An NCDE-based Framework for Universal Representation Learning of Time Series

An NCDE-based Framework for Universal Representation Learning of Time Series

Zihan Liu, Bowen Du, Junchen Ye, Xianqing Wen, Leilei Sun

Proceedings of the Thirty-Third International Joint Conference on Artificial Intelligence
Main Track. Pages 4623-4633. https://doi.org/10.24963/ijcai.2024/511

Exploiting self-supervised learning (SSL) to extract the universal representations of time series could not only capture the natural properties of time series but also offer huge help to the downstream tasks. Nevertheless, existing time series representation learning (TSRL) methods face challenges in attaining universality. Indeed, existing methods relying solely on one SSL strategy (either contrastive learning (CL) or generative) often fall short in capturing rich semantic information for various downstream tasks. Moreover, time series exhibit diverse distributions and inherent characteristics, particularly with the common occurrence of missing values, posing a notable challenge for existing backbones in effectively handling such diverse time series data. To bridge these gaps, we propose CTRL, a framework for universal TSRL. For the first time, we employ Neural Controlled Differential Equation (NCDE) as the backbone for TSRL, which captures the continuous processes and exhibits robustness to missing data. Additionally, a dual-task SSL strategy, integrating both reconstruction and contrasting tasks, is proposed to enrich the semantic information of the learned representations. Furthermore, novel hard negative construction and false negative elimination mechanisms are proposed to improve sampling efficiency and reduce sampling bias in CL. Finally, extensive experiments demonstrate the superiority of CTRL in forecasting, classification, and imputation tasks, particularly its outstanding robustness to missing data.
Keywords:
Machine Learning: ML: Representation learning
Machine Learning: ML: Self-supervised Learning
Machine Learning: ML: Time series and data streams