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Dynamic time warping (DTW) distance has been effectively used in mining time series data in a multitude of domains. However, in its original formulation DTW is extremely inefficient in comparing long sparse time series, containing mostly zeros and some unevenly spaced nonzero observations. Original DTW distance does not take advantage of this sparsity, leading to redundant calculations and a prohibitively large computational cost for long time series. We derive a new time warping similarity measure (AWarp) for sparse time series that works on the run-length encoded representation of sparse time series. The complexity of AWarp is quadratic on the number of observations as opposed to the range of time of the time series. Therefore, AWarp can be several orders of magnitude faster than DTW on sparse time series. AWarp is exact for binary-valued time series and a close approximation of the original DTW distance for any-valued series. We discuss useful variants of AWarp: bounded (both upper and lower), constrained, and multidimensional. We show applications of AWarp to three data mining tasks including clustering, classification, and outlier detection, which are otherwise not feasible using classic DTW, while producing equivalent results. Potential areas of application include bot detection, human activity classification, search trend analysis, seismic analysis, and unusual review pattern mining.
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Knowl Inf Syst
DOI 10.1007/s10115-017-1119-0
Speeding up dynamic time warping distance for sparse
time series data
Abdullah Mueen1·Nikan Chavoshi1·Noor Abu-El-Rub1·Hossein Hamooni1·
Amanda Minnich1·Jonathan MacCarthy2
Received: 26 January 2017 / Revised: 6 June 2017 / Accepted: 10 October 2017
© Springer-Verlag London Ltd. 2017
Abstract Dynamic time warping (DTW) distance has been effectively used in mining time
series data in a multitude of domains. However, in its original formulation DTW is extremely
inefficient in comparing long sparse time series, containing mostly zeros and some unevenly
spaced nonzero observations. Original DTW distance does not take advantage of this sparsity,
leading to redundant calculations and a prohibitively large computational cost for long time
series. We derive a new time warping similarity measure (AWarp) for sparse time series that
works on the run-length encoded representation of sparse time series. The complexity of
AWarp is quadratic on the number of observations as opposed to the range of time of the
time series. Therefore, AWarp can be several orders of magnitude faster than DTW on sparse
time series. AWarp is exact for binary-valued time series and a close approximation of the
original DTW distance for any-valued series. We discuss useful variants of AWarp: bounded
(both upper and lower), constrained, and multidimensional. We show applications of AWarp
to three data mining tasks including clustering, classification, and outlier detection, which
are otherwise not feasible using classic DTW, while producing equivalent results. Potential
areas of application include bot detection, human activity classification, search trend analysis,
seismic analysis, and unusual review pattern mining.
Keywords Sparse time series ·Dynamic time warping ·Run-length encoding
1 Introduction
Sparse temporal data are becoming more common with the advancement of active sensing
techniques to monitor discrete events. Consider a motion sensor, which continuously senses
the environment for object movement, and actions (i.e., turn on the light) are only taken
BAbdullah Mueen
1Department of Computer Science, University of New Mexico, Albuquerque, NM, USA
2Los Alamos National Laboratory, Los Alamos, NM, USA
A. Mueen et al.
12:00AM 9:00AM 5:00PM 12:00AM
6758134 2
6 7 5 4 1 3 82
Fig. 1 (Left) Day-long signals generated from the front doors of two single-resident apartments of two users.
(Right) Euclidean distance cannot capture the difference between the two users, while DTW distance can
when there is a change in the environment surrounding the sensor. Thus, intelligent sensors
hide complexities related to signal processing, report a set of related events with precise
time information, and produce sparse time series data. Sparse time series are different from
traditional time series in having arbitrary gaps between real observations. The data mining
community has been developing mining techniques for traditional time series data to dis-
cover patterns [1,2] and their associations with real events. A successful adaptation of these
techniques to sparse time series will create opportunity to mine meaningful patterns from
sparse time series data.
In this paper, we particularly consider time warping (i.e., stretching and squeezing of
time) sensitive pattern mining. Time warping naturally appears in many domains, especially
in the activities of humans and animals. For example, humans can produce the same motion
[3] or speech [4] at a different pace and acceleration and, have the speech or signal be still
recognizable. Time warping is also present in sparse time series. For example, Fig. 1shows
the 24-h time series of the front door statuses of two single-resident apartments. A spike
in the data shows a door-opening event. Most of the time, front doors are closed. Each day
shows a unique schedule of the resident in that apartment. Note the time warping across days.
A simple hierarchical clustering of the data shows that the daily patterns of a person can be
clustered well if we use dynamic time warping (DTW) distance instead of the widely used
Euclidean distance.
DTW is a distance measure that has been used in dozens of research works on mining
equally sampled time series data [5]. However, new sensor technologies (both soft and hard)
can capture a sequence of discrete events that forms a sparse time series (as in Fig. 1). In
its original form, DTW distance does not take advantage of temporal sparsity. For example,
Twitter records discrete activities of more than 300 million users at a resolution of ms.
Comparing the activities of two users for a day at this resolution requires 86,400,0002
arithmetic operations, which is equivalent to more than a day in an off-the-shelf machine.
In contrast, the number of activities performed by average users are on the order of tens
or hundreds. Clearly, the amount of computation required to calculate DTW distance using
existing algorithms is unnecessarily excessive.
We develop a time warping distance measure, AWarp,for sparse time series data that works
on run-length encoded time series. Run-length encoded time series are much shorter than their
Speeding up dynamic time warping distance for sparse time…
versions before encoding; for example, in Fig. 1the run-length encoded time series for the
seventh time series will have only eight numbers, as opposed to 86,400,000 observations for
a day. Thus, AWarp will require around 82arithmetic operations to calculate DTW distance
between two such run-length encoded time series. By just adopting this simple strategy,
we achieved several orders of magnitude speedup in calculating warping distance on sparse
data. We show that AWarp is exact for binary-valued time series and closely approximates the
DTW distance for any-valued time series. AWarp is extensible to constrained warping and
multidimensional warping. We demonstrate applications of AWarp on bot discovery, human
activity classification, search trend analysis, seismic analysis, and unusual review pattern
discovery. We experimentally demonstrate
We give necessary background (Sect. 2) on sparse time series and their various represen-
tations, and on dynamic time warping. Next we describe the core AWarp algorithm and its
variants in Sect. 4. We show performance analysis of the algorithm in Sect. 5and demonstrate
potential applications in Sect. 6. We conclude in Sect. 7.
2 Encoding sparse time series
2.1 Definition
Atime series is defined as a vector T=v1,v
nof observations made at equal
intervals. Most distance measures and mining algorithms are invariant to the absolute start
time and sampling interval of the time series [6,7].
For two series x=x1,x2,...,xnand y=y1,y2,...,ymof length nand m,where
n>mwithout losing generality, the classic dynamic time warping distance is defined as
D(0,0)=0,ijD(i,0)=D(0,j)=∞ (3)
We intentionally skip taking the square root of D(n,m), as it does not change the relative
ordering of pairs and makes it efficient for speedup techniques. A dynamic programming
algorithm to populate the DTW matrix and calculate the DTW distance is well known. An
example DTW matrix for two time series is given in Fig. 2a.
Constrained DTW distance is a variant that limits the allowed time gap between two
aligned observations. In effect, the DTW matrix is populated partially around the diagonal
(readers can find details about DTW in many online resources such as Wikipedia and also in
2.2 Sparse time series and representations
A time series is simply a sequence of observations made in temporal order. The phenomena
that we observe can be continuous or discrete in time. For example, the temperature of a sea
surface at specific point on earth is a continuous phenomenon. In contrast, the activities of a
user on social media are discrete because the user can be inactive at times. When observing
a discrete phenomena, a sparse time series is produced, which is the focus of this work.
A. Mueen et al.
04Inf Inf Inf
3 0 1 1 Inf
Inf 1 0 2 Inf
Inf 1 2 0 1
Inf 2 1 1 0
Inf Inf Inf 20
Inf Inf Inf 2 3
Inf Inf Inf 3 2
1 (4) 1 (4) 1
Constrained DTW
1 0 0 0 0 1 0 0 0 0 1
101 2 3 445 6 7 88
01 0 0 0 0 1 1 1 1 1 2
02 0 0 0 0 1 1 1 1 1 2
030 0 0 011 1 1 12
131 1 1 101 2 2 21
04 1 1 1 1 1 0 0 0 0 1
05 1 1 1 1 2 0 0 0 0 1
061 1 1 120 0 0 01
162 2 2 211 1 1 10
163 3 3 312 2 2 20
07 3 3 3 3 2 1 1 1 1 1
08 3 3 3 3 3 1 1 1 1 2
093 3 3 341 1 1 1 2
194 4 4 432 2 2 21
0 4 4 8 8
3 0 1 1 2
3 1 0 2 1
6 1 2 0 1
6 2 1 1 0
6 3 1 2 0
9 3 4 1 2
9 4 3 2 1
1 (4) 1 (4) 1
(b) (c)
Fig. 2 a Two sparse time series x(red) and y(blue) and their DTW matrix. bThe AWarp matrix for their
encoded versions, Xand Y.cThe AWarp matrix for a constraint window of size 5. The bold faced arrows and
their corresponding alignments show cost accumulations on the warping paths (color figure online)
A sparse time series has many more zero-valued observations than nonzero observations.
