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import json
from collections.abc import Iterator
from functools import lru_cache, partial
from pathlib import Path
from queue import Full, Queue
from threading import Event, Thread
import numpy as np
from scipy.signal import lfilter
from cascade.interface import DataGenerator
try:
from numba import njit
_HAS_NUMBA = True
except ImportError: # pragma: no cover - sandbox ships numba
_HAS_NUMBA = False
def njit(*args, **kwargs): # type: ignore[misc]
def wrap(fn):
return fn
if args and callable(args[0]) and not kwargs:
return args[0]
return wrap
_CHUNK = 2048
_STARTUP_CHUNK = 256
_RAMP_CHUNK = 1024
_SEASONAL_PERIODS = np.array([4, 7, 12, 15, 24, 30, 48, 52, 60, 90, 96, 144, 168, 183, 240, 288, 336, 365, 672, 730], dtype=np.float64)
_SEASONAL_PROBS = np.array([0.01, 0.23, 0.02, 0.02, 0.07, 0.01, 0.06, 0.01, 0.08, 0.01, 0.14, 0.07, 0.04, 0.01, 0.08, 0.08, 0.02, 0.02, 0.01, 0.01], dtype=np.float64)
_SEASONAL_PROBS /= _SEASONAL_PROBS.sum()
_SEASONAL_PAIRS = np.array([[15, 60], [60, 240], [24, 168], [48, 336], [96, 672], [7, 365], [12, 52]], dtype=np.float64)
_FAMILIES: tuple[str, ...] = ('k00', 'k01', 'k02', 'k03', 'k04', 'k05', 'k06', 'k07', 'k08', 'k09', 'k10', 'k11', 'k12', 'k13', 'k14', 'k15', 'k16', 'k17', 'k18', 'k19', 'k20')
_DEFAULT_WEIGHTS: dict[str, float] = {'k00': 0.095, 'k01': 0.095, 'k02': 0.06, 'k03': 0.105, 'k04': 0.095, 'k05': 0.06, 'k06': 0.02, 'k07': 0.07, 'k08': 0.07, 'k09': 0.08, 'k10': 0.08, 'k11': 0.06, 'k12': 0.02, 'k13': 0.02, 'k14': 0.07, 'k15': 0.0, 'k16': 0.0, 'k17': 0.0, 'k18': 0.0, 'k19': 0.0, 'k20': 0.0}
_CLEAN: frozenset[str] = frozenset({'k15', 'k18', 'k17', 'k19'})
_NONNEG: frozenset[str] = frozenset({'k02', 'k10', 'k11', 'k12'})
_INT_FAM: frozenset[str] = frozenset({'k11', 'k12'})
_REVERSE_FAM: frozenset[str] = frozenset({'k00', 'k02', 'k07', 'k08'})
_KERNELS_WARMED = False
def _k15(rng: np.random.Generator, n: int, L: int) -> np.ndarray:
jumps = rng.uniform(1.0, 8.0, size=(n, 1))
at = rng.random((n, L)) < jumps / max(L, 1)
at[:, 0] = True
size = rng.normal(0.0, 1.0, size=(n, L)) * rng.uniform(0.4, 3.0, size=(n, 1))
level = np.cumsum(at * size, axis=1)
scale = np.exp(rng.uniform(np.log(1.0), np.log(2000.0), size=(n, 1)))
exact = rng.random((n, 1)) < 0.5
sd = np.where(exact, 0.0, rng.uniform(0.002, 0.03, size=(n, 1)))
out = (rng.uniform(-2.0, 2.0, size=(n, 1)) + level) * scale
out = out + rng.normal(0.0, 1.0, size=(n, L)) * sd * scale
integral = rng.random((n, 1)) < 0.4
return np.where(integral, np.rint(out), out)
def _k16(rng: np.random.Generator, n: int, L: int) -> np.ndarray:
drive = _ar1_batch(rng.normal(0.0, 1.0, size=(n, L)), rng.uniform(0.99, 0.9995, size=(n, 1)))
drive = (drive - drive.mean(axis=1, keepdims=True)) / np.maximum(drive.std(axis=1, keepdims=True), 1e-09)
hot = drive > rng.uniform(0.2, 1.2, size=(n, 1))
lo = rng.uniform(0.02, 0.2, size=(n, 1))
ratio = rng.uniform(4.0, 25.0, size=(n, 1))
sd = np.where(hot, lo * ratio, lo)
x = _ar1_batch(rng.normal(0.0, 1.0, size=(n, L)) * sd, rng.uniform(0.9, 0.999, size=(n, 1)))
scale = np.exp(rng.uniform(np.log(1.0), np.log(500.0), size=(n, 1)))
return x * scale + rng.uniform(-1.0, 1.0, size=(n, 1)) * scale
def _k17(rng: np.random.Generator, n: int, L: int) -> np.ndarray:
t = np.arange(L, dtype=np.float64)[None, :]
day = rng.choice(np.array([24.0, 48.0, 96.0, 144.0]), size=(n, 1))
week = day * 7.0
amp_w = rng.uniform(0.4, 1.6, size=(n, 1))
amp_d = rng.uniform(0.3, 1.4, size=(n, 1))
y = amp_w * np.sin(2.0 * np.pi * t / week + rng.uniform(0, 2 * np.pi, (n, 1)))
y = y + amp_d * np.sin(2.0 * np.pi * t / day + rng.uniform(0, 2 * np.pi, (n, 1)))
y = y + 0.35 * amp_d * np.sin(4.0 * np.pi * t / day + rng.uniform(0, 2 * np.pi, (n, 1)))
drift = rng.uniform(-0.3, 0.3, size=(n, 1)) * t / max(L - 1, 1)
noise = rng.normal(0.0, 1.0, size=(n, L)) * rng.uniform(0.02, 0.15, size=(n, 1))
base = np.exp(rng.uniform(np.log(5.0), np.log(5000.0), size=(n, 1)))
out = base * np.exp(np.clip(y * 0.4 + drift + noise, -6.0, 6.0))
counts = rng.random((n, 1)) < 0.45
return np.where(counts, np.rint(out), out)
def _k18(rng: np.random.Generator, n: int, L: int) -> np.ndarray:
t = np.arange(L, dtype=np.float64)[None, :]
k = int(rng.integers(3, 6))
out = np.zeros((n, L), dtype=np.float64)
base = rng.uniform(10.0, 400.0, size=(n, 1))
for _ in range(k):
period = base * rng.uniform(0.31, 2.7, size=(n, 1))
out += rng.uniform(0.2, 1.0, size=(n, 1)) * np.sin(2.0 * np.pi * t / period + rng.uniform(0, 2 * np.pi, size=(n, 1)))
sd = rng.uniform(0.005, 0.05, size=(n, 1))
scale = np.exp(rng.uniform(np.log(1.0), np.log(1000.0), size=(n, 1)))
out = out + rng.normal(0.0, 1.0, size=(n, L)) * sd
return out * scale + rng.uniform(-1.0, 1.0, size=(n, 1)) * scale
def _k19(rng: np.random.Generator, n: int, L: int) -> np.ndarray:
rate = rng.uniform(1.0, 25.0, size=(n, 1)) / max(L, 1)
hits = (rng.random((n, L)) < rate).astype(np.float64)
mag = rng.gamma(2.0, 1.0, size=(n, L)) * rng.uniform(1.0, 12.0, size=(n, 1))
decay = rng.uniform(0.9, 0.998, size=(n, 1))
flow = _ar1_batch(hits * mag, decay)
baseflow = rng.uniform(0.03, 0.6, size=(n, 1))
scale = np.exp(rng.uniform(np.log(1.0), np.log(800.0), size=(n, 1)))
sd = rng.uniform(0.0, 0.02, size=(n, 1))
out = (flow + baseflow) * scale
