Cost-Aware Early Classification of Time Series
In time series classification, two antagonist notions are at stake. On the one hand, in most cases, the sooner the time series is classified, the more rewarding. On the other hand, an early classification is more likely to be erroneous. Most of the early classification methods have been designed to take a decision as soon as sufficient level of reliability is reached. However, in many applications, delaying the decision with no guarantee that the reliability threshold will be met in the future can be costly. Recently, a framework dedicated to optimizing a trade-off between classification accuracy and the cost of delaying the decision was proposed, together with an algorithm that decides online the optimal time instant to classify an incoming time series. On top of this framework, we build in this paper two different early classification algorithms that optimize a trade-off between decision accuracy and the cost of delaying the decision. These algorithms are non-myopic in the sense that, even when classification is delayed, they can provide an estimate of when the optimal classification time is likely to occur. Our experiments on real datasets demonstrate that the proposed approaches are more robust than existing methods. The data and software related to this paper are available at https://github.com/rtavenar/CostAware_ECTS.
KeywordsTime-series classification Early classification
This work has been partly funded by ANR project ASTERIX (ANR-13-JS02- 0005-01) and CNES-TOSCA project VEGIDAR. Authors would like to thank Antoine Cornuéjols for his insight on the state-of-the-art, as well as data donors.
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