README

Francisco Bischoff - 10 Sep 2018

Time Series with Matrix Profile

Overview

R Functions implementing UCR Matrix Profile Algorithm (http://www.cs.ucr.edu/~eamonn/MatrixProfile.html).

This package allows you to use the Matrix Profile concept as a toolkit.

This package provides:

• Algorithms to build a Matrix Profile: STAMP, STOMP, SCRIMP (experimental), SIMPLE and MSTOMP.
• Algorithms for MOTIF search for Unidimensional and Multidimensional Matrix Profiles.
• Algorithm for Chains search for Unidimensional Matrix Profile.
• Algorithms for Semantic Segmentation (FLUSS) and Weakly Labeled data (SDTS).
• Algorithm for Salient Subsections detection allowing MDS plotting.
• Basic plotting for all outputs generated here.
• Sequencial workflow, see below.

# Basic workflow:
matrix <- tsmp(data, window_size = 30) %>% find_motif(n_motifs = 3) %>% plot()

# SDTS still have a unique way to work:
model <- sdts_train(data, labels, windows); result <- sdts_predict(model, data, round(mean(windows)))

Please refer to the User Manual for more details.

Please be welcome to suggest improvements.

Performance on an Intel(R) Core(TM) i7-7700 CPU @ 3.60GHz

Installation

# Install the released version from CRAN
install.packages("tsmp")

# Or the development version from GitHub:
# install.packages("devtools")
devtools::install_github("franzbischoff/tsmp")

Currently available Features

• STAMP (single and multi-thread versions)
• STOMP (single and multi-thread versions)
• SCRIMP (single-thread, still experimental)
• Time Series Chains
• Multivariate STOMP (mSTOMP)
• Multivariate MOTIF Search (from mSTOMP)
• Salient Subsequences search for Multidimensional Space
• Scalable Dictionary learning for Time Series (SDTS) prediction
• FLUSS (Fast Low-cost Unipotent Semantic Segmentation)
• SiMPle-Fast (Fast Similarity Matrix Profile for Music Analysis and Exploration)
• Annotation vectors (e.g.: Stop-word MOTIF bias, Actionability bias)
• FLUSS Arc Plot and SiMPle Arc Plot
• Misc:
  • MASS v2.0
  • Fast moving average
  • Fast moving SD

Road map

• MOTIFs under Uniform Scaling
• Exact Detection of Variable Length Motifs
• Profile-Based Shapelet Discovery
• GPU-STOMP
• Real-time version of previous algorithms (STAMPI, FLOSS, etc)
• MASS Extensions (ADP, WQ, QwG)

Other projects with Matrix Profile

• Python: https://github.com/ZiyaoWei/pyMatrixProfile
• Python: https://github.com/jbeleno/owlpy
• Python: https://github.com/javidlakha/matrix-profile
• CUDA: https://github.com/zpzim/STOMPSelfJoin
• CUDA: https://github.com/zpzim/SCAMP

Code of Conduct

Please note that this project is released with a Contributor Code of Conduct. By participating in this project you agree to abide by its terms.