Learning the Optimal Stopping for Early Classification within Finite Horizons via Sequential Probability Ratio Test

Akinori F. Ebihara, Taiki Miyagawa, Kazuyuki Sakurai, Hitoshi Imaoka

Keywords: Early Classification of Time Series, Sequential Probability Ratio Test

TL;DR: FIRMBOUND is an SPRT-based early classification framework that provides a statistically consistent and computationally efficient estimator of optimal decision boundaries for time series of finite lengths, tailored for large-scale real-world problems.

Abstract: Time-sensitive machine learning benefits from Sequential Probability Ratio Test (SPRT), which provides an optimal stopping time for early classification of time series. However, in *finite horizon* scenarios, where input lengths are finite, determining the optimal stopping rule becomes computationally intensive due to the need for *backward induction*, limiting practical applicability. We thus introduce FIRMBOUND, an SPRT-based framework that efficiently estimates the solution to backward induction from training data, bridging the gap between optimal stopping theory and real-world deployment. It employs *density ratio estimation* and *convex function learning* to provide statistically consistent estimators for sufficient statistic and conditional expectation, both essential for solving backward induction; consequently, FIRMBOUND minimizes Bayes risk to reach optimality. Additionally, we present a faster alternative using Gaussian process regression, which significantly reduces training time while retaining low deployment overhead, albeit with potential compromise in statistical consistency. Experiments across independent and identically distributed (i.i.d.), non-i.i.d., binary, multiclass, synthetic, and real-world datasets show that FIRMBOUND achieves optimalities in the sense of Bayes risk and speed-accuracy tradeoff. Furthermore, it advances the tradeoff boundary toward optimality when possible and reduces decision-time variance, ensuring reliable decision-making. Code is included in the supplementary materials.

Primary Area: learning on time series and dynamical systems

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Submission Number: 5178