Time2Graph+: Bridging Time Series and Graph Representation Learning via Multiple Attentions
Ziqiang Cheng, Yang Yang, Shuo Jiang, Wenjie Hu, Zhangchi Ying, Ziwei Chai, Chunping Wang
Abstract
Time series modeling has attracted great research interests in the last decades. Among the literature, shapelet-based models aim to extract representative subsequences, and could offer explanatory insights. In order to capture the shapelet dynamics and evolutions, we propose a novel framework of bridging time series representation learning and graph modeling, with two different implementations. We first formulate the process of extracting time-aware shapelets, then briefly introduce the key idea of transforming time series data into shapelet evolution graphs, to model the shapelet evolutionary patterns. A straightforward solution is to enumerate all possible shapelet transitions among adjacent time series segments, and apply a random-walk-based graph embedding algorithm to learn the time series representations (Time2Graph). We further extend Time2Graph by adopting graph attention mechanism to refine the procedure of modeling shapelet evolutions, namely Time2Graph+. Specifically, we transform each time series data into a unique and unweighted shapelet graph, and use GAT to automatically capture the correlations between shapelets. Experimental results show the significant improvements of Time2Graph+, and extensive observational analysis demonstrate the effectiveness and interpretability brought by attentions. Furthermore, the success of online deployment of Time2Graph+ model in State Grid of China validates the whole framework in the real-world application.