提出可微的上下文感知时间序列对齐方法,提升分类聚类效果。
Soft-MSM: Differentiable Context-Aware Elastic Alignment for Time Series

- 用平滑门控替代原算法的分段惩罚,实现可微
- 在112个UCR数据集上聚类和分类性能优于Soft-DTW
- 适合需要梯度优化的时间序列建模任务
弹性距离如动态时间规整(DTW)在时间序列机器学习中至关重要,因其能处理局部时间偏移。Soft-DTW通过将动态规划中的硬最小值替换为平滑近似,实现了基于梯度的损失函数。然而,该方法无法直接推广到依赖局部对齐上下文的弹性距离。移动-分割-合并(MSM)即为一例:其使用上下文感知的分割与合并惩罚,在分类与聚类等任务中常优于DTW。本文提出Soft-MSM,一种MSM的平滑松弛形式,支持上下文感知的转移代价的可微对齐损失。核心是构建了MSM分段分裂/合并代价的平滑门控代理,使梯度可通过动态规划递推及局部转移结构传播。本文推导了前向递推、反向递推、软对齐矩阵、闭式梯度、极限行为及去偏形式。在112个UCR数据集上的实验表明,Soft-MSM在MSM重心损失上优于现有方法,并显著提升聚类与最近中心点分类性能。代码已开源,集成于aeon工具包。
原文摘要 · Abstract (English)
Elastic distances like dynamic time warping (DTW) are central to time series machine learning because they compare sequences under local temporal misalignment. Soft-DTW is an adaptation of DTW that can be used as a gradient-based loss by replacing the hard minimum in its dynamic-programming recursion with a smooth relaxation. However, this approach does not directly extend to elastic distances whose transition costs depend on the local alignment context. Move-Split-Merge (MSM) is one such distance: it uses context-aware split and merge penalties and has often outperformed DTW in supervised and unsupervised time series machine learning tasks such as classification and clustering. We introduce Soft-MSM, a smooth relaxation of MSM and an elastic alignment loss with context-aware transition costs. Central to the formulation is a smooth gated surrogate for MSM's piecewise split/merge cost, which enables gradients through both the dynamic-programming recursion and the local transition structure. We derive the forward recursion, backward recursion, soft alignment matrix, closed-form gradient, limiting behaviour, and divergence-corrected formulation. Experiments on 112 UCR datasets show that Soft-MSM gives lower MSM barycentre loss than existing MSM barycentre methods, and yields significantly better clustering and nearest-centroid classification performance than Soft-DTW-based alternatives. An implementation is available in the open-source \texttt{aeon} toolkit.
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