Junyang Gao – Matrix Profile I: All Pairs Similarity Joins for Time Series: A Unifying View that Includes Motifs, Discords and Shapelets

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Date(s) - 04/10/2017
3:30 pm - 4:30 pm



The all-pairs-similarity-search (or similarity join) problem has been extensively studied for text and a handful of other datatypes. However, surprisingly little progress has been made on similarity joins for time series subsequences. The lack of progress probably stems from the daunting nature of the problem. For even modest sized datasets the obvious nested-loop algorithm can take months, and the typical speed-up techniques in this domain (i.e., indexing, lower-bounding, triangularinequality pruning and early abandoning) at best produce one or two orders of magnitude speedup. In this work we introduce a novel scalable algorithm for time series subsequence all-pairssimilarity-search. For exceptionally large datasets, the algorithm can be trivially cast as an anytime algorithm and produce highquality approximate solutions in reasonable time. The exact similarity join algorithm computes the answer to the time series motif and time series discord problem as a side-effect, and our algorithm incidentally provides the fastest known algorithm for both these extensively-studied problems. We demonstrate the utility of our ideas for many time series data mining problems, including motif discovery, novelty discovery, shapelet discovery, semantic segmentation, density estimation, and contrast set mining.

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