return np.maximum(out * (1.0 + rng.normal(0.0, 1.0, (n, L)) * sd), 0.0)
def _k20(rng: np.random.Generator, n: int, L: int) -> np.ndarray:
cap = rng.integers(4, 80, size=(n, 1)).astype(np.float64)
step = rng.normal(0.0, 1.0, size=(n, L)) * rng.uniform(0.01, 0.12, size=(n, 1)) * cap
walk = np.cumsum(step, axis=1) + rng.uniform(0.0, 1.0, size=(n, 1)) * cap
span = 2.0 * cap
folded = cap - np.abs(np.mod(walk, span) - cap)
quiet = rng.random((n, 1)) < 0.35
folded = np.where(quiet, folded, folded + rng.normal(0.0, 0.35, size=(n, L)))
return np.clip(np.rint(folded), 0.0, cap)
def _validate_parameters(parameters: dict[str, float], label: str) -> None:
if not all((np.isfinite(value) for value in parameters.values())):
raise ValueError(f'{label} must contain only finite values')
probability_names = {'sa_clean_frac', 'integrated_heavy_frac', 'integrated_sv_frac', *(key for key in parameters if key.startswith(('observation.', 'augment.')))}
for name in probability_names:
if not 0.0 <= parameters[name] <= 1.0:
raise ValueError(f'{label}.{name} must be in [0, 1]')
for name in ('tr_exc_lo', 'tr_exc_hi', 'gr_exc_lo', 'gr_exc_hi', 'sa_clean_lo', 'sa_clean_hi'):
if parameters[name] < 0.0:
raise ValueError(f'{label}.{name} must be non-negative')
for lo_name, hi_name in (('tr_exc_lo', 'tr_exc_hi'), ('gr_exc_lo', 'gr_exc_hi'), ('sa_clean_lo', 'sa_clean_hi'), ('observation.irregular_hold_prob_lo', 'observation.irregular_hold_prob_hi'), ('observation.shock_prob_lo', 'observation.shock_prob_hi')):
if parameters[lo_name] > parameters[hi_name]:
raise ValueError(f'{label}.{lo_name} must be <= {hi_name}')
class Generator(DataGenerator):
def __init__(self, config_dir: str, *, seed: int) -> None:
cfg_path = Path(config_dir) / 'config.json'
cfg = json.loads(cfg_path.read_text(encoding='utf-8')) if cfg_path.is_file() else {}
self._cfg = cfg
self._seed = int(seed)
self._min_len = int(cfg.get('min_length', 64))
self._max_len = int(cfg.get('max_length', 4096))
if self._min_len < 1 or self._max_len < self._min_len:
raise ValueError(f'invalid length band [{self._min_len}, {self._max_len}]')
weights = dict(_DEFAULT_WEIGHTS)
for k, v in dict(cfg.get('family_weights', {})).items():
if k in weights:
weights[k] = float(v)
w = np.asarray([weights[f] for f in _FAMILIES], dtype=np.float64)
if not np.all(np.isfinite(w)) or w.min() < 0 or w.sum() <= 0:
raise ValueError('family_weights must be finite, non-negative, and not all zero')
self._weights = w / w.sum()
curriculum = dict(cfg.get('curriculum', {}))
self._curriculum_enabled = bool(curriculum.get('enabled', False))
self._expected_budget_fraction = float(curriculum.get('expected_budget_fraction', 1.0))
if not np.isfinite(self._expected_budget_fraction) or not 0.0 < self._expected_budget_fraction <= 1.0:
raise ValueError('curriculum.expected_budget_fraction must be in (0, 1]')
self._curriculum_start = float(curriculum.get('start_fraction', 0.1))
self._curriculum_end = float(curriculum.get('end_fraction', 0.7))
if not 0.0 <= self._curriculum_start < self._curriculum_end <= 1.0:
raise ValueError('curriculum fractions must satisfy 0 <= start_fraction < end_fraction <= 1')
start_weights = dict(weights)
for k, v in dict(curriculum.get('start_family_weights', {})).items():
if k in start_weights:
start_weights[k] = float(v)
start_w = np.asarray([start_weights[f] for f in _FAMILIES], dtype=np.float64)
if not np.all(np.isfinite(start_w)) or start_w.min() < 0 or start_w.sum() <= 0:
raise ValueError('curriculum.start_family_weights must be finite, non-negative, and not all zero')
self._start_weights = start_w / start_w.sum()
self._tr_hi_frac = float(cfg.get('tr_hi_frac', 0.25))
self._prefetch_depth = int(cfg.get('prefetch_depth', 2))
if not 1 <= self._prefetch_depth <= 4:
raise ValueError('prefetch_depth must be in [1, 4]')
augment = dict(cfg.get('augment', {}))
observation = dict(cfg.get('observation', {}))
self._parameters = {'tr_exc_lo': float(cfg.get('tr_exc_lo', 0.4)), 'tr_exc_hi': float(cfg.get('tr_exc_hi', 3.0)), 'gr_exc_lo': float(cfg.get('gr_exc_lo', 0.3)), 'gr_exc_hi': float(cfg.get('gr_exc_hi', 2.0)), 'sa_clean_frac': float(cfg.get('sa_clean_frac', 0.4)), 'sa_clean_lo': float(cfg.get('sa_clean_lo', 0.02)), 'sa_clean_hi': float(cfg.get('sa_clean_hi', 0.12)), 'integrated_heavy_frac': float(cfg.get('integrated_heavy_frac', 0.25)), 'integrated_sv_frac': float(cfg.get('integrated_sv_frac', 0.3)), 'observation.censor_rate': float(observation.get('censor_rate', 0.06)), 'observation.quantize_rate': float(observation.get('quantize_rate', 0.07)), 'observation.regular_hold_rate': float(observation.get('regular_hold_rate', 0.04)), 'observation.irregular_hold_rate': float(observation.get('irregular_hold_rate', 0.0)), 'observation.irregular_hold_prob_lo': float(observation.get('irregular_hold_prob_lo', 0.01)), 'observation.irregular_hold_prob_hi': float(observation.get('irregular_hold_prob_hi', 0.1)), 'observation.shock_row_rate': float(observation.get('shock_row_rate', 0.0)), 'observation.shock_prob_lo': float(observation.get('shock_prob_lo', 0.001)), 'observation.shock_prob_hi': float(observation.get('shock_prob_hi', 0.015)), 'augment.tsmixup': float(augment.get('tsmixup', 0.0)), 'augment.pad_prefix': float(augment.get('pad_prefix', 0.0))}
