Early Classification of Time Series in Non-Stationary Cost Regimes

TL;DR

This paper investigates early classification of time series under changing decision costs, proposing online learning adaptations to improve robustness against cost drift, with RL-based methods showing strong performance.

Contribution

It introduces online learning strategies, including RL-based approaches, to enhance the robustness of ECTS methods amid non-stationary cost regimes.

Findings

RL-based strategies outperform other methods under cost drift.

Online adaptation improves robustness of early classification.

Controlled experiments validate effectiveness across varying cost regimes.

Abstract

Early Classification of Time Series (ECTS) addresses decision-making problems in which predictions must be made as early as possible while maintaining high accuracy. Most existing ECTS methods assume that the time-dependent decision costs governing the learning objective are known, fixed, and correctly specified. In practice, however, these costs are often uncertain and may change over time, leading to mismatches between training-time and deployment-time objectives. In this paper, we study ECTS under two practically relevant forms of cost non-stationarity: drift in the balance between misclassification and decision delay costs, and stochastic realizations of decision costs that deviate from the nominal training-time model. To address these challenges, we revisit representative ECTS approaches and adapt them to an online learning setting. Focusing on separable methods, we update only the triggering model during deployment, while keeping the classifier fixed. We propose several online adaptations and baselines, including bandit-based and RL-based approaches, and conduct controlled experiments on synthetic data to systematically evaluate robustness under cost non-stationarity. Our results demonstrate that online learning can effectively improve the robustness of ECTS methods to cost drift, with RL-based strategies exhibiting strong and stable performance across varying cost regimes.