TSC-AutoML: Meta-learning for Automatic Time Series Classification Algorithm Selection.

With years of development, a significant number of Time Series Classification (TSC) algorithms have been proposed and applied to various fields such as scientific research and industry scenarios, including traditional statistical methods, machine learning methods, and recently deep learning models. However, choosing a suitable model along with good parameter values that perform well on a given task, which is also known as Combined Algorithm Selection and Hyperparameter optimization problem (CASH), is still challenging. How to automatically select the appropriate algorithm according to the task during analyzing is a topic worthy of further research. Nevertheless, for TSC, a field that has been developed for decades, there is no effective and efficient approach for automatic algorithm selection. To the best of our knowledge, the current approach is based on genetic search, which is very computationally intensive and time-consuming. Therefore, in this paper, we propose TSC-AutoML, a zero-configuration and meta-learning-based approach for the automatic Time Series Classification algorithm CASH (also known as TSC-CASH). TSC-AutoML extracts knowledge from historical tasks and performs automatic feature selection and knowledge filtering with a reinforcement learning policy. The experience extracted is filtered and transformed into metadata. The meta-learner trained on the metadata together with our proposed warm start strategy will select an optimal algorithm for tasks uploaded by users, and then our proposed Hyperparameter Optimization method based on the Fast Warm Start strategy searches for hyperparameter combinations of the selected algorithm and adjusts parameter configuration to achieve top performance. The entire process is pre-trained, automated for the new task, and parameter-free for the user to decide, making it easy for users with the little domain experience to get started easily. Experimental results illustrate that TSC-AutoML outperforms existing methods in terms of both time and accuracy of optimum algorithm selection.