论文标题

timeautoml:多元不规则采样时间序列的自主表示学习

TimeAutoML: Autonomous Representation Learning for Multivariate Irregularly Sampled Time Series

论文作者

Jiao, Yang, Yang, Kai, Dou, Shaoyu, Luo, Pan, Liu, Sijia, Song, Dongjin

论文摘要

多元时间序列(MTS)数据在不同的域,例如物联网系统,健康信息学和5G网络中变得越来越无处不在。为了获得MTS数据的有效表示,不仅要考虑这些数据的不可预测的动态和高度可变的长度,而且对于解决MTS采样率的不规则性也很重要。现有的参数方法取决于手动超参数调整,可能会花费大量的劳动力。因此,希望自动有效地学习表示形式。为此,我们为多元时间序列(Timeautoml)提出了一种自主表示学习方法,其采样率和可变长度。与以前的作品相比,我们首先提出了一条表示管道,其中配置和超参数优化是完全自动的,可以针对各种任务进行量身定制,例如,例如异常检测,聚类等。接下来,负面样本生成方法和辅助分类任务是开发并集成在时间内的,以增强其表示能力。对现实世界数据集的广泛实证研究表明,所提出的timeautoml大量优于各种任务的竞争方法。实际上,它在所有85个UCR数据集中的78个比较算法中达到了最佳的异常检测性能,就AUC分数而言,可获得高达20%的性能提高。

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.

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