Exploring multiprocessor approaches to time series analysis

Abstract

Time series analysis is a key technique for extracting and predicting events in domains as diverse as epidemiology, genomics, neuroscience, environmental sciences, economics, etc. Matrix Profile, a state-of-the-art algorithm to perform time series analysis, finds out the most similar and dissimilar subsequences in a time series in deterministic time and it is exact. Matrix Profile has low arithmetic intensity and it operates on large amounts of time series data, which can be an issue in terms of memory requirements. On the other hand, Hardware Transactional Memory (HTM) is an alternative optimistic synchronization method that executes transactions speculatively in parallel while keeping track of memory accesses to detect and resolve conflicts.

This work evaluates one of the best implementations of Matrix Profile exploring multiple multiprocessor variants and proposing new implementations that consider a variety of synchronization methods (HTM, locks, barriers), as well as algorithm organizations. We analyze these variants using real datasets, both short and large, in terms of speedup and memory requirements, the latter being a major issue when dealing with very large time series. The experimental evaluation shows that our proposals can achieve up to 100× speedup over the sequential algorithm for 128 threads, and up to 3× over the baseline, while keeping memory requirements low and even independent of the number of threads.