Invariant Factorization Of Time-Series

Time-series classification is an important domain of machine learning and a plethora of methods have been developed for the task. In comparison to existing approaches, this study presents a novel method which decomposes a time-series dataset into latent patterns and membership weights of local segments to those patterns. The process is formalized as a constrained objective function and a tailored stochastic coordinate descent optimization is applied. The time-series are projected to a new feature representation consisting of the sums of the membership weights, which captures frequencies of local patterns. Features from various sliding window sizes are concatenated in order to encapsulate the interaction of patterns from different sizes. Finally, a large-scale experimental comparison against 6 state of the art baselines and 43 real life datasets is conducted. The proposed method outperforms all the baselines with statistically significant margins in terms of prediction accuracy

Optimal Time-Series Motifs

Motifs are the most repetitive/frequent patterns of a time-series. The discovery of motifs is crucial for practitioners in order to understand and interpret the phenomena occurring in sequential data. Currently, motifs are searched among series sub-sequences, aiming at selecting the most frequently occurring ones. Search-based methods, which try out series sub-sequence as motif candidates, are currently believed to be the best methods in finding the most frequent patterns. However, this paper proposes an entirely new perspective in finding motifs. We demonstrate that searching is non-optimal since the domain of motifs is restricted, and instead we propose a principled optimization approach able to find optimal motifs. We treat the occurrence frequency as a function and time-series motifs as its parameters, therefore we \textit{learn} the optimal motifs that maximize the frequency function. In contrast to searching, our method is able to discover the most repetitive patterns (hence optimal), even in cases where they do not explicitly occur as sub-sequences. Experiments on several real-life time-series datasets show that the motifs found by our method are highly more frequent than the ones found through searching, for exactly the same distance threshold.Comment: Submitted to KDD201

Scalable Discovery of Time-Series Shapelets

Time-series classification is an important problem for the data mining community due to the wide range of application domains involving time-series data. A recent paradigm, called shapelets, represents patterns that are highly predictive for the target variable. Shapelets are discovered by measuring the prediction accuracy of a set of potential (shapelet) candidates. The candidates typically consist of all the segments of a dataset, therefore, the discovery of shapelets is computationally expensive. This paper proposes a novel method that avoids measuring the prediction accuracy of similar candidates in Euclidean distance space, through an online clustering pruning technique. In addition, our algorithm incorporates a supervised shapelet selection that filters out only those candidates that improve classification accuracy. Empirical evidence on 45 datasets from the UCR collection demonstrate that our method is 3-4 orders of magnitudes faster than the fastest existing shapelet-discovery method, while providing better prediction accuracy.Comment: Under review in the journal "Knowledge and Information Systems" (KAIS

Scalable Pareto Front Approximation for Deep Multi-Objective Learning

Multi-objective optimization (MOO) is a prevalent challenge for Deep Learning, however, there exists no scalable MOO solution for truly deep neural networks. Prior work either demand optimizing a new network for every point on the Pareto front, or induce a large overhead to the number of trainable parameters by using hyper-networks conditioned on modifiable preferences. In this paper, we propose to condition the network directly on these preferences by augmenting them to the feature space. Furthermore, we ensure a well-spread Pareto front by penalizing the solutions to maintain a small angle to the preference vector. In a series of experiments, we demonstrate that our Pareto fronts achieve state-of-the-art quality despite being computed significantly faster. Furthermore, we showcase the scalability as our method approximates the full Pareto front on the CelebA dataset with an EfficientNet network at a tiny training time overhead of 7% compared to a simple single-objective optimization. We make our code publicly available at https://github.com/ruchtem/cosmos.Comment: Accepted at ICDM 2021 as short paper. Adapt title to match published versio

Ultra-Fast Shapelets for Time Series Classification

Time series shapelets are discriminative subsequences and their similarity to a time series can be used for time series classification. Since the discovery of time series shapelets is costly in terms of time, the applicability on long or multivariate time series is difficult. In this work we propose Ultra-Fast Shapelets that uses a number of random shapelets. It is shown that Ultra-Fast Shapelets yield the same prediction quality as current state-of-the-art shapelet-based time series classifiers that carefully select the shapelets by being by up to three orders of magnitudes. Since this method allows a ultra-fast shapelet discovery, using shapelets for long multivariate time series classification becomes feasible. A method for using shapelets for multivariate time series is proposed and Ultra-Fast Shapelets is proven to be successful in comparison to state-of-the-art multivariate time series classifiers on 15 multivariate time series datasets from various domains. Finally, time series derivatives that have proven to be useful for other time series classifiers are investigated for the shapelet-based classifiers. It is shown that they have a positive impact and that they are easy to integrate with a simple preprocessing step, without the need of adapting the shapelet discovery algorithm.Comment: Preprint submitted to Journal of Data & Knowledge Engineering January 24, 201