start_parameters = dict(curriculum.get('start_parameters', {}))
start_observation = dict(start_parameters.pop('observation', {}))
start_augment = dict(start_parameters.pop('augment', {}))
known_top_level = {key for key in self._parameters if '.' not in key}
unknown = set(start_parameters) - known_top_level
unknown.update((f'observation.{key}' for key in start_observation if f'observation.{key}' not in self._parameters))
unknown.update((f'augment.{key}' for key in start_augment if f'augment.{key}' not in self._parameters))
if unknown:
names = ', '.join(sorted(unknown))
raise ValueError(f'unknown curriculum.start_parameters: {names}')
self._start_parameters = dict(self._parameters)
for key, value in start_parameters.items():
self._start_parameters[key] = float(value)
for key, value in start_observation.items():
self._start_parameters[f'observation.{key}'] = float(value)
for key, value in start_augment.items():
self._start_parameters[f'augment.{key}'] = float(value)
_validate_parameters(self._parameters, 'final parameters')
_validate_parameters(self._start_parameters, 'curriculum.start_parameters')
@property
def name(self) -> str:
return str(self._cfg.get('name', ''))
def _blend_at(self, token_progress: float) -> float:
if not self._curriculum_enabled:
return 1.0
position = (token_progress - self._curriculum_start) / (self._curriculum_end - self._curriculum_start)
position = float(np.clip(position, 0.0, 1.0))
return position * position * (3.0 - 2.0 * position)
def _weights_at(self, token_progress: float) -> np.ndarray:
blend = self._blend_at(token_progress)
if blend >= 1.0:
return self._weights
if blend <= 0.0:
return self._start_weights
return (1.0 - blend) * self._start_weights + blend * self._weights
def _parameters_at(self, token_progress: float) -> dict[str, float]:
blend = self._blend_at(token_progress)
if blend >= 1.0:
return dict(self._parameters)
if blend <= 0.0:
return dict(self._start_parameters)
return {key: (1.0 - blend) * self._start_parameters[key] + blend * final_value for key, final_value in self._parameters.items()}
def _progress_at(self, emitted_points: float, target_points: int) -> float:
return emitted_points / (target_points * self._expected_budget_fraction)
def generate(self, n_series: int) -> Iterator[np.ndarray]:
if n_series <= 0:
return
_warmup_kernels()
rng = np.random.default_rng(self._seed)
max_len = self._max_len
fixed_len = self._min_len == max_len
target_points = max(1, max(n_series - 2, 1) * self._min_len)
queue: Queue[object] = Queue(maxsize=self._prefetch_depth)
stop = Event()
done = object()
def put(item: object) -> bool:
while not stop.is_set():
try:
queue.put(item, timeout=0.1)
return True
except Full:
continue
return False
def produce() -> None:
try:
produced = 0
emitted_points = 0
while produced < n_series and (not stop.is_set()):
if produced == 0:
batch_size = _STARTUP_CHUNK
elif produced == _STARTUP_CHUNK:
batch_size = _RAMP_CHUNK
else:
batch_size = _CHUNK
lengths = rng.integers(self._min_len, max_len + 1, size=batch_size)
take = min(batch_size, n_series - produced)
chunk_points = int(lengths[:take].sum())
midpoint_progress = self._progress_at(emitted_points + 0.5 * chunk_points, target_points)
family_weights = self._weights_at(midpoint_progress)
parameters = self._parameters_at(midpoint_progress)
builders = (partial(_k00, hi_frac=self._tr_hi_frac, exc_lo=parameters['tr_exc_lo'], exc_hi=parameters['tr_exc_hi'], clean_frac=parameters['sa_clean_frac'], clean_lo=parameters['sa_clean_lo'], clean_hi=parameters['sa_clean_hi']), _k01, partial(_k02, hi_frac=self._tr_hi_frac, exc_lo=parameters['gr_exc_lo'], exc_hi=parameters['gr_exc_hi']), _k03, partial(_k04, heavy_frac=parameters['integrated_heavy_frac'], sv_frac=parameters['integrated_sv_frac']), _k05, _k06, _k07, _k08, _k09, _k10, _k11, _k12, _k13, _k14, _k15, _k16, _k17, _k18, _k19, _k20)
current_observation = {key.removeprefix('observation.'): value for key, value in parameters.items() if key.startswith('observation.')}
fam_ids = rng.choice(len(_FAMILIES), size=batch_size, p=family_weights)
packed = np.empty((batch_size, max_len), dtype=np.float64) if fixed_len else None
chunk: list[np.ndarray | None] | None = None if fixed_len else [None] * batch_size
for fam in range(len(_FAMILIES)):
idx = np.nonzero(fam_ids == fam)[0]
if idx.size == 0:
continue
block = builders[fam](rng, int(idx.size), max_len)
family = _FAMILIES[fam]
if family in _CLEAN:
block = _sanitize(block)
else:
block = _sanitize(_measurement_artifacts(rng, block, preserve_nonnegative=family in _NONNEG, preserve_integers=family in _INT_FAM, allow_reverse=family in _REVERSE_FAM, allow_range_artifacts=family != 'k04', **current_observation))
if fixed_len:
packed[idx] = block
else:
for row, series_i in enumerate(idx):
length = int(lengths[series_i])
chunk[series_i] = np.ascontiguousarray(block[row, :length], dtype=np.float64)
if fixed_len:
mix_rate = parameters['augment.tsmixup']
if mix_rate > 0.0:
mixed = np.nonzero(rng.random(batch_size) < mix_rate)[0]
for series_i in mixed:
n_other = int(rng.integers(1, 3))
others = rng.integers(0, batch_size, size=n_other)
weights = rng.dirichlet(np.ones(n_other + 1))
combined = weights[0] * packed[series_i]
for j, other_i in enumerate(others):
