Anticipatory DTW for efficient similarity search in time series databases

Authors:
Ira Assent;Marc Wichterich;Ralph Krieger;Hardy Kremer;Thomas Seidl
Affiliations:
Aalborg University, Denmark;RWTH Aachen University, Germany;RWTH Aachen University, Germany;RWTH Aachen University, Germany;RWTH Aachen University, Germany
Venue:
Proceedings of the VLDB Endowment
Year:
2009

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Abstract

Time series arise in many different applications in the form of sensor data, stocks data, videos, and other time-related information. Analysis of this data typically requires searching for similar time series in a database. Dynamic Time Warping (DTW) is a widely used high-quality distance measure for time series. As DTW is computationally expensive, efficient algorithms for fast computation are crucial. In this paper, we propose a novel filter-and-refine DTW algorithm called Anticipatory DTW. Existing algorithms aim at efficiently finding similar time series by filtering the database and computing the DTW in the refinement step. Unlike these algorithms, our approach exploits previously unused information from the filter step during the refinement, allowing for faster rejection of false candidates. We characterize a class of applicable filters for our approach, which comprises state-of-the-art lower bounds of the DTW. Our novel anticipatory pruning incurs hardly any over-head and no false dismissals. We demonstrate substantial efficiency improvements in thorough experiments on synthetic and real world time series databases and show that our technique is highly scalable to multivariate, long time series and wide DTW bands.