Fast mining of a network of coevolving time series

Yongjie Cai, Hanghang Tong, Wei Fan, Ping Ji

Research output: Chapter in Book/Report/Conference proceedingConference contribution

17 Scopus citations

Abstract

Coevolving multiple time series are ubiquitous and naturally appear in a variety of high-impact applications, ranging from environmental monitoring, computer network traffic monitoring, motion capture, to physiological signal in health care and many more. In many scenarios, the multiple time series data is often accompanied by some contextual information in the form of networks. In this paper, we refer to such multiple time series, together with its embedded network as a network of coevolving time series. In order to unveil the underlying patterns of a network of coevolving time series, we propose DCMF, a dynamic contextual matrix factorization algorithm. The key idea is to find the latent factor representation of the input time series and that of its embedded network simultaneously. Our experimental results on several real datasets demonstrate that our method (1) outperforms its competitors, especially when there are lots of missing values; and (2) enjoys a linear scalability w.r.t. the length of time series.

Original languageEnglish (US)
Title of host publicationSIAM International Conference on Data Mining 2015, SDM 2015
EditorsSuresh Venkatasubramanian, Jieping Ye
PublisherSociety for Industrial and Applied Mathematics Publications
Pages298-306
Number of pages9
ISBN (Electronic)9781510811522
DOIs
StatePublished - Jan 1 2015
EventSIAM International Conference on Data Mining 2015, SDM 2015 - Vancouver, Canada
Duration: Apr 30 2015May 2 2015

Publication series

NameSIAM International Conference on Data Mining 2015, SDM 2015

Other

OtherSIAM International Conference on Data Mining 2015, SDM 2015
CountryCanada
CityVancouver
Period4/30/155/2/15

ASJC Scopus subject areas

  • Computational Theory and Mathematics
  • Computer Vision and Pattern Recognition
  • Software

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  • Cite this

    Cai, Y., Tong, H., Fan, W., & Ji, P. (2015). Fast mining of a network of coevolving time series. In S. Venkatasubramanian, & J. Ye (Eds.), SIAM International Conference on Data Mining 2015, SDM 2015 (pp. 298-306). (SIAM International Conference on Data Mining 2015, SDM 2015). Society for Industrial and Applied Mathematics Publications. https://doi.org/10.1137/1.9781611974010.34