combined = combined + weights[j + 1] * packed[int(other_i)]
packed[series_i] = _sanitize(combined)
pad_rate = parameters['augment.pad_prefix']
if pad_rate > 0.0:
padded = np.nonzero(rng.random(batch_size) < pad_rate)[0]
for series_i in padded:
series = packed[series_i]
if series.size < 8:
continue
cut = int(rng.integers(series.size // 8, 3 * series.size // 4))
series[:cut] = series[cut]
if not put(('packed', packed, take)):
return
else:
pad_rate = parameters['augment.pad_prefix']
if pad_rate > 0.0:
padded = np.nonzero(rng.random(batch_size) < pad_rate)[0]
for series_i in padded:
series = chunk[series_i]
if series is None or series.size < 8:
continue
cut = int(rng.integers(series.size // 8, 3 * series.size // 4))
series[:cut] = series[cut]
if not put(('list', chunk, take)):
return
produced += take
emitted_points += chunk_points
except BaseException as exc:
put(exc)
finally:
put(done)
producer = Thread(target=produce, name='', daemon=True)
producer.start()
try:
while True:
item = queue.get()
if item is done:
break
if isinstance(item, BaseException):
raise item
kind, payload, take = item
if kind == 'packed':
for i in range(take):
yield np.ascontiguousarray(payload[i], dtype=np.float64)
else:
for arr in payload[:take]:
if arr is None:
raise RuntimeError('internal: unfilled series slot')
yield arr
finally:
stop.set()
producer.join(timeout=1.0)
@njit(cache=False)
def _ar1_numba(innov: np.ndarray, phi: np.ndarray) -> np.ndarray:
n, L = innov.shape
x = np.empty((n, L), dtype=np.float64)
for i in range(n):
p = phi[i]
prev = innov[i, 0]
x[i, 0] = prev
for t in range(1, L):
prev = p * prev + innov[i, t]
x[i, t] = prev
return x
@njit(cache=False)
def _ar2_numba(innov: np.ndarray, a1: np.ndarray, a2: np.ndarray) -> np.ndarray:
n, L = innov.shape
x = np.empty((n, L), dtype=np.float64)
for i in range(n):
aa1 = a1[i]
aa2 = a2[i]
x0 = innov[i, 0]
x[i, 0] = x0
if L > 1:
x1 = aa1 * x0 + innov[i, 1]
x[i, 1] = x1
prev2 = x0
prev1 = x1
for t in range(2, L):
cur = aa1 * prev1 + aa2 * prev2 + innov[i, t]
x[i, t] = cur
prev2 = prev1
prev1 = cur
return x
@njit(cache=False)
def _ar1_zi_numba(drive: np.ndarray, phi: np.ndarray, x0: np.ndarray) -> np.ndarray:
n, L = drive.shape
x = np.empty((n, L), dtype=np.float64)
for i in range(n):
p = phi[i]
prev = x0[i]
x[i, 0] = prev
for t in range(1, L):
prev = p * prev + drive[i, t]
x[i, t] = prev
return x
def _warmup_kernels() -> None:
global _KERNELS_WARMED
if _KERNELS_WARMED or not _HAS_NUMBA:
return
z = np.zeros((2, 8), dtype=np.float64)
p = np.array([0.5, 0.4], dtype=np.float64)
_ar1_numba(z, p)
_ar2_numba(z, p, p)
_ar1_zi_numba(z, p, p)
_KERNELS_WARMED = True
def _ar1_batch(innov: np.ndarray, phi: np.ndarray) -> np.ndarray:
n, L = innov.shape
if n == 0:
return np.empty((0, L), dtype=np.float64)
p = np.asarray(phi, dtype=np.float64).reshape(n)
if _HAS_NUMBA:
return _ar1_numba(np.ascontiguousarray(innov, dtype=np.float64), np.ascontiguousarray(p))
x = np.empty((n, L), dtype=np.float64)
for i in range(n):
x[i] = lfilter([1.0], [1.0, -float(p[i])], innov[i])
return x
def _ar2_batch(innov: np.ndarray, a1: np.ndarray, a2: np.ndarray) -> np.ndarray:
n, L = innov.shape
if n == 0:
return np.empty((0, L), dtype=np.float64)
aa1 = np.asarray(a1, dtype=np.float64).reshape(n)
aa2 = np.asarray(a2, dtype=np.float64).reshape(n)
if _HAS_NUMBA:
return _ar2_numba(np.ascontiguousarray(innov, dtype=np.float64), np.ascontiguousarray(aa1), np.ascontiguousarray(aa2))
x = np.empty((n, L), dtype=np.float64)
for i in range(n):
x[i] = lfilter([1.0], [1.0, -float(aa1[i]), -float(aa2[i])], innov[i])
return x
def _ar1_zi_batch(drive: np.ndarray, phi: np.ndarray, x0: np.ndarray) -> np.ndarray:
n, L = drive.shape
if n == 0:
return np.empty((0, L), dtype=np.float64)
p = np.asarray(phi, dtype=np.float64)
x0v = np.asarray(x0, dtype=np.float64)
if p.ndim > 1:
p = p[:, 0]
if x0v.ndim > 1:
x0v = x0v[:, 0]
p = np.ascontiguousarray(p.reshape(n))
x0v = np.ascontiguousarray(x0v.reshape(n))
if _HAS_NUMBA:
return _ar1_zi_numba(np.ascontiguousarray(drive, dtype=np.float64), p, x0v)
x = np.empty((n, L), dtype=np.float64)
x[:, 0] = x0v
for i in range(n):
x[i, 1:] = lfilter([1.0], [1.0, -float(p[i])], drive[i, 1:], zi=[p[i] * x0v[i]])[0]
return x
def _prefix_mean_std(x: np.ndarray, *, calibration_points: int=512) -> tuple[np.ndarray, np.ndarray]:
prefix = x[:, :min(x.shape[1], calibration_points)]
mean = prefix.mean(axis=1, keepdims=True)
std = prefix.std(axis=1, keepdims=True)
return (mean, np.where(std < 1e-12, 1.0, std))
def _prefix_standardize(x: np.ndarray, *, center: bool=True, calibration_points: int=512) -> np.ndarray:
mean, std = _prefix_mean_std(x, calibration_points=calibration_points)
return (x - mean) / std if center else x / std
@lru_cache(maxsize=4)
def _seasonal_basis(L: int) -> tuple[np.ndarray, np.ndarray]:
angle = 2.0 * np.pi * np.arange(L, dtype=np.float64)[None, :] / _SEASONAL_PERIODS[:, None]
return (np.sin(angle), np.cos(angle))
def _seasonal(rng: np.random.Generator, n: int, L: int, k_max: int=3) -> np.ndarray:
t = np.arange(L, dtype=np.float64)[None, :]
sin_basis, cos_basis = _seasonal_basis(L)
k = rng.integers(1, k_max + 1, size=n)
pair = _SEASONAL_PAIRS[rng.integers(0, len(_SEASONAL_PAIRS), size=n)]
use_pair = rng.random(n) < 0.35
out = np.zeros((n, L), dtype=np.float64)
