Methods for variable-length time series

This page lists machine learning methods in tslearn that are able to deal with datasets containing time series of different lengths. We also provide example usage for these methods using the following variable-length time series dataset:

from tslearn.utils import to_time_series_dataset
X = to_time_series_dataset([[1, 2, 3, 4], [1, 2, 3], [2, 5, 6, 7, 8, 9]])
y = [0, 0, 1]

Classification

Examples

from tslearn.neighbors import KNeighborsTimeSeriesClassifier
knn = KNeighborsTimeSeriesClassifier(n_neighbors=2)
knn.fit(X, y)
from tslearn.svm import TimeSeriesSVC
clf = TimeSeriesSVC(C=1.0, kernel="gak")
clf.fit(X, y)
from tslearn.shapelets import LearningShapelets
clf = LearningShapelets(n_shapelets_per_size={3: 1})
clf.fit(X, y)

Regression

Examples

from tslearn.svm import TimeSeriesSVR
clf = TimeSeriesSVR(C=1.0, kernel="gak")
y_reg = [1.3, 5.2, -12.2]
clf.fit(X, y_reg)

Clustering

Examples

from tslearn.clustering import KernelKMeans
gak_km = KernelKMeans(n_clusters=2, kernel="gak")
labels_gak = gak_km.fit_predict(X)
from tslearn.clustering import TimeSeriesKMeans
km = TimeSeriesKMeans(n_clusters=2, metric="dtw")
labels = km.fit_predict(X)
km_bis = TimeSeriesKMeans(n_clusters=2, metric="softdtw")
labels_bis = km_bis.fit_predict(X)
from tslearn.clustering import TimeSeriesKMeans, silhouette_score
km = TimeSeriesKMeans(n_clusters=2, metric="dtw")
labels = km.fit_predict(X)
silhouette_score(X, labels, metric="dtw")

Barycenter computation

Examples

from tslearn.barycenters import dtw_barycenter_averaging
bar = dtw_barycenter_averaging(X, barycenter_size=3)
from tslearn.barycenters import softdtw_barycenter
from tslearn.utils import ts_zeros
initial_barycenter = ts_zeros(sz=5)
bar = softdtw_barycenter(X, init=initial_barycenter)

Model selection

Also, model selection tools offered by scikit-learn can be used on variable-length data, in a standard way, such as:

from sklearn.model_selection import KFold, GridSearchCV
from tslearn.neighbors import KNeighborsTimeSeriesClassifier

knn = KNeighborsTimeSeriesClassifier(metric="dtw")
p_grid = {"n_neighbors": [1, 5]}

cv = KFold(n_splits=2, shuffle=True, random_state=0)
clf = GridSearchCV(estimator=knn, param_grid=p_grid, cv=cv)
clf.fit(X, y)

Resampling

Finally, if you want to use a method that cannot run on variable-length time series, one option would be to first resample your data so that all your time series have the same length and then run your method on this resampled version of your dataset.

Note however that resampling will introduce temporal distortions in your data. Use with great care!

from tslearn.preprocessing import TimeSeriesResampler

resampled_X = TimeSeriesResampler(sz=X.shape[1]).fit_transform(X)