PERF: fix regression in creation of resulting index in RollingGroupby

asv_bench/benchmarks/rolling.py

@@ -225,6 +225,20 @@ def time_rolling_offset(self, method):
         getattr(self.groupby_roll_offset, method)()
 
 
+class GroupbyLargeGroups:
+    # https://github.com/pandas-dev/pandas/issues/38038
+    # specific example where the rolling operation on a larger dataframe
+    # is relatively cheap (few but large groups), but creation of
+    # MultiIndex of result can be expensive
+
+    def setup(self):
+        N = 100000
+        self.df = pd.DataFrame({"A": [1, 2] * int(N / 2), "B": np.random.randn(N)})
+
+    def time_rolling_multiindex_creation(self):
+        self.df.groupby("A").rolling(3).mean()
+
+
 class GroupbyEWM:
 
     params = ["cython", "numba"]

doc/source/whatsnew/v1.1.5.rst

@@ -24,6 +24,7 @@ Fixed regressions
 - Fixed regression in ``df.groupby(..).rolling(..)`` with the resulting :class:`MultiIndex` when grouping by a label that is in the index (:issue:`37641`)
 - Fixed regression in :meth:`DataFrame.fillna` not filling ``NaN`` after other operations such as :meth:`DataFrame.pivot` (:issue:`36495`).
 - Fixed performance regression for :meth:`DataFrame.__setitem__` with list-like indexers (:issue:`37954`)
+- Fixed performance regression in ``df.groupby(..).rolling(..)`` (:issue:`38038`)
 - Fixed regression in :meth:`MultiIndex.intersection` returning duplicates when at least one of the indexes had duplicates (:issue:`36915`)
 
 .. ---------------------------------------------------------------------------

pandas/core/window/rolling.py

@@ -50,7 +50,6 @@
 
 from pandas.core.aggregation import aggregate
 from pandas.core.base import DataError, SelectionMixin
-import pandas.core.common as com
 from pandas.core.construction import extract_array
 from pandas.core.groupby.base import GotItemMixin, ShallowMixin
 from pandas.core.indexes.api import Index, MultiIndex
@@ -791,22 +790,29 @@ def _apply(
             # Our result will have still kept the column in the result
             result = result.drop(columns=column_keys, errors="ignore")
 
-        result_index_data = []
-        for key, values in self._groupby.grouper.indices.items():
-            for value in values:
-                data = [
-                    *com.maybe_make_list(key),
-                    *com.maybe_make_list(
-                        grouped_object_index[value]
-                        if grouped_object_index is not None
-                        else []
-                    ),
-                ]
-                result_index_data.append(tuple(data))
-
-        result_index = MultiIndex.from_tuples(
-            result_index_data, names=result_index_names
+        codes = self._groupby.grouper.codes
+        levels = self._groupby.grouper.levels
+
+        group_indices = self._groupby.grouper.indices.values()
+        if group_indices:
+            indexer = np.concatenate(list(group_indices))
+        else:
+            indexer = np.array([], dtype=np.intp)
+        codes = [c.take(indexer) for c in codes]
+
+        # if the index of the original dataframe needs to be preserved, append
+        # this index (but reordered) to the codes/levels from the groupby
+        if grouped_object_index is not None:
+            idx = grouped_object_index.take(indexer)
+            if not isinstance(idx, MultiIndex):
+                idx = MultiIndex.from_arrays([idx])
+            codes.extend(list(idx.codes))
+            levels.extend(list(idx.levels))
+
+        result_index = MultiIndex(
+            levels, codes, names=result_index_names, verify_integrity=False
         )
+
         result.index = result_index
         return result
 

pandas/tests/window/test_groupby.py

@@ -1,7 +1,15 @@
 import numpy as np
 import pytest
 
-from pandas import DataFrame, MultiIndex, Series, Timestamp, date_range, to_datetime
+from pandas import (
+    DataFrame,
+    Index,
+    MultiIndex,
+    Series,
+    Timestamp,
+    date_range,
+    to_datetime,
+)
 import pandas._testing as tm
 from pandas.api.indexers import BaseIndexer
 from pandas.core.groupby.groupby import get_groupby
@@ -418,12 +426,23 @@ def test_groupby_rolling_empty_frame(self):
         # GH 36197
         expected = DataFrame({"s1": []})
         result = expected.groupby("s1").rolling(window=1).sum()
-        expected.index = MultiIndex.from_tuples([], names=["s1", None])
+        # GH-38057 from_tuples gives empty object dtype, we now get float/int levels
+        # expected.index = MultiIndex.from_tuples([], names=["s1", None])
+        expected.index = MultiIndex.from_product(
+            [Index([], dtype="float64"), Index([], dtype="int64")], names=["s1", None]
+        )
         tm.assert_frame_equal(result, expected)
 
