TS2Vec

This repository contains the official implementation for the paper TS2Vec: Towards Universal Representation of Time Series (AAAI-22).

Requirements

The recommended requirements for TS2Vec are specified as follows:

• Python 3.8
• torch==1.8.1
• scipy==1.6.1
• numpy==1.19.2
• pandas==1.0.1
• scikit_learn==0.24.2
• statsmodels==0.12.2
• Bottleneck==1.3.2

The dependencies can be installed by:

pip install -r requirements.txt

Data

The datasets can be obtained and put into datasets/ folder in the following way:

• 128 UCR datasets should be put into datasets/UCR/ so that each data file can be located by datasets/UCR/<dataset_name>/<dataset_name>_*.csv.
• 30 UEA datasets should be put into datasets/UEA/ so that each data file can be located by datasets/UEA/<dataset_name>/<dataset_name>_*.arff.
• 3 ETT datasets should be placed at datasets/ETTh1.csv, datasets/ETTh2.csv and datasets/ETTm1.csv.
• Electricity dataset should be preprocessed using datasets/preprocess_electricity.py and placed at datasets/electricity.csv.
• Yahoo dataset should be preprocessed using datasets/preprocess_yahoo.py and placed at datasets/yahoo.pkl.
• KPI dataset should be preprocessed using datasets/preprocess_kpi.py and placed at datasets/kpi.pkl.

Usage

To train and evaluate TS2Vec on a dataset, run the following command:

python train.py <dataset_name> <run_name> --loader <loader> --batch-size <batch_size> --repr-dims <repr_dims> --gpu <gpu> --eval

The detailed descriptions about the arguments are as following: | Parameter name | Description of parameter | | --- | --- | | dataset_name | The dataset name | | run_name | The folder name used to save model, output and evaluation metrics. This can be set to any word | | loader | The data loader used to load the experimental data. This can be set to UCR, UEA, forecast_csv, forecast_csv_univar, anomaly, or anomaly_coldstart | | batch_size | The batch size (defaults to 8) | | repr_dims | The representation dimensions (defaults to 320) | | gpu | The gpu no. used for training and inference (defaults to 0) | | eval | Whether to perform evaluation after training |

(For descriptions of more arguments, run python train.py -h.)

After training and evaluation, the trained encoder, output and evaluation metrics can be found in training/DatasetName__RunName_Date_Time/.

Scripts: The scripts for reproduction are provided in scripts/ folder.

Code Example

from ts2vec import TS2Vec
import datautils

# Load the ECG200 dataset from UCR archive
train_data, train_labels, test_data, test_labels = datautils.load_UCR('ECG200')
# (Both train_data and test_data have a shape of n_instances x n_timestamps x n_features)

# Train a TS2Vec model
model = TS2Vec(
    input_dims=1,
    device=0,
    output_dims=320
)
loss_log = model.fit(
    train_data,
    verbose=True
)

# Compute timestamp-level representations for test set
test_repr = model.encode(test_data)  # n_instances x n_timestamps x output_dims

# Compute instance-level representations for test set
test_repr = model.encode(test_data, encoding_window='full_series')  # n_instances x output_dims

# Sliding inference for test set
test_repr = model.encode(
    test_data,
    causal=True,
    sliding_length=1,
    sliding_padding=50
)  # n_instances x n_timestamps x output_dims
# (The timestamp t's representation vector is computed using the observations located in [t-50, t])