Toeplitz Inverse Covariance-Based Clustering of Multivariate Time Series Data

Subsequence clustering of multivariate time series is a useful tool for discovering repeated patterns in temporal data. Once these patterns have been discovered, seemingly complicated datasets can be interpreted as a temporal sequence of only a small number of states, or clusters. For example, raw sensor data from a fitness-tracking application can be expressed as a timeline of a select few actions (i.e., walking, sitting, running). However, discovering these patterns is challenging because it requires simultaneous segmentation and clustering of the time series. Furthermore, interpreting the resulting clusters is difficult, especially when the data is high-dimensional. Here we propose a new method of model-based clustering, which we call Toeplitz Inverse Covariance-based Clustering (TICC). Each cluster in the TICC method is defined by a correlation network, or Markov random field (MRF), characterizing the interdependencies between different observations in a typical subsequence of that cluster. Based on this graphical representation, TICC simultaneously segments and clusters the time series data. We solve the TICC problem through alternating minimization, using a variation of the expectation maximization (EM) algorithm. We derive closed-form solutions to efficiently solve the two resulting subproblems in a scalable way, through dynamic programming and the alternating direction method of multipliers (ADMM), respectively. We validate our approach by comparing TICC to several state-of-the-art baselines in a series of synthetic experiments, and we then demonstrate on an automobile sensor dataset how TICC can be used to learn interpretable clusters in real-world scenarios.Comment: This revised version fixes two small typos in the published versio

Learning Laplacian Matrix in Smooth Graph Signal Representations

The construction of a meaningful graph plays a crucial role in the success of many graph-based representations and algorithms for handling structured data, especially in the emerging field of graph signal processing. However, a meaningful graph is not always readily available from the data, nor easy to define depending on the application domain. In particular, it is often desirable in graph signal processing applications that a graph is chosen such that the data admit certain regularity or smoothness on the graph. In this paper, we address the problem of learning graph Laplacians, which is equivalent to learning graph topologies, such that the input data form graph signals with smooth variations on the resulting topology. To this end, we adopt a factor analysis model for the graph signals and impose a Gaussian probabilistic prior on the latent variables that control these signals. We show that the Gaussian prior leads to an efficient representation that favors the smoothness property of the graph signals. We then propose an algorithm for learning graphs that enforces such property and is based on minimizing the variations of the signals on the learned graph. Experiments on both synthetic and real world data demonstrate that the proposed graph learning framework can efficiently infer meaningful graph topologies from signal observations under the smoothness prior