PERF: release gil for ewma_time

pandas/_libs/window/aggregations.pyx

@@ -1,14 +1,13 @@
 # cython: boundscheck=False, wraparound=False, cdivision=True
 
 import cython
-from cython import Py_ssize_t
 
 from libcpp.deque cimport deque
 
 import numpy as np
 
 cimport numpy as cnp
-from numpy cimport float32_t, float64_t, int64_t, ndarray, uint8_t
+from numpy cimport float32_t, float64_t, int64_t, ndarray
 
 cnp.import_array()
 
@@ -1369,7 +1368,7 @@ def roll_weighted_var(float64_t[:] values, float64_t[:] weights,
 # ----------------------------------------------------------------------
 # Exponentially weighted moving average
 
-def ewma_time(ndarray[float64_t] vals, int minp, ndarray[int64_t] times,
+def ewma_time(const float64_t[:] vals, int minp, ndarray[int64_t] times,
               int64_t halflife):
     """
     Compute exponentially-weighted moving average using halflife and time
@@ -1387,30 +1386,39 @@ def ewma_time(ndarray[float64_t] vals, int minp, ndarray[int64_t] times,
     ndarray
     """
     cdef:
-        Py_ssize_t i, num_not_nan = 0, N = len(vals)
+        Py_ssize_t i, j, num_not_nan = 0, N = len(vals)
         bint is_not_nan
-        float64_t last_result
-        ndarray[uint8_t] mask = np.zeros(N, dtype=np.uint8)
-        ndarray[float64_t] weights, observations, output = np.empty(N, dtype=np.float64)
+        float64_t last_result, weights_dot, weights_sum, weight
+        float64_t[:] times_float
+        float64_t[:] observations = np.zeros(N, dtype=float)
+        float64_t[:] times_masked = np.zeros(N, dtype=float)
+        ndarray[float64_t] output = np.empty(N, dtype=float)
+        float64_t[:] output_view = output
 
     if N == 0:
         return output
 
+    times_float = times.astype(float)
     last_result = vals[0]
 
-    for i in range(N):
-        is_not_nan = vals[i] == vals[i]
-        num_not_nan += is_not_nan
-        if is_not_nan:
-            mask[i] = 1
-            weights = 0.5 ** ((times[i] - times[mask.view(np.bool_)]) / halflife)
-            observations = vals[mask.view(np.bool_)]
-            last_result = np.sum(weights * observations) / np.sum(weights)
-
-        if num_not_nan >= minp:
-            output[i] = last_result
-        else:
-            output[i] = NaN
+    with nogil:
+        for i in range(N):
+            is_not_nan = vals[i] == vals[i]
+            num_not_nan += is_not_nan
+            if is_not_nan:
+                times_masked[num_not_nan-1] = times_float[i]
+                observations[num_not_nan-1] = vals[i]
+
+                weights_sum = 0
+                weights_dot = 0
+                for j in range(num_not_nan):
+                        weight = 0.5 ** ((times_float[i] - times_masked[j]) / halflife)
+                        weights_sum += weight
+                        weights_dot += weight * observations[j]
+
+                last_result = weights_dot / weights_sum
+
+            output_view[i] = last_result if num_not_nan >= minp else NaN
 
     return output