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Register a new userSOM-VAE: Interpretable Discrete Representation Learning on Time Series
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High-dimensional time series are common in many domains. Since human cognition is not optimized to work well in high-dimensional spaces, these areas could benefit from interpretable low-dimensional representations. However, most representation learning algorithms for time series data are difficult to interpret. This is due to non-intuitive mappings from data features to salient properties of the representation and non-smoothness over time. To address this problem, we propose a new representation learning framework building on ideas from interpretable discrete dimensionality reduction and deep generative modeling. This framework allows us to learn discrete representations of time series, which give rise to smooth and interpretable embeddings with superior clustering performance. We introduce a new way to overcome the non-differentiability in discrete representation learning and present a gradient-based version of the traditional self-organizing map algorithm that is more performant than the original. Furthermore, to allow for a probabilistic interpretation of our method, we integrate a Markov model in the representation space. This model uncovers the temporal transition structure, improves clustering performance even further and provides additional explanatory insights as well as a natural representation of uncertainty. We evaluate our model in terms of clustering performance and interpretability on static (Fashion-)MNIST data, a time series of linearly interpolated (Fashion-)MNIST images, a chaotic Lorenz attractor system with two macro states, as well as on a challenging real world medical time series application on the eICU data set. Our learned representations compare favorably with competitor methods and facilitate downstream tasks on the real world data.
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Recent few-shot learning works focus on training a model with prior meta-knowledge to fast adapt to new tasks with unseen classes and samples. However, conventional time-series classification algorithms fail to tackle the few-shot scenario. Existing few-shot learning methods are proposed to tackle image or text data, and most of them are neural-based models that lack interpretability. This paper proposes an interpretable neural-based framework, namely textit{Dual Prototypical Shapelet Networks (DPSN)} for few-shot time-series classification, which not only trains a neural network-based model but also interprets the model from dual granularity: 1) global overview using representative time series samples, and 2) local highlights using discriminative shapelets. In particular, the generated dual prototypical shapelets consist of representative samples that can mostly demonstrate the overall shapes of all samples in the class and discriminative partial-length shapelets that can be used to distinguish different classes. We have derived 18 few-shot TSC datasets from public benchmark datasets and evaluated the proposed method by comparing with baselines. The DPSN framework outperforms state-of-the-art time-series classification methods, especially when training with limited amounts of data. Several case studies have been given to demonstrate the interpret ability of our model.
Time series forecasting is an extensively studied subject in statistics, economics, and computer science. Exploration of the correlation and causation among the variables in a multivariate time series shows promise in enhancing the performance of a time series model. When using deep neural networks as forecasting models, we hypothesize that exploiting the pairwise information among multiple (multivariate) time series also improves their forecast. If an explicit graph structure is known, graph neural networks (GNNs) have been demonstrated as powerful tools to exploit the structure. In this work, we propose learning the structure simultaneously with the GNN if the graph is unknown. We cast the problem as learning a probabilistic graph model through optimizing the mean performance over the graph distribution. The distribution is parameterized by a neural network so that discrete graphs can be sampled differentiably through reparameterization. Empirical evaluations show that our method is simpler, more efficient, and better performing than a recently proposed bilevel learning approach for graph structure learning, as well as a broad array of forecasting models, either deep or non-deep learning based, and graph or non-graph based.
Probabilistic time series forecasting involves estimating the distribution of future based on its history, which is essential for risk management in downstream decision-making. We propose a deep state space model for probabilistic time series forecasting whereby the non-linear emission model and transition model are parameterized by networks and the dependency is modeled by recurrent neural nets. We take the automatic relevance determination (ARD) view and devise a network to exploit the exogenous variables in addition to time series. In particular, our ARD network can incorporate the uncertainty of the exogenous variables and eventually helps identify useful exogenous variables and suppress those irrelevant for forecasting. The distribution of multi-step ahead forecasts are approximated by Monte Carlo simulation. We show in experiments that our model produces accurate and sharp probabilistic forecasts. The estimated uncertainty of our forecasting also realistically increases over time, in a spontaneous manner.
Cyber-physical system applications such as autonomous vehicles, wearable devices, and avionic systems generate a large volume of time-series data. Designers often look for tools to help classify and categorize the data. Traditional machine learning techniques for time-series data offer several solutions to solve these problems; however, the artifacts trained by these algorithms often lack interpretability. On the other hand, temporal logics, such as Signal Temporal Logic (STL) have been successfully used in the formal methods community as specifications of time-series behaviors. In this work, we propose a new technique to automatically learn temporal logic formulae that are able to cluster and classify real-valued time-series data. Previous work on learning STL formulas from data either assumes a formula-template to be given by the user, or assumes some special fragment of STL that enables exploring the formula structure in a systematic fashion. In our technique, we relax these assumptions, and provide a way to systematically explore the space of all STL formulas. As the space of all STL formulas is very large, and contains many semantically equivalent formulas, we suggest a technique to heuristically prune the space of formulas considered. Finally, we illustrate our technique on various case studies from the automotive, transportation and healthcare domain.
Learning decent representations from unlabeled time-series data with temporal dynamics is a very challenging task. In this paper, we propose an unsupervised Time-Series representation learning framework via Temporal and Contextual Contrasting (TS-TCC), to learn time-series representation from unlabeled data. First, the raw time-series data are transformed into two different yet correlated views by using weak and strong augmentations. Second, we propose a novel temporal contrasting module to learn robust temporal representations by designing a tough cross-view prediction task. Last, to further learn discriminative representations, we propose a contextual contrasting module built upon the contexts from the temporal contrasting module. It attempts to maximize the similarity among different contexts of the same sample while minimizing similarity among contexts of different samples. Experiments have been carried out on three real-world time-series datasets. The results manifest that training a linear classifier on top of the features learned by our proposed TS-TCC performs comparably with the supervised training. Additionally, our proposed TS-TCC shows high efficiency in few-labeled data and transfer learning scenarios. The code is publicly available at https://github.com/emadeldeen24/TS-TCC.
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