We define the sparsity factor,s, of a time series as the ratio between the length of the time
series and the number of nonzero observations. The higher the sparsity factor, the more
sparse a time series is. Representing a sparse time series in the traditional vector format
wastes significant amount of space. For example, the REFIT [8] datasets are stored in this
format. A more optimal way to store sparse time series is as a sequence of time-value pairs.
2.2.1 Time-value sequence
Each observation is stored as a (t,v) pair and a sparse time series is an ordered set Tv=
i)|ti<ti+1,i=1,...,n1}. For example, the CASAS datasets [9] are represented
in this format. This is the most common representation of sparse time series.
Example The time series T=7,0,0,9,6,0,0,0,1can be represented equivalently as
Tv={(1,7), (4,9), (5,6), (9,1)}if the start time is 1.
In this paper, we use a well known compression technique, run-length encoding [10],
to represent sparse time series. We differ from the classic run-length encoding as we only
encode the runs of zeros and leave the runs of nonzero observations as they are.
2.2.2 Length encoded series
Let us assume we have a time series T. A length encoded time series is Tewhere we replace
a run of kzeros in Twith a (k). Here we use the parenthesis to represent the duration of
Example For the same sparse time series, T=7,0,0,9,6,0,0,0,1, the length encoded
series is Te=7,(2), 9,6,(3), 1.
We can also define length encoded series in a rather complex way from the time-value
sequence Tvas Te=v1,(t2t1+1), v2,(t3t2+1),...,v
n1,(tntn1+1), vn.Inother
words, we insert the duration between each pair of observations in between the observations
to create a length encoded series. In the rest of the paper, we use “encoded series” to denote
length encoded series.
Speeding up dynamic time warping distance for sparse time…
Note that a time series of four observations, such as Tv, needs eight integers for storage
in the time-value sequence representation. In traditional representation, Tcould require any
number of integers larger or equal to eight to store the series because the lengths of the runs
of zeros can arbitrarily vary in size. In an encoded series, Teneeds at most eight integers.
Thus, for a fixed sparsity factor, the encoded series require the lowest amount of space.
Our length encoding is different from classic run-length encoding. Consider an example
string WWWWBBBBCWWW. The run-length encoding of the string is W4B4C1W3, where
every run of a symbol is compressed to only two items: symbol and length. Our length
encoding compresses based on a preselected symbol (i.e., zero). In the example string, there
can be two possible encodings: 4BBBBC3 if W is selected and WWWW4CWWW if B is
selected. Classic run-length encoding has higher compression factor, yet we use our length
encoding based on zeros for two reasons: our encoding is more suitable for sparsity related
to absence of observations as opposed to repetitions of observations, and the principle of
speeding up DTW distance by length encoding one symbol can easily be extended to encoding
multiple symbols.
Run-length encoding compresses a run of zeros by the length of the run. There is no
better compression than just one number. In that sense, run-length encoded series are fully
encoded series. We can also define partially encoded series, which will be useful to calculate
multidimensional DTW distance.
2.2.3 Partially encoded series
Given an encoded series Te, a partially encoded series Tpe is an equivalent series where one
or more of the runs of zeros are split into parts.
Example Tpe =7,(2), 9,6,(2), (1), 1is a partially encoded series of Tefrom the previous
example. If we keep splitting the runs of zeros in a partially encoded series, we reach the same
length as the traditional series, with zero being represented by (1)and no more possible splits.
If a time series starts with a run of zeros, we treat the first zero as an observation and encode
the rest of the run. This ensures that an encoded series always starts with an observation,
and not with a run of zeroes. Similarly, we ensure that the series ends with an observation.
Since Teand Tpe are equivalent, their DTW distances to any other series remain identical.
The conversion between the three representations of sparse time series can be performed in
time linear to the length of the time series.
2.3 Motivating example
We now present an example to motivate AWarp. In Fig. 2a, we show two toy time series x
and yof lengths 14 and 11, respectively. The DTW distance between the two time series is
1. The DTW matrix is a 14 ×11 matrix as shown in Fig. 2a. If we encode the time series x
and y, the two time series shrink to X(length 8) and Y(length 5), respectively. The AWarp
matrix calculated on these encoded time series is only of size 8×5 (shown in (b)). The AWarp
distance is the same as the DTW distance, 1. The computation in each boxed sub-matrix of
the DTW matrix is replaced by a one cell in the AWarp matrix. The value in the bottom-right
corner of a sub-matrix is identical to the corresponding cell in the AWarp matrix. Note that a
sub-matrix is not always a constant matrix with identical values. Some of the sub-matrices are
monotonically increasing sequences. To complete the example, we also show the constrained
AWarp matrix for a constraint window of size 5 in Fig. 2c. The constrained warping distance
is always larger than the optimal DTW distance. In this example, the constrained AWarp
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distance is 2, which is exactly the same as the constrained DTW distance under the same
constraint window.
3 Related work
Dynamic time warping is a long-studied algorithm in many research communities, including
signal processing [11], speech recognition [4,12], data mining [13], and image processing
[14]. One of the earliest research on using dynamic time warping to discover patterns in time
series data is by Berndt and Clifford [15]. We adopt warping distance for sparse time series.
Although many human activity datasets are publicly available, warping-invariant mining has
not been applied to sparse time series from generated discrete human activities (to the best
of our knowledge). Our work is the first to exploit sparsity for time efficiency in warping-
invariant mining.
Some works exploit other forms of sparsity in DTW calculations [16,17]. In [16], the
authors reduce space complexity by unfolding only required cells in the DTW matrix by
exploiting local correlation; however, there is no reduction in time complexity. In contrast,
our method reduces both time and space complexity with negligible difference in accuracy.
In [17], the authors have not used the sparsity of the time series or the sparsity of the DTW
matrix, rather sparsity is used when combining features that are independently calculated
without using DTW. We claim our work as the first to calculate warping similarity on an
encoded representation of sparse time series data.
A significant body of research exists on efficient DTW calculation [1820]. In all of these
work, calculation of one global DTW distance has a worst-case time complexity of O(n2),
where nis the length of the time series. AWarp has a worst-case complexity of O(m2),where
mis the number of nonzero observations. This makes a significant difference in performance
for sparse time series.
DTW-based similarity search in streaming or database settings has been made efficient
by indexing [5], hybrid bounding [21], admissible pruning [22], and filter-and-refine [23]
approaches. These approaches are equally applicable for sparse time series and can use
AWarp, instead of DTW, for un-pruned distance comparisons. We leave it as a future work
to adopt these techniques to perform similarity search under AWarp. In [24], the authors
have shown that locally relevant constraints learned from salient features of the comparing
time series are better than a fixed constraint for the entire time series. We will evaluate this
approach on constrained AWarp in future.
4 AWarp distance measure
We start by describing the AWarp algorithm for simple binary-valued series, on which
AWarp exactly matches the classic DTW distance. We will then relax this simplification
by considering the general case of any-valued time series, on which AWarpclosely approx-
imates the DTW distance. Finally, we show the constrained and multidimensional versions
of AWarp.
4.1 Binary-valued series
Algorithm 2is the AWarp distance function for run-length encoded time series. The inputs
to the algorithm are two run-length encoded time series. The algorithm fills in a matrix Dof
Speeding up dynamic time warping distance for sparse time…
a: OBS
b: OBS
a: OBS
b: ROZ
a: ROZ
b: OBS
a: ROZ
b: ROZ
Fig. 3 Twelve cases covered by the Algorithm 1.OBS observation, ROZ run of zeros
size lx×lyin the same way as the DTW algorithm. Here lxand lyare the lengths of the two
encoded series xand y, respectively. The algorithm has two loops in lines 4 and 5 that go
over all the cells of the AWarp matrix. The algorithm calculates three costs for a cell based
on three other cells: (diagonal,left,andtop) relative to the cell being populated. Finally, in
line 9, the algorithm takes the minimum of the costs as per the definition of DTW (see Eq. 1).
While calculating the cost of a pair of values xiand yj, Algorithm 1treats various mutually
exclusive cases differently based on the values of xiand yj(i.e., a real observation or a run
of zeros), and the direction of the cell (i.e., Di1,j1,Di1,jor Di,j1) to which the cost
will be added to. The following facts describe the cases in UBCosts, one by one.
Observation 1 AWarp (Algorithm 2) is identical to DTW for any traditional time series,
although it is designed for encoded series.
It is a trivial observation. If xand yare traditional vectors, there is no run of zeros in x
and yby definition. Therefore, the UBCosts algorithm must always execute the first case in
line 1, which is the squared error between the values, as in the definition of DTW.
Observation 2 AWarp distance of encoded binary-valued series is identical to the DTW
distance of their traditional representations.
Algorithm 1describes the cases we need to treat separately for binary-valued encoded
series. The case in line 1 is the trivial case when both of the inputs aand bare real observations.
