BUG:Wrong sum in groupby rolling due to precision issues

[AkariGale]

• I have checked that this issue has not already been reported.

• I have confirmed this bug exists on the latest version of pandas.

• (optional) I have confirmed this bug exists on the master branch of pandas.

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Code Sample, a copy-pastable example

import numpy as np
import math
import pandas as pd

id1 = pd.date_range('2019-10-01', '2020-01-08', freq='2H').to_frame(name='stamp').reset_index(drop=True)
id2 = pd.date_range('2019-10-01', '2020-01-08').to_frame(name='stamp').reset_index(drop=True)
id1['id'] = 1
a = 2.5
id1['value'] = (math.e + a) ** (((id1.index + 10) % 40) - 20)
id2['id'] = 2
id2['value'] = np.nan
id2.loc[id2.stamp == '2019-11-15', 'value'] = 10. ** -13

df = pd.concat([id1, id2], ignore_index=True)
df.sort_values('stamp', inplace=True)

roll_sum = df.groupby('id').rolling('93D', on='stamp')['value'].sum().reset_index()
print(roll_sum[roll_sum.id == 2].iloc[-1].value)

roll_sum_2 = df[df.id == 2].groupby('id').rolling('93D', on='stamp')['value'].sum().reset_index()
print(roll_sum_2[roll_sum_2.id == 2].iloc[-1].value)

Problem description

In the code above i show that last values in rollings are not equal:

• if i count a sum of value using rolling on full dataframe, i obtain 0.015625000000100003
• If i filter a dataframe and keep only id=2, i obtain 1e-13.

It seems that the aggregation in the second group depends on the first group.

If i replace a on 0, i will get 2.980242e-08 in a first rolling. And if i replace a on 1, i will get a correct answer 1e-13

Expected Output

1e-13

Output of pd.show_versions()

INSTALLED VERSIONS
------------------
commit           : 3e89b4c4b1580aa890023fc550774e63d499da25
python           : 3.7.6.final.0
python-bits      : 64
OS               : Linux
OS-release       : 5.3.13-300.fc31.x86_64
Version          : #1 SMP Mon Nov 25 17:25:25 UTC 2019
machine          : x86_64
processor        : x86_64
byteorder        : little
LC_ALL           : None
LANG             : en_US.UTF-8
LOCALE           : en_US.UTF-8

pandas           : 1.2.0
numpy            : 1.17.4
pytz             : 2019.2
dateutil         : 2.8.0
pip              : 19.1.1
setuptools       : 50.3.0
Cython           : None
pytest           : 5.4.1
hypothesis       : None
sphinx           : None
blosc            : None
feather          : None
xlsxwriter       : None
lxml.etree       : 4.5.0
html5lib         : None
pymysql          : None
psycopg2         : 2.8.4 (dt dec pq3 ext lo64)
jinja2           : 2.10.1
IPython          : None
pandas_datareader: None
bs4              : 4.9.0
bottleneck       : None
fsspec           : None
fastparquet      : None
gcsfs            : None
matplotlib       : 3.2.1
numexpr          : None
odfpy            : None
openpyxl         : None
pandas_gbq       : None
pyarrow          : None
pyxlsb           : None
s3fs             : None
scipy            : None
sqlalchemy       : 1.3.11
tables           : None
tabulate         : None
xarray           : None
xlrd             : None
xlwt             : None
numba            : None

[MarcoGorelli]

Hi @AkariGale ,

closing as you haven't written anything, but if you fill out the report and ping us we'll reopen

[AkariGale]

Hi @MarcoGorelli !

Sorry, I accidentally posted an empty report. Сorrected

[simonjayhawkins]

first bad commit: [bad52a9] PERF: Use Indexers to implement groupby rolling (#34052) cc @mroeschke

[mroeschke]

Thanks for the report. You are correct in that there is influence from the first summation as groupby().rolling() now calculates the result "all at once" as opposed to independent groups for a performance reason.

Since the summation of values is carried across the groups, it appears this example hits numerical precision limits of our summation algorithm as replacing the values in your example with integers yields the correct result

In [13]:
    ...: id1 = pd.date_range('2019-10-01', '2020-01-08', freq='2H').to_frame(name='stamp').reset_index(drop=True)
    ...: id2 = pd.date_range('2019-10-01', '2020-01-08').to_frame(name='stamp').reset_index(drop=True)
    ...: id1['id'] = 1

In [14]: id1['value'] = range(len(id1))

In [15]: id2['id'] = 2

In [16]: id2['value'] = range(len(id2))

In [17]: df_simple = pd.concat([id1, id2], ignore_index=True)

In [18]: df_simple.sort_values('stamp', inplace=True)

In [19]: roll_sum_simple = df_simple.groupby('id').rolling('93D', on='stamp')['value'].sum().reset_index()

In [20]: roll_sum_simple[roll_sum_simple.id == 2].iloc[-1].value
Out[20]: 4929.0

In [21]: roll_sum_simple_2 = df_simple[df_simple.id == 2].groupby('id').rolling('93D', on='stamp')['value'].sum().reset_index()

In [22]: roll_sum_simple_2[roll_sum_simple_2.id ==2 ].iloc[-1].value
Out[22]: 4929.0