypes like normal Python classes [`PR 15508`]_
>>
>> * Phase II: Incrementally define or rework API
>>
>> * Create a new and easily extensible API for defining new datatypes
>> and related functionality. (NEP 42)
>>
>> * Incrementally define all necessary functionality through the new
>> API (NEP 42):
>>
>> * Defining operations such as ``np.common_type``.
>> * Allowing to define casting between datatypes.
>> * Add functionality necessary to create a numpy array from Python
>> scalars
>> (i.e. ``np.array(...)``).
>> * …
>>
>> * Restructure how universal functions work (NEP 43), in order to:
>>
>> * make it possible to allow a `~numpy.ufunc` such as ``np.add``
>> to be
>> extended by user-defined datatypes such as Units.
>>
>> * allow efficient lookup for the correct implementation for user-
>> defined
>> datatypes.
>>
>> * enable reuse of existing code. Units should be able to use the
>> normal math loops and add additional logic to determine output
>> type.
>>
>> * Phase III: Growth of NumPy and Scientific Python Ecosystem
>> capabilities:
>>
>> * Cleanup of legacy behaviour where it is considered buggy or
>> undesirable.
>> * Provide a path to define new datatypes from Python.
>> * Assist the community in creating types such as Units or
>> Categoricals
>> * Allow strings to be used in functions such as ``np.equal`` or
>> ``np.add``.
>> * Remove legacy code paths within NumPy to improve long term
>> maintainability
>>
>> This document serves as a basis for phase I and provides the vision
>> and
>> motivation for the full project.
>> Phase I does not introduce any new user-facing features,
>> but is concerned with the necessary conceptual cleanup of the current
>> datatype system.
>> It provides a more "pythonic" datatype Python type object, with a
>> clear class hierarchy.
>>
>> The second phase is the incremental creation of all APIs necessary to
>> define
>> fully featured datatypes and reorganization of the NumPy datatype
>> system.
>> This phase will thus be primarily concerned with defining an,
>> initially preliminary, stable public API.
>>
>> Some of the benefits of a large refactor may only become evident
>> after the full
>> deprecation of the current legacy implementation (i.e. larger code
>> removals).
>> However, these steps are necessary for improvements to many parts of
>> the
>> core NumPy API, and are expected to make the implementation generally
>> easier to understand.
>>
>> The following figure illustrates the proposed design at a high level,
>> and roughly delineates the components of the overall design.
>> Note that this NEP only regards Phase I (shaded area),
>> the rest encompasses Phase II and the design choices are up for
>> discussion,
>> however, it highlights that the DType datatype class is the central,
>> necessary
>> concept:
>>
>> .. image:: _static/nep-0041-mindmap.svg
>>
>>
>> First steps directly related to this NEP
>> ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
>>
>> The required changes necessary to NumPy are large and touch many
>> areas
>> of the code base
>> but many of these changes can be addressed incrementally.
>>
>> To enable an incremental approach we will start by creating a C
>> defined
>> ``PyArray_DTypeMeta`` class with its instances being the ``DType``
>> classes,
>> subclasses of ``np.dtype``.
>> This is necessary to add the ability of storing custom slots on the
>> DType in C.
>> This ``DTypeMeta`` will be implemented first to then enable
>> incremental
>> restructuring of current code.
>>
>> The addition of ``DType`` will then enable addressing other changes
>> incrementally, some of which may begin before the settling the full
>> internal
>> API:
>>
>> 1. New machinery for array coercion, with the goal of enabling user
>> DTypes
>> with appropriate class methods.
>> 2. The replacement or wrapping of the current casting machinery.
>> 3. Incremental redefinition of the current ``PyArray_ArrFuncs`` slots
>> into
>> DType method slots.
>>
>> At this point, no or only very limited new public API will be added
>> and
>> the internal API is considered to be in flux.
>> Any new public API may be set up give warnings and will have leading
>> underscores
>> to indicate that it is not finalized and can be changed without
>> warning.
>>
>>
>> Backward compatibility
>> ----------------------
>>
>> While the actual backward compatibility impact of implementing Phase
>> I and II
>> are not yet fully clear, we anticipate, and accept the following
>> changes:
>>
>> * **Python API**:
>>
>> * ``type(np.dtype("f8"))`` will be a subclass of ``np.dtype``,
>> while right
>> now ``type(np.dtype("f8")) is np.dtype``.
>> Code should use ``isinstance`` checks, and in very rare cases may
>> have to
>> be adapted to use it.
>>
>> * **C-API**:
>>
>> * In old versions of NumPy ``PyArray_DescrCheck`` is a macro
>> which uses
>> ``type(dtype) is np.dtype``. When compiling against an old
>> NumPy version,
>> the macro may have to be replaced with the corresponding
>> ``PyObject_IsInstance`` call. (If this is a problem, we could
>> backport
>> fixing the macro)
>>
>> * The UFunc machinery changes will break *limited* parts of the
>> current
>> implementation. Replacing e.g. the default ``TypeResolver`` is
>> expected
>> to remain supported for a time, although optimized masked inner
>> loop iteration
>> (which is not even used *within* NumPy) will no longer be
>> supported.
