Extracting interpretable features for classification of multivariate time series from physical systems

Abstract

A method and system are provided. The method includes extracting shapelets from each of a plurality of time series dimensions of multi-dimensional time series data. The method further includes building a plurality of decision-tree classifiers, one for each time series dimension, responsive to the shapelets extracted therefrom. The method also includes generating a pairwise similarity matrix between respective different ones of the plurality of time series dimensions using the shapelets as intermediaries for determining similarity. The method additionally includes applying a feature selection technique to the matrix to determine respective feature weights for each of shapelet features of the shapelets and respective classifier weights for each of the decision-tree classifiers that uses the shapelet features. The method further includes combining decisions issued from the decision-tree classifiers to generate a final verdict of classification for a time series dimension responsive to the respective feature weights and the respective classifier weights.