GENDIS: GENetic DIscovery of Shapelets

Abstract: In the time series classification domain, shapelets are small time series that are discriminative for a certain class. It has been shown that classifiers are able to achieve state-of-the-art results on a plethora of datasets by taking as input distances from the input time series to different discriminative shapelets. Additionally, these shapelets can easily be visualized and thus possess an interpretable characteristic, making them very appealing in critical domains, such as the health care domain, where longitudinal data is ubiquitous. In this study, a new paradigm for shapelet discovery is proposed, which is based upon evolutionary computation. The advantages of the proposed approach are that (i) it is gradient-free, which could allow to escape from local optima more easily and to find suited candidates more easily and supports non-differentiable objectives, (ii) no brute-force search is required, which drastically reduces the computational complexity by several orders of magnitude, (iii) the total amount of shapelets and length of each of these shapelets are evolved jointly with the shapelets themselves, alleviating the need to specify this beforehand, (iv) entire sets are evaluated at once as opposed to single shapelets, which results in smaller final sets with less similar shapelets that result in similar predictive performances, and (v) discovered shapelets do not need to be a subsequence of the input time series. We present the results of experiments which validate the enumerated advantages.