for j in range(k_max):
active = np.nonzero(k > j)[0]
per = rng.choice(_SEASONAL_PERIODS, size=n, p=_SEASONAL_PROBS)
if j < 2:
per = np.where(use_pair, pair[:, j], per)
per = per[:, None]
amp = rng.uniform(0.2, 2.0, size=n)[:, None]
phase = rng.uniform(0.0, 2.0 * np.pi, size=n)[:, None]
basis_idx = np.searchsorted(_SEASONAL_PERIODS, per[active, 0])
component = amp[active] * (sin_basis[basis_idx] * np.cos(phase[active]) + cos_basis[basis_idx] * np.sin(phase[active]))
modulated = np.nonzero((k > j) & (rng.random(n) < 0.35))[0]
if modulated.size:
modulated_local = np.searchsorted(active, modulated)
modulated_arg = 2.0 * np.pi * t / per[modulated] + phase[modulated]
m_per = np.clip(per[modulated] * rng.uniform(4.0, 12.0, size=(modulated.size, 1)), 32.0, 2.0 * L)
m_phase = rng.uniform(0.0, 2.0 * np.pi, size=(modulated.size, 1))
slow = np.sin(2.0 * np.pi * t / m_per + m_phase)
amp_mod = 1.0 + rng.uniform(0.05, 0.45, size=(modulated.size, 1)) * slow
phase_mod = rng.uniform(0.05, 0.75, size=(modulated.size, 1)) * np.sin(2.0 * np.pi * t / (1.7 * m_per) - m_phase)
component[modulated_local] = amp[modulated] * amp_mod * np.sin(modulated_arg + phase_mod)
out[active] += component
return out
def _sparse_jumps(rng: np.random.Generator, n: int, L: int, rate: float, scale) -> np.ndarray:
mask = rng.random((n, L)) < rate
mask[:, 0] = False
rows, cols = np.nonzero(mask)
jumps = np.zeros((n, L), dtype=np.float64)
if rows.size == 0:
return jumps
s = np.asarray(scale, dtype=np.float64)
event_scale = s if s.ndim == 0 else s.reshape(n)[rows]
jumps[rows, cols] = rng.normal(0.0, 1.0, size=rows.size) * event_scale
return jumps
def _measurement_artifacts(rng: np.random.Generator, block: np.ndarray, *, preserve_nonnegative: bool, preserve_integers: bool=False, allow_reverse: bool=True, allow_range_artifacts: bool=True, censor_rate: float=0.06, quantize_rate: float=0.07, regular_hold_rate: float=0.04, irregular_hold_rate: float=0.0, irregular_hold_prob_lo: float=0.01, irregular_hold_prob_hi: float=0.1, shock_row_rate: float=0.0, shock_prob_lo: float=0.001, shock_prob_hi: float=0.015) -> np.ndarray:
original = np.asarray(block, dtype=np.float64)
n, L = original.shape
if n == 0:
return original
out = original.copy()
reverse = rng.random(n) < 0.06 if allow_reverse else np.zeros(n, dtype=bool)
if reverse.any():
out[reverse] = out[reverse, ::-1]
if not preserve_nonnegative:
invert = rng.random(n) < 0.04
if invert.any():
out[invert] *= -1.0
calibration_len = min(L, 512)
if shock_row_rate > 0.0:
shocked = np.nonzero(rng.random(n) < shock_row_rate)[0]
if shocked.size and L > 1:
diff = np.diff(out[shocked, :calibration_len], axis=1)
center = np.median(diff, axis=1, keepdims=True)
robust_scale = 1.4826 * np.median(np.abs(diff - center), axis=1, keepdims=True)
fallback = np.maximum(np.std(diff, axis=1, keepdims=True), 1e-09)
robust_scale = np.where(robust_scale > 1e-09, robust_scale, fallback)
event_prob = rng.uniform(shock_prob_lo, shock_prob_hi, size=(shocked.size, 1))
event_rows, event_cols = np.nonzero(rng.random((shocked.size, L)) < event_prob)
if event_rows.size:
favored_sign = rng.choice([-1.0, 1.0], size=(shocked.size, 1))
sign = np.where(rng.random(event_rows.size) < 0.75, favored_sign[event_rows, 0], -favored_sign[event_rows, 0])
magnitude = rng.lognormal(mean=np.log(4.0), sigma=0.6, size=event_rows.size)
out[shocked[event_rows], event_cols] += sign * magnitude * robust_scale[event_rows, 0]
if preserve_nonnegative:
np.maximum(out, 0.0, out=out)
if censor_rate > 0.0:
for row in np.nonzero(rng.random(n) < censor_rate)[0]:
q = float(rng.uniform(0.03, 0.18))
upper = rng.random() < 0.5
if not allow_range_artifacts:
continue
calibration = out[row, :calibration_len]
if upper:
threshold = np.quantile(calibration, 1.0 - q)
out[row] = np.minimum(out[row], threshold)
else:
threshold = np.quantile(calibration, q)
out[row] = np.maximum(out[row], threshold)
if quantize_rate > 0.0:
quantized = np.nonzero(rng.random(n) < quantize_rate)[0]
if quantized.size:
levels = rng.integers(16, 257, size=(quantized.size, 1))
if allow_range_artifacts:
x = out[quantized]
calibration = x[:, :calibration_len]
lo = calibration.min(axis=1, keepdims=True)
hi = calibration.max(axis=1, keepdims=True)
step = (hi - lo) / np.maximum(levels - 1, 1)
safe_step = np.where(step < 1e-12, 1.0, step)
clipped = np.clip(x, lo, hi)
out[quantized] = lo + np.rint((clipped - lo) / safe_step) * safe_step
if regular_hold_rate > 0.0:
held = np.nonzero(rng.random(n) < regular_hold_rate)[0]
if held.size:
factors = rng.choice([2, 4, 8], size=held.size, p=[0.55, 0.3, 0.15])
for factor in (2, 4, 8):
rows = held[factors == factor]
if rows.size:
out[rows] = np.repeat(out[rows, ::factor], factor, axis=1)[:, :L]
if irregular_hold_rate > 0.0 and L > 1:
irregular = np.nonzero(rng.random(n) < irregular_hold_rate)[0]
if irregular.size:
hold_prob = rng.uniform(irregular_hold_prob_lo, irregular_hold_prob_hi, size=(irregular.size, 1))
hold = rng.random((irregular.size, L)) < hold_prob
hold[:, 0] = False
source_index = np.where(~hold, np.arange(L, dtype=np.int64)[None, :], 0)
np.maximum.accumulate(source_index, axis=1, out=source_index)
out[irregular] = np.take_along_axis(out[irregular], source_index, axis=1)
if preserve_integers:
