好吧，我可以想到几种方法. (1)本质上是通过合并company炸毁数据帧，然后在合并后的30天窗口中进行过滤.这应该很快，但可能会占用大量内存. (2)将30天窗口中的合并和过滤移到groupby中.这会导致每个组的合并，因此合并速度会较慢，但应使用较少的内存

Well, I can think of a few ways. (1) essentially blow up the dataframe by merging on company and then filter on the 30 day windows after the merge. This should be fast but could use lots of memory. (2) Move the merging and filtering on the 30 day window into a groupby. This results in a merge for each group so it would be slower but it should use less memory

选项1

假设您的数据如下所示(我扩展了示例数据):

Suppose your data looks like the following (I expanded your sample data):

print df

    company       date  measure
0         0 2010-01-01       10
1         0 2010-01-15       10
2         0 2010-02-01       10
3         0 2010-02-15       10
4         0 2010-03-01       10
5         0 2010-03-15       10
6         0 2010-04-01       10
7         1 2010-03-01        5
8         1 2010-03-15        5
9         1 2010-04-01        5
10        1 2010-04-15        5
11        1 2010-05-01        5
12        1 2010-05-15        5

print windows

   company   end_date
0        0 2010-02-01
1        0 2010-03-15
2        1 2010-04-01
3        1 2010-05-15

为30天的窗口创建开始日期:

Create a beginning date for the 30 day windows:

windows['beg_date'] = (windows['end_date'].values.astype('datetime64[D]') -
                       np.timedelta64(30,'D'))
print windows

   company   end_date   beg_date
0        0 2010-02-01 2010-01-02
1        0 2010-03-15 2010-02-13
2        1 2010-04-01 2010-03-02
3        1 2010-05-15 2010-04-15

现在进行合并，然后根据date是否在beg_date和end_date内进行选择:

Now do a merge and then select based on if date falls within beg_date and end_date:

df = df.merge(windows,on='company',how='left')
df = df[(df.date >= df.beg_date) & (df.date <= df.end_date)]
print df

    company       date  measure   end_date   beg_date
2         0 2010-01-15       10 2010-02-01 2010-01-02
4         0 2010-02-01       10 2010-02-01 2010-01-02
7         0 2010-02-15       10 2010-03-15 2010-02-13
9         0 2010-03-01       10 2010-03-15 2010-02-13
11        0 2010-03-15       10 2010-03-15 2010-02-13
16        1 2010-03-15        5 2010-04-01 2010-03-02
18        1 2010-04-01        5 2010-04-01 2010-03-02
21        1 2010-04-15        5 2010-05-15 2010-04-15
23        1 2010-05-01        5 2010-05-15 2010-04-15
25        1 2010-05-15        5 2010-05-15 2010-04-15

您可以通过按company和end_date分组来计算30天的窗口总和:

You can compute the 30 day window sums by grouping on company and end_date:

print df.groupby(['company','end_date']).sum()

                    measure
company end_date           
0       2010-02-01       20
        2010-03-15       30
1       2010-04-01       10
        2010-05-15       15

选项#2 .将所有合并到分组依据.这样在内存上应该会更好，但我认为会慢很多:

Option #2 Move all merging into a groupby. This should be better on memory but I would think much slower:

windows['beg_date'] = (windows['end_date'].values.astype('datetime64[D]') -
                       np.timedelta64(30,'D'))

def cond_merge(g,windows):
    g = g.merge(windows,on='company',how='left')
    g = g[(g.date >= g.beg_date) & (g.date <= g.end_date)]
    return g.groupby('end_date')['measure'].sum()

print df.groupby('company').apply(cond_merge,windows)

company  end_date  
0        2010-02-01    20
         2010-03-15    30
1        2010-04-01    10
         2010-05-15    15

另一个选项现在，如果您的窗口永不重叠(例如在示例数据中)，则可以执行以下类似操作，以免破坏数据帧，但速度很快:

Another option Now if your windows never overlap (like in the example data), you could do something like the following as an alternative that doesn't blow up a dataframe but is pretty fast:

windows['date'] = windows['end_date']

df = df.merge(windows,on=['company','date'],how='outer')
print df

    company       date  measure   end_date
0         0 2010-01-01       10        NaT
1         0 2010-01-15       10        NaT
2         0 2010-02-01       10 2010-02-01
3         0 2010-02-15       10        NaT
4         0 2010-03-01       10        NaT
5         0 2010-03-15       10 2010-03-15
6         0 2010-04-01       10        NaT
7         1 2010-03-01        5        NaT
8         1 2010-03-15        5        NaT
9         1 2010-04-01        5 2010-04-01
10        1 2010-04-15        5        NaT
11        1 2010-05-01        5        NaT
12        1 2010-05-15        5 2010-05-15

此合并实质上是将窗口结束日期插入数据框中，然后回填结束日期(按组)将为您提供一种结构，可轻松创建汇总窗口:

This merge essentially inserts your window end dates into the dataframe and then backfilling the end dates (by group) will give you a structure to easily create you summation windows:

df['end_date'] = df.groupby('company')['end_date'].apply(lambda x: x.bfill())

print df

    company       date  measure   end_date
0         0 2010-01-01       10 2010-02-01
1         0 2010-01-15       10 2010-02-01
2         0 2010-02-01       10 2010-02-01
3         0 2010-02-15       10 2010-03-15
4         0 2010-03-01       10 2010-03-15
5         0 2010-03-15       10 2010-03-15
6         0 2010-04-01       10        NaT
7         1 2010-03-01        5 2010-04-01
8         1 2010-03-15        5 2010-04-01
9         1 2010-04-01        5 2010-04-01
10        1 2010-04-15        5 2010-05-15
11        1 2010-05-01        5 2010-05-15
12        1 2010-05-15        5 2010-05-15

df = df[df.end_date.notnull()]
df['beg_date'] = (df['end_date'].values.astype('datetime64[D]') -
                   np.timedelta64(30,'D'))

print df

   company       date  measure   end_date   beg_date
0         0 2010-01-01       10 2010-02-01 2010-01-02
1         0 2010-01-15       10 2010-02-01 2010-01-02
2         0 2010-02-01       10 2010-02-01 2010-01-02
3         0 2010-02-15       10 2010-03-15 2010-02-13
4         0 2010-03-01       10 2010-03-15 2010-02-13
5         0 2010-03-15       10 2010-03-15 2010-02-13
7         1 2010-03-01        5 2010-04-01 2010-03-02
8         1 2010-03-15        5 2010-04-01 2010-03-02
9         1 2010-04-01        5 2010-04-01 2010-03-02
10        1 2010-04-15        5 2010-05-15 2010-04-15
11        1 2010-05-01        5 2010-05-15 2010-04-15
12        1 2010-05-15        5 2010-05-15 2010-04-15

df = df[(df.date >= df.beg_date) & (df.date <= df.end_date)]
print df.groupby(['company','end_date']).sum()

                    measure
company end_date           
0       2010-02-01       20
        2010-03-15       30
1       2010-04-01       10
        2010-05-15       15

另一种替代方法是将第一个数据帧重新采样为每日数据，然后在30天的时间范围内计算rolling_sums；然后在您感兴趣的结尾处选择日期.这也可能会占用大量内存.

Another alternative is to resample your first dataframe to daily data and then compute rolling_sums with a 30 day window; and select the dates at the end that you are interested in. This could be quite memory intensive too.