FastEE: Fast Ensembles of Elastic Distances for time series classification

In recent years, many new ensemble-based time series classification (TSC) algorithms have been proposed. Each of them is significantly more accurate than their predecessors. The Hierarchical Vote Collective of Transformation-based Ensembles (HIVE-COTE) is currently the most accurate TSC algorithm when assessed on the UCR repository. It is a meta-ensemble of 5 state-of-the-art ensemble-based classifiers. The time complexity of HIVE-COTE-particularly for training-is prohibitive for most datasets. There is thus a critical need to speed up the classifiers that compose HIVE-COTE. This paper focuses on speeding up one of its components: Ensembles of Elastic Distances (EE), which is the classifier that leverages on the decades of research into the development of time-dedicated measures. Training EE can be prohibitive for many datasets. For example, it takes a month on the ElectricDevices dataset with 9000 instances. This is because EE needs to cross-validate the hyper-parameters used for the 11 similarity measures it encompasses. In this work, Fast Ensembles of Elastic Distances is proposed to train EE faster. There are two versions to it. The exact version makes it possible to train EE 10 times faster. The approximate version is 40 times faster than EE without significantly impacting the classification accuracy. This translates to being able to train EE on ElectricDevices in 13 h.