The feature extraction as well as the feature selection offer the possibility of parallelization. Out of the box both tasks are parallelized by tsfresh. However, the overhead introduced with the parallelization should not be underestimated. Here we discuss the different settings to control the parallelization. To achieve best results for your use-case you should experiment with the parameters.

Please let us know about your results tuning the below mentioned parameters! It will help improve this document as well as the default settings.

Parallelization of Feature Selection

We use a multiprocessing.Pool to parallelize the calculation of the p-values for each feature. On instantiation we set the Pool’s number of worker processes to n_jobs. This field defaults to the number of processors on the current system. We recommend setting it to the maximum number of available (and otherwise idle) processors.

The chunksize of the Pool’s map function is another important parameter to consider. It can be set via the chunksize field. By default it is up to multiprocessing.Pool to decide on the chunksize.

Parallelization of Feature Extraction

For the feature extraction tsfresh exposes the parameters n_jobs and chunksize. Both behave analogue to the parameters for the feature selection.

To do performance studies and profiling, it sometimes quite useful to turn off parallelization at all. This can be setting the parameter n_jobs to 0.