Modeling Time Series Similarity with Siamese Recurrent Networks

Abstract: Traditional techniques for measuring similarities between time series are based on handcrafted similarity measures, whereas more recent learning-based approaches cannot exploit external supervision. We combine ideas from time-series modeling and metric learning, and study siamese recurrent networks (SRNs) that minimize a classification loss to learn a good similarity measure between time series. Specifically, our approach learns a vectorial representation for each time series in such a way that similar time series are modeled by similar representations, and dissimilar time series by dissimilar representations. Because it is a similarity prediction models, SRNs are particularly well-suited to challenging scenarios such as signature recognition, in which each person is a separate class and very few examples per class are available. We demonstrate the potential merits of SRNs in within-domain and out-of-domain classification experiments and in one-shot learning experiments on tasks such as signature, voice, and sign language recognition.