Tag Archives: Time Series Analysis

A new framework for fitting jump models

Alberto Bemporad, Valentina Breschi, Dario Piga, Stephen P. Boyd, Fitting jump models, Automatica, Volume 96, 2018, Pages 11-21, DOI: 10.1016/j.automatica.2018.06.022.

We describe a new framework for fitting jump models to a sequence of data. The key idea is to alternate between minimizing a loss function to fit multiple model parameters, and minimizing a discrete loss function to determine which set of model parameters is active at each data point. The framework is quite general and encompasses popular classes of models, such as hidden Markov models and piecewise affine models. The shape of the chosen loss functions to minimize determines the shape of the resulting jump model.

Interpreting time series patterns through reasoning

T. Teijeiro, P. Félix, On the adoption of abductive reasoning for time series interpretation, Artificial Intelligence, Volume 262, 2018, Pages 163-188, DOI: 10.1016/j.artint.2018.06.005.

Time series interpretation aims to provide an explanation of what is observed in terms of its underlying processes. The present work is based on the assumption that the common classification-based approaches to time series interpretation suffer from a set of inherent weaknesses, whose ultimate cause lies in the monotonic nature of the deductive reasoning paradigm. In this document we propose a new approach to this problem, based on the initial hypothesis that abductive reasoning properly accounts for the human ability to identify and characterize the patterns appearing in a time series. The result of this interpretation is a set of conjectures in the form of observations, organized into an abstraction hierarchy and explaining what has been observed. A knowledge-based framework and a set of algorithms for the interpretation task are provided, implementing a hypothesize-and-test cycle guided by an attentional mechanism. As a representative application domain, interpretation of the electrocardiogram allows us to highlight the strengths of the proposed approach in comparison with traditional classification-based approaches.

Detecting anomalies in sequences of data by first modeling the data and then distinguishing non-usual information based on that model

K. Gokcesu and S. S. Kozat, Online Anomaly Detection With Minimax Optimal Density Estimation in Nonstationary Environments, IEEE Transactions on Signal Processing, vol. 66, no. 5, pp. 1213-1227, DOI: 10.1109/TSP.2017.2784390.

We introduce a truly online anomaly detection algorithm that sequentially processes data to detect anomalies in time series. In anomaly detection, while the anomalous data are arbitrary, the normal data have similarities and generally conforms to a particular model. However, the particular model that generates the normal data is generally unknown (even nonstationary) and needs to be learned sequentially. Therefore, a two stage approach is needed, where in the first stage, we construct a probability density function to model the normal data in the time series. Then, in the second stage, we threshold the density estimation of the newly observed data to detect anomalies. We approach this problem from an information theoretic perspective and propose minimax optimal schemes for both stages to create an optimal anomaly detection algorithm in a strong deterministic sense. To this end, for the first stage, we introduce a completely online density estimation algorithm that is minimax optimal with respect to the log-loss and achieves Merhav’s lower bound for general nonstationary exponential-family of distributions without any assumptions on the observation sequence. For the second stage, we propose a threshold selection scheme that is minimax optimal (with logarithmic performance bounds) against the best threshold chosen in hindsight with respect to the surrogate logistic loss. Apart from the regret bounds, through synthetic and real life experiments, we demonstrate substantial performance gains with respect to the state-of-the-art density estimation based anomaly detection algorithms in the literature.

Abstracting and representing tasks performed under Learning from Demonstration, using bayesian non-parametric time-series analysis (good review of both LfD and HMMs for time-series)

Scott Niekum, Sarah Osentoski, George Konidaris, Sachin Chitta, Bhaskara Marthi, Andrew G. Barto (2015), Learning grounded finite-state representations from unstructured demonstrations, The International Journal of Robotics Research, vol. 34, pp. 131-157. DOI: 10.1177/0278364914554471

Robots exhibit flexible behavior largely in proportion to their degree of knowledge about the world. Such knowledge is often meticulously hand-coded for a narrow class of tasks, limiting the scope of possible robot competencies. Thus, the primary limiting factor of robot capabilities is often not the physical attributes of the robot, but the limited time and skill of expert programmers. One way to deal with the vast number of situations and environments that robots face outside the laboratory is to provide users with simple methods for programming robots that do not require the skill of an expert. For this reason, learning from demonstration (LfD) has become a popular alternative to traditional robot programming methods, aiming to provide a natural mechanism for quickly teaching robots. By simply showing a robot how to perform a task, users can easily demonstrate new tasks as needed, without any special knowledge about the robot. Unfortunately, LfD often yields little knowledge about the world, and thus lacks robust generalization capabilities, especially for complex, multi-step tasks. We present a series of algorithms that draw from recent advances in Bayesian non-parametric statistics and control theory to automatically detect and leverage repeated structure at multiple levels of abstraction in demonstration data. The discovery of repeated structure provides critical insights into task invariants, features of importance, high-level task structure, and appropriate skills for the task. This culminates in the discovery of a finite-state representation of the task, composed of grounded skills that are flexible and reusable, providing robust generalization and transfer in complex, multi-step robotic tasks. These algorithms are tested and evaluated using a PR2 mobile manipulator, showing success on several complex real-world tasks, such as furniture assembly.