The value vis simply the squared error. In line 2, we have one observation (a=1) and one
run of zeros (b). There can be two inner cases: the run of zeros has already been aligned
(left) or it is being aligned for the first time (right or diagonal). If the run of zeros is being
aligned for the first time, we have no choice other than aligning all of the zeros with some
real observation(s). In the case of a binary-valued series, the real observation(s) are always
identical and their values are one, no matter where they are located. Thus the term ba2
aligns the zeros. If the run of zeros has already been aligned to previous value(s) of the real
observation a, we just align awith the last zero of the run, hence the term a2=1. The case in
line 4 is the mirror of the case in line 2. The default case in line 6 is triggered when both aand
bare runs of zeros, which can only result into a distance of zero. In Fig. 3, we show twelve
cases, which are all of the possible cases in binary-valued time series, and we illustrate how
UBCosts calculates the optimal alignment. The solid lines (aligning the red and blue time
series) represent the so-far-alignment, and the dotted lines show the new alignment for which
UBCosts is calculating the cost.
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As shown in Fig. 2, if we take the DTW matrix of the traditional binary-valued time series
and remove the rows and columns corresponding to zeros that are followed by other zeros,
we obtain the matrix calculated by the AWarp algorithm.
Algorithm 1 UBCosts(a,b,c)
Require: aan observation, banother observation, ca case identifier
Ensure: Output the distance value vbetween aand b
1: case: aand bare observations: v(ab)2
2: case: ais an observation and bis a run of zeros:
3: if c=left va2else vba2
4: case: ais a run of zeros and bis an observation:
5: if c=top vb2else vab2
6: case default:v0
7: return v
Algorithm 2 AWarp (x,y)
Require: x,ytwo encoded time series for comparison
Ensure: Output warping distance between xand y
1: lxlength(x), lylength(y)
2: D(0:lx,0:ly)←∞
3: D0,00
4: for i1tolxdo
5: for j1tolydo
6: adDi1,j1+UBCosts(xi,yj,diagonal)
7: alDi,j1+UBCosts(xi,yj,top)
8: atDi1,j+UBCosts(xi,yj,left)
9: Di,jmin(ad,al,at)
10: return Dlx,ly
4.2 Any-valued series
As we have described the exactness of AWarp in case of binary-valued time series, the natural
question is if the exactness holds for any-valued time series. The answer is no.
Observation 3 AWarp on any-valued encoded series approximates the DTW distance
between their traditional representations.
We first discuss why AWarp is not exact for any-valued time series. Although the encoded
representation is not lossy, the optimal alignment, which is similar to classic DTW, is not
possible for any-valued encoded series. This is because run-length encoding treats all zeros
as identical, while an optimal warping alignment may treat zeros in the same run differently.
Example In Fig. 4, two time series x=1,2,3,0,1and y=1,0,0,4,1are shown in
red and blue, respectively. Note that these time series contain various positive observations
as opposed to just one. The optimal DTW aligns the first zero of ywith the first one of xand
the second zero of yis aligned with the two of x. Such a scenario of aligning part of a run
of zeros to one observation and the remaining part of the run to another observation is not
possible in the encoded representation, where we treat all the zeros as one entity. If we encode
Speeding up dynamic time warping distance for sparse time…
Fig. 4 An example demonstrating that optimal alignment in the encoded representation is not possible
xand yand calculate the AWarp distance, the UBCosts function aligns the run of two zeros
of yto the first one of x. Therefore, AWarp accumulates a higher distance than the optimal
DTW and forms an upper-bounding function of the DTW distance measure. Similarly, if in
the UBCosts algorithm, we skipped aligning the run of two zeros of ywith the first one of
x, AWarp would have accumulated a smaller distance than the optimal DTW and formed a
lower-bounding function of the DTW distance.
Algorithm 3 LBCosts(a,b,c)
Require: aan observation, banother observation, ca case identifier
Ensure: Output the distance value vbetween aand b
1: case: aand bare observations: v(ab)2
2: case: ais an observation and bis a run of zeros:
3: if c=top vba2else va2
4: case: ais a run of zeros and bis an observation:
5: if c=left vab2else vb2
6: case default:v0
7: return v
We define the lower-bounding cases in Algorithm 3,wherethetermba2is applied to
only the top case and the term ab2is applied to only the left case. The difference between
the UBCosts and LBCosts is that the diagonal cost in the former is always equal or larger
(ab2or ba2) than the latter (b2or a2). From now on, we will use AWarp_UB and AWarp
interchangeably to refer to Algorithm 2and AWarp_LB to the refer to the same algorithm
where UBCosts are replaced with LBCosts.
At this point, the most important question is: how good are these bounding functions?
To test them, we generate a comprehensive set of synthetic datasets in the following way.
Each dataset has a sparsity factor from the following: 2, 4, 8, 12, 16, 24, 32. Each dataset
is associated with a distribution (uniform, normal, binomial and exponential) to generate
random numbers from. To generate a dataset, we create 1000 pairs of zero vectors of length
128. We insert random values between one and five in the zero vectors at random locations
drawn from the associated distribution. The number of values that are inserted depends on
the associated sparsity factor.
For each pair of time series in a dataset, we calculate the upper bound (i.e., AWarp), the
lower bound as described above, and the DTW distance in the traditional representation.
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Fig. 5 AWarp_LB and AWarp_UB on encoded series with respect to DTW on vector representation. On
average, 90% of the times the upper bound is within 5% of the true distance. Sample time series are shown
We calculate the percentage of exact and approximate matches (up to 5% error) between
the bounds and DTW distances. The results are shown in Fig. 5. AWarp_UB, approximately
90% of the times, is within 5% of the true distance value. The accuracy converges to 100% as
data becomes sparser. These results empirically support that AWarp distance for sparse time
series in the encoded form is almost identical to the DTW distance in the traditional form.
The cup-shapes of the approximate matches in Fig. 5can be explained. For low sparsity
factor, the number and length of the runs of zeros are smaller than that when sparsity factor is
high. Thus, for low sparsity factor, high accuracy is achieved by exploiting the Observation 1.
Although AWarp is not exactly identical to DTW, there is a simple way to test if AWarp
distance is exact. we can calculate Awarp_LB and check if it is equal to AWarp. If they are
the same, the distance must be exactly equal to the DTW distance. Thus, we can validate the
exactness without calculating the expensive DTW distance by just two AWarp calculations on
encoded series, and use AWarp as a preprocessing step ahead of the exact DTW calculation
on sparse data.
4.3 Invariance to partial encoding
As mentioned before, a partially encoded series is a longer version of an encoded series where
a run of zeros can follow another run of zeros. Let us informally define order of partially
encoded series as the number of zeros that have been encoded.
Observation 4 AWarp is invariant to the order of partial encoding.
Let us first give an example. If x=7,(2), 9,6,(3), 1is an encoded series and
x=7,(2), 9,6,(2), (1), 1is a partially encoded series of x, then the above fact ensures
AWa rp ( x,y)=AWarp(x,y). This observation can be easily explained by the UBCosts algo-
rithm, which solely depends on the two values, aand b, and is not impacted by prior or
later values in the series. Since xand xare equivalent series, the distance values must be
Speeding up dynamic time warping distance for sparse time…
20 40 60 80 100 120 140 160 180
Window Size
% of Exact DTW Distances
Percentages of
Exact Distances
Average Error between
AWarp and DTW
Fig. 6 (Left) The exactness of constrained AWarp_LB and AWarp_UB for various windows. (Right) The
error and exactness of partially encoded representation as we split runs of zeros into halves iteratively
identical. Optimality in substructures is a classic property of dynamic programming. This
fact is simply an alternative description of the optimal substructure of the AWarp algorithm
that we will exploit in the multidimensional version.
AWa rp ( x,y) is always closer to the DTW distance on traditional representations than
AWa rp ( x,y), where xand yare partial encodings of xand y, respectively. The reason
is that the more runs of zeros are split, the closer the partial encoding is to the traditional
representation. To test this statement, we define an operation, split, on an encoded series that
splits every run of two or more zeros into half. If we iteratively split an encoded series, the
series is eventually converted to the traditional version. The impact of such iterative splits on
exactness is shown in Fig. 6(right). As we split more, the error decreases and the exactness
4.4 Multidimensional warping
We have so far discussed the one dimensional algorithms for calculating AWarp. We consider
the multidimensional extension of AWarp using approaches similar to those developed for
traditional DTW in [25]. There are three general ways to extend DTW to multidimensional
time series:
Independent: Calculate the individual optimal distances and sum them after normalization
by the path length.
Aggregate: Sum up the individual dimensions into one superposed time series and encode
them to calculate the AWarp distance using Algorithm 2.
Dependent: Calculate the global optimal distance assuming that all of the observations at a
timestamp must be aligned together to the observations of another timestamp.
Extending AWarp to multidimensional-encoded time series is trivial for the independent
scenario. In the aggregate scenario, we sum up the individual dimensions. A simple way to
sum two encoded sparse time series is to convert them to traditional time series, add the series,
and encode them back to obtain the aggregated time series. It is even more simple to aggregate
two time-value sequences. We concatenate the two sequences, sort the concatenated sequence
based on time, and add observations which appear at the same time. The time cost is linear
in both the cases.
In the dependent scenario, it is nontrivial to calculate the global optimal distance. The
recursive step of the dependent version of multidimensional warping distance is given below.
