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Article Dans Une Revue IEEE Access Année : 2020

Time Adaptive Optimal Transport: A Framework of Time Series Similarity Measure

Zheng Zhang
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Ping Tang
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Résumé

Similarity measure is a critical tool for time series analysis. However, currently established methods, for instance, dynamic time warping (DTW) and its variants, are still facing some issues such as non-maximum-to-maximum alignment and pathological alignment, etc. Despite many attempts to improve, these issues remain stubborn because they are directly caused by the intrinsic mechanism of DTW. Thinking out of the context of DTW based methods, we propose in this paper a new time series similarity measure framework which we call Time Adaptive Optimal Transport (TAOT). As its name implies, TAOT is based on optimal transport, a powerful distance measure for histograms and probability distributions, and TAOT inherits several promising properties from optimal transport to tackle the problems of classic DTW based methods. We make optimal transport capable of handling time series data by considering both observed values and their corresponding time coordinates simultaneously. TAOT can generate a many-to-many alignment between time series that further releases the search space for a more correct result. Experimental results show that TAOT can outperform other widely used similarity measures on classification tasks on multiple datasets. We also introduce the parameter extracting and visualization strategies of TAOT in this paper.
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Dates et versions

hal-03045373 , version 1 (14-12-2020)

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Zheng Zhang, Ping Tang, Thomas Corpetti. Time Adaptive Optimal Transport: A Framework of Time Series Similarity Measure. IEEE Access, 2020, 8 (24), pp.149764-149774. ⟨10.1109/ACCESS.2020.3016529⟩. ⟨hal-03045373⟩
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