Multilevel dynamic time warping: A parameter-light method for fast time series classification

Time series classification is a fundamental problem in the time series mining community. Recently, many sophisticated methods which can produce state-of-the-art classification accuracy on the UCR archive have been proposed. Unfortunately, most of them are parameter-laden methods and require fine-tune for different datasets. Besides, training these classifiers is very computationally demanding, which makes them difficult to use in many real-time applications and previously unseen datasets. In this paper, we propose a novel parameter-light algorithm, MDTW, to classify time series. MDTW has a few parameters which do not require any fine-tune and can be chosen arbitrarily because the classification accuracy is largely insensitive to the parameters. MDTW has no training step; thus, it can be directly applied to unseen datasets. MDTW is based on a popular method, namely the nearest neighbor classifier with Dynamic Time Warping (NN-DTW). However, MDTW performs much faster than NN-DTW by representing time series in different resolutions and using filters-and-refine framework to find the nearest neighbor. The experimental results demonstrate that MDTW performs faster than the state-of-the-art, with small losses (< 3%) in average classification accuracy. Besides, we embed a technique, prunedDTW, into the MDTW procedure to make MDTW even faster, and show by experiments that this combination can speed up the MDTW from one to five times.

Automated summary

Time series classification is a fundamental problem that often requires tuning of numerous parameters, making training time-consuming and adjustment challenging, especially in real-time applications and unseen datasets. This paper introduces a parameter-light algorithm, MDTW, which outperforms other methods by providing faster classification speed and minimal loss in accuracy, while being applicable to previously unseen datasets.