Amercing: An Intuitive, Elegant and Effective Constraint for Dynamic Time Warping

Abstract: Dynamic Time Warping (DTW), and its constrained (CDTW) and weighted (WDTW) variants, are time series distances with a wide range of applications. They minimize the cost of non-linear alignments between series. CDTW and WDTW have been introduced because DTW is too permissive in its alignments. However, CDTW uses a crude step function, allowing unconstrained flexibility within the window, and none beyond it. WDTW's multiplicative weight is relative to the distances between aligned points along a warped path, rather than being a direct function of the amount of warping that is introduced. In this paper, we introduce Amerced Dynamic Time Warping (ADTW), a new, intuitive, DTW variant that penalizes the act of warping by a fixed additive cost. Like CDTW and WDTW, ADTW constrains the amount of warping. However, it avoids both abrupt discontinuities in the amount of warping allowed and the limitations of a multiplicative penalty. We formally introduce ADTW, prove some of its properties, and discuss its parameterization. We show on a simple example how it can be parameterized to achieve an intuitive outcome, and demonstrate its usefulness on a standard time series classification benchmark. We provide a demonstration application in C++.