An Efficient Algorithm for Streaming Time-Series Matching that Supports Normalization Transform


According to recent technical advances on sensors and mobile devices, processing of data streams generated by the devices is becoming an important research issue. The data stream of real values obtained at continuous time points is called streaming time-series. Due to the unique features of streaming time-series that are different from those of traditional time-series, similarity matching problem on the streaming time-series should be solved in a new way. In this paper, we propose an efficient algorithm for streaming time-series matching problem that supports normalization transform. While the existing algorithms compare streaming time-series without any transform, the algorithm proposed in the paper compares them after they are normalization-transformed. The normalization transform is useful for finding time-series that have similar fluctuation trends even though they consist of distant element values. The major contributions of this paper are as follows. (1) By using a theorem presented in the context of subsequence matching that supports normalization transform [11], we propose a simple algorithm for solving the problem. (2) For improving search performance, we extend the simple algorithm to use k (≥ 1) indexes. (3) For a given k, for achieving optimal search performance of the extended algorithm, we present an approximation method for choosing k window sizes to construct k indexes. (4) Based on the notion of continuity [8] on streaming time-series, we further extend our algorithm so that it can simultaneously obtain the search results for m (≥ 1) time points from present t0 to a time point (t0 +m − 1) in the near future by retrieving the index only once. (5) Through a series of experiments, we compare search performances of the algorithms proposed in this paper, and show their performance trends according to k and m values. To the best of our knowledge, since there has been no algorithm that solves the same problem presented in this paper, we compare search performances of our algorithms with the sequential scan algorithm. The experiment result showed that our algorithms outperformed the sequential scan algorithm by up to 13.2 times. The performances of our algorithms should be more improved as k increases.

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@inproceedings{Loh2006AnEA, title={An Efficient Algorithm for Streaming Time-Series Matching that Supports Normalization Transform}, author={Woong-Kee Loh and Yang-Sae Moon and Jaideep Srivastava}, year={2006} }