Dynamic time warping


In time series analysis, dynamic time warping is one of the algorithms 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 linear 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 application.
In general, DTW is a method that calculates an optimal match between two given sequences with certain restriction and rules:
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, Y is transformed to X, Y. 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.

Implementation

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 is a distance between the symbols, e.g. d =.
int DTWDistance
where DTW is the distance between s and t with the best alignment.
We sometimes want to add a locality constraint. That is, we require that if s is matched with t, then is no larger than w, a window parameter.
We can easily modify the above algorithm to add a locality constraint.
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 .
int DTWDistance

Warping properties

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 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.

Complexity

The time complexity of DTW algorithm is, where and are the lengths of the two input sequences. Assuming that, the time complexity can be said to be. The same is true for space complexity. The 50 years old quadratic time bound was recently broken, an implementation due to Gold and Sharir enables computing DTW in time and space.

Fast computation

Fast techniques for computing DTW include PrunedDTW, SparseDTW, FastDTW, and the MultiscaleDTW.
A common task, retrieval of similar time series, can be accelerated by using lower bounds such as LB_Keogh or LB_Improved. 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.

Average sequence

Averaging for dynamic time warping is the problem of finding an average sequence for a set of sequences.
NLAAF 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 is currently a reference method to average a set of sequences consistently with DTW.
COMASA efficiently randomizes the search for the average sequence, using DBA as a local optimization process.

Supervised learning

A nearest-neighbour classifier can achieve state-of-the-art performance when using dynamic time warping as a distance measure.

Alternative approach

An alternative technique for DTW is based on functional data analysis, in which the time series are regarded as discretizations of smooth functions of time and therefore continuous mathematics is applied. 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.
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.
Another related approach are hidden Markov models 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.

Open-source software

Spoken-word recognition

Due to different speaking rates, a non-linear fluctuation occurs in speech pattern versus time axis, which needs to be eliminated. DP matching is a pattern-matching algorithm based on dynamic programming, 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, 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.

Correlation power analysis

Unstable clocks are used to defeat naive power analysis. Several techniques are used to counter this defense, one of which is dynamic time warping.