Add Pearson correlation for sort groupby (python)

docs/cudf/source/api_docs/groupby.rst

@@ -59,6 +59,7 @@ Computations / descriptive stats
    GroupBy.std
    GroupBy.sum
    GroupBy.var
+   GroupBy.corr
 
 The following methods are available in both ``SeriesGroupBy`` and
 ``DataFrameGroupBy`` objects, but may differ slightly, usually in that

docs/cudf/source/basics/groupby.rst

@@ -127,6 +127,13 @@ Aggregations on groups is supported via the ``agg`` method:
     a
     1   4   1  2.0
     2   5   2  4.5
+    >>> df.groupby("a").corr(method="pearson")
+              b          c
+    a                      
+    1 b  1.000000  0.866025
+      c  0.866025  1.000000
+    2 b  1.000000  1.000000
+      c  1.000000  1.000000
 
 The following table summarizes the available aggregations and the types
 that support them:
@@ -169,6 +176,9 @@ that support them:
    +------------------------------------+-----------+------------+----------+---------------+--------+----------+------------+-----------+
    | unique                             | ✅        | ✅         | ✅       | ✅            |        |          |            |           |
    +------------------------------------+-----------+------------+----------+---------------+--------+----------+------------+-----------+
+   | corr                               | ✅        |            |          |               |        |          |            | ✅        |
+   +------------------------------------+-----------+------------+----------+---------------+--------+----------+------------+-----------+
+
 
 GroupBy apply
 -------------

python/cudf/cudf/_lib/aggregation.pyx

@@ -1,6 +1,6 @@
-# Copyright (c) 2020, NVIDIA CORPORATION.
+# Copyright (c) 2020-2021, NVIDIA CORPORATION.
 
-from enum import Enum
+from enum import Enum, IntEnum
 
 import numba
 import numpy as np
@@ -30,6 +30,7 @@ from cudf._lib.types import Interpolation
 
 cimport cudf._lib.cpp.aggregation as libcudf_aggregation
 cimport cudf._lib.cpp.types as libcudf_types
+from cudf._lib.cpp.aggregation cimport underlying_type_t_correlation_type
 
 import cudf
 
@@ -57,6 +58,22 @@ class AggregationKind(Enum):
     UNIQUE = libcudf_aggregation.aggregation.Kind.COLLECT_SET
     PTX = libcudf_aggregation.aggregation.Kind.PTX
     CUDA = libcudf_aggregation.aggregation.Kind.CUDA
+    CORRELATION = libcudf_aggregation.aggregation.Kind.CORRELATION
+
+
+class CorrelationType(IntEnum):
+    PEARSON = (
+        <underlying_type_t_correlation_type>
+        libcudf_aggregation.correlation_type.PEARSON
+    )
+    KENDALL = (
+        <underlying_type_t_correlation_type>
+        libcudf_aggregation.correlation_type.KENDALL
+    )
+    SPEARMAN = (
+        <underlying_type_t_correlation_type>
+        libcudf_aggregation.correlation_type.SPEARMAN
+    )
 
 
 cdef class Aggregation:
@@ -321,6 +338,22 @@ cdef class Aggregation:
             ))
         return agg
 
+    @classmethod
+    def corr(cls, method, libcudf_types.size_type min_periods):
+        cdef Aggregation agg = cls()
+        cdef libcudf_aggregation.correlation_type c_method = (
+            <libcudf_aggregation.correlation_type> (
+                <underlying_type_t_correlation_type> (
+                    CorrelationType[method.upper()]
+                )
+            )
+        )
+        agg.c_obj = move(
+            libcudf_aggregation.make_correlation_aggregation[aggregation](
+                c_method, min_periods
+            ))
+        return agg
+
 cdef class RollingAggregation:
     """A Cython wrapper for rolling window aggregations.
 
