yeandy commented on a change in pull request #16706:
URL: https://github.com/apache/beam/pull/16706#discussion_r798115218



##########
File path: sdks/python/apache_beam/dataframe/frames.py
##########
@@ -3986,29 +3996,78 @@ def apply(self, func, *args, **kwargs):
     fn_input = project(self._ungrouped_with_index.proxy().reset_index(
         grouping_columns, drop=True))
     result = func(fn_input)
-    if isinstance(result, pd.core.generic.NDFrame):
-      if result.index is fn_input.index:
-        proxy = result
+    def index_to_arrays(index):
+      return [index.get_level_values(level)
+              for level in range(index.nlevels)]
+
+
+    # By default do_apply will just call pandas apply()
+    # We override it below if necessary
+    do_apply = lambda gb: gb.apply(func, *args, **kwargs)
+
+    if (isinstance(result, pd.core.generic.NDFrame) and
+        result.index is fn_input.index):
+      # Special case where apply fn is a transform
+      # Note we trust that if the user fn produces a proxy with the identical
+      # index, it will produce results with identical indexes at execution
+      # time too
+      proxy = result
+    elif isinstance(result, pd.DataFrame):
+      # apply fn is not a transform, we need to make sure the original index
+      # values are prepended to the result's index
+      proxy = result[:0]
+
+      # First adjust proxy
+      proxy.index = pd.MultiIndex.from_arrays(
+          index_to_arrays(self._ungrouped.proxy().index) +
+          index_to_arrays(proxy.index),
+          names=self._ungrouped.proxy().index.names + proxy.index.names)
+
+
+      # Then override do_apply function
+      new_index_names = self._ungrouped.proxy().index.names
+      if len(new_index_names) > 1:
+        def add_key_index(key, df):
+          # df is a dataframe or Series representing the result of func for
+          # a single key
+          # key is a tuple with the MultiIndex values for this key
+          df.index = pd.MultiIndex.from_arrays(
+              [[key[i]] * len(df) for i in range(len(new_index_names))] +
+              index_to_arrays(df.index),
+              names=new_index_names + df.index.names)
+          return df
       else:
-        proxy = result[:0]
-
-        def index_to_arrays(index):
-          return [index.get_level_values(level)
-                  for level in range(index.nlevels)]
-
-        # The final result will have the grouped indexes + the indexes from the
-        # result
-        proxy.index = pd.MultiIndex.from_arrays(
-            index_to_arrays(self._ungrouped.proxy().index) +
-            index_to_arrays(proxy.index),
-            names=self._ungrouped.proxy().index.names + proxy.index.names)
+        def add_key_index(key, df):
+          # df is a dataframe or Series representing the result of func for
+          # a single key
+          df.index = pd.MultiIndex.from_arrays(
+              [[key] * len(df)] + index_to_arrays(df.index),
+              names=new_index_names + df.index.names)
+          return df
+
+
+      do_apply = lambda gb: pd.concat([
+          add_key_index(k, func(gb.get_group(k), *args, **kwargs))
+          for k in gb.groups.keys()])
+    elif isinstance(result, pd.Series):
+      if isinstance(fn_input, pd.DataFrame):
+        # DataFrameGroupBy
+        dtype = pd.Series([result]).dtype
+        proxy = pd.DataFrame(columns=result.index,
+                             dtype=result.dtype,
+                             index=self._ungrouped.proxy().index)

Review comment:
       Thanks for the example! Now it better paints the picture on how we 
construct the proxies. Figuring this out must require playing around with a lot 
of different DF/Series examples 😆  




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