In time series analysis, dynamic time warping (DTW) is an algorithm for measuring similarity between two temporal sequences, which may vary in speed. For instance, similarities in walking could be detected using DTW, even if one person was walking faster than the other, or if there were accelerations and decelerations during the course of an observation. DTW has been applied to temporal sequences of video, audio, and graphics data — indeed, any data that can be turned into a one-dimensional sequence can be analyzed with DTW. A well-known application has been automatic speech recognition, to cope with different speaking speeds. Other applications include speaker recognition and online signature recognition. It can also be used in partial shape matching applications.
In general, DTW is a method that calculates an optimal match between two given sequences (e.g. time series) with certain restriction and rules:
We can plot each match between the sequences and as a path in a matrix from to , such that each step is one of . In this formulation, we see that the number of possible matches is the Delannoy number.
The optimal match is denoted by the match that satisfies all the restrictions and the rules and that has the minimal cost, where the cost is computed as the sum of absolute differences, for each matched pair of indices, between their values.
The sequences are "warped" non-linearly in the time dimension to determine a measure of their similarity independent of certain non-linear variations in the time dimension. This sequence alignment method is often used in time series classification. Although DTW measures a distance-like quantity between two given sequences, it doesn't guarantee the triangle inequality to hold.
In addition to a similarity measure between the two sequences (a so called "warping path" is produced), by warping according to this path the two signals may be aligned in time. The signal with an original set of points X(original), Y(original) is transformed to X(warped), Y(warped). This finds applications in genetic sequence and audio synchronisation. In a related technique sequences of varying speed may be averaged using this technique see the average sequence section.
This is conceptually very similar to the Needleman–Wunsch algorithm.
This example illustrates the implementation of the dynamic time warping algorithm when the two sequences s and t are strings of discrete symbols. For two symbols x and y, d(x, y)
is a distance between the symbols, e.g. d(x, y)
= .
int DTWDistance(s: array [1..n], t: array [1..m]) { DTW := array [0..n, 0..m] for i := 0 to n for j := 0 to m DTW[i, j] := infinity DTW[0, 0] := 0 for i := 1 to n for j := 1 to m cost := d(s[i], t[j]) DTW[i, j] := cost + minimum(DTW[i-1, j ], // insertion DTW[i , j-1], // deletion DTW[i-1, j-1]) // match return DTW[n, m] }
where DTW[i, j]
is the distance between s[1:i]
and t[1:j]
with the best alignment.
We sometimes want to add a locality constraint. That is, we require that if s[i]
is matched with t[j]
, then is no larger than w, a window parameter.
We can easily modify the above algorithm to add a locality constraint (differences marked). However, the above given modification works only if is no larger than w, i.e. the end point is within the window length from diagonal. In order to make the algorithm work, the window parameter w must be adapted so that (see the line marked with (*) in the code).
int DTWDistance(s: array [1..n], t: array [1..m], w: int) { DTW := array [0..n, 0..m] w := max(w, abs(n-m)) // adapt window size (*) for i := 0 to n for j:= 0 to m DTW[i, j] := infinity DTW[0, 0] := 0 for i := 1 to nfor j := max(1, i-w) to min(m, i+w)DTW[i, j] := 0 for i := 1 to n for j := max(1, i-w) to min(m, i+w) cost := d(s[i], t[j]) DTW[i, j] := cost + minimum(DTW[i-1, j ], // insertion DTW[i , j-1], // deletion DTW[i-1, j-1]) // match return DTW[n, m] }
The DTW algorithm produces a discrete matching between existing elements of one series to another. In other words, it does not allow time-scaling of segments within the sequence. Other methods allow continuous warping. For example, Correlation Optimized Warping (COW) divides the sequence into uniform segments that are scaled in time using linear interpolation, to produce the best matching warping. The segment scaling causes potential creation of new elements, by time-scaling segments either down or up, and thus produces a more sensitive warping than DTW's discrete matching of raw elements.
