Time Series Shapelets: A New Primitive for Data Mining Lexiang Ye and Eamonn Keogh University of...
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Transcript of Time Series Shapelets: A New Primitive for Data Mining Lexiang Ye and Eamonn Keogh University of...
Time Series Shapelets: A New Primitive for Data Mining
Lexiang Ye and Eamonn KeoghUniversity of California, Riverside
KDD 2009
Presented by: Zhenhui Li
Classification in Time Series
• Application: Finance, Medicine
• 1-Nearest Neighbor– Pros: accurate, robust, simple– Cons: time and space complexity (lazy learning); results are not
interpretable
0 200 400 600 800 1000 1200
Solution
• Shapelets– time series subsequence– representative of a class– discriminative from other classes
MOTIVATING EXAMPLE
false nettles
stinging nettles
false nettles
Shapelet
stinging nettlesfalse nettles stinging nettles
Leaf Decision Tree
Shapelet Dictionary
5.1
yes no
I
I
0 1
BRUTE-FORCE ALGORITHM
ca
Candidates Pool
Extract subsequences of all possible lengths
Testing the utility of a candidate shapelet
• Arrange the time series objects– based on the distance from candidate
• Find the optimal split point (maximal information gain)
• Pick the candidate achieving best utility as the shapelet
Split Point
0
candidate
Information gain
Problem
• Total number of candidate
• Each candidate: compute the distance between this candidate and each training sample
• Trace dataset– 200 instances, each of length 275– 7,480,200 shapelet candidates– approximately three days
MAXLEN
MINLENl DTi
i
lT )1(
Candidates Pool
Speedup
• Distance calculations from time series objects to shapelet candidates are the most expensive part
• Reduce the time in two ways– Distance Early Abandon
• reduce the distance computation time between two time series
– Admissible Entropy Pruning• reduce the number of distance calculatations
0
candidate
DISTANCE EARLY ABANDON
0 10 20 30 40 50 60 70 80 90 100
T
S
0 10 20 30 40 50 60 70 80 90 100
best matching location Dist= 0.4Dist= 0.4S
T
0 10 20 30 40 50 60 70 80 90 100
T
S
calculation abandoned at this point
Dist> 0.4Dist> 0.4
Distance Early Abandon
• We only need the minimum Dist
• Method– Keep the best-so-far distance– Abandon the calculation if the current distance is
larger than best so far.
ADMISSIBLE ENTROPY PRUNING
Admissible Entropy Pruning
• We only need the best shapelet for each class• For a candidate shapelet
– We don’t need to calculate the distance for each training sample
– After calculating some training samples, the upper bound of information gain < best candidate shapelet
– Stop calculation– Try next candidate
0
false nettlesstinging nettles
0
0
I=0.42I=0.42
I= 0.29I= 0.29
false nettles stinging nettles
Leaf Decision Tree
Shapelet Dictionary
5.1
yes no
I
I
0 1
false nettles
stinging nettles
false nettles
false nettles
Shapelet
stinging nettles
ClassificationClassification
EXPERIMENTAL EVALUATION
Performance Comparison
Original Lightning DatasetLength 2000
Training 2000
Testing 18000
Projectile Points
11.24
85.47
Shapelet Dictionary
(Clovis)
(Avonlea)
I
II
0 200 400
0
1.0
Arrowhead Decision Tree
I
21
II
0
Clovis Avonlea
Method Accuracy Time
Shapelet 0.80 0.33
Rotation Invariant Nearest Neighbor 0.68 1013
Wheat SpectrographySpectrography
0 200 400 600 800 1000 1200
0
0.5
1
one sample from each class
Wheat DatasetLength 1050
Training 49
Testing 276
2 4 0 1 3 6 5
I
II
III IV
V
VI
100 200 3000
0.1
0.2
0.3
0.4
0.0
I
II
III
IV
V
VI
Shapelet Dictionary
Wheat Decision Tree
Method Accuracy Time
Shapelet 0.720 0.86
Nearest Neighbor 0.543 0.65
the Gun/NoGun Problem
Method Accuracy Time
Shapelet 0.933 0.016
Rotation Invariant Nearest Neighbor 0.913 0.064
0 50 100
0
238.94
Shapelet Dictionary
Gun Decision Tree
(No Gun)
No Gun
Gun
I
I
1 0
Conclusions
• Interpretable results
• more accurate/robust
• significantly faster at classification
Discussions - Comparison
Hong Cheng, Xifeng Yan, Jiawei Han, and Chih-Wei Hsu, “Discriminative Frequent Pattern Analysis for Effective Classification” (ICDE'07)
Hong Cheng, Xifeng Yan, Jiawei Han, and Philip S. Yu, "Direct Discriminative Pattern Mining for Effective Classification", (ICDE'08)
Similarities:• motivation: Discriminative frequent pattern = Shapelet• technique: Use upper bound of information gain to speed upDifferences:• application: general feature selection v.s. time series (no explicit features)• split node: binary (contain/not contain a pattern) v.s. numeric value (smaller/larger than a value)
Discussions – other topics
• Similar ideas could be applied to other research topics– graph– image– spatio-temporal– social network– ….
Discussions – other topics
• Graph classification:
Xifeng Yan, Hong Cheng, Jiawei Han, and Philip S. Yu, “Mining Significant GraphPatterns by Scalable Leap Search”, Proc. 2008 ACM SIGMOD Int. Conf. onManagement of Data (SIGMOD'08), Vancouver, BC, Canada, June 2008.
Discussions – other topics
• moving object classification
Discriminative sub-movement
Discussions – other topics
• Social network– classify normal/spamming users
Discussions – other topics
Discussions – other topics
• Social network– classify normal/spamming users– How to find discriminative features on social network?
• social network structure• user behaviour
Discussions – other topics
• For different applications, this idea could be adapted to improve the performance; but not easily adapted.
Thank You
Question?