>>
>> * All functions currently defined on the dtypes, such as
>> ``PyArray_Descr->f->nonzero``, will be defined and accessed
>> differently.
>> This means that in the long run lowlevel access code will
>> have to be changed to use the new API. Such changes are expected
>> to be
>> necessary in very few project.
>>
>> * **dtype implementors (C-API)**:
>>
>> * The array which is currently provided to some functions (such as
>> cast functions),
>> will no longer be provided.
>> For example ``PyArray_Descr->f->nonzero`` or ``PyArray_Descr->f-
>> >copyswapn``,
>> may instead receive a dummy array object with only some fields
>> (mainly the
>> dtype), being valid.
>> At least in some code paths, a similar mechanism is already used.
>>
>> * The ``scalarkind`` slot and registration of scalar casting will
>> be
>> removed/ignored without replacement.
>> It currently allows partial value-based casting.
>> The ``PyArray_ScalarKind`` function will continue to work for
>> builtin types,
>> but will not be used internally and be deprecated.
>>
>> * Currently user dtypes are defined as instances of ``np.dtype``.
>> The creation works by the user providing a prototype instance.
>> NumPy will need to modify at least the type during registration.
>> This has no effect for either ``rational`` or ``quaternion`` and
>> mutation
>> of the structure seems unlikely after registration.
>>
>> Since there is a fairly large API surface concerning datatypes,
>> further changes
>> or the limitation certain function to currently existing datatypes is
>> likely to occur.
>> For example functions which use the type number as input
>> should be replaced with functions taking DType classes instead.
>> Although public, large parts of this C-API seem to be used rarely,
>> possibly never, by downstream projects.
>>
>>
>>
>> Detailed Description
>> --------------------
>>
>> This section details the design decisions covered by this NEP.
>> The subsections correspond to the list of design choices presented
>> in the Scope section.
>>
>> Datatypes as Python Classes (1)
>> ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
>>
>> The current NumPy datatypes are not full scale python classes.
>> They are instead (prototype) instances of a single ``np.dtype``
>> class.
>> Changing this means that any special handling, e.g. for ``datetime``
>> can be moved to the Datetime DType class instead, away from
>> monolithic general
>> code (e.g. current ``PyArray_AdjustFlexibleDType``).
>>
>> The main consequence of this change with respect to the API is that
>> special methods move from the dtype instances to methods on the new
>> DType class.
>> This is the typical design pattern used in Python.
>> Organizing these methods and information in a more Pythonic way
>> provides a
>> solid foundation for refining and extending the API in the future.
>> The current API cannot be extended due to how it is exposed
>> publically.
>> This means for example that the methods currently stored in
>> ``PyArray_ArrFuncs``
>> on each datatype (see NEP 40) will be defined differently in the
>> future and
>> deprecated in the long run.
>>
>> The most prominent visible side effect of this will be that
>> ``type(np.dtype(np.float64))`` will not be ``np.dtype`` anymore.
>> Instead it will be a subclass of ``np.dtype`` meaning that
>> ``isinstance(np.dtype(np.float64), np.dtype)`` will remain true.
>> This will also add the ability to use ``isinstance(dtype,
>> np.dtype[float64])``
>> thus removing the need to use ``dtype.kind``, ``dtype.char``, or
>> ``dtype.type``
>> to do this check.
>>
>> With the design decision of DTypes as full-scale Python classes,
>> the question of subclassing arises.
>> Inheritance, however, appears problematic and a complexity best
>> avoided
>> (at least initially) for container datatypes.
>> Further, subclasses may be more interesting for interoperability for
>> example with GPU backends (CuPy) storing additional methods related
>> to the
>> GPU rather than as a mechanism to define new datatypes.
>> A class hierarchy does provides value, this may be achieved by
>> allowing the creation of *abstract* datatypes.
>> An example for an abstract datatype would be the datatype equivalent
>> of
>> ``np.floating``, representing any floating point number.
>> These can serve the same purpose as Python's abstract base classes.
>>
>>
>> Scalars should not be instances of the datatypes (2)
>> ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
>>
>> For simple datatypes such as ``float64`` (see also below), it seems
>> tempting that the instance of a ``np.dtype("float64")`` can be the
>> scalar.
>> This idea may be even more appealing due to the fact that scalars,
>> rather than datatypes, currently define a useful type hierarchy.
>>
>> However, we have specifically decided against this for a number of
>> reasons.
>> First, the new datatypes described herein would be instances of DType
>> classes.
>> Making these instances themselves classes, while possible, adds
>> additional
>> complexity that users need to understand.
>> It would also mean that scalars must have storage information (such
>> as byteorder)
>> which is generally unnecessary and currently is not used.
