Cost-Aware Early Classification of Time Series

In time series classification, two antagonist notions are at stake. On the one hand, in most cases, the sooner the time series is classified, the more rewarding. On the other hand, an early classification is more likely to be erroneous. Most of the early classification methods have been designed to take a decision as soon as su cient level of reliability is reached. However, in many applications, delaying the decision with no guarantee that the reliability threshold will be met in the future can be costly. Recently, a framework dedicated to optimizing a trade-o↵ between classification accuracy and the cost of delaying the decision was proposed, together with an algorithm that decides online the optimal time instant to classify an incoming time series. On top of this framework, we build in this paper two di↵erent early classification algorithms that optimize a trade-o↵ between decision accuracy and the cost of delaying the decision. These algorithms are non-myopic in the sense that, even when classification is delayed, they can provide an estimate of when the optimal classification time is likely to occur. Our experiments on real datasets demonstrate that the proposed approaches are more robust than existing methods.