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(Xik Yjk)2+min
The above definition of the multidimensional DTW does not work on encoded series
directly. For example, if a two-dimensional series is (x1,x2)=(1,0,0,1,0,0,0,1,
1,0,0,0,0,1,0,1), then the encoded representation is (x1,x2)=(1,(2), 1,(3),
1,1,(4), 1,(1), 1). Clearly, the locations of real observations are not aligned in x1and
x2. In order to convert them to a workable representation, we partially encode xand yin a
way that runs of zeros always end at an observation in one of the dimensions. For example,
2=(1,(2), 1,(1), (1), (1), 1,1,(2), (1), (1), 1,(1), 1)is an equivalent repre-
sentation of xand ywhere the values are time aligned. On sequences of different lengths,
aligning them requires managing the ends carefully. we provide the Algorithm 4that describes
the alignment process for two run-length encoded sequences corresponding to two dimen-
sions. The algorithm aligns every positive observation with another observation or a zero in
the other dimension. When there are more than two dimensions, the process will be to align
pairs of dimensions until no change is needed.
The AWarp algorithm will need to calculate the sum of UBCosts over all of the dimensions
in lines 8–10 to accommodate the recursion specified above. We skip the details due to lack
of space and will explain in detail in an extended version of this paper. In [25], the authors
have shown that a combination of the dependent and independent algorithms can beat both of
them individually. We will consider such extensions for multidimensional AWarp in future.
Algorithm 4 AlignDimensions(x,y)
Require: x,yrun length encoded dimensions of a multidimensional time series
Ensure: dfx,dfy aligned run length encoded time series
1: while xis not empty or yis not empty do
2: case: xempty
3: while yis not empty do
4: Append (head(y)) to df x if isRun(head(y))
5: Append (1)to dfx if isValue(head(y))
6: case: yempty
7: while xis not empty do
8: Append (head(x)) to dfy if isRun(head (x))
9: Append (1)to dfy if isValue(head(x))
10: case: isValue(head(x)) and isValue(head(y))
11: Append head(x)to df x and Append head(y)to dfy
12: Move to next xand y
13: case: isRun(head(x)) and isValue(head(y))
14: Append (1)to dfx and Append head (y)to dfy
15: Move to next yand set head(x)←−(|head(x)|−1)
16: case: isValue(head(x)) and isRun(head (y))
17: Append head(x)to df x and Append (1)to dfy
18: Move to next xand set head(y)←−(|head (y)|−1)
19: case: isRun(head(x)) and isRun(head (y))
20: mmin(|head(x)|,head (y)|)
21: Append (m)to dfx and dfy
22: if m=|head(x)|then
23: Move to next xand set head(y)←−(|head (y)|−m)
24: else
25: Move to next yand set head(x)←−(|head (x)|−m)
26: return dfy,dfy
Speeding up dynamic time warping distance for sparse time…
4.5 Constrained warping
It is widely accepted that constraining the warping between two time series in a user-given
window not only helps data mining algorithms to run more quickly, but also enforces physical
laws in the matching process [5,12,21]. Figure 2(right) shows an example of a constrained
(Sakoe–Chiba band) AWarp matrix. The constrained AWarp algorithm for encoded time
series is shown in Algorithm 5. This algorithm is identical to Algorithm 2except the lines
6–9. In line 6, the absolute difference between the timestamps of xiand yjis calculated. We
assume that the timestamp of every observation in the encoded series is available to us. It
takes linear time to calculate these absolute timestamps if we know t0, and the overhead is
minimal compared to the overall computational cost.
The condition on line 7 ensures that if txi>tyj+wthen txi1>tyj+wmust be true
to set a cell to infinity. If txi>tyj+wand txi1<tyj+w,thenxiis a run of zeros,
which contains the timestamp tyj+w(boundary of the Sakoe–Chiba band). As mentioned
before, AWarp cannot align a run of zeros in parts, therefore, when a run of zeros contains
the boundary of Sakoe–Chiba band, we extend the band until the next observation after the
run of zeros. This forces us to calculate some extra cells that would have been infinity if we
used the traditional representation. However, constrained AWarp ensures that no cell within
the band is skipped, as Line 7 also checks the mirror case for tyj>txi+w.
In Fig. 6(left), we show the correctness of the AWar p_LB and AWar p_UB algorithms
as we increase constraint window size. We generate a time series of length 200 with 50%
sparsity and normally distributed observations. We calculate 10,000 random distances using
Algorithm 5and check what percentage of the distances match the exact constrained DTW
distance. We find that the accuracy increases as the window grows. AWar p_UB converges
quickly to 100%, while AWarp _LB show some variance. Note that the exactness is always
above 96.5% for AWar p_LB and above 99% for AWa rp _UB.
Algorithm 5 Constrained_AW arp(x,y,w)
Require: xa sequence of timestamps, yanother sequence of timestamps
Ensure: Output warping distance between the two sequences xand y
1: lxlength(x), lylength(y)
2: D(0:lx,0:ly)←∞
3: D0,00
4: for i1tolxdo
5: for j1tolydo
6: gap ←|txityj|
7: if gap >wand
(tyj1txi>wor txi1tyj>w)then
8: Di,j←∞
9: else
10: adDi1,j1+UBCosts(xi,yj,diagonal)
11: alDi,j1+UBCosts(xi,yj,left)
12: atDi1,j+UBCosts(xi,yj,top)
13: Di,jmin(ad,al,at)
14: return Dlx,ly
4.6 Conversion of representation
The best sparse representation for time series data depends on sparsity. Time-value sequence
is space saver if more than half of the sequence contains zeros. Length encoding can save even
A. Mueen et al.
more when the sequence is very sparse. It is clear that conversion between representations is
useful to harvest benefits of various representations. We provide two algorithms to convert the
two common representations (traditional series and sequence of time-value pairs) of sparse
time series into run-length encoded series. The conversion algorithms work in linear time
and linear space. Both of the algorithms are implemented and shared in our project page.1
Algorithm 6 EncodeTimeSeries(x)
Require: xa uniformly-sampled continuous time series
Ensure: Output the run length encoded time series y
1: yempty
2: append the positive prefix of xto y
3: while end of xis not reached do
4: if current value of xis zero then
5: keep track of the run length
6: else
7: append the previous run-length (if any) to y
8: append the current xto y
9: append any trailing run-length to y
10: return y
Algorithm 7 EncodeTimeValueSequence(x)
Require: xa discrete time series of time-value pairs
Ensure: Output the run length encoded time series y
1: ya one
2: append the negative of the first timestamp to y
3: append the value of the first timestamp to y
4: while end of xis not reached do
5: tthe time since the previous timestamp
6: append (t)to y
7: append the current value to y
8: return y
4.7 Normalization of sparse time series
AWarp, as a distance measure, is agnostic to any preprocessing such as normalization. Many
recent articles demonstrate the need for normalization when mining patterns from time series
data to achieve scale and shift invariance [21,2628]. We evaluate the impact of normalization
in sparse time series mining.
A sparse time series contains zeros to represent the absolute absence of a phenomenon,
which serves as a reference for the observations that present. Thus sparsity is inherently
absolute as opposed to being relative to a dynamic baseline. We, therefore, argue that mining
sparse time series should not consider shift invariance.However, the values of the observations
can be in different units (miles, meters, etc.) requiring scale invariance. We, therefore, propose
to normalize (i.e., scale) sparse time series with respect to the absolute maximum value of
the observations.
Speeding up dynamic time warping distance for sparse time…
Tab le 1 Dataset summary Dataset Instances Length Resolution Duration
TA 4170 36,799 1s 1day
AR 3755 1334 1 day Years
HA 1628 288 5 min 1 day
PW 3089 288 5min 1 day
Note that, rescaling does not change the zeros in the sparse time series. This ensures that
normalization can be done in both representations: length encoded series and sequence of
(time-value) pairs in linear scan.
5 Experiments
We validate AWarp empirically on several real datasets, evaluate speed-accuracy trade-off
against a baseline and demonstrate tractability on all-pair comparisons.
5.1 Reproducibility statement
We share everything related to this paper in our supporting webpage [29]. We share code for
AWarp in two languages (C++ and MATLAB), presentation slides, datasets, experimental
results, additional experiments, and additional data.
5.2 Datasets
We use four real datasets from diverse domains to demonstrate the scalability of AWarp.
The datasets are: Twitter user activity time series (TA), app review time series (AR), human
activity time series (HA) and power usage time series (PW). In Table 1, we briefly describe
the datasets. The resolutions of the datasets are very carefully chosen to be relevant for the
respective domains. In human behavioral activity and electric power usage, a resolution of
5 min is reasonable. In online reviewing activity, a resolution of a day is enough. In Twitter
activity time series, a resolution of a second is required because many actions in Twitter only
need mouse clicks (e.g., follow, retweet). Detailed descriptions of the datasets are given in
the subsequent application sections.
5.3 Speedups
We generate 100,000 pairs of sparse time series for various sparsity factors and lengths where
the activities are uniformly distributed. We calculate the average speedup achieved by AWarp
over DTW for these pairs and show the results in Fig. 7.
As data becomes more sparse, speedup increases. As data gets larger, the speedup increases
even more. This is an incredible feature of AWarp that can enable applications of warping
distance to datasets where DTW cannot run on the uncompressed sparse time series.