The time complexity of the DTW algorithm is , where and are the lengths of the two input sequences. The 50 years old quadratic time bound was broken in 2016: an algorithm due to Gold and Sharir enables computing DTW in time and space for two input sequences of length . [2] This algorithm can also be adapted to sequences of different lengths. Despite this improvement, it was shown that a strongly subquadratic running time of the form for some cannot exist unless the Strong exponential time hypothesis fails. [3] [4]
While the dynamic programming algorithm for DTW requires space in a naive implementation, the space consumption can be reduced to using Hirschberg's algorithm.
Fast techniques for computing DTW include PrunedDTW, [5] SparseDTW, [6] FastDTW, [7] and the MultiscaleDTW. [8] [9]
A common task, retrieval of similar time series, can be accelerated by using lower bounds such as LB_Keogh, [10] LB_Improved, [11] or LB_Petitjean. [12] However, the Early Abandon and Pruned DTW algorithm reduces the degree of acceleration that lower bounding provides and sometimes renders it ineffective.
In a survey, Wang et al. reported slightly better results with the LB_Improved lower bound than the LB_Keogh bound, and found that other techniques were inefficient. [13] Subsequent to this survey, the LB_Enhanced bound was developed that is always tighter than LB_Keogh while also being more efficient to compute. [14] LB_Petitjean is the tightest known lower bound that can be computed in linear time. [12]
Averaging for dynamic time warping is the problem of finding an average sequence for a set of sequences. NLAAF [15] is an exact method to average two sequences using DTW. For more than two sequences, the problem is related to the one of the multiple alignment and requires heuristics. DBA [16] is currently a reference method to average a set of sequences consistently with DTW. COMASA [17] efficiently randomizes the search for the average sequence, using DBA as a local optimization process.
A nearest-neighbour classifier can achieve state-of-the-art performance when using dynamic time warping as a distance measure. [18]
Amerced Dynamic Time Warping (ADTW) is a variant of DTW designed to better control DTW's permissiveness in the alignments that it allows. [19] The windows that classical DTW uses to constrain alignments introduce a step function. Any warping of the path is allowed within the window and none beyond it. In contrast, ADTW employs an additive penalty that is incurred each time that the path is warped. Any amount of warping is allowed, but each warping action incurs a direct penalty. ADTW significantly outperforms DTW with windowing when applied as a nearest neighbor classifier on a set of benchmark time series classification tasks. [19]
In functional data analysis, time series are regarded as discretizations of smooth (differentiable) functions of time. By viewing the observed samples at smooth functions, one can utilize continuous mathematics for analyzing data. [20] Smoothness and monotonicity of time warp functions may be obtained for instance by integrating a time-varying radial basis function, thus being a one-dimensional diffeomorphism. [21] Optimal nonlinear time warping functions are computed by minimizing a measure of distance of the set of functions to their warped average. Roughness penalty terms for the warping functions may be added, e.g., by constraining the size of their curvature. The resultant warping functions are smooth, which facilitates further processing. This approach has been successfully applied to analyze patterns and variability of speech movements. [22] [23]
Another related approach are hidden Markov models (HMM) and it has been shown that the Viterbi algorithm used to search for the most likely path through the HMM is equivalent to stochastic DTW. [24] [25] [26]
DTW and related warping methods are typically used as pre- or post-processing steps in data analyses. If the observed sequences contain both random variation in both their values, shape of observed sequences and random temporal misalignment, the warping may overfit to noise leading to biased results. A simultaneous model formulation with random variation in both values (vertical) and time-parametrization (horizontal) is an example of a nonlinear mixed-effects model. [27] In human movement analysis, simultaneous nonlinear mixed-effects modeling has been shown to produce superior results compared to DTW. [28]
Due to different speaking rates, a non-linear fluctuation occurs in speech pattern versus time axis, which needs to be eliminated. [30] DP matching is a pattern-matching algorithm based on dynamic programming (DP), which uses a time-normalization effect, where the fluctuations in the time axis are modeled using a non-linear time-warping function. Considering any two speech patterns, we can get rid of their timing differences by warping the time axis of one so that the maximal coincidence is attained with the other. Moreover, if the warping function is allowed to take any possible value, very less[ clarify ] distinction can be made between words belonging to different categories. So, to enhance the distinction between words belonging to different categories, restrictions were imposed on the warping function slope.