@@ -692,6 +725,24 @@ cdef class GroupbyAggregation:
         )
         return agg
 
+    @classmethod
+    def corr(cls, method, libcudf_types.size_type min_periods):
+        cdef GroupbyAggregation agg = cls()
+        cdef libcudf_aggregation.correlation_type c_method = (
+            <libcudf_aggregation.correlation_type> (
+                <underlying_type_t_correlation_type> (
+                    CorrelationType[method.upper()]
+                )
+            )
+        )
+        agg.c_obj = move(
+            libcudf_aggregation.
+            make_correlation_aggregation[groupby_aggregation](
+                c_method, min_periods
+            ))
+        return agg
+
+
 cdef class GroupbyScanAggregation:
     """A Cython wrapper for groupby scan aggregations.
 

python/cudf/cudf/_lib/cpp/aggregation.pxd

@@ -1,5 +1,5 @@
-# Copyright (c) 2020, NVIDIA CORPORATION.
-
+# Copyright (c) 2020-2021, NVIDIA CORPORATION.
+from libc.stdint cimport int32_t
 from libcpp.memory cimport unique_ptr
 from libcpp.string cimport string
 from libcpp.vector cimport vector
@@ -11,6 +11,7 @@ from cudf._lib.cpp.types cimport (
     size_type,
 )
 
+ctypedef int32_t underlying_type_t_correlation_type
 
 cdef extern from "cudf/aggregation.hpp" namespace "cudf" nogil:
 
@@ -38,6 +39,8 @@ cdef extern from "cudf/aggregation.hpp" namespace "cudf" nogil:
             COLLECT_SET 'cudf::aggregation::COLLECT_SET'
             PTX 'cudf::aggregation::PTX'
             CUDA 'cudf::aggregation::CUDA'
+            CORRELATION 'cudf::aggregation::CORRELATION'
+
         Kind kind
 
     cdef cppclass rolling_aggregation:
@@ -53,6 +56,11 @@ cdef extern from "cudf/aggregation.hpp" namespace "cudf" nogil:
         CUDA 'cudf::udf_type::CUDA'
         PTX 'cudf::udf_type::PTX'
 
+    ctypedef enum correlation_type:
+        PEARSON 'cudf::correlation_type::PEARSON'
+        KENDALL 'cudf::correlation_type::KENDALL'
+        SPEARMAN 'cudf::correlation_type::SPEARMAN'
+
     cdef unique_ptr[T] make_sum_aggregation[T]() except +
 
     cdef unique_ptr[T] make_product_aggregation[T]() except +
@@ -106,3 +114,6 @@ cdef extern from "cudf/aggregation.hpp" namespace "cudf" nogil:
         udf_type type,
         string user_defined_aggregator,
         data_type output_type) except +
+
+    cdef unique_ptr[T] make_correlation_aggregation[T](
+        correlation_type type, size_type min_periods) except +

python/cudf/cudf/_lib/groupby.pyx

@@ -1,4 +1,4 @@
-# Copyright (c) 2020, NVIDIA CORPORATION.
+# Copyright (c) 2020-2021, NVIDIA CORPORATION.
 
 from collections import defaultdict
 
@@ -54,7 +54,7 @@ _CATEGORICAL_AGGS = {"COUNT", "SIZE", "NUNIQUE", "UNIQUE"}
 _STRING_AGGS = {"COUNT", "SIZE", "MAX", "MIN", "NUNIQUE", "NTH", "COLLECT",
                 "UNIQUE"}
 _LIST_AGGS = {"COLLECT"}
-_STRUCT_AGGS = set()
+_STRUCT_AGGS = {"CORRELATION"}
 _INTERVAL_AGGS = set()
 _DECIMAL_AGGS = {"COUNT", "SUM", "ARGMIN", "ARGMAX", "MIN", "MAX", "NUNIQUE",
                  "NTH", "COLLECT"}

python/cudf/cudf/core/groupby/groupby.py

@@ -1,6 +1,7 @@
 # Copyright (c) 2020-2021, NVIDIA CORPORATION.
 
 import collections
+import itertools
 import pickle
 import warnings
 
@@ -13,7 +14,8 @@
 from cudf._typing import DataFrameOrSeries
 from cudf.api.types import is_list_like
 from cudf.core.abc import Serializable
-from cudf.core.column.column import arange
+from cudf.core.column.column import arange, as_column
+from cudf.core.multiindex import MultiIndex
 from cudf.utils.utils import GetAttrGetItemMixin, cached_property
 
 
@@ -69,6 +71,8 @@ def __init__(
         """
         self.obj = obj
         self._as_index = as_index
+        self._by = by
+        self._level = level
         self._sort = sort
         self._dropna = dropna
 
@@ -777,6 +781,121 @@ def median(self):
         """Get the column-wise median of the values in each group."""
         return self.agg("median")
 
