Exploit every cycle: Vectorized time series algorithms on modern commodity CPUs

Abstract

Many time series algorithms reduce the computation cost by pruning unpromising candidates with lower-bound distance functions. In this paper, we focus on an orthogonal research direction that further boosts the performance by unlocking the potentials of modern commodity CPUs. First, we conduct a performance profiling on existing algorithms to understand where does time go. Second, we design vectorized implementations for lower-bound and distance functions that can enjoy characteristics (e.g., data parallelism, caching, branch prediction) provided by CPU. Third, our vectorized methods are general and applicable to many time series problems such as subsequence search, motif discovery and kNN classification. Our experimental study on real datasets shows that our proposal can achieve up to 6 times of speedup.