Unstable clocks are used to defeat naive power analysis. Several techniques are used to counter this defense, one of which is dynamic time warping.
Dynamic time warping is used in finance and econometrics to assess the quality of the prediction versus real-world data. [31] [32] [33]
A fast Fourier transform (FFT) is an algorithm that computes the Discrete Fourier Transform (DFT) of a sequence, or its inverse (IDFT). Fourier analysis converts a signal from its original domain to a representation in the frequency domain and vice versa. The DFT is obtained by decomposing a sequence of values into components of different frequencies. This operation is useful in many fields, but computing it directly from the definition is often too slow to be practical. An FFT rapidly computes such transformations by factorizing the DFT matrix into a product of sparse factors. As a result, it manages to reduce the complexity of computing the DFT from , which arises if one simply applies the definition of DFT, to , where n is the data size. The difference in speed can be enormous, especially for long data sets where n may be in the thousands or millions. In the presence of round-off error, many FFT algorithms are much more accurate than evaluating the DFT definition directly or indirectly. There are many different FFT algorithms based on a wide range of published theories, from simple complex-number arithmetic to group theory and number theory.
Speech processing is the study of speech signals and the processing methods of signals. The signals are usually processed in a digital representation, so speech processing can be regarded as a special case of digital signal processing, applied to speech signals. Aspects of speech processing includes the acquisition, manipulation, storage, transfer and output of speech signals. Different speech processing tasks include speech recognition, speech synthesis, speaker diarization, speech enhancement, speaker recognition, etc.
Vector quantization (VQ) is a classical quantization technique from signal processing that allows the modeling of probability density functions by the distribution of prototype vectors. Developed in the early 1980s by Robert M. Gray, it was originally used for data compression. It works by dividing a large set of points (vectors) into groups having approximately the same number of points closest to them. Each group is represented by its centroid point, as in k-means and some other clustering algorithms. In simpler terms, vector quantization chooses a set of points to represent a larger set of points.
A hidden Markov model (HMM) is a Markov model in which the observations are dependent on a latent Markov process. An HMM requires that there be an observable process whose outcomes depend on the outcomes of in a known way. Since cannot be observed directly, the goal is to learn about state of by observing . By definition of being a Markov model, an HMM has an additional requirement that the outcome of at time must be "influenced" exclusively by the outcome of at and that the outcomes of and at must be conditionally independent of at given at time . Estimation of the parameters in an HMM can be performed using maximum likelihood estimation. For linear chain HMMs, the Baum–Welch algorithm can be used to estimate parameters.
In bioinformatics, a sequence alignment is a way of arranging the sequences of DNA, RNA, or protein to identify regions of similarity that may be a consequence of functional, structural, or evolutionary relationships between the sequences. Aligned sequences of nucleotide or amino acid residues are typically represented as rows within a matrix. Gaps are inserted between the residues so that identical or similar characters are aligned in successive columns. Sequence alignments are also used for non-biological sequences such as calculating the distance cost between strings in a natural language, or to display financial data.
The Viterbi algorithm is a dynamic programming algorithm for obtaining the maximum a posteriori probability estimate of the most likely sequence of hidden states—called the Viterbi path—that results in a sequence of observed events. This is done especially in the context of Markov information sources and hidden Markov models (HMM).
A longest common subsequence (LCS) is the longest subsequence common to all sequences in a set of sequences. It differs from the longest common substring: unlike substrings, subsequences are not required to occupy consecutive positions within the original sequences. The problem of computing longest common subsequences is a classic computer science problem, the basis of data comparison programs such as the diff
utility, and has applications in computational linguistics and bioinformatics. It is also widely used by revision control systems such as Git for reconciling multiple changes made to a revision-controlled collection of files.
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In information theory, linguistics, and computer science, the Levenshtein distance is a string metric for measuring the difference between two sequences. The Levenshtein distance between two words is the minimum number of single-character edits required to change one word into the other. It is named after Soviet mathematician Vladimir Levenshtein, who defined the metric in 1965.