5.4 Tractability
A valid question at this point is: are the sizes and sparsity factors of real datasets large enough
to require a method like AWarp? We first validate the major motivation of AWarp. We test
A. Mueen et al.
Fig. 7 Speed and accuracy with respect to the sparsity and size of the datasets
Tab le 2 Speedup achieved on
real datasets Dataset s DTW AWarp SpeedUp
TwitterActivity 746 180 h 0.3 h 557×
AppReviews 3 46 h 21 h 2×
HumanActivity 42 907 s 34 s 27×
PowerUsage 28 1170 s 40 s 29×
the speed of AWarp by comparing the running time of AWarp in the encoded representation
with that of DTW in the traditional representation. The gain in speed naturally depends on
the resolution of the time series. The higher the resolution, the more sparse the data becomes
and the more speedup we gain. We use reasonable resolutions for all of our datasets as shown
in Table 1.
We perform all-pair distance calculations on each of the datasets using DTW and AWarp.
All-pair distance calculations is a basic operation for many data mining task including:
hierarchical clustering [30], outlier detection [31], and nearest neighbor classification [32].
We record the speedup and the respective sparsity factors for four real datasets in Table 2.The
sparsity factors in our real datasets are large enough to extract at least 2×, and up to 557×,
speedup. In each of these domains, the data owners (e.g., Twitter, Google Play) have several
orders of magnitude more data than what we use for this experiment. AWarp will be very
useful at that scale for performing many basic data mining tasks under warping similarity.
We describe four such data mining tasks in the next section.
5.5 Comparison with a baseline
As described earlier, the purpose of AWarp is to calculate the warping similarity of sparse time
series much more quickly than the classic dynamic time warping algorithm while retaining
the accuracy of a warping distance measure. There are other methods (e.g., FastDTW) that
achieve the same for arbitrary time series data, as opposed to sparse time series. We compare
AWarp to FastDTW [19] on 1000 pairs of sparse time series for different values of the radius
parameter. We measure total execution times and percentages of exact distances produced
by FastDTW and show the results in Fig. 8. On the same chart, we point to the worst and
median accuracy achieved by AWarp (implemented in MATLAB) and the corresponding
execution time for various sparsity factors. Note that AWarp has no input parameters. Also
note that FastDTW does not vary on sparsity. For completeness, we point to the timings
of two classic DTW implementations. FastDTW (Python) is completely dominated by our
Speeding up dynamic time warping distance for sparse time…
Fig. 8 Speed-accuracy trade-off
for various methods and
implementations. We show a hypothetical 10×accelerated curve for FastDTW, which is also
dominated by our implementations of AWarp and DTW.
Dozens of techniques are available to speedup similarity search [5], subsequence search
[21], and indexing time series [33] data. These techniques are equally applicable to sparse
time series and can benefit from AWarp’s speedup just by replacing DTW with AWarp
when calculating true distances to eliminate false positives. Comparing AWarp, DTW, and
FastDTW in searching or indexing algorithms is out of scope of this work.
6 Data mining applications
AWarp is a distance measure that nearly optimally aligns two discrete time series much more
quickly than DTW aligns them in their traditional representation. However, this work needs
to be justified by showing the utility of this speedup in real data mining tasks. In this section,
we show four cases of important data mining tasks that require time warping and could not
have been performed using time warping distance functions without the speedup provided
by AWarp.
6.1 Bot discovery in Twitter
We evaluate the performance of AWarp for clustering the Twitter activities of thousands of
users. We assemble a dataset of every activity, including tweet, retweet and delete, from
4170 randomly chosen users for a day. We form activity time series for each of the users at
a resolution of seconds (the data is available at ms resolution).
Activity time series can be very useful for finding surprisingly correlated user groups that
are mostly bot operated [34]. To find such correlated user groups, we hierarchically cluster
the users based on their AWarp distances. We use the single linkage technique and a threshold
of 1 to create the clusters.
We find ten clusters that are very dense groups of ten or more users with highly syn-
chronous activities. Several of these clusters can be further merged to form four semantically
coherent clusters. One of the clusters was spreading pornographic content and is now
mostly suspended by Twitter. Another cluster is spreading news, videos, and images about
Selena Gomez (wedselena13,wedselena,wedselena12). The remaining two clus-
ters were spreading identical content in two specific languages: Portuguese (patetamos,
IndiretasMusica, LoucoDeVodka) and Malaysian (elzmn01,_ItSy4mimi,
A. Mueen et al.
Outliers Cluster
50 100 150 200 250 300 350 400
Bot IDs
Bot IDs
Fig. 9 (Left) Time series of a cluster of 35 bots. Each spike is one tweet. Note the warping in time axis.
(Right) Dendrogram of the Twitter accounts using constrained (60s) AWarp. Most of the random users are
outliers and several clusters of bots are formed
Fig. 10 Example of time series motif in bot activities. xaxis is in ms, yaxis shows number of tweets
We show some of the activity time series from the cluster of Portuguese language in
Fig. 9(left). The time series show arbitrary shifts in tweet timestamps because of queuing
delay, transmission delay, tweet registration delay, geographically separated data centers, and
many other reasons. Such unstructured delay between synchronous tweets breaks Euclidean
distance- and lagged Euclidean distance-based methods and prevents this bot group from
being detected and suspended. Since AWarp is two orders of magnitude faster on Twitter
data, we could perform the clustering under warping distance and discover such a cluster.
6.2 Temporal patterns in Bot activities
Twitter bots are very active agents. It is interesting analyze temporal patterns in these bots to
understand their dynamics. With that objective, we select a group of 1500 bots, and collect
100% of their activities in Twitter for five consecutive days. We then perform two temporal
pattern mining algorithms (motif discovery and discord discovery) to identify repeating and
outlying structure in the activities.
Time series motif is a repeating subsequence in a long time series [35]. Motif can be very
simply defined as the most similar pair of subsequence. Motif discovery is an important data
mining tool to identify preserved structure in the underlying dynamics of the data source. We
use our time warping distance measure, AWarp, to extract the most similar repeated segments
for each bot.
In Fig. 10, we show the activity series of the user DSGuarico for 5 days. Visually
there is no periodicity in the activity other than some long pauses. However, the user has
a motif that occurs many times (two occurrences are shown in the Fig. 10). The motif is
simply a sequence of tweets made at about 500 ms interval (exact interval varies). Clearly it
is impossible for a human being to post tweets at this rate even if the tweets are identical.
Speeding up dynamic time warping distance for sparse time…
Fig. 11 Example of discord in bot activities, xaxis is in ms, yaxis shows number of tweets
Upon further investigation, we observe that all of these tweets are copied from the President
of Venezuela, Nicols Maduro. DSGuarico was synchronous with at least fifty other bots
engaged in similar kind of proliferation of political tweets.
Time series discord is the most anomalous subsequence in a long periodic time series
[36]. Discord is defined as the subsequence whose nearest neighbor is the furthest among
other nearest neighbors. A good segment of Twitter bots are periodic. For example The Count
(@countforever), is a harmless bot that just counts periodically. Another example is Red
Swingline (@RedSwingline1), which posts political content periodically. A discord in
such bots is unusual and potentially indicates downtime in bot master. In Fig. 11,weshow
the bot m_and_e_2 that is periodically posting at every 4 s. We discover a discord of 32s
long pause.
Both motifs and discords are computationally expensive tasks requiring quadratic number
of distance computation in the worst-case. A 5-day-long time series at ms resolution contains
4.32 ×108samples in the traditional representation. AWarp on Length encoded sequences
makes it feasible to discover motifs and discords by considering only the timestamps of the
tweets. Note that the motifs and discords described above requires high resolution (s or ms)
data to be discovered as patterns. Aggregated tweet counts over minutes would not require
AWarp, and fail to discover the patterns.
6.3 Pseudo-sparse time series analysis
AWarp is motivated to exploit sparsity. Many real-world time series are not sparse in their
raw forms, while can easily be converted to sparse time series without losing much infor-
mation. For example, seismic recordings are typically stationary having mostly noise and
only infrequent signatures of seismic activities. We can very simply use a cut-off threshold
to increase sparsity of the signal. Thus, AWarp can be applied on the converted sparse times
series to mine patterns in an efficient manner.
We show a simple application of motif discovery in a pseudo-sparse time series. We collect
digital seismic data recorded at a station near Yellowstone, WY (station SM06 of network
ZH). The station is strategically picked with a hope to contain seismic signals of both natural
and human generated activities. In Fig. 12, we show a 10-min long segment of time series. We
convert the time series by reducing observations with absolute value less than 5 ×103.This
conversion preserves all high amplitude data, while allowing a sparsity factor of over seven.
Dynamic time warping (DTW) alignment can produce valuable insights in seismic data, for
example, linking wells to their seismic activities [37,38]. We perform motif discovery on
the compressed seismic signal using AWarp and identify a motif that periodically appears
in a short window of 10s. The constant periodicity of the motif within the window is more
likely to be human generated, although the signal shape does not confirm anything more
specific. Nevertheless, the process of efficiently finding motifs in pseudo-sparse time series
potentially can improve seismic data analysis methodologies.
Reducing low magnitude observations is a relatively straight-forward technique to add
sparsity. Clearly, it works when the expected mean of the time series is zero, as in some
seismic data. When a signal has nonzero mean, we can extend the technique to reduce
A. Mueen et al.
0 50 100 150 200
Aer Conversion to Sparse Series
Fig. 12 Example of a motif discovered in seismograph after conversion to sparse time series
Clustering using AWarp
0 50 100 150 200 250
0 50 100 150 200 250
Aer Removing Negaves
Z-Normalized Google Trends
Fig. 13 Clustering Google trends with AWarp
observations with values in an arbitrary range about the mean. For example, in an extreme
scenario, we can convert all the values less than the mean to zeros. Adding sparsity in such
way can be useful in search engine trend analysis.