out = np.maximum(np.rint(out), 0.0)
degenerate = out[:, :calibration_len].std(axis=1) < 1e-09
if degenerate.any():
out[degenerate] = original[degenerate]
return out
def _k00(rng: np.random.Generator, n: int, L: int, *, hi_frac: float=0.25, exc_lo: float=0.4, exc_hi: float=3.0, clean_frac: float=0.4, clean_lo: float=0.02, clean_hi: float=0.12) -> np.ndarray:
t = np.arange(L, dtype=np.float64)[None, :]
level = rng.normal(0.0, 1.0, size=(n, 1))
_hi = rng.random((n, 1)) < hi_frac
exc = np.where(_hi, rng.normal(0.0, exc_hi, size=(n, 1)), rng.normal(0.0, exc_lo, size=(n, 1)))
tn = t / max(L - 1, 1)
series = level + exc * tn + _seasonal(rng, n, L)
phi = rng.uniform(0.0, 0.85, size=n)
clean = rng.random((n, 1)) < clean_frac
sigma = np.where(clean, rng.uniform(clean_lo, clean_hi, size=(n, 1)), rng.uniform(0.1, 0.6, size=(n, 1)))
innov = rng.normal(0.0, 1.0, size=(n, L)) * sigma
return series + _ar1_batch(innov, phi)
def _k01(rng: np.random.Generator, n: int, L: int) -> np.ndarray:
level = np.cumsum(_sparse_jumps(rng, n, L, rate=3.0 / L, scale=2.0), axis=1)
log_vol = np.cumsum(_sparse_jumps(rng, n, L, rate=3.0 / L, scale=0.5), axis=1)
vol = np.exp(np.clip(log_vol, -3.0, 3.0)) * rng.uniform(0.1, 0.5, size=(n, 1))
noise = rng.normal(0.0, 1.0, size=(n, L)) * vol
seas = _seasonal(rng, n, L, k_max=2) * rng.uniform(0.0, 1.0, size=(n, 1))
slope = rng.normal(0.0, 1.0 / L, size=(n, 1)) + np.cumsum(_sparse_jumps(rng, n, L, rate=2.0 / L, scale=4.0 / L), axis=1)
piecewise_trend = np.cumsum(slope, axis=1)
return level + piecewise_trend + seas + noise
def _k02(rng: np.random.Generator, n: int, L: int, *, hi_frac: float=0.25, exc_lo: float=0.3, exc_hi: float=2.0) -> np.ndarray:
t = np.arange(L, dtype=np.float64)[None, :]
_hg = rng.random((n, 1)) < hi_frac
gexc = np.where(_hg, rng.normal(0.0, exc_hi, size=(n, 1)), rng.normal(0.0, exc_lo, size=(n, 1)))
tn = t / max(L - 1, 1)
base_level = np.exp(gexc * tn + rng.normal(0.0, 0.3, size=(n, 1)))
amp = rng.uniform(0.1, 0.6, size=(n, 1))
seasonal_shape = _seasonal(rng, n, L, k_max=1)
seasonal_shape = _prefix_standardize(seasonal_shape, center=False)
seas = 1.0 + amp * seasonal_shape
noise = 1.0 + rng.normal(0.0, 1.0, size=(n, L)) * rng.uniform(0.02, 0.15, size=(n, 1))
scale = rng.uniform(1.0, 50.0, size=(n, 1))
return scale * base_level * np.clip(seas, 0.05, None) * np.clip(noise, 0.05, None)
def _k03(rng: np.random.Generator, n: int, L: int) -> np.ndarray:
p1 = rng.uniform(0.3, 0.98, size=n)
p2 = rng.uniform(-0.6, 0.6, size=n)
a2 = p2
a1 = p1 * (1.0 - p2)
sigma = rng.uniform(0.2, 0.8, size=(n, 1))
burn = 512
innov = rng.normal(0.0, 1.0, size=(n, L + burn)) * sigma
return _ar2_batch(innov, a1, a2)[:, burn:]
def _k04(rng: np.random.Generator, n: int, L: int, *, heavy_frac: float=0.25, sv_frac: float=0.3) -> np.ndarray:
order2 = rng.random(n) < 0.35
drift = rng.normal(0.0, 0.02, size=(n, 1))
sigma = rng.uniform(0.2, 1.0, size=(n, 1))
eps = rng.normal(0.0, 1.0, size=(n, L))
heavy = np.nonzero(rng.random(n) < heavy_frac)[0]
if heavy.size:
df = rng.uniform(3.0, 12.0, size=(heavy.size, 1))
eps[heavy] = rng.standard_t(df, size=(heavy.size, L)) / np.sqrt(df / (df - 2.0))
stochastic = np.nonzero(rng.random(n) < sv_frac)[0]
if stochastic.size:
phi = 0.995
burn = 256
vol_innov = rng.standard_normal((stochastic.size, L + burn)) * np.sqrt(1.0 - phi * phi)
log_vol = lfilter([1.0], [1.0, -phi], vol_innov, axis=1)[:, burn:]
log_vol *= rng.uniform(0.1, 0.55, size=(stochastic.size, 1))
eps[stochastic] *= np.exp(np.clip(log_vol, -2.0, 2.0))
steps = eps * sigma + drift
walk = np.cumsum(steps, axis=1)
walk2 = np.cumsum(walk, axis=1)
o2 = order2[:, None]
return np.where(o2, walk2 / max(L, 1), walk)
def _k05(rng: np.random.Generator, n: int, L: int) -> np.ndarray:
phi_hi = rng.uniform(0.3, 0.9, size=n)
phi_lo = rng.uniform(-0.9, 0.3, size=n)
const_hi = rng.normal(0.0, 0.3, size=n)
const_lo = rng.normal(0.0, 0.3, size=n)
sigma = rng.uniform(0.2, 0.7, size=(n, 1))
burn = 256
total = L + burn
innov = rng.normal(0.0, 1.0, size=(n, total)) * sigma
x = np.empty((n, total), dtype=np.float64)
x[:, 0] = innov[:, 0]
for t in range(1, total):
prev = x[:, t - 1]
hi = prev >= 0.0
phi = np.where(hi, phi_hi, phi_lo)
const = np.where(hi, const_hi, const_lo)
x[:, t] = np.clip(const + phi * prev + innov[:, t], -1000000.0, 1000000.0)
return x[:, burn:]
def _k06(rng: np.random.Generator, n: int, L: int) -> np.ndarray:
use_sine = rng.random(n) < 0.5
r_log = rng.uniform(3.6, 4.0, size=n)
r_sin = rng.uniform(0.85, 1.0, size=n)
x0 = rng.uniform(0.05, 0.95, size=n)
cur = x0.copy()
for _ in range(64):
nxt_log = r_log * cur * (1.0 - cur)
nxt_sin = r_sin * np.sin(np.pi * cur)
cur = np.clip(np.where(use_sine, nxt_sin, nxt_log), 0.0, 1.0)
x = np.empty((n, L), dtype=np.float64)
x[:, 0] = cur
for t in range(1, L):
nxt_log = r_log * cur * (1.0 - cur)
nxt_sin = r_sin * np.sin(np.pi * cur)
cur = np.where(use_sine, nxt_sin, nxt_log)
cur = np.clip(cur, 0.0, 1.0)
x[:, t] = cur
return _prefix_standardize(x)
def _k07(rng: np.random.Generator, n: int, L: int) -> np.ndarray:
embed = 2 * L
f = np.fft.rfftfreq(embed)[None, :]
lengthscale = np.exp(rng.uniform(np.log(8.0), np.log(256.0), size=(n, 1)))
envelope = np.exp(-0.5 * (2.0 * np.pi * lengthscale * f) ** 2)
