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Register a new userTS2Vec: Towards Universal Representation of Time Series
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Zhihan Yue
Publication date
2021
fields
Informatics Engineering
and research's language is
English
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This paper presents TS2Vec, a universal framework for learning representations of time series in an arbitrary semantic level. Unlike existing methods, TS2Vec performs contrastive learning in a hierarchical way over augmented context views, which enables a robust contextual representation for each timestamp. Furthermore, to obtain the representation of an arbitrary sub-sequence in the time series, we can apply a simple aggregation over the representations of corresponding timestamps. We conduct extensive experiments on time series classification tasks to evaluate the quality of time series representations. As a result, TS2Vec achieves significant improvement over existing SOTAs of unsupervised time series representation on 125 UCR datasets and 29 UEA datasets. The learned timestamp-level representations also achieve superior results in time series forecasting and anomaly detection tasks. A linear regression trained on top of the learned representations outperforms previous SOTAs of time series forecasting. Furthermore, we present a simple way to apply the learned representations for unsupervised anomaly detection, which establishes SOTA results in the literature. The source code is publicly available at https://github.com/yuezhihan/ts2vec.
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In recent years, proposed studies on time-series anomaly detection (TAD) report high F1 scores on benchmark TAD datasets, giving the impression of clear improvements. However, most studies apply a peculiar evaluation protocol called point adjustment (PA) before scoring. In this paper, we theoretically and experimentally reveal that the PA protocol has a great possibility of overestimating the detection performance; that is, even a random anomaly score can easily turn into a state-of-the-art TAD method. Therefore, the comparison of TAD methods with F1 scores after the PA protocol can lead to misguided rankings. Furthermore, we question the potential of existing TAD methods by showing that an untrained model obtains comparable detection performance to the existing methods even without PA. Based on our findings, we propose a new baseline and an evaluation protocol. We expect that our study will help a rigorous evaluation of TAD and lead to further improvement in future researches.
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.
Multivariate time series (MTS) data are becoming increasingly ubiquitous in diverse domains, e.g., IoT systems, health informatics, and 5G networks. To obtain an effective representation of MTS data, it is not only essential to consider unpredictable dynamics and highly variable lengths of these data but also important to address the irregularities in the sampling rates of MTS. Existing parametric approaches rely on manual hyperparameter tuning and may cost a huge amount of labor effort. Therefore, it is desirable to learn the representation automatically and efficiently. To this end, we propose an autonomous representation learning approach for multivariate time series (TimeAutoML) with irregular sampling rates and variable lengths. As opposed to previous works, we first present a representation learning pipeline in which the configuration and hyperparameter optimization are fully automatic and can be tailored for various tasks, e.g., anomaly detection, clustering, etc. Next, a negative sample generation approach and an auxiliary classification task are developed and integrated within TimeAutoML to enhance its representation capability. Extensive empirical studies on real-world datasets demonstrate that the proposed TimeAutoML outperforms competing approaches on various tasks by a large margin. In fact, it achieves the best anomaly detection performance among all comparison algorithms on 78 out of all 85 UCR datasets, acquiring up to 20% performance improvement in terms of AUC score.
Getting a robust time-series clustering with best choice of distance measure and appropriate representation is always a challenge. We propose a novel mechanism to identify the clusters combining learned compact representation of time-series, Auto Encoded Compact Sequence (AECS) and hierarchical clustering approach. Proposed algorithm aims to address the large computing time issue of hierarchical clustering as learned latent representation AECS has a length much less than the original length of time-series and at the same time want to enhance its performance.Our algorithm exploits Recurrent Neural Network (RNN) based under complete Sequence to Sequence(seq2seq) autoencoder and agglomerative hierarchical clustering with a choice of best distance measure to recommend the best clustering. Our scheme selects the best distance measure and corresponding clustering for both univariate and multivariate time-series. We have experimented with real-world time-series from UCR and UCI archive taken from diverse application domains like health, smart-city, manufacturing etc. Experimental results show that proposed method not only produce close to benchmark results but also in some cases outperform the benchmark.
Graph Neural Network (GNN) aggregates the neighborhood of each node into the node embedding and shows its powerful capability for graph representation learning. However, most existing GNN variants aggregate the neighborhood information in a fixed non-injective fashion, which may map different graphs or nodes to the same embedding, reducing the model expressiveness. We present a theoretical framework to design a continuous injective set function for neighborhood aggregation in GNN. Using the framework, we propose expressive GNN that aggregates the neighborhood of each node with a continuous injective set function, so that a GNN layer maps similar nodes with similar neighborhoods to similar embeddings, different nodes to different embeddings and the equivalent nodes or isomorphic graphs to the same embeddings. Moreover, the proposed expressive GNN can naturally learn expressive representations for graphs with continuous node attributes. We validate the proposed expressive GNN (ExpGNN) for graph classification on multiple benchmark datasets including simple graphs and attributed graphs. The experimental results demonstrate that our model achieves state-of-the-art performances on most of the benchmarks.
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