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Learning a Mahalanobis Distance-Based Dynamic Time Warping Measure for Multivariate Time Series Classification

2015; Institute of Electrical and Electronics Engineers; Volume: 46; Issue: 6 Linguagem: Inglês

10.1109/tcyb.2015.2426723

2168-2275

Jiangyuan Mei, Meizhu Liu, Yuan-Fang Wang, Huijun Gao,

Anomaly Detection Techniques and Applications

Multivariate time series (MTS) datasets broadly exist in numerous fields, including health care, multimedia, finance, and biometrics. How to classify MTS accurately has become a hot research topic since it is an important element in many computer vision and pattern recognition applications. In this paper, we propose a Mahalanobis distance-based dynamic time warping (DTW) measure for MTS classification. The Mahalanobis distance builds an accurate relationship between each variable and its corresponding category. It is utilized to calculate the local distance between vectors in MTS. Then we use DTW to align those MTS which are out of synchronization or with different lengths. After that, how to learn an accurate Mahalanobis distance function becomes another key problem. This paper establishes a LogDet divergence-based metric learning with triplet constraint model which can learn Mahalanobis matrix with high precision and robustness. Furthermore, the proposed method is applied on nine MTS datasets selected from the University of California, Irvine machine learning repository and Robert T. Olszewski's homepage, and the results demonstrate the improved performance of the proposed approach.