Times series averaging from a probabilistic interpretation of time-elastic kernel

At the light of regularized dynamic time warping kernels, this paper reconsider the concept of time elastic centroid (TEC) for a set of time series. From this perspective, we show first how TEC can easily be addressed as a preimage problem. Unfortunately this preimage problem is ill-posed, may suffer from over-fitting especially for long time series and getting a sub-optimal solution involves heavy computational costs. We then derive two new algorithms based on a probabilistic interpretation of kernel alignment matrices that expresses in terms of probabilistic distributions over sets of alignment paths. The first algorithm is an iterative agglomerative heuristics inspired from the state of the art DTW barycenter averaging (DBA) algorithm proposed specifically for the Dynamic Time Warping measure. The second proposed algorithm achieves a classical averaging of the aligned samples but also implements an averaging of the time of occurrences of the aligned samples. It exploits a straightforward progressive agglomerative heuristics. An experimentation that compares for 45 time series datasets classification error rates obtained by first near neighbors classifiers exploiting a single medoid or centroid estimate to represent each categories show that: i) centroids based approaches significantly outperform medoids based approaches, ii) on the considered experience, the two proposed algorithms outperform the state of the art DBA algorithm, and iii) the second proposed algorithm that implements an averaging jointly in the sample space and along the time axes emerges as the most significantly robust time elastic averaging heuristic with an interesting noise reduction capability. Index Terms-Time series averaging Time elastic kernel Dynamic Time Warping Time series clustering and classification

Systematic coarse graining: "Four lessons and a caveat" from nonequilibrium statistical mechanics

With the guidance offered by nonequilibrium statistical thermodynamics, simulation techniques are elevated from brute-force computer experiments to systematic tools for extracting complete, redundancy-free and consistent coarse grained information for dynamic systems. We sketch the role and potential of Monte Carlo, molecular dynamics and Brownian dynamics simulations in the thermodynamic approach to coarse graining. A melt of entangled linear polyethylene molecules serves us as an illustrative example.Comment: 15 pages, 4 figure

The miracle of the Septuagint and the promise of data mining in economics

This paper argues that the sometimes-conflicting results of a modern revisionist literature on data mining in econometrics reflect different approaches to solving the central problem of model uncertainty in a science of non-experimental data. The literature has entered an exciting phase with theoretical development, methodological reflection, considerable technological strides on the computing front and interesting empirical applications providing momentum for this branch of econometrics. The organising principle for this discussion of data mining is a philosophical spectrum that sorts the various econometric traditions according to their epistemological assumptions (about the underlying data-generating-process DGP) starting with nihilism at one end and reaching claims of encompassing the DGP at the other end; call it the DGP-spectrum. In the course of exploring this spectrum the reader will encounter various Bayesian, specific-to-general (S-G) as well general-to-specific (G-S) methods. To set the stage for this exploration the paper starts with a description of data mining, its potential risks and a short section on potential institutional safeguards to these problems.Data mining, model selection, automated model selection, general to specific modelling, extreme bounds analysis, Bayesian model selection

Combining stochastic programming and optimal control to solve multistage stochastic optimization problems

In this contribution we propose an approach to solve a multistage stochastic programming problem which allows us to obtain a time and nodal decomposition of the original problem. This double decomposition is achieved applying a discrete time optimal control formulation to the original stochastic programming problem in arborescent form. Combining the arborescent formulation of the problem with the point of view of the optimal control theory naturally gives as a first result the time decomposability of the optimality conditions, which can be organized according to the terminology and structure of a discrete time optimal control problem into the systems of equation for the state and adjoint variables dynamics and the optimality conditions for the generalized Hamiltonian. Moreover these conditions, due to the arborescent formulation of the stochastic programming problem, further decompose with respect to the nodes in the event tree. The optimal solution is obtained by solving small decomposed subproblems and using a mean valued fixed-point iterative scheme to combine them. To enhance the convergence we suggest an optimization step where the weights are chosen in an optimal way at each iteration.Stochastic programming, discrete time control problem, decomposition methods, iterative scheme

Automated reduction of submillimetre single-dish heterodyne data from the James Clerk Maxwell Telescope using ORAC-DR

With the advent of modern multi-detector heterodyne instruments that can result in observations generating thousands of spectra per minute it is no longer feasible to reduce these data as individual spectra. We describe the automated data reduction procedure used to generate baselined data cubes from heterodyne data obtained at the James Clerk Maxwell Telescope. The system can automatically detect baseline regions in spectra and automatically determine regridding parameters, all without input from a user. Additionally it can detect and remove spectra suffering from transient interference effects or anomalous baselines. The pipeline is written as a set of recipes using the ORAC-DR pipeline environment with the algorithmic code using Starlink software packages and infrastructure. The algorithms presented here can be applied to other heterodyne array instruments and have been applied to data from historical JCMT heterodyne instrumentation.Comment: 18 pages, 13 figures, submitted to Monthly Notices of the Royal Astronomical Societ

Exact Mean Computation in Dynamic Time Warping Spaces

Dynamic time warping constitutes a major tool for analyzing time series. In particular, computing a mean series of a given sample of series in dynamic time warping spaces (by minimizing the Fr\'echet function) is a challenging computational problem, so far solved by several heuristic and inexact strategies. We spot some inaccuracies in the literature on exact mean computation in dynamic time warping spaces. Our contributions comprise an exact dynamic program computing a mean (useful for benchmarking and evaluating known heuristics). Based on this dynamic program, we empirically study properties like uniqueness and length of a mean. Moreover, experimental evaluations reveal substantial deficits of state-of-the-art heuristics in terms of their output quality. We also give an exact polynomial-time algorithm for the special case of binary time series

How single neuron properties shape chaotic dynamics and signal transmission in random neural networks

While most models of randomly connected networks assume nodes with simple dynamics, nodes in realistic highly connected networks, such as neurons in the brain, exhibit intrinsic dynamics over multiple timescales. We analyze how the dynamical properties of nodes (such as single neurons) and recurrent connections interact to shape the effective dynamics in large randomly connected networks. A novel dynamical mean-field theory for strongly connected networks of multi-dimensional rate units shows that the power spectrum of the network activity in the chaotic phase emerges from a nonlinear sharpening of the frequency response function of single units. For the case of two-dimensional rate units with strong adaptation, we find that the network exhibits a state of "resonant chaos", characterized by robust, narrow-band stochastic oscillations. The coherence of stochastic oscillations is maximal at the onset of chaos and their correlation time scales with the adaptation timescale of single units. Surprisingly, the resonance frequency can be predicted from the properties of isolated units, even in the presence of heterogeneity in the adaptation parameters. In the presence of these internally-generated chaotic fluctuations, the transmission of weak, low-frequency signals is strongly enhanced by adaptation, whereas signal transmission is not influenced by adaptation in the non-chaotic regime. Our theoretical framework can be applied to other mechanisms at the level of single nodes, such as synaptic filtering, refractoriness or spike synchronization. These results advance our understanding of the interaction between the dynamics of single units and recurrent connectivity, which is a fundamental step toward the description of biologically realistic network models in the brain, or, more generally, networks of other physical or man-made complex dynamical units