Exact and Heuristic Approaches to Speeding Up the MSM Time Series Distance Computation

TL;DR

This paper introduces exact and heuristic methods to significantly accelerate MSM time series distance computation, outperforming DTW in speed on many datasets while maintaining accuracy.

Contribution

It presents new lower and upper bounds, a linear-time algorithm for constant series, and novel heuristics adapted from DTW to improve MSM distance calculation efficiency.

Findings

Substantial speed-ups over previous MSM algorithms.

MSM computation faster than DTW on many datasets.

Effective heuristics that maintain accuracy while reducing runtime.

Abstract

The computation of the distance of two time series is time-consuming for any elastic distance function that accounts for misalignments. Among those functions, DTW is the most prominent. However, a recent extensive evaluation has shown that the move-split merge (MSM) metric is superior to DTW regarding the analytical accuracy of the 1-NN classifier. Unfortunately, the running time of the standard dynamic programming algorithm for MSM distance computation is $\Omega(n^2)$, where $n$ is the length of the longest time series. In this paper, we provide approaches to reducing the cost of MSM distance computations by using lower and upper bounds for early pruning paths in the underlying dynamic programming table. For the case of one time series being a constant, we present a linear-time algorithm. In addition, we propose new linear-time heuristics and adapt heuristics known from DTW to computing the MSM distance. One heuristic employs the metric property of MSM and the previously introduced linear-time algorithm. Our experimental studies demonstrate substantial speed-ups in our approaches compared to previous MSM algorithms. In particular, the running time for MSM is faster than a state-of-the-art DTW distance computation for a majority of the popular UCR data sets.