TimeAutoML: Autonomous Representation Learning for Multivariate Irregularly Sampled Time Series

Yang Jiao, Kai Yang, shaoyu dou, pan luo, Sijia Liu, Dongjin Song

Keywords: representation learning, AutoML, irregularly sampled time series, anomaly detection, clustering

Abstract:

Multivariate time series (MTS) data are becoming increasingly ubiquitous in diverse domains, e.g., IoT systems, health informatics, and 5G networks. To obtain an effective representation of MTS data, it is not only essential to consider unpredictable dynamics and highly variable lengths of these data but also important to address the irregularities in the sampling rates of MTS. Existing parametric approaches rely on manual hyperparameter tuning and may cost a huge amount of labor effort. Therefore, it is desirable to learn the representation automatically and efficiently. To this end, we propose an autonomous representation learning approach for multivariate time series (TimeAutoML) with irregular sampling rates and variable lengths. As opposed to previous works, we first present a representation learning pipeline in which the configuration and hyperparameter optimization
are fully automatic and can be tailored for various tasks, e.g., anomaly detection, clustering, etc. Next, a negative sample generation approach and an auxiliary classification task are developed and integrated within TimeAutoML to enhance
its representation capability. Extensive empirical studies on real-world datasets demonstrate that the proposed TimeAutoML outperforms competing approaches on various tasks by a large margin. In fact, it achieves the best anomaly detection
performance among all comparison algorithms on 78 out of all 85 UCR datasets, acquiring up to 20% performance improvement in terms of AUC score.

One-sentence Summary: This paper presents an autonomous representation learning approach for multivariate irregularly sampled time series.

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