Calculate weighted average using a pandas/dataframe

Question

I have the following table. I want to calculate a weighted average grouped by each date based on the formula below. I can do this using some standard conventional code, but assuming that this data is in a pandas dataframe, is there any easier way to achieve this rather than through iteration?

Date        ID      wt      value   w_avg
01/01/2012  100     0.50    60      0.791666667
01/01/2012  101     0.75    80
01/01/2012  102     1.00    100
01/02/2012  201     0.50    100     0.722222222
01/02/2012  202     1.00    80

01/01/2012 w_avg = 0.5 * ( 60/ sum(60,80,100)) + .75 * (80/ sum(60,80,100)) + 1.0 * (100/sum(60,80,100))

01/02/2012 w_avg = 0.5 * ( 100/ sum(100,80)) + 1.0 * ( 80/ sum(100,80))

Answer 1

Another option is the following, which works for many columns, keeps track of the weights and should be fast (have not profiled it).

def _weighted_sum(df, weight_column: str = "weights"):
    """Performs a weighted sum grouped by index."""
    cols = [c for c in df.columns if c != weight_column]
    df.loc[:, cols] = df.loc[:, cols].multiply(df[weight_column], axis=0)
    agg = df.groupby(df.index).sum()
    agg.loc[:, cols] = agg.loc[:, cols].divide(agg[weight_column], axis=0)
    return agg


def test_weighted_sum():
    df = pd.DataFrame(
        {
            "index": [1, 1, 2, 2],
            "x": [0, 1, 2, 100],
            "y": [4, 5, 6, 7],
            "weights": [1, 1, 1, 9],
        }
    )
    df.set_index("index", inplace=True)

    result = _weighted_sum(df)

    expected_result = pd.DataFrame(
        {
            "index": [1, 2],
            "x": [0.5, 90.2],
            "y": [4.5, 6.9],
            "weights": [2, 10],
        }
    )
    expected_result.set_index("index", inplace=True)
    pd.testing.assert_frame_equal(result, expected_result)

Answer 2

Another option to an old question (using @kadee sample data):

(df.drop(columns='ID')
  .assign(wt = lambda df: df.prod(1)) # product of weight and value
  .groupby('Date').sum()
  .pipe(lambda df: df.wt / df.value) # weighted average computation
) 
Date
01/01/2012    0.791667
01/02/2012    0.722222

Should be much faster if the computation is done without the use of anonymous functions:

temp = df.drop(columns='ID')
temp = temp.assign(wt = temp.prod(1)).groupby('Date').sum()
temp.wt / temp.value

Date
01/01/2012    0.791667
01/02/2012    0.722222
dtype: float64

Answer 3

If speed is an important factor for you, vectorizing is critical. Thus, based on the answer by Andy Hayden, here is a solution using only Pandas native functions:

def weighted_mean(df, values, weights, groupby):
    df = df.copy()
    grouped = df.groupby(groupby)
    df['weighted_average'] = df[values] / grouped[weights].transform('sum') * df[weights]
    return grouped['weighted_average'].sum(min_count=1) #min_count is required for Grouper objects

In comparison, using a custom lambda function is less code, but slower:

import numpy as np
def weighted_mean_by_lambda(df, values, weights, groupby):
    return df.groupby(groupby).apply(lambda x: np.average(x[values], weights=x[weights]))

Speed test:

import time
import numpy as np
import pandas as pd

n = 100000000

df = pd.DataFrame({
    'values': np.random.uniform(0, 1, size=n), 
    'weights': np.random.randint(0, 5, size=n),
    'groupby': np.random.randint(0, 10000, size=n), 
})

time1 = time.time()
weighted_mean(df, 'values', 'weights', 'groupby')
print('Time for `weighted_mean`:', time.time() - time1)

time2 = time.time()
weighted_mean_by_lambda(df, 'values', 'weights', 'groupby')
print('Time for `weighted_mean_by_lambda`:', time.time() - time2)

Speed test output:

Time for `weighted_mean`: 3.4519572257995605
Time for `weighted_mean_by_lambda`: 11.41335940361023

Answer 4

I saved the table in the .csv file

df=pd.read_csv('book1.csv')

grouped=df.groupby('Date')
g_wavg= lambda x: np.average(x.wt, weights=x.value)
grouped.apply(g_wavg)

Answer 5

I feel the following is an elegant solution to this problem from:(Pandas DataFrame aggregate function using multiple columns)

grouped = df.groupby('Date')

def wavg(group):
    d = group['value']
    w = group['wt']
    return (d * w).sum() / w.sum()

grouped.apply(wavg)

Answer 6

Let's first create the example pandas dataframe:

In [1]: import numpy as np

In [2]: import pandas as pd

In [3]: index = pd.Index(['01/01/2012','01/01/2012','01/01/2012','01/02/2012','01/02/2012'], name='Date')

In [4]: df = pd.DataFrame({'ID':[100,101,102,201,202],'wt':[.5,.75,1,.5,1],'value':[60,80,100,100,80]},index=index)

Then, the average of 'wt' weighted by 'value' and grouped by the index is obtained as:

In [5]: df.groupby(df.index).apply(lambda x: np.average(x.wt, weights=x.value))
Out[5]: 
Date
01/01/2012    0.791667
01/02/2012    0.722222
dtype: float64

Alternatively, one can also define a function:

In [5]: def grouped_weighted_avg(values, weights, by):
   ...:     return (values * weights).groupby(by).sum() / weights.groupby(by).sum()

In [6]: grouped_weighted_avg(values=df.wt, weights=df.value, by=df.index)
Out[6]: 
Date
01/01/2012    0.791667
01/02/2012    0.722222
dtype: float64

Answer 7

I think I would do this with two groupbys.

First to calculate the "weighted average":

In [11]: g = df.groupby('Date')

In [12]: df.value / g.value.transform("sum") * df.wt
Out[12]:
0    0.125000
1    0.250000
2    0.416667
3    0.277778
4    0.444444
dtype: float64

If you set this as a column, you can groupby over it:

In [13]: df['wa'] = df.value / g.value.transform("sum") * df.wt

Now the sum of this column is the desired:

In [14]: g.wa.sum()
Out[14]:
Date
01/01/2012    0.791667
01/02/2012    0.722222
Name: wa, dtype: float64

or potentially:

In [15]: g.wa.transform("sum")
Out[15]:
0    0.791667
1    0.791667
2    0.791667
3    0.722222
4    0.722222
Name: wa, dtype: float64