Gaussian Model-Based Fully Convolutional Networks for Multivariate Time Series Classification

Abstract

Multivariate time series (MTS) classification has been regarded as one of the most challenging problems in data mining due to the difficulty in modeling the correlation of variables and samples. In addition, high-dimensional MTS modeling has a large time and space consumption. This paper proposes a novel method, Gaussian Model-based Fully Convolutional Networks (GM-FCN), to improve the performance of high-dimensional MTS classification. Each original MTS is converted into multivariate Gaussian model parameters as the input of FCN. These parameters effectively capture the correlation be-tween MTS variables and significantly reduce the data scale by aligning an MTS size to its dimension. FCN is designed to learn more in-depth features of MTS based on these parameters for modeling the correlation between samples. Thus, GM-FCN can not only model the correlation between variables, but also the correlation between samples. We compare GM-FCN with nine state-of-the-art MTS classification methods, INN-ED, INN-DTW-i, INN-DTW-D, KLD-GMC, MLP, ResNet, Encoder, MCNN, and MCDCNN, on four high-dimensional public datasets, experimen-tal results show that the accuracy of G M - FCN is significantly superior to the others. Besides, the training time of GM-FCN is dozens of times faster than FCN using the original equal-length MTS data as input.