+    def corr(self, method="pearson", min_periods=1):
+        """
+        Compute pairwise correlation of columns, excluding NA/null values.
+
+        Parameters
+        ----------
+        method: {"pearson", "kendall", "spearman"} or callable,
+            default "pearson". Currently only the pearson correlation
+            coefficient is supported.
+
+        min_periods: int, optional
+            Minimum number of observations required per pair of columns
+            to have a valid result.
+
+        Returns
+        ----------
+        DataFrame
+            Correlation matrix.
+
+        Examples
+        --------
+        >>> import cudf
+        >>> gdf = cudf.DataFrame({
+        ...             "id": ["a", "a", "a", "b", "b", "b", "c", "c", "c"],
+        ...             "val1": [5, 4, 6, 4, 8, 7, 4, 5, 2],
+        ...             "val2": [4, 5, 6, 1, 2, 9, 8, 5, 1],
+        ...             "val3": [4, 5, 6, 1, 2, 9, 8, 5, 1]})
+        >>> gdf
+        id  val1  val2  val3
+        0  a     5     4     4
+        1  a     4     5     5
+        2  a     6     6     6
+        3  b     4     1     1
+        4  b     8     2     2
+        5  b     7     9     9
+        6  c     4     8     8
+        7  c     5     5     5
+        8  c     2     1     1
+        >>> gdf.groupby("id").corr(method="pearson")
+                    val1      val2      val3
+        id
+        a   val1  1.000000  0.500000  0.500000
+            val2  0.500000  1.000000  1.000000
+            val3  0.500000  1.000000  1.000000
+        b   val1  1.000000  0.385727  0.385727
+            val2  0.385727  1.000000  1.000000
+            val3  0.385727  1.000000  1.000000
+        c   val1  1.000000  0.714575  0.714575
+            val2  0.714575  1.000000  1.000000
+            val3  0.714575  1.000000  1.000000
+        """
+
+        if not method.lower() in ("pearson",):
+            raise NotImplementedError(
+                "Only pearson correlation is currently supported"
+            )
+
+        # create expanded dataframe consisting all combinations of the
+        # struct columns-pairs to be correlated
+        # i.e (('col1', 'col1'), ('col1', 'col2'), ('col2', 'col2'))
+        _cols = self.grouping.values.columns.tolist()
+        len_cols = len(_cols)
+
+        new_df_data = {}
+        for x, y in itertools.combinations_with_replacement(_cols, 2):
+            new_df_data[(x, y)] = cudf.DataFrame._from_data(
+                {"x": self.obj._data[x], "y": self.obj._data[y]}
+            ).to_struct()
+        new_gb = cudf.DataFrame._from_data(new_df_data).groupby(
+            by=self.grouping.keys
+        )
+
+        try:
+            gb_corr = new_gb.agg(lambda x: x.corr(method, min_periods))
+        except RuntimeError as e:
+            if "Unsupported groupby reduction type-agg combination" in str(e):
+                raise TypeError(
+                    "Correlation accepts only numerical column-pairs"
+                )
+            raise
+
+        # ensure that column-pair labels are arranged in ascending order
+        cols_list = [
+            (y, x) if i > j else (x, y)
+            for j, y in enumerate(_cols)
+            for i, x in enumerate(_cols)
+        ]
+        cols_split = [
+            cols_list[i : i + len_cols]
+            for i in range(0, len(cols_list), len_cols)
+        ]
+
+        # interleave: combine the correlation results for each column-pair
+        # into a single column
+        res = cudf.DataFrame._from_data(
+            {
+                x: gb_corr.loc[:, i].interleave_columns()
+                for i, x in zip(cols_split, _cols)
+            }
+        )
+
+        # create a multiindex for the groupby correlated dataframe,
+        # to match pandas behavior
+        unsorted_idx = gb_corr.index.repeat(len_cols)
+        idx_sort_order = unsorted_idx._get_sorted_inds()
+        sorted_idx = unsorted_idx._gather(idx_sort_order)
+        if len(gb_corr):
+            # TO-DO: Should the operation below be done on the CPU instead?
+            sorted_idx._data[None] = as_column(
+                cudf.Series(_cols).tile(len(gb_corr.index))
+            )
+        res.index = MultiIndex._from_data(sorted_idx._data)
+
+        return res
+
     def var(self, ddof=1):
         """Compute the column-wise variance of the values in each group.