Combining discrete SVM and fixed cardinality warping distances for multivariate time series classification

  • Authors:
  • C. Orsenigo;C. Vercellis

  • Affiliations:
  • Dipartimento di Ingegneria Gestionale, Politecnico di Milano, Via Lambruschini 4b, 20156 Milano, Italy;Dipartimento di Ingegneria Gestionale, Politecnico di Milano, Via Lambruschini 4b, 20156 Milano, Italy

  • Venue:
  • Pattern Recognition
  • Year:
  • 2010

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Abstract

Time series classification is a supervised learning problem aimed at labeling temporally structured multivariate sequences of variable length. The most common approach reduces time series classification to a static problem by suitably transforming the set of multivariate input sequences into a rectangular table composed by a fixed number of columns. Then, one of the alternative efficient methods for classification is applied for predicting the class of new temporal sequences. In this paper, we propose a new classification method, based on a temporal extension of discrete support vector machines, that benefits from the notions of warping distance and softened variable margin. Furthermore, in order to transform a temporal dataset into a rectangular shape, we also develop a new method based on fixed cardinality warping distances. Computational tests performed on both benchmark and real marketing temporal datasets indicate the effectiveness of the proposed method in comparison to other techniques.