         expected = DataFrame({"s1": [], "s2": []})
         result = expected.groupby(["s1", "s2"]).rolling(window=1).sum()
-        expected.index = MultiIndex.from_tuples([], names=["s1", "s2", None])
+        expected.index = MultiIndex.from_product(
+            [
+                Index([], dtype="float64"),
+                Index([], dtype="float64"),
+                Index([], dtype="int64"),
+            ],
+            names=["s1", "s2", None],
+        )
         tm.assert_frame_equal(result, expected)
 
     def test_groupby_rolling_string_index(self):
@@ -567,6 +586,60 @@ def test_groupby_rolling_index_level_and_column_label(self):
         )
         tm.assert_frame_equal(result, expected)
 
+    def test_groupby_rolling_resulting_multiindex(self):
+        # a few different cases checking the created MultiIndex of the result
+        # https://github.com/pandas-dev/pandas/pull/38057
+
+        # grouping by 1 columns -> 2-level MI as result
+        df = DataFrame({"a": np.arange(8.0), "b": [1, 2] * 4})
+        result = df.groupby("b").rolling(3).mean()
+        expected_index = MultiIndex.from_tuples(
+            [(1, 0), (1, 2), (1, 4), (1, 6), (2, 1), (2, 3), (2, 5), (2, 7)],
+            names=["b", None],
+        )
+        tm.assert_index_equal(result.index, expected_index)
+
+        # grouping by 2 columns -> 3-level MI as result
+        df = DataFrame({"a": np.arange(12.0), "b": [1, 2] * 6, "c": [1, 2, 3, 4] * 3})
+        result = df.groupby(["b", "c"]).rolling(2).sum()
+        expected_index = MultiIndex.from_tuples(
+            [
+                (1, 1, 0),
+                (1, 1, 4),
+                (1, 1, 8),
+                (1, 3, 2),
+                (1, 3, 6),
+                (1, 3, 10),
+                (2, 2, 1),
+                (2, 2, 5),
+                (2, 2, 9),
+                (2, 4, 3),
+                (2, 4, 7),
+                (2, 4, 11),
+            ],
+            names=["b", "c", None],
+        )
+        tm.assert_index_equal(result.index, expected_index)
+
+        # grouping with 1 level on dataframe with 2-level MI -> 3-level MI as result
+        df = DataFrame({"a": np.arange(8.0), "b": [1, 2] * 4, "c": [1, 2, 3, 4] * 2})
+        df = df.set_index("c", append=True)
+        result = df.groupby("b").rolling(3).mean()
+        expected_index = MultiIndex.from_tuples(
+            [
+                (1, 0, 1),
+                (1, 2, 3),
+                (1, 4, 1),
+                (1, 6, 3),
+                (2, 1, 2),
+                (2, 3, 4),
+                (2, 5, 2),
+                (2, 7, 4),
+            ],
+            names=["b", None, "c"],
+        )
+        tm.assert_index_equal(result.index, expected_index)
+
 
 class TestExpanding:
     def setup_method(self):

pandas/tests/window/test_rolling.py

@@ -1085,8 +1085,15 @@ def test_groupby_rolling_nan_included():
     result = df.groupby("group", dropna=False).rolling(1, min_periods=1).mean()
     expected = DataFrame(
         {"B": [0.0, 2.0, 3.0, 1.0, 4.0]},
-        index=MultiIndex.from_tuples(
-            [("g1", 0), ("g1", 2), ("g2", 3), (np.nan, 1), (np.nan, 4)],
+        # GH-38057 from_tuples puts the NaNs in the codes, result expects them
+        # to be in the levels, at the moment
+        # index=MultiIndex.from_tuples(
+        #     [("g1", 0), ("g1", 2), ("g2", 3), (np.nan, 1), (np.nan, 4)],
+        #     names=["group", None],
+        # ),
+        index=MultiIndex(
+            [["g1", "g2", np.nan], [0, 1, 2, 3, 4]],
+            [[0, 0, 1, 2, 2], [0, 2, 3, 1, 4]],
             names=["group", None],
         ),
     )