In Fig. 13, we show trends of some keywords as search query in Google [39]. Most
trends contain periodicity (i.e., annual, monthly, etc.) or sudden bursts. Ignoring the vast
amount of small observations does not change the periodic or bursty patterns much, while
provides significant performance boost via algorithms such as AWarp. We collect trends for
Speeding up dynamic time warping distance for sparse time…
Fig. 14 Multidimensional power usage data from two households. Each time series is 1 day long at 5min
resolution starting at midnight. There is neither a fixed schedule nor a fixed load to these appliances
Tab le 3 Accuracies of different distance functions
Euclidean DTW DTW_100 AWarp AWarp_100
59.89% 62.71% 78.19% 76.78% 78.50%
Maximum accuracy is bold faced
two groups of keywords related to the holiday season and tax season. The keywords are:
Christmas,Turkey,Gift,Black-Friday,W2,1040,H&R and Tax.Weconvert
the trends to sparse time series by replacing observations lower than the mean with zeros. We
use constrained AWarp with a window size of a month (i.e., 30 days) to perfectly cluster the
trends and show the dendrogram in Fig. 13. Note that the grouping within clusters are also
meaningful: Christmas is more related to Gift than to Black-Friday or Turkey.
Computationally, AWarp has captured the shape of the periodic patterns. Holiday keywords
have single spikes whereas tax keywords have double spikes denoting the start and ending
of the season (Fig. 13).
6.4 Behavioral classification
We evaluate the classification performance of AWarp in a real-world setting. We use two
human activity datasets (HH102 and HH104) from the WSU CASAS repository [9]. Each
dataset is from a single-resident apartment recording the activities (e.g., door open, light on,
etc.) of the resident. The datasets are partially annotated by labeling the beginning and end
of some day-to-day activities, such as toilet, dress, sleep, cook, leave_home, etc. Instead of
using the annotations to classify the activities, we ask an alternate question: can we identify
a person based on the status (e.g., opened or closed) of the front door of his apartment? We
pick the daily time series of the front door of the two apartments for over 2years and create
a balanced two-class classification problem of 1628 instances of daily time series of length
288 (i.e., one observation every 5min). A sample of the dataset is shown in Fig. 1.
We use a 1-NN classifier under Euclidean distance, DTW distance (global and con-
strained), and our proposed AWarp distance (global and constrained). We evaluate the
leave-one-out accuracy for each of these classifiers (see Table 3).
It is interesting to note that there is a big gap between the accuracy of global DTW distance
(62.71%) and the accuracy of the global AWarp distance (78.19%). Although global DTW
finds the optimal alignment between the two series, AWarp penalizes a run of zeros being
aligned with some real observations more than DTW does. The difference goes away when
we use constrained versions of both of the measures with 100-min widows. Because long
runs of zeros are broken into at most 100 min runs, the difference between the global versions
is reduced.
A. Mueen et al.
Tab le 4 Accuracy of different distance functions
Eucl. (%) DTW (%) DTW1h(%) AWarp (%) AWarp1h(%)
DW 79.56 82.16 76.95 83.57 77.15
CW 81.96 87.58 82.77 85.37 81.16
Both 82.16 88.98 85.77 87.58 71.34
CW cloth washer, DW dish washer
Maximum accuracy in each row is bold faced
Irrespective of the difference noted above, a 1-NN classification using AWarp is 26×faster
than the DTW-based classifier. This is a substantial difference for large datasets. We estimate
that if we use all of the fourteen CASAS datasets of single-resident apartments, it would take
50 min to perform these experiments using AWarp, versus 23h using a DTW-based classifier.
6.5 Power usage classification
We also evaluate the performance of AWarp on a dataset of the power usage of appliances
from two different houses. This dataset has been collected from [8]. Instead of considering all
the appliances, we first consider only the power usage of the dishwasher appliance. Typically
a dishwasher consumes more than 2000 watts at regular operation. We discretize the power
usage time series to on–off time series at a resolution of 5min. In total we have 500 days of
on–off time series for the dishwashers. The two classes have 214 and 286 instances of days.
These data are very sparse because dishwashers are not often in use. We consider classifying
households by using their dishwashing pattern (See Figure 14).
We use a 1-NN classifier under Euclidean distance, DTW distance (global and con-
strained), and our proposed AWarp distance (global and constrained). We evaluate the
leave-one-out accuracy for each of these classifiers and report the results in Table 4.
We also evaluate the classification accuracy of the same two houses based on the power
usage of washing machines. We finally evaluate the accuracy considering both of the appli-
ances together using the multidimensional extension of AWarp. In all three cases, global
DTW or AWarp has the highest accuracy compared to constrained DTW, constrained AWarp
and Euclidean distances. Classic DTW on full resolution data is expected to produce the best
accuracy. However, AWarp beats DTW on DishWasher data because of the longer runs of
zeros compared to the ClothWasher data. To perform a leave-one-out cross-validation, DTW
took 4.5 h while AWarp took 9 min with a tiny reduction in accuracy of 1.4%.
6.6 Unusual review pattern discovery
We collect a dataset of app reviews from the Google Play Marketplace. This dataset contains
the review time series for 3755 mobile apps. To form review time series, we collect the
number of reviews an app receives in a day since the beginning of data availability. The time
series are therefore of varying lengths, with an average length of 1334 days.
We perform discord discovery [36] on these data to identify the most anomalous
review time series. The discord is the object in a dataset whose nearest neighbor is the
farthest among all other nearest neighbors. We use AWarp as a distance measure to iden-
tify the discord. We find a pair of apps that are “far” from every other app while they
are reasonably similar to each other. These apps are com.facebook.katana and
com.supercell.clashofclans, which are two of the most popular apps in the Google
Speeding up dynamic time warping distance for sparse time…
Nov 22,2015 Dec 31,2015
Dec 12,2015
Nov 22,2015 Dec 31,2015
Dec 12,2015
Fig. 15 Review time series found as outliers illustrate the capacity hit and subsequent 2days cycle in the data
collection system
Play Marketplace [40]. These apps have received more than 20 million reviews each and they
receive several thousands of reviews every day, which is much greater than the average num-
ber of reviews an app receives in the store.
However, the success of AWarp is not catching the popular apps, which can easily be
found in Wikipedia, but in efficiently identifying anomalous patterns. The patterns that cause
AWarp to detect these two apps as outliers are shown in Fig. 15. These pattern show that the
apps receive thousands of reviews in 1 day and do not receive any on another day, which is
an impossible scenario. The data collection system has a dynamic limit on the number of
reviews it can collect and the system works in a 2-day cycle. If an app is highly popular,
the number of reviews it receives in a day exceeds the dynamic limit. For the two outlier
apps, the limit is exceeded every day and the collection system gets reviews written in 1 day
every 2days, which is why the pattern appears. Thus, the outliers represent the overloaded
scenarios of the data collection system.
7 Conclusion
The goal of our work is to develop a time warping distance measure for sparse time series to
exploit sparsity for efficiency. We develop AWarp, which is orders of magnitude faster than
DTW and calculates a close approximation of DTW, if not a more accurate measure in some
cases, such as in human activity datasets. We show applications of AWarp to four domains
where DTW is unusable and AWarp can produce interesting results. We discover new bot
behavior in Twitter, and we classify human activity much more quickly than with DTW-
based classifiers. In future work, our goal is to use AWarp in large-scale data analysis tasks
in distributed platforms. We will consider utilizing AWarp to discover meaningful patterns
such as motifs [35], discords [41], and shapelets [42] in sparse time series data.
Acknowledgements This work was supported by the NSF CCF Grant No. 1527127 and the NSF Graduate
Research Fellowship under Grant No. DGE-0237002.
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Abdullah Mueen is an Assistant Professor in Computer Science at
University of New Mexico since 2013. Earlier he was a Scientist in
the Cloud and Information Science Laboratory at Microsoft Corpora-
tion. His major interest is in temporal data mining with a focus on
two unique types of signals: social networks and electrical sensors. He
has been actively publishing in the data mining conferences includ-
ing KDD, ICDM and SDM and journals including DMKD and KAIS.
He has received runner-up award in the Doctoral Dissertation Contest
in KDD 2012. He has won the best paper award in the same confer-
ence. Earlier, he earned Ph.D. degree at the University of California
at Riverside and B.Sc. degree at Bangladesh University of Engineering
and Technology.
A. Mueen et al.
Nikan Chavoshi is a Ph.D. candidate at the computer science depart-
ment of the University of New Mexico. Earlier, she got a Master degree
in Software Engineering, and a Bachelor degree in Computer Engi-
neering from Amirkabir University of Technology in Tehran, Iran. Her
research interests are in time series mining and temporal behavior anal-
ysis in social media. She has designed and implemented a bot detection
system called DeBot. She has published in data mining conferences
such as WWW, ICDM, and ASONAM. Nikan also did two internships
at Visa Research Laboratory as a research intern.