>> Second, while the simple NumPy scalars such as ``float64`` may be
>> such instances,
>> it should be possible to create datatypes for Python objects without
>> enforcing
>> NumPy as a dependency.
>> However, Python objects that do not depend on NumPy cannot be
>> instances of a NumPy DType.
>> Third, there is a mismatch between the methods and attributes which
>> are useful
>> for scalars and datatypes. For instance ``to_float()`` makes sense
>> for a scalar
>> but not for a datatype and ``newbyteorder`` is not useful on a scalar
>> (or has
>> a different meaning).
>>
>> Overall, it seem rather than reducing the complexity, i.e. by merging
>> the two distinct type hierarchies, making scalars instances of DTypes
>> would
>> increase the complexity of both the design and implementation.
>>
>> A possible future path may be to instead simplify the current NumPy
>> scalars to
>> be much simpler objects which largely derive their behaviour from the
>> datatypes.
>>
>> C-API for creating new Datatypes (3)
>> ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
>>
>> The current C-API with which users can create new datatypes
>> is limited in scope, and requires use of "private" structures. This
>> means
>> the API is not extensible: no new members can be added to the
>> structure
>> without losing binary compatibility.
>> This has already limited the inclusion of new sorting methods into
>> NumPy [new_sort]_.
>>
>> The new version shall thus replace the current ``PyArray_ArrFuncs``
>> structure used
>> to define new datatypes.
>> Datatypes that currently exist and are defined using these slots will
>> be
>> supported during a deprecation period.
>>
>> The most likely solution is to hide the implementation from the user
>> and thus make
>> it extensible in the future is to model the API after Python's stable
>> API [PEP-384]_:
>>
>> .. code-block:: C
>>
>> static struct PyArrayMethodDef slots[] = {
>> {NPY_dt_method, method_implementation},
>> ...,
>> {0, NULL}
>> }
>>
>> typedef struct{
>> PyTypeObject *typeobj; /* type of python scalar */
>> ...;
>> PyType_Slot *slots;
>> } PyArrayDTypeMeta_Spec;
>>
>> PyObject* PyArray_InitDTypeMetaFromSpec(
>> PyArray_DTypeMeta *user_dtype, PyArrayDTypeMeta_Spec
>> *dtype_spec);
>>
>> The C-side slots should be designed to mirror Python side methods
>> such as ``dtype.__dtype_method__``, although the exposure to Python
>> is
>> a later step in the implementation to reduce the complexity of the
>> initial
>> implementation.
>>
>>
>> C-API Changes to the UFunc Machinery (4)
>> ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
>>
>> Proposed changes to the UFunc machinery will be part of NEP 43.
>> However, the following changes will be necessary (see NEP 40 for a
>> detailed
>> description of the current implementation and its issues):
>>
>> * The current UFunc type resolution must be adapted to allow better
>> control
>> for user-defined dtypes as well as resolve current inconsistencies.
>> * The inner-loop used in UFuncs must be expanded to include a return
>> value.
>> Further, error reporting must be improved, and passing in dtype-
>> specific
>> information enabled.
>> This requires the modification of the inner-loop function signature
>> and
>> addition of new hooks called before and after the inner-loop is
>> used.
>>
>> An important goal for any changes to the universal functions will be
>> to
>> allow the reuse of existing loops.
>> It should be easy for a new units datatype to fall back to existing
>> math
>> functions after handling the unit related computations.
>>
>>
>> Discussion
>> ----------
>>
>> See NEP 40 for a list of previous meetings and discussions.
>>
>>
>> References
>> ----------
>>
>> .. [pandas_extension_arrays]
>> https://pandas.pydata.org/pandas-docs/stable/development/extending.html#extension-types
>>
>> .. _xarray_dtype_issue: https://github.com/pydata/xarray/issues/1262
>>
>> .. [pygeos] https://github.com/caspervdw/pygeos
>>
>> .. [new_sort] https://github.com/numpy/numpy/pull/12945
>>
>> .. [PEP-384] https://www.python.org/dev/peps/pep-0384/
>>
>> .. [PR 15508] https://github.com/numpy/numpy/pull/15508
>>
>>
>> Copyright
>> ---------
>>
>> This document has been placed in the public domain.
>>
>>
>> Acknowledgments
>> ---------------
>>
>> The effort to create new datatypes for NumPy has been discussed for
>> several
>> years in many different contexts and settings, making it impossible
>> to list everyone involved.
>> We would like to thank especially Stephan Hoyer, Nathaniel Smith, and
>> Eric Wieser
>> for repeated in-depth discussion about datatype design.
>> We are very grateful for the community input in reviewing and
>> revising this
>> NEP and would like to thank especially Ross Barnowski and Ralf
>> Gommers.
>>
>> _______________________________________________
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>> NumPy-Discussion at python.org <mailto:NumPy-Discussion at python.org>
>> https://mail.python.org/mailman/listinfo/numpy-discussion
>
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