Discriminative, Generative and Self-Supervised Approaches for Target-Agnostic Learning

Supervised learning, characterized by both discriminative and generative learning, seeks to predict the values of single (or sometimes multiple) predefined target attributes based on a predefined set of predictor attributes. For applications where the information available and predictions to be made may vary from instance to instance, we propose the task of target-agnostic learning where arbitrary disjoint sets of attributes can be used for each of predictors and targets for each to-be-predicted instance. For this task, we survey a wide range of techniques available for handling missing values, self-supervised training and pseudo-likelihood training, and adapt them to a suite of algorithms that are suitable for the task. We conduct extensive experiments on this suite of algorithms on a large collection of categorical, continuous and discretized datasets, and report their performance in terms of both classification and regression errors. We also report the training and prediction time of these algorithms when handling large-scale datasets. Both generative and self-supervised learning models are shown to perform well at the task, although their characteristics towards the different types of data are quite different. Nevertheless, our derived theorem for the pseudo-likelihood theory also shows that they are related for inferring a joint distribution model based on the pseudo-likelihood training.

A Strong Baseline for Weekly Time Series Forecasting

Many businesses and industries require accurate forecasts for weekly time series nowadays. The forecasting literature however does not currently provide easy-to-use, automatic, reproducible and accurate approaches dedicated to this task. We propose a forecasting method that can be used as a strong baseline in this domain, leveraging state-of-the-art forecasting techniques, forecast combination, and global modelling. Our approach uses four base forecasting models specifically suitable for forecasting weekly data: a global Recurrent Neural Network model, Theta, Trigonometric Box-Cox ARMA Trend Seasonal (TBATS), and Dynamic Harmonic Regression ARIMA (DHR-ARIMA). Those are then optimally combined using a lasso regression stacking approach. We evaluate the performance of our method against a set of state-of-the-art weekly forecasting models on six datasets. Across four evaluation metrics, we show that our method consistently outperforms the benchmark methods by a considerable margin with statistical significance. In particular, our model can produce the most accurate forecasts, in terms of mean sMAPE, for the M4 weekly dataset.

Early Abandoning PrunedDTW and its application to similarity search

The Dynamic Time Warping ("DTW") distance is widely used in time series analysis, be it for classification, clustering or similarity search. However, its quadratic time complexity prevents it from scaling. Strategies, based on early abandoning DTW or skipping its computation altogether thanks to lower bounds, have been developed for certain use cases such as nearest neighbour search. But vectorization and approximation aside, no advance was made on DTW itself until recently with the introduction of PrunedDTW. This algorithm, able to prune unpromising alignments, was later fitted with early abandoning. We present a new version of PrunedDTW, "EAPrunedDTW", designed with early abandon in mind from the start, and able to early abandon faster than before. We show that EAPrunedDTW significantly improves the computation time of similarity search in the UCR Suite, and renders lower bounds dispensable.

Time Series Regression

This paper introduces Time Series Regression (TSR): a little-studied task of which the aim is to learn the relationship between a time series and a continuous target variable. In contrast to time series classification (TSC), which predicts a categorical class label, TSR predicts a numerical value. This task generalizes forecasting, relaxing the requirement that the value predicted be a future value of the input series or primarily depend on more recent values. In this paper, we motivate and introduce this task, and benchmark possible solutions to tackling it on a novel archive of 19 TSR datasets which we have assembled. Our results show that the state-of-the-art TSC model Rocket, when adapted for regression, performs the best overall compared to other TSC models and state-of-the-art machine learning (ML) models such as XGBoost, Random Forest and Support Vector Regression.More importantly, we show that much research is needed in this field to improve the accuracy of ML models.

Monash University, UEA, UCR Time Series Regression Archive

Time series research has gathered lots of interests in the last decade, especially for Time Series Classification (TSC) and Time Series Forecasting (TSF). Research in TSC has greatly benefited from the University of California Riverside and University of East Anglia (UCR/UEA) Time Series Archives. On the other hand, the advancement in Time Series Forecasting relies on time series forecasting competitions such as the Makridakis competitions, NN3 and NN5 Neural Network competitions, and a few Kaggle competitions. Each year, thousands of papers proposing new algorithms for TSC and TSF have utilized these benchmarking archives. These algorithms are designed for these specific problems, but may not be useful for tasks such as predicting the heart rate of a person using photoplethysmogram (PPG) and accelerometer data. We refer to this problem as Time Series Regression (TSR), where we are interested in a more general methodology of predicting a single continuous value, from univariate or multivariate time series. This prediction can be from the same time series or not directly related to the predictor time series and does not necessarily need to be a future value or depend heavily on recent values. To the best of our knowledge, research into TSR has received much less attention in the time series research community and there are no models developed for general time series regression problems. Most models are developed for a specific problem. Therefore, we aim to motivate and support the research into TSR by introducing the first TSR benchmarking archive. This archive contains 19 datasets from different domains, with varying number of dimensions, unequal length dimensions, and missing values. In this paper, we introduce the datasets in this archive and did an initial benchmark on existing models.

