pysdtw - 
Torch implementation of the Soft-DTW algorithm with support for both cpu and CUDA hardware.
This repository started as a fork from this project, but now exists as a stand-alone to include several improvements:
- availability on pypi
- code organisation as a package
- improved API with type declaration
- support for time series of arbitrary lengths on CUDA
- support for packed sequences
- fixes for Sakoe-Ichiba bands
Installation
This package is available on pypi and depends on pytorch and numba.
Install with:
pip install pysdtw
Usage
Below is a small snippet showcasing the computation of the DTW between two batched tensors which also yields the gradient of the DTW with regards to one of the inputs:
import torch
import pysdtw
device=torch.device('cuda')
# the input data includes a batch dimension
X = torch.rand((10, 5, 7), device=device, requires_grad=True)
Y = torch.rand((10, 9, 7), device=device)
# optionally choose a pairwise distance function
fun = pysdtw.distance.pairwise_l2_squared
# create the SoftDTW distance function
sdtw = pysdtw.SoftDTW(gamma=1.0, dist_func=fun, use_cuda=True)
# soft-DTW discrepancy, approaches DTW as gamma -> 0
res = sdtw(X, Y)
# define a loss, which gradient can be backpropagated
loss = res.sum()
loss.backward()
# X.grad now contains the gradient with respect to the lossYou can also have a look at the code in the tests directory. Different test suites ensure that pysdtw behaves similarly to pytorch-softdtw-cuda by Maghoumi and soft-dtw by Blondel. The tests also include some comparative performance measurements. Run the tests with python -m unittests from the root.
Acknowledgements
Supported by the ELEMENT project (ANR-18-CE33-0002) and the ARCOL project (ANR-19-CE33-0001) from the French National Research Agency