In computational linguistics and computer science, edit distance is a string metric, i.e. a way of quantifying how dissimilar two strings are to one another, that is measured by counting the minimum number of operations required to transform one string into the other. Edit distances find applications in natural language processing, where automatic spelling correction can determine candidate corrections for a misspelled word by selecting words from a dictionary that have a low distance to the word in question. In bioinformatics, it can be used to quantify the similarity of DNA sequences, which can be viewed as strings of the letters A, C, G and T.
In computer science, the Boyer–Moore string-search algorithm is an efficient string-searching algorithm that is the standard benchmark for practical string-search literature. It was developed by Robert S. Boyer and J Strother Moore in 1977. The original paper contained static tables for computing the pattern shifts without an explanation of how to produce them. The algorithm for producing the tables was published in a follow-on paper; this paper contained errors which were later corrected by Wojciech Rytter in 1980.
In mathematics, computer science and especially graph theory, a distance matrix is a square matrix containing the distances, taken pairwise, between the elements of a set. Depending upon the application involved, the distance being used to define this matrix may or may not be a metric. If there are N elements, this matrix will have size N×N. In graph-theoretic applications, the elements are more often referred to as points, nodes or vertices.
The Needleman–Wunsch algorithm is an algorithm used in bioinformatics to align protein or nucleotide sequences. It was one of the first applications of dynamic programming to compare biological sequences. The algorithm was developed by Saul B. Needleman and Christian D. Wunsch and published in 1970. The algorithm essentially divides a large problem into a series of smaller problems, and it uses the solutions to the smaller problems to find an optimal solution to the larger problem. It is also sometimes referred to as the optimal matching algorithm and the global alignment technique. The Needleman–Wunsch algorithm is still widely used for optimal global alignment, particularly when the quality of the global alignment is of the utmost importance. The algorithm assigns a score to every possible alignment, and the purpose of the algorithm is to find all possible alignments having the highest score.
The Smith–Waterman algorithm performs local sequence alignment; that is, for determining similar regions between two strings of nucleic acid sequences or protein sequences. Instead of looking at the entire sequence, the Smith–Waterman algorithm compares segments of all possible lengths and optimizes the similarity measure.
Clustal is a computer program used for multiple sequence alignment in bioinformatics. The software and its algorithms have gone through several iterations, with ClustalΩ (Omega) being the latest version as of 2011. It is available as standalone software, via a web interface, and through a server hosted by the European Bioinformatics Institute.
In computer science, approximate string matching is the technique of finding strings that match a pattern approximately. The problem of approximate string matching is typically divided into two sub-problems: finding approximate substring matches inside a given string and finding dictionary strings that match the pattern approximately.
Multiple sequence alignment (MSA) is the process or the result of sequence alignment of three or more biological sequences, generally protein, DNA, or RNA. These alignments are used to infer evolutionary relationships via phylogenetic analysis and can highlight homologous features between sequences. Alignments highlight mutation events such as point mutations, insertion mutations and deletion mutations, and alignments are used to assess sequence conservation and infer the presence and activity of protein domains, tertiary structures, secondary structures, and individual amino acids or nucleotides.
In bioinformatics, the root mean square deviation of atomic positions, or simply root mean square deviation (RMSD), is the measure of the average distance between the atoms (usually the backbone atoms) of superimposed molecules. In the study of globular protein conformations, one customarily measures the similarity in three-dimensional structure by the RMSD of the Cα atomic coordinates after optimal rigid body superposition.
In computer science, Hirschberg's algorithm, named after its inventor, Dan Hirschberg, is a dynamic programming algorithm that finds the optimal sequence alignment between two strings. Optimality is measured with the Levenshtein distance, defined to be the sum of the costs of insertions, replacements, deletions, and null actions needed to change one string into the other. Hirschberg's algorithm is simply described as a more space-efficient version of the Needleman–Wunsch algorithm that uses divide and conquer. Hirschberg's algorithm is commonly used in computational biology to find maximal global alignments of DNA and protein sequences.
Graphical time warping (GTW) is a framework for jointly aligning multiple pairs of time series or sequences. GTW considers both the alignment accuracy of each sequence pair and the similarity among pairs. On contrary, alignment with dynamic time warping (DTW) considers the pairs independently and minimizes only the distance between the two sequences in a given pair. Therefore, GTW generalizes DTW and could achieve a better alignment performance when similarity among pairs is expected.