Rock the KASBA: blazingly fast and accurate time series clustering
摘要
Time series data has become increasingly prevalent across numerous domains, driving a growing demand for time series machine learning techniques. Among these, time series clustering (TSCL) stands out as one of the most popular machine learning tasks. TSCL serves as a powerful exploratory analysis tool and is also employed as a preprocessing step or subroutine for various tasks, including anomaly detection, segmentation, and classification. The most popular TSCL algorithms are either fast (in terms of runtime) but perform poorly on benchmark problems, or perform well on benchmarks but scale poorly. We present a new TSCL algorithm, the k-means (K) Accelerated (A) Stochastic subgradient (S) Barycentre (B) Average (A) (KASBA) clustering algorithm. KASBA is a k-means clustering algorithm that uses the Move-Split-Merge (MSM) elastic distance at all stages of clustering, applies a randomised stochastic subgradient descent to find barycentre centroids, links each stage of clustering to accelerate convergence and exploits the metric property of MSM distance to avoid a large proportion of distance calculations. It is a versatile and scalable clusterer designed for real-world TSCL applications. It allows practitioners to balance runtime and clustering performance when similarity is best measured by an elastic distance. We demonstrate through extensive experimentation that KASBA matches the current shape based state of the art clusterers and offers orders of magnitude improvement in runtime over the most performant elastic distance based k-means alternatives.