Noor Abu-El-Rub is a Ph.D. student in the Computer Science depart-
ment at the University of New Mexico. She received her B.S. and
M.S. degrees in computer science from Jordan University of Science
and Technology. Her Research Interests include Social Networks and
Data Mining. More specifically, her focus is on finding fraudulent and
unusual behaviors for abusing review systems, by applying statistical
analysis and graph mining techniques. She has published articles in
Hossein Hamooni is a research scientist of the data analytics team
at Visa Research in Palo Alto, CA. He received his Ph.D. (with dis-
tinction) in Computer Science from the University of New Mexico.
He also has a Master degree in Computer Networks, and a Bache-
lor degree in Computer Engineering both from Amirkabir University
of Technology (Tehran Polytechnic) in Iran. His research interests are
in distributed knowledge discovery, big data, and time series mining.
During his Ph.D., he worked on scalable distributed systems that can
process very big datasets in real time. He has published several papers
in data mining conferences like ICDM, WWW, and CIKM. He also did
two internships at NEC Labs (Princeton) and Visa Research.
Speeding up dynamic time warping distance for sparse time…
Amanda Minnich received a BA in Integrative Biology from UC
Berkeley and an M.S. and Ph.D. with Distinction in Computer Sci-
ence from the University of New Mexico. Her thesis topic was “Spam,
Fraud, and Bots: Improving the Integrity of Online Social Media Data.”
While at UNM she was named an NSF Graduate Research Fellow, a
PiBBs Fellow, a Grace Hopper Scholar, and the Outstanding Graduate
Student for the C.S. Department in 2017. She has published her work
at top data mining conferences including WWW, ASONAM, ICDM,
and ICWE, and has a patent pending on her dissertation work. Amanda
also has a passion for advocating for women in tech; she co-founded
and served as President of UNM’s first chartered Women in Computing
group, and she frequently volunteers at women in tech events. Amanda
is currently a Research Scientist at Lawrence Livermore National Lab-
oratory, where she applies Machine Learning techniques to biological
data for drug discovery purposes.
Jonathan MacCarthy is a technical staff member at the Los Alamos
National Laboratory. He earned Ph.D. degree in geophysics from New
Mexico Institute of Mining and Technology in 2010. His research inter-
est is in computational and mathematical techniques for seismic data
analysis. He is a member of American Geophysical Union (AGU) and
Seismological Society of America (SSA).
... First, we have a minimal number of variables compared to the more detailed information available from smart card datasets used in larger bus systems. Second, we applied a recent innovation (Mueen et al, 2018) in computing dissimilarity between sparse time series observations, which made our efforts feasible. Our approach demonstrates the viability of clustering techniques for transit agencies that have limited datasets such as the one used here. ...
... where A, B are the multi-dimensional time series, D(A x1 , B y1 ) is the DTW warping distance for dimension 1, and D(A x2 , B y2 ) is the DTW warping distance for dimension 2. However, DTW can be time-consuming and extremely inefficient, especially when applied to long and sparse time series data that contain mostly zeros (Mueen et al, 2018;Hwang and Gelfand, 2018). Thus, we employed the AWarp algorithm, which takes advantage of sparsity in employing a run-length encoding compression method that has been shown to drastically outperform DTW in terms of computation time (Mueen et al, 2018). ...
... where A, B are the multi-dimensional time series, D(A x1 , B y1 ) is the DTW warping distance for dimension 1, and D(A x2 , B y2 ) is the DTW warping distance for dimension 2. However, DTW can be time-consuming and extremely inefficient, especially when applied to long and sparse time series data that contain mostly zeros (Mueen et al, 2018;Hwang and Gelfand, 2018). Thus, we employed the AWarp algorithm, which takes advantage of sparsity in employing a run-length encoding compression method that has been shown to drastically outperform DTW in terms of computation time (Mueen et al, 2018). ...
Full-text available
Understanding passenger trip patterns is crucial to enabling transit agencies plan effectively and equitably, particularly in response to disruptive events. However, current data collection systems either do not collect detailed passenger behaviour or are expensive to implement. In this paper, we exploit the relatively cheap big data collected by a mobile ticketing system to efficiently extract distinctive travel patterns. We employed our methods on a sample of anonymized data from the Pioneer Valley Transit Authority in Massachusetts. First, we applied a greedy approach to infer trip boarding stop locations. Then we computed the multi-dimensional dissimilarity of the passenger activation time series using the AWarp alignment algorithm, which works well with sparse data. Finally, we clustered these spatiotemporal patterns using hierarchical clustering. Our novel method has resulted in four spatiotemporal trip pattern typologies which we analysed based on demographics, hourly and daily distributions, faretypes, trip length and duration, among other metrics. Three of the typologies were associated with regular commuters, differentiated by either boarding time or transfer propensity. The fourth typology was mostly associated with leisure or other activities. Beyond yielding insights and facilitating demand estimation for planners in the study area, we expect that our framework can be readily applied to aid future decision-making efforts in similar study areas with minimal data availability.
... Though the important advantage of the DTW method is its ability to process trajectory vectors of distinct lengths, DTW distance is not robust to noise and requires trajectory points to be continuous. Additionally, DTW distance computation is highly time-consuming and complex due to the necessity to compare distances between each pair of trajectories [23]. Longest Common SubSequence (LCSS) distance matches two trajectories based on the longest common sub-sequence between them. ...
Full-text available
The approach for the detection of vehicle trajectory abnormalities on CCTV video from road intersections was proposed and evaluated. We mainly focused on the trajectory analysis method rather than objects detection and tracking. Two basic challenges have been overcome in the suggested approach—spatial perspective on the image and performance. We used trajectory approximation by polynomials as well as the Ramer-Douglas-Peucker N thinning technique to increase the performance of the trajectory comparison method. Special modification of trajectory similarity metric LCSS was suggested to consider the spatial perspective. We used clustering to discover two types of classes—with normal and abnormal trajectories. The framework, which implements the suggested approach, was developed. A series of experiments were carried out for testing the approach and defining recommendations for using different techniques in the scope of it.
... e experimental results also showed that the hybrid model incorporating the wavelet transform is better than the prediction using a single algorithm [29][30][31][32]. DTW is a kind of elastic measurement for calculating time series similarity [33][34][35]. As DTW can extract morphological features of time series and handle time transformations and distortions, it can be used for pattern representation of stock time series. ...
Full-text available
The "classical pattern"of stock price formation has long been widely used in the determination of future price trends of stocks, and the identification and analysis of classical price patterns have an important guiding role in investors' decision-making and trading. The wavelet transform is a useful tool to remove some of the noise of time series because it has the characteristic of multiresolution. In this study, we propose a method for stock price pattern recognition basedon the wavelet transform and dynamic time warp (DTW). A pattern recognition method with similar quantified results is developed to obtain accurate pattern recognition results. That is, using the wavelet transform to smooth the original price graph, and then using the DTW algorithm improved in this study to find the graph with the smallest distance from the target graph under the sliding windowmethod, the identification and analysis of the target graph can be realized. In order to improve the recognition rate of the target graph, we preprocessed the raw price sequence using the moving average convergence and divergence (MACD) algorithm based on the control experiments set up in this study. The pattern recognition method used in this study will identify the price patterns of a certain time window as a whole, thus avoiding the problem of how to objectively select the important points that constitute a price pattern and the mathematical definition of different price patterns in the previous traditional methods.
Recently, containers have become the primary deployment form for cloud applications. Predicting container workload accurately is critical to ensure the quality of service (QoS) and cost-efficiency of the applications and meet service level agreements (SLAs) with users. However, facing multiple challenges, including model unavailability due to insufficient data, model maladaptation due to dynamic workload changes, and model non-generalization due to changeable workload patterns in container workload prediction, existing methods have not yet provided a united and effective solution. To this end, we propose a novel integrated forecasting model named COIN that combines COmmon and INdividual changes in container workloads to ensure the availability, adaptivity, and generality of the prediction model based on transfer learning and online learning. Besides, we present a container similarity calculation algorithm for real cloud scenarios, which combines the static and dynamic information of containers and comprehensively depicts the similarity between containers. Through experiments based on two public datasets, the COIN model achieves a higher accuracy than existing state-of-the-art solutions, demonstrating the effectiveness and robustness of our proposed model, which provides a new solution to container workload prediction.
We investigate the feasibility of using the dynamic time warping (DTW) technique as an alternative to windowed cross correlation (WCC) for an indirect measure to quantify both the similarity and relationship between two seismic time series. We first examine the sensitivity and performance of the DTW technique by analyzing both synthetic and real seismic time series in geophysical applications. Results show that DTW efficiently retrieves useful information from seismic data and has a high sensitivity to minor variations in time series that WCC fails to detect. We further propose four potential applications of DTW to routine seismic data interpretation—earthquake detection, template matching, clustering of waveforms, and full-waveform inversion for 1D velocity models. The earthquake detection scheme employing DTW is proposed in this study as an alternative to traditional methods. The accuracy of DTW in estimating similarity is explored for template matching and clustering of seismic traces. Finally, we discuss a realistic example of 1D Earth velocity model inversion using DTW and explore its feasibility in full-waveform inversion.
