Early classification of time series as a non myopic sequential decision making problem

Abstract

Classification of time series as early as possible is a valuable goal. Indeed, in many application domains, the earliest the decision, the more rewarding it can be. Yet, often, gathering more information allows one to get a better decision. The optimization of this time vs. accuracy tradeoff must generally be solved online and is a complex problem. This paper presents a formal criterion that expresses this trade-off in all generality together with a generic sequential meta algorithm to solve it. This meta algorithm is interesting in two ways. First, it pinpoints where choices can (have to) be made to obtain a computable algorithm. As a result a wealth of algorithmic solutions can be found. Second, it seeks online the earliest time in the future where a minimization of the criterion can be expected. It thus goes beyond the classical approaches that myopically decide at each time step whether to make a decision or to postpone the call one more time step. After this general setting has been expounded, we study one simple declination of the meta-algorithm, and we show the results obtained on synthetic and real time series data sets chosen for their ability to test the robustness and properties of the technique. The general approach is vindicated by the experimental results, which allows us to point to promising perspectives.