Warping Resilient Time Series Embeddings

Time series are ubiquitous in real world problems and computing distance between two time series is often required in several learning tasks. Computing similarity between time series by ignoring variations in speed or warping is often encountered and dynamic time warping (DTW) is the state of the art. However DTW is not applicable in algorithms which require kernel or vectors. In this paper, we propose a mechanism named WaRTEm to generate vector embeddings of time series such that distance measures in the embedding space exhibit resilience to warping. Therefore, WaRTEm is more widely applicable than DTW. WaRTEm is based on a twin auto-encoder architecture and a training strategy involving warping operators for generating warping resilient embeddings for time series datasets. We evaluate the performance of WaRTEm and observed more than $20\%$ improvement over DTW in multiple real-world datasets.