Time series analysis acceleration with advanced vectorization extensions

Time series analysis is an important research topic and a key step in monitoring and predicting events in many fields. Recently, the Matrix Profile method, and particularly two of its Euclidean-distance-based implementations—SCRIMP and SCAMP—have become the state-of-the-art approaches in this field. Those algorithms bring the possibility of obtaining exact motifs and discords from a time series, which can be used to infer events, predict outcomes, detect anomalies and more. While matrix profile is embarrassingly parallelizable, we find that auto-vectorization techniques fail to fully exploit the SIMD capabilities of modern CPU architectures. In this paper, we develop custom-vectorized SCRIMP and SCAMP implementations based on AVX2 and AVX-512 extensions, which we combine with multithreading techniques aimed at exploiting the potential of the underneath architectures. Our experimental evaluation, conducted using real data, shows a performance improvement of more than 4 × with respect to the auto-vectorization.