An evolutionary approach to pattern-based time series segmentation

Fu Lai Korris Chung, Tak Chung Fu, Vincent To Yee Ng, Wing Pong Robert Luk

Research output: Journal article publicationJournal articleAcademic researchpeer-review

107 Citations (Scopus)

Abstract

Time series data, due to their numerical and continuous nature, are difficult to process, analyze, and mine. However, these tasks become easier when the data can be transformed into meaningful symbols. Most recent works on time series only address how to identify a given pattern from a time series and do not consider the problem of identifying a suitable set of time points for segmenting the time series in accordance with a given set of pattern templates (e.g., a set of technical patterns for stock analysis). However, the use of fixed-length segmentation is an oversimplified approach to this problem; hence, a dynamic approach (with high controllability) is preferable so that the time series can be segmented flexibly and effectively according to the needs of the users and the applications. In view of the fact that this segmentation problem is an optimization problem and evolutionary computation is an appropriate tool to solve it, we propose an evolutionary time series segmentation algorithm. This approach allows a sizeable set of pattern templates to be generated for mining or query. In addition, defining similarity between time series (or time series segments) is of fundamental importance in fitness computation. By identifying the perceptually important points directly from the time domain, time series segments and templates of different lengths can be compared and intuitive pattern matching can be carried out in an effective and efficient manner. Encouraging experimental results are reported from tests that segment both artificial time series generated from the combinations of pattern templates and the time series of selected Hong Kong stocks.
Original languageEnglish
Pages (from-to)471-489
Number of pages19
JournalIEEE Transactions on Evolutionary Computation
Volume8
Issue number5
DOIs
Publication statusPublished - 1 Oct 2004

ASJC Scopus subject areas

  • Theoretical Computer Science
  • Software
  • Computational Theory and Mathematics

Cite this