z = rng.standard_normal((n, f.shape[1])) + 1j * rng.standard_normal((n, f.shape[1]))
z[:, 0] = 0.0
x = np.fft.irfft(z * np.sqrt(envelope), n=embed, axis=1)[:, :L]
return _prefix_standardize(x)
def _k08(rng: np.random.Generator, n: int, L: int) -> np.ndarray:
embed = 2 * L
f = np.fft.rfftfreq(embed)
safe_f = np.maximum(f, 1.0 / embed)[None, :]
beta = rng.uniform(-0.6, 2.4, size=(n, 1))
amp = safe_f ** (-0.5 * beta)
multiscale = rng.random((n, 1)) < 0.4
split_idx = rng.integers(8, max(9, f.size // 3), size=(n, 1))
split_f = np.maximum(split_idx / embed, 1.0 / embed)
beta_hi = rng.uniform(-0.6, 2.8, size=(n, 1))
above = np.arange(f.size)[None, :] > split_idx
amp_hi = split_f ** (-0.5 * beta) * (safe_f / split_f) ** (-0.5 * beta_hi)
amp = np.where(multiscale & above, amp_hi, amp)
amp[:, 0] = 0.0
z = rng.standard_normal((n, f.size)) + 1j * rng.standard_normal((n, f.size))
x = np.fft.irfft(z * amp, n=embed, axis=1)[:, :L]
integrate = rng.random(n) < 0.25
if integrate.any():
x[integrate] = np.cumsum(x[integrate], axis=1)
return _prefix_standardize(x)
def _k09(rng: np.random.Generator, n: int, L: int) -> np.ndarray:
switch_rate = np.exp(rng.uniform(np.log(0.001), np.log(0.15), size=(n, 1)))
switches = rng.random((n, L)) < switch_rate
switches[:, 0] = rng.random(n) < 0.5
regime = np.bitwise_and(np.cumsum(switches, axis=1), 1).astype(np.int8)
slow = rng.random((n, 1)) < 0.5
phi = np.where(slow, rng.uniform(0.995, 0.9995, size=(n, 1)), rng.uniform(0.9, 0.99, size=(n, 1)))
mu0 = rng.normal(-2.0, 1.0, size=(n, 1))
mu1 = rng.normal(2.0, 1.0, size=(n, 1))
mean = np.where(regime == 0, mu0, mu1)
seasonal_on = rng.random((n, 1)) < 0.6
mean += seasonal_on * _seasonal(rng, n, L, k_max=3) * rng.uniform(0.5, 3.0, size=(n, 1))
log_sigma0 = rng.normal(np.log(0.3), 0.3, size=(n, 1))
log_sigma1 = rng.normal(np.log(1.5), 0.5, size=(n, 1))
log_sigma_mean = np.where(regime == 0, log_sigma0, log_sigma1)
vol_rho = rng.uniform(0.951, 0.995, size=(n, 1))
vol_eta = rng.uniform(0.03, 0.2, size=(n, 1))
vol_eps = rng.standard_normal((n, L))
vol_drive = (1.0 - vol_rho) * log_sigma_mean + np.sqrt(1.0 - vol_rho * vol_rho) * vol_eta * vol_eps
log_vol = _ar1_zi_batch(vol_drive, vol_rho[:, 0], log_sigma_mean[:, 0])
vol = np.exp(np.clip(log_vol, -5.0, 5.0))
eps = rng.standard_normal((n, L))
heavy = np.nonzero(rng.random(n) < 0.35)[0]
if heavy.size:
eps[heavy] = rng.standard_t(4.0, size=(heavy.size, L)) / np.sqrt(2.0)
shocks = rng.random((n, L)) < 3.0 / L
shock_rows, shock_cols = np.nonzero(shocks)
eps[shock_rows, shock_cols] += rng.normal(0.0, 5.0, size=shock_rows.size)
innovation_scale = np.sqrt(np.maximum(1.0 - phi * phi, 1e-06))
drive = (1.0 - phi) * mean + innovation_scale * vol * eps
x0 = mean[:, 0] + vol[:, 0] * eps[:, 0]
out = _ar1_zi_batch(drive, phi[:, 0], x0)
scale = np.exp(rng.uniform(np.log(0.1), np.log(50.0), size=(n, 1)))
shift = rng.uniform(-100.0, 100.0, size=(n, 1))
return out * scale + shift
def _k10(rng: np.random.Generator, n: int, L: int) -> np.ndarray:
kind = rng.integers(0, 4, size=n)
seasonal = _seasonal(rng, n, L, k_max=2)
fronts = np.cumsum(_sparse_jumps(rng, n, L, rate=5.0 / L, scale=1.0), axis=1)
need_smooth = kind != 2
smooth = np.zeros((n, L), dtype=np.float64)
if need_smooth.any():
idx = np.nonzero(need_smooth)[0]
smooth[idx] = _k07(rng, int(idx.size), L)
base = seasonal * rng.uniform(0.3, 2.0, size=(n, 1)) + smooth * rng.uniform(0.2, 1.2, size=(n, 1)) + fronts * rng.uniform(0.2, 1.0, size=(n, 1))
out = base.copy()
bounded = kind == 1
if bounded.any():
gain = rng.uniform(0.8, 3.5, size=(int(bounded.sum()), 1))
midpoint = rng.uniform(-0.8, 0.8, size=(int(bounded.sum()), 1))
out[bounded] = 100.0 / (1.0 + np.exp(-gain * (base[bounded] - midpoint)))
pressure = kind == 2
if pressure.any():
count = int(pressure.sum())
diffusion = np.exp(rng.uniform(np.log(0.03), np.log(0.2), size=(count, 1)))
walk = np.cumsum(rng.standard_normal((count, L)) * diffusion, axis=1)
level = rng.uniform(900.0, 1100.0, size=(count, 1))
out[pressure] = level + walk + 2.0 * fronts[pressure] + 0.5 * seasonal[pressure]
magnitude = kind == 3
if magnitude.any():
count = int(magnitude.sum())
gusts = (rng.random((count, L)) < 8.0 / L) * rng.lognormal(0.0, 0.8, size=(count, L))
power = rng.uniform(1.0, 1.6, size=(count, 1))
out[magnitude] = np.abs(base[magnitude]) ** power + gusts
return out
def _k11(rng: np.random.Generator, n: int, L: int) -> np.ndarray:
t = np.arange(L, dtype=np.float64)[None, :]
period = rng.choice(_SEASONAL_PERIODS, size=(n, 1), p=_SEASONAL_PROBS)
phase = rng.uniform(0.0, 2.0 * np.pi, size=(n, 1))
amp = rng.uniform(0.15, 0.8, size=(n, 1))
log_rate = amp * np.sin(2.0 * np.pi * t / period + phase)
second = rng.random((n, 1)) < 0.55
log_rate += second * (0.5 * amp) * np.sin(4.0 * np.pi * t / period + rng.uniform(0.0, 2.0 * np.pi, size=(n, 1)))
calendar = rng.random((n, 1)) < 0.35
day_period = rng.choice([24, 48, 96, 144], size=(n, 1))
day_idx = (np.floor_divide(np.arange(L)[None, :], day_period) % 7).astype(np.int64)
day_factors = rng.normal(0.0, 0.12, size=(n, 7))
day_factors[:, 5:] += rng.uniform(-0.8, 0.3, size=(n, 1))
calendar_effect = np.take_along_axis(day_factors, day_idx, axis=1)
log_rate += calendar * calendar_effect
excursion = rng.uniform(-0.5, 0.5, size=(n, 1))
log_rate += excursion * t / max(L - 1, 1)
