python - Max in a sliding window in NumPy array

Question

I want to create an array which holds all the max()es of a window moving through a given numpy array. I'm sorry if this sounds confusing. I'll give an example. Input:

[ 6,4,8,7,1,4,3,5,7,2,4,6,2,1,3,5,6,3,4,7,1,9,4,3,2 ]

My output with a window width of 5 shall be this:

[     8,8,8,7,7,7,7,7,7,6,6,6,6,6,6,7,7,9,9,9,9     ]

Each number shall be the max of a subarray of width 5 of the input array:

[ 6,4,8,7,1,4,3,5,7,2,4,6,2,1,3,5,6,3,4,7,1,9,4,3,2 ]
         /                        /
        /                        /
       /                        /
      /                        /
[     8,8,8,7,7,7,7,7,7,6,6,6,6,6,6,7,7,9,9,9,9     ]

I did not find an out-of-the-box function within numpy which would do this (but I would not be surprised if there was one; I'm not always thinking in the terms the numpy developers thought). I considered creating a shifted 2D-version of my input:

[ [ 6,4,8,7,1,4,3,5,7,8,4,6,2,1,3,5,6,3,4,7,1 ]
  [ 4,8,7,1,4,3,5,7,8,4,6,2,1,3,5,6,3,4,7,1,9 ]
  [ 8,7,1,4,3,5,7,8,4,6,2,1,3,5,6,3,4,7,1,9,4 ]
  [ 7,1,4,3,5,7,8,4,6,2,1,3,5,6,3,4,7,1,9,4,3 ]
  [ 1,4,3,5,7,8,4,6,2,1,3,5,6,3,4,7,1,9,4,3,2 ] ]

Then I could apply np.max(input, 0) on this and would get my results. But this does not seem efficient in my case because both my array and my window width can be large (>1000000 entries and >100000 window width). The data would be blown up more or less by a factor of the window width.

I also considered using np.convolve() in some fashion but couldn't figure out a way to achieve my goal with it.

Any ideas how to do this efficiently?

Answer 1

Approach #1 : You could use 1D max filter from Scipy -

from scipy.ndimage.filters import maximum_filter1d

def max_filter1d_valid(a, W):
    hW = (W-1)//2 # Half window size
    return maximum_filter1d(a,size=W)[hW:-hW]

Approach #2 : Here's another approach with strides : strided_app to create a 2D shifted version as view into the array pretty efficiently and that should let us use any custom reduction operation along the second axis afterwards -

def max_filter1d_valid_strided(a, W):
    return strided_app(a, W, S=1).max(axis=1)

Runtime test -

In [55]: a = np.random.randint(0,10,(10000))

# @Abdou's solution using pandas rolling
In [56]: %timeit pd.Series(a).rolling(5).max().dropna().tolist()
1000 loops, best of 3: 999 μs per loop

In [57]: %timeit max_filter1d_valid(a, W=5)
    ...: %timeit max_filter1d_valid_strided(a, W=5)
    ...: 
10000 loops, best of 3: 90.5 μs per loop
10000 loops, best of 3: 87.9 μs per loop