The similarity search on sensor data generated by a myriad of sensing devices is a frequently encountered problem in the era of the Internet of Things (IoT). This sensor data generally appear in the form of time series, a temporally ordered sequence of real numbers obtained regularly in time. It has been widely accepted that the dynamic time warping (DTW) currently is the most prevalent similarity measure in the time-series mining community, mainly due to its flexibility and broad applicability. However, calculating DTW between two time series has quadratic time complexity, leading to unsatisfactory efficiency when performing the similarity search over the large time-series data set. The main contribution of this article is to propose a method called product quantization (PQ)-based DTW (PQDTW) for fast time-series approximate similarity search under DTW. The PQ, a well-known approximate nearest neighbor search approach, is used in PQDTW. Nevertheless, the conventional PQ is developed with the Euclidean distance and is not designed for DTW. To solve this problem, the DTW barycenter averaging (DBA) technique is utilized to adapt the PQ for DTW before using it. We employ PQDTW along with the filter-and-refine framework to efficiently and accurately perform the time-series similarity search. Our method can reasonably reduce many DTW computations in the filtering phase; thus, the query process is accelerated. We compare PQDTW with related popular algorithms using public time-series data sets. Experimental results verify that the proposal achieves the best tradeoff between query efficiency and retrieval accuracy compared to the competitors.
Full-text available
This study provides an application of dynamic time warping algorithm with a new window constraint to assess consumer expectations' information content regarding current and future inflation. Our study's contribution is the novel application of DTW for testing expectations' forward-lookingness. Additionally, we modify the algorithm to adjust it for a specific question on the information content of our data. The DTW overcomes constraints of the standard tool that examines forward-look-ingness: DTW does not impose assumptions on time series properties. In empirical study we cover seven European counties and compare the DTW outcomes with the results of previous studies in these economies using a standard methodology. The research period covers 2001 to mid-2018. Application of DTW provides information on the degree of expectations' forward-lookingness. The result, after standardization , are similar to the standard parameters of hybrid specification of expectations. Moreover, the rankings of most forward-looking consumers are replicated. Our results confirm the economic intuition, and they do not contradict previous studies.
Many time series data mining problems can be solved with repeated use of distance measure. Examples of such tasks include similarity search, clustering, classification, anomaly detection and segmentation. For over two decades it has been known that the Dynamic Time Warping (DTW) distance measure is the best measure to use for most tasks, in most domains. Because the classic DTW algorithm has quadratic time complexity, many ideas have been introduced to reduce its amortized time, or to quickly approximate it. One of the most cited approximate approaches is FastDTW. The FastDTW algorithm has well over a thousand citations and has been explicitly used in several hundred research efforts. In this work, we make a surprising claim. In any realistic data mining application, the approximate FastDTW is much slower than the exact DTW. This fact clearly has implications for the community that uses this algorithm: allowing it to address much larger datasets, get exact results, and do so in less time.
Conference Paper
Full-text available
We develop a warped correlation finder to identify correlated user accounts in social media websites such as Twitter. The key observation is that humans cannot be highly synchronous for a long duration; thus, highly synchronous user accounts are most likely bots. Existing bot detection methods are mostly supervised, which requires a large amount of labeled data to train, and do not consider cross-user features. In contrast, our bot detection system works on activity correlation without requiring labeled data. We develop a novel lag-sensitive hashing technique to cluster user accounts into correlated sets in near real-time. Our method, named DeBot, detects thousands of bots per day with a 94% precision and generates reports online everyday. In September 2016, DeBot has accumulated about 544,868 unique bots in the previous one year. We compare our detection technique with per-user techniques and with Twitter’s suspension system. We observe that some bots can avoid Twitter’s suspension mechanism and remain active for months, and, more alarmingly, we show that DeBot detects bots at a rate higher than the rate Twitter is suspending them.
Conference Paper
Full-text available
The ability to make predictions about future events is at the heart of much of science; so, it is not surprising that prediction has been a topic of great interest in the data mining community for the last decade. Most of the previous work has attempted to predict the future based on the current value of a stream. However, for many problems the actual values are irrelevant, whereas the shape of the current time series pattern may foretell the future. The handful of research efforts that consider this variant of the problem have met with limited success. In particular, it is now understood that most of these efforts allow the discovery of spurious rules. We believe the reason why rule discovery in real-valued time series has failed thus far is because most efforts have more or less indiscriminately applied the ideas of symbolic stream rule discovery to real-valued rule discovery. In this work, we show why these ideas are not directly suitable for rule discovery in time series. Beyond our novel definitions/representations, which allow for meaningful and extendable specifications of rules, we further show novel algorithms that allow us to quickly discover high quality rules in very large datasets that accurately predict the occurrence of future events.
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Given the ubiquity of time series data, the data mining community has spent significant time investigating the best time series similarity measure to use for various tasks and domains. After more than a decade of extensive efforts, there is increasing evidence that Dynamic Time Warping (DTW) is very difficult to beat. Given that, recent efforts have focused on making the intrinsically slow DTW algorithm faster. For the similarity-search task, an important subroutine in many data mining algorithms, significant progress has been made by replacing the vast majority of expensive DTW calculations with cheap-to-compute lower bound calculations. However, these lower bound based optimizations do not directly apply to clustering, and thus for some realistic problems, clustering with DTW can take days or weeks. In this work, we show that we can mitigate this untenable lethargy by casting DTW clustering as an anytime algorithm. At the heart of our algorithm is a novel data-adaptive approximation to DTW which can be quickly computed, and which produces approximations to DTW that are much better than the best currently known linear-time approximations. We demonstrate our ideas on real world problems showing that we can get virtually all the accuracy of a batch DTW clustering algorithm in a fraction of the time. Keywords DTW, Clustering, Anytime Algorithm. Copyright
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Time series motifs are repeated patterns in long and noisy time series. Motifs are typically used to understand the dynamics of the source because repeated patterns with high similarity evidentially rule out the presence of noise. Recently, time series motifs have also been used for clustering, summarization, rule discovery and compression as features. For all such purposes, many high-quality motifs of various lengths are desirable and thus originate the problem of enumerating motifs for a wide range of lengths. Existing algorithms find motifs for a given length. A trivial way to enumerate motifs is to run one of the algorithms for the whole range of lengths. However, such parameter sweep is computationally infeasible for large real datasets. In this paper, we describe an exact algorithm, called (Formula presented.), to enumerate motifs. The algorithm is an order of magnitude faster than the naive algorithm. The algorithm frees us from re-discovering the same motif at different lengths and tuning multiple data-dependent parameters. The speedup comes from using a novel bound on the similarity function across lengths and the algorithm uses only linear space unlike other motif discovery algorithms. We also describe an approximate extension of MOEN algorithm that is faster and suitable for larger datasets. We describe five case studies in entomology, sensor fusion, power consumption monitoring and activity recognition where (Formula presented.) enumerates several high-quality motifs.
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Phonemes are the smallest units of sound produced by a human being. Automatic classification of phonemes is a well-researched topic in linguistics due to its potential for robust speech recognition. With the recent advancement of phonetic segmentation algorithms, it is now possible to generate datasets of millions of phonemes automatically. Phoneme classification on such datasets is a challenging data mining task because of the large number of classes (over a hundred) and complexities of the existing methods. In this paper, we introduce the phoneme classification problem as a data mining task. We propose a dual-domain (time and frequency) hierarchical classification algorithm. Our method uses a Dynamic Time Warping (DTW) based classifier in the top layers and time-frequency features in the lower layer. We cross-validate our method on phonemes from three online dictionaries and achieved up to 35% improvement in classification compared to existing techniques. We provide case studies on classifying accented phonemes and speaker invariant phoneme classification.
In the last decade, Dynamic Time Warping (DTW) has emerged as the distance measure of choice for virtually all time series data mining applications. This is the result of significant progress in improving DTW's efficiency, and multiple empirical studies showing that DTW-based classifiers at least equal the accuracy of all their rivals across dozens of datasets. Thus far, most of the research has considered only the one-dimensional case, with practitioners generalizing to the multi-dimensional case in one of two ways. In general, it appears the community believes either that the two ways are equivalent, or that the choice is irrelevant. In this work, we show that this is not the case. The two most commonly used multidimensional DTW methods can produce different classifications, and neither one dominates over the other. This seems to suggest that one should learn the best method for a particular application. However, we will show that this is not necessary; a simple, principled rule can be used on a case-by-case basis to predict which of the two methods we should give credence to. Our method allows us to ensure that classification results are at least as accurate as the better of the two rival methods, and in many cases, our method is strictly more accurate. We demonstrate our ideas with the most extensive set of multi-dimensional time series classification experiments ever attempted.
Conference Paper
Clustering time series is a useful operation in its own right, and an important subroutine in many higher-level data mining analyses, including data editing for classifiers, summarization, and outlier detection. While it has been noted that the general superiority of Dynamic Time Warping (DTW) over Euclidean Distance for similarity search diminishes as we consider ever larger datasets, as we shall show, the same is not true for clustering. Thus, clustering time series under DTW remains a computationally challenging task. In this work, we address this lethargy in two ways. We propose a novel pruning strategy that exploits both upper and lower bounds to prune off a large fraction of the expensive distance calculations. This pruning strategy is admissible; giving us provably identical results to the brute force algorithm, but is at least an order of magnitude faster. For datasets where even this level of speedup is inadequate, we show that we can use a simple heuristic to order the unavoidable calculations in a most-useful-first ordering, thus casting the clustering as an anytime algorithm. We demonstrate the utility of our ideas with both single and multidimensional case studies in the domains of astronomy, speech physiology, medicine and entomology.