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Pattern Finding and Pattern Discovery in Time Series Trn Quc Long College of Computing, Georgia Tech Long Q Tran College of Computing, Georgia Tech

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Contents Pattern Finding & Pattern Discovery Pattern Finding & Pattern Discovery in Time Series Hidden Markov Models (HMMs) Summary

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Pattern Finding Problems: given observed patterns O 1, O 2, … O K, specify which pattern the new data X possess? Other names: pattern recognition, pattern classification Examples –Recognition: matching fingerprints of the claimant with those of authorized personnel.

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Pattern Finding Patterns are known beforehand and are observed/described by –Explicit samples –Similar samples (usually) Modeling approaches: –Build a model for each pattern –Find the best fit model for new data Usually require training using observed samples

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Pattern Discovery Patterns are not known But data which are believed to possess patterns are given Examples: –Clustering: grouping similar samples into clusters –Associative rule mining: discover certain features that often appear together in data

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Contents Pattern Finding & Pattern Discovery Pattern Finding & Pattern Discovery in Time Series Hidden Markov Models (HMMs) Summary

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Time Series Data are sampled over time X = X 1 X 2 … X t … X L –X t : data sampled at time t –L : sequence length X t are NOT independently and identically distributed (NOT i.d.d) In other words, X t may come from different processes that are dependent of each other

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Pattern Finding in Time Series Examples –In control, certain pattern of sensor signals indicate critical point of the production process –In stock, certain pattern (up/down) of price indicate the trend of the market People often have to look at the graph by their own eyes and act accordingly when spotting known pattern X. Ge & P. Smyth (2000): detecting end-point in plasma etch (semiconductor manufacturing)

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Pattern Finding in Time Series Problems: –Data may contain one or more patterns inside –Data can be multi-dimensional (i.e. look at multiple graphs at the same time) Automated pattern finding is crucial when time series are lengthy and multi- dimensional

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Pattern Discovery in Time Series Goals: From collected data, discover –Replicated, interesting patterns –Associative rule on patterns (can use to predict trends of time series)

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Pattern Modeling in Time Series Both pattern finding and pattern discovery need modeling Desired properties of the model –The model can be built or trained using observed data –The similarity of new data and the model can be easily computed

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Contents Pattern Finding & Pattern Discovery Pattern Finding & Pattern Discovery in Time Series Hidden Markov Models (HMMs) Summary

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Hidden Markov Models (HMMs) One way to model time series pattern Assumptions: –X t is generated from certain probability distribution Y t (called state) –Number of states is finite (i.e. finite sources of data) –State transition follows Markov property X1X1 Y1Y1 X2X2 Y2Y2 XLXL YLYL … 12 0.6 0.4 0.6 12 0.4 0.6 0.4

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Hidden Markov Models (HMMs) Parameters to estimate: –Transition probabilities –Distribution parameters in each state Estimation procedure: –Initialization: k-means, viterbi training –Iterative training: forward-backward procedure (EM algorithm) Variants of HMM: –Mixture of HMMs: allow many HMMs computed simultaneously –State durational HMM: allow a state remains for a duration

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Mixture of HMMs Assumption: –There are different processes (pattern) that generate the time series –Each process can be represented by a HMM Mixture of HMMs allows –Packing all pattern models in one place –Identifying the processes that generate the time series –Training be efficiently implemented

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Experiment Experiment settings Generate 200 sequences for each HMM After 200 iterations 12 0.6 0.4 0.6 12 0.4 0.6 0.4 1 Gaussian: = 0, = 1 2 Gaussian: = 2, = 1 2 11 = -0.07, 11 = 0.97 12 = 1.90, 12 = 1.10 21 = 2.01, 21 = 0.99 22 = -0.01, 22 = 0.98

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Summary Automated pattern finding and pattern discovery in time series are needed HMMs and its variants can model time series patterns Parameters can be efficiently initialized and estimated using observed data

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Appendix: HMMs Parameters: = (transition prob., distribution params.) Recognition –Calculate P(X 1 X 2 …X L | ) –Forward procedure Estimation: –Maximize L( ) = P(X 1 X 2 …X L | ) –EM algorithm: forward – backward procedure Clustering –Find –Viterbi algorithm

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