A Bayesian-inspired, deep learning, semi-supervised domain adaptation technique for land cover mapping

Land cover maps are a vital input variable to many types of environmental research and management. While they can be produced automatically by machine learning techniques, these techniques require substantial training data to achieve high levels of accuracy, which are not always available. One technique researchers use when labelled training data are scarce is domain adaptation (DA) -- where data from an alternate region, known as the source domain, are used to train a classifier and this model is adapted to map the study region, or target domain. The scenario we address in this paper is known as semi-supervised DA, where some labelled samples are available in the target domain. In this paper we present Sourcerer, a Bayesian-inspired, deep learning-based, semi-supervised DA technique for producing land cover maps from SITS data. The technique takes a convolutional neural network trained on a source domain and then trains further on the available target domain with a novel regularizer applied to the model weights. The regularizer adjusts the degree to which the model is modified to fit the target data, limiting the degree of change when the target data are few in number and increasing it as target data quantity increases. Our experiments on Sentinel-2 time series images compare Sourcerer with two state-of-the-art semi-supervised domain adaptation techniques and four baseline models. We show that on two different source-target domain pairings Sourcerer outperforms all other methods for any quantity of labelled target data available. In fact, the results on the more difficult target domain show that the starting accuracy of Sourcerer (when no labelled target data are available), 74.2%, is greater than the next-best state-of-the-art method trained on 20,000 labelled target instances.

ROCKET: Exceptionally fast and accurate time series classification using random convolutional kernels

Most methods for time series classification that attain state-of-the-art accuracy have high computational complexity, requiring significant training time even for smaller datasets, and are intractable for larger datasets. Additionally, many existing methods focus on a single type of feature such as shape or frequency. Building on the recent success of convolutional neural networks for time series classification, we show that simple linear classifiers using random convolutional kernels achieve state-of-the-art accuracy with a fraction of the computational expense of existing methods.

Time series classification for varying length series

Research into time series classification has tended to focus on the case of series of uniform length. However, it is common for real-world time series data to have unequal lengths. Differing time series lengths may arise from a number of fundamentally different mechanisms. In this work, we identify and evaluate two classes of such mechanisms -- variations in sampling rate relative to the relevant signal and variations between the start and end points of one time series relative to one another. We investigate how time series generated by each of these classes of mechanism are best addressed for time series classification. We perform extensive experiments and provide practical recommendations on how variations in length should be handled in time series classification.

InceptionTime: Finding AlexNet for Time Series Classification

Time series classification (TSC) is the area of machine learning interested in learning how to assign labels to time series. The last few decades of work in this area have led to significant progress in the accuracy of classifiers, with the state of the art now represented by the HIVE-COTE algorithm. While extremely accurate, HIVE-COTE is infeasible to use in many applications because of its very high training time complexity in O(N^2*T^4) for a dataset with N time series of length T. For example, it takes HIVE-COTE more than 72,000s to learn from a small dataset with N=700 time series of short length T=46. Deep learning, on the other hand, has now received enormous attention because of its high scalability and state-of-the-art accuracy in computer vision and natural language processing tasks. Deep learning for TSC has only very recently started to be explored, with the first few architectures developed over the last 3 years only. The accuracy of deep learning for TSC has been raised to a competitive level, but has not quite reached the level of HIVE-COTE. This is what this paper achieves: outperforming HIVE-COTE's accuracy together with scalability. We take an important step towards finding the AlexNet network for TSC by presenting InceptionTime---an ensemble of deep Convolutional Neural Network (CNN) models, inspired by the Inception-v4 architecture. Our experiments show that InceptionTime slightly outperforms HIVE-COTE with a win/draw/loss on the UCR archive of 40/6/39. Not only is InceptionTime more accurate, but it is much faster: InceptionTime learns from that same dataset with 700 time series in 2,300s but can also learn from a dataset with 8M time series in 13 hours, a quantity of data that is fully out of reach of HIVE-COTE.

TS-CHIEF: A Scalable and Accurate Forest Algorithm for Time Series Classification

Time Series Classification (TSC) has seen enormous progress over the last two decades. HIVE-COTE (Hierarchical Vote Collective of Transformation-based Ensembles) is the current state of the art in terms of classification accuracy. HIVE-COTE recognizes that time series are a specific data type for which the traditional attribute-value representation, used predominantly in machine learning, fails to provide a relevant representation. HIVE-COTE combines multiple types of classifiers: each extracting information about a specific aspect of a time series, be it in the time domain, frequency domain or summarization of intervals within the series. However, HIVE-COTE (and its predecessor, FLAT-COTE) is often infeasible to run on even modest amounts of data. For instance, training HIVE-COTE on a dataset with only 1,500 time series can require 8 days of CPU time. It has polynomial runtime w.r.t training set size, so this problem compounds as data quantity increases. We propose a novel TSC algorithm, TS-CHIEF, which is highly competitive to HIVE-COTE in accuracy, but requires only a fraction of the runtime. TS-CHIEF constructs an ensemble classifier that integrates the most effective embeddings of time series that research has developed in the last decade. It uses tree-structured classifiers to do so efficiently. We assess TS-CHIEF on 85 datasets of the UCR archive, where it achieves state-of-the-art accuracy with scalability and efficiency. We demonstrate that TS-CHIEF can be trained on 130k time series in 2 days, a data quantity that is beyond the reach of any TSC algorithm with comparable accuracy.