impulses = (rng.random((n, L)) < 2.0 / L) * rng.uniform(1.0, 10.0, size=(n, L))
burst = _ar1_batch(impulses, rng.uniform(0.85, 0.995, size=(n, 1)))
base = np.exp(rng.uniform(np.log(3.0), np.log(3000.0), size=(n, 1)))
lam = base * np.exp(np.clip(log_rate, -5.0, 5.0)) * (1.0 + burst)
np.clip(lam, 0.0, 10000000.0, out=lam)
overdispersed = rng.random((n, 1)) < 0.5
shape = rng.uniform(0.5, 4.0, size=(n, 1))
mixed = lam * rng.gamma(shape, 1.0 / shape, size=(n, L))
return rng.poisson(np.where(overdispersed, mixed, lam)).astype(np.float64)
def _k12(rng: np.random.Generator, n: int, L: int) -> np.ndarray:
t = np.arange(L, dtype=np.float64)[None, :]
base_p = rng.uniform(0.03, 0.35, size=(n, 1))
period = rng.choice([7.0, 12.0, 24.0, 48.0, 168.0], size=(n, 1))
season = rng.uniform(0.2, 1.2, size=(n, 1)) * np.sin(2.0 * np.pi * t / period + rng.uniform(0.0, 2.0 * np.pi, size=(n, 1)))
logit = np.log(base_p / (1.0 - base_p)) + season
p = 1.0 / (1.0 + np.exp(-logit))
occur = (rng.random((n, L)) < p).astype(np.float64)
magnitude = np.maximum(1.0, np.rint(rng.gamma(shape=2.0, scale=1.0, size=(n, L)) * rng.uniform(1.0, 10.0, size=(n, 1)) * np.exp(0.25 * season)))
return occur * magnitude
def _k13(rng: np.random.Generator, n: int, L: int) -> np.ndarray:
base = _k07(rng, n, L) * rng.uniform(0.5, 2.0, size=(n, 1))
base += _seasonal(rng, n, L, k_max=1) * rng.uniform(0.0, 1.0, size=(n, 1))
sharp = _sparse_jumps(rng, n, L, rate=3.0 / L, scale=rng.uniform(3.0, 8.0, size=n))
impulses = _sparse_jumps(rng, n, L, rate=2.0 / L, scale=rng.uniform(2.0, 7.0, size=n))
recovery = _ar1_batch(impulses, rng.uniform(0.75, 0.995, size=n))
series = base + sharp + recovery
starts = rng.random((n, L)) < 2.0 / L
starts[:, 0] = False
for row in range(n):
for start in np.nonzero(starts[row])[0]:
run = int(rng.integers(3, 65))
end = min(int(start) + run, L)
series[row, start:end] = series[row, start - 1]
return series
_CS_CALM_LO = 192
_CS_CALM_HI = 1024
_CS_DYNAMIC_LO = 96
_CS_DYNAMIC_HI = 512
def _k14(rng: np.random.Generator, n: int, L: int) -> np.ndarray:
if n <= 0:
return np.empty((0, L), dtype=np.float64)
if L <= 0:
return np.empty((n, 0), dtype=np.float64)
kind = rng.integers(0, 4, size=n)
dynamic = np.empty((n, L), dtype=np.float64)
mask = kind == 0
if mask.any():
dynamic[mask] = _seasonal(rng, int(mask.sum()), L, k_max=2)
mask = kind == 1
if mask.any():
m = int(mask.sum())
dynamic[mask] = _ar1_batch(rng.normal(size=(m, L)) * rng.uniform(0.12, 0.55, size=(m, 1)), rng.uniform(0.35, 0.92, size=m))
mask = kind == 2
if mask.any():
dynamic[mask] = _k07(rng, int(mask.sum()), L)
mask = kind == 3
if mask.any():
m = int(mask.sum())
dynamic[mask] = np.cumsum(rng.normal(size=(m, L)) * rng.uniform(0.025, 0.16, size=(m, 1)), axis=1)
calm_kind = rng.integers(0, 4, size=n)
level = rng.normal(0.0, 2.0, size=n)
scale = np.exp(rng.uniform(np.log(0.4), np.log(12.0), size=n))
dynamic_amp = rng.uniform(0.6, 2.2, size=n)
start_calm = rng.random(n) < 0.65
cal_n = min(L, 512)
means = dynamic[:, :cal_n].mean(axis=1, keepdims=True)
stds = dynamic[:, :cal_n].std(axis=1, keepdims=True)
stds = np.where(stds > 1e-12, stds, 1.0)
dynamic -= means
dynamic /= stds
out = np.empty((n, L), dtype=np.float64)
for row in range(n):
current = float(level[row])
calm = bool(start_calm[row])
pos = 0
segment_index = 0
amp = float(dynamic_amp[row])
mode = int(calm_kind[row])
while pos < L:
if calm:
seg_len = int(rng.integers(_CS_CALM_LO, _CS_CALM_HI + 1))
else:
seg_len = int(rng.integers(_CS_DYNAMIC_LO, _CS_DYNAMIC_HI + 1))
if segment_index == 0 and L >= 2 * _CS_DYNAMIC_LO:
seg_len = min(seg_len, L - _CS_DYNAMIC_LO)
end = min(pos + max(seg_len, 1), L)
span = end - pos
if calm:
if mode == 0:
out[row, pos:end] = current
values_last = current
elif mode == 1:
drift = rng.normal(0.0, 0.0025, size=span).cumsum()
drift += np.linspace(0.0, float(rng.normal(0.0, 0.025)), span)
values = current + drift
out[row, pos:end] = values
values_last = float(values[-1])
elif mode == 2:
count_level = max(0.0, float(np.rint(abs(current) * 8.0)))
updates = rng.random(span) < 0.025
changes = updates * rng.choice([-1.0, 1.0], size=span)
values = np.maximum(count_level + np.cumsum(changes), 0.0)
out[row, pos:end] = values
values_last = float(values[-1])
else:
events = rng.random(span) < 0.012
values = events * rng.gamma(1.5, 0.35, size=span)
out[row, pos:end] = values
values_last = float(values[-1])
else:
piece = dynamic[row, pos:end] * amp
values = piece - piece[0] + current
if span > 1 and np.ptp(values) < 1e-10:
values = current + np.linspace(0.0, 1.0, span)
out[row, pos:end] = values
values_last = float(values[-1])
current = values_last
pos = end
calm = not calm
segment_index += 1
row_scale = 1.0 if mode == 2 else float(scale[row])
out[row] *= row_scale
if L > 1 and np.ptp(out[row]) < 1e-10:
out[row, -1] += max(0.001, 0.01 * row_scale)
return out
def _sanitize(block: np.ndarray) -> np.ndarray:
x = np.asarray(block, dtype=np.float64)
np.nan_to_num(x, copy=False, nan=0.0, posinf=1000000.0, neginf=-1000000.0)
if x.ndim == 1:
peak = float(np.max(np.abs(x)))
if peak > 1000000.0:
x *= 1000000.0 / peak
else:
peak = np.max(np.abs(x), axis=1, keepdims=True)
scale = np.where(peak > 1000000.0, 1000000.0 / np.maximum(peak, 1e-12), 1.0)
x *= scale
return x |