Time-Series Classification Through Histograms of Symbolic Polynomials

Time-series classification has attracted considerable research attention due to the various domains where time-series data are observed, ranging from medicine to econometrics. Traditionally, the focus of time-series classification has been on short time-series data composed of a unique pattern with intraclass pattern distortions and variations, while recently there have been attempts to focus on longer series composed of various local patterns. This study presents a novel method which can detect local patterns in long time-series via fitting local polynomial functions of arbitrary degrees. The coefficients of the polynomial functions are converted to symbolic words via equivolume discretizations of the coefficients' distributions. The symbolic polynomial words enable the detection of similar local patterns by assigning the same words to similar polynomials. Moreover, a histogram of the frequencies of the words is constructed from each time-series' bag of words. Each row of the histogram enables a new representation for the series and symbolize the existence of local patterns and their frequencies. Experimental evidence demonstrates outstanding results of our method compared to the state-of-art baselines, by exhibiting the best classification accuracies in all the datasets and having statistically significant improvements in the absolute majority of experiments

Learning Surrogate Losses

The minimization of loss functions is the heart and soul of Machine Learning. In this paper, we propose an off-the-shelf optimization approach that can minimize virtually any non-differentiable and non-decomposable loss function (e.g. Miss-classification Rate, AUC, F1, Jaccard Index, Mathew Correlation Coefficient, etc.) seamlessly. Our strategy learns smooth relaxation versions of the true losses by approximating them through a surrogate neural network. The proposed loss networks are set-wise models which are invariant to the order of mini-batch instances. Ultimately, the surrogate losses are learned jointly with the prediction model via bilevel optimization. Empirical results on multiple datasets with diverse real-life loss functions compared with state-of-the-art baselines demonstrate the efficiency of learning surrogate losses

Dataset2Vec: Learning Dataset Meta-Features

Meta-learning, or learning to learn, is a machine learning approach that utilizes prior learning experiences to expedite the learning process on unseen tasks. As a data-driven approach, meta-learning requires meta-features that represent the primary learning tasks or datasets, and are estimated traditonally as engineered dataset statistics that require expert domain knowledge tailored for every meta-task. In this paper, first, we propose a meta-feature extractor called Dataset2Vec that combines the versatility of engineered dataset meta-features with the expressivity of meta-features learned by deep neural networks. Primary learning tasks or datasets are represented as hierarchical sets, i.e., as a set of sets, esp. as a set of predictor/target pairs, and then a DeepSet architecture is employed to regress meta-features on them. Second, we propose a novel auxiliary meta-learning task with abundant data called dataset similarity learning that aims to predict if two batches stem from the same dataset or different ones. In an experiment on a large-scale hyperparameter optimization task for 120 UCI datasets with varying schemas as a meta-learning task, we show that the meta-features of Dataset2Vec outperform the expert engineered meta-features and thus demonstrate the usefulness of learned meta-features for datasets with varying schemas for the first time

Channel masking for multivariate time series shapelets

Time series shapelets are discriminative sub-sequences and their similarity to time series can be used for time series classification. Initial shapelet extraction algorithms searched shapelets by complete enumeration of all possible data sub-sequences. Research on shapelets for univariate time series proposed a mechanism called shapelet learning which parameterizes the shapelets and learns them jointly with a prediction model in an optimization procedure. Trivial extension of this method to multivariate time series does not yield very good results due to the presence of noisy channels which lead to overfitting. In this paper we propose a shapelet learning scheme for multivariate time series in which we introduce channel masks to discount noisy channels and serve as an implicit regularization.Comment: 12 page

Data-Driven Vehicle Trajectory Forecasting

An active area of research is to increase the safety of self-driving vehicles. Although safety cannot be guarenteed completely, the capability of a vehicle to predict the future trajectories of its surrounding vehicles could help ensure this notion of safety to a greater deal. We cast the trajectory forecast problem in a multi-time step forecasting problem and develop a Convolutional Neural Network based approach to learn from trajectory sequences generated from completely raw dataset in real-time. Results show improvement over baselines.Comment: Published in ECML KNOWMe: 2nd International Workshop on Knowledge Discovery from Mobility and Transportation Systems 201