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Faster Retrieval with a Two-Pass Dynamic-Time-Warping Lower Bound

by   Daniel Lemire, et al.
Association for Computing Machinery

The Dynamic Time Warping (DTW) is a popular similarity measure between time series. The DTW fails to satisfy the triangle inequality and its computation requires quadratic time. Hence, to find closest neighbors quickly, we use bounding techniques. We can avoid most DTW computations with an inexpensive lower bound (LB Keogh). We compare LB Keogh with a tighter lower bound (LB Improved). We find that LB Improved-based search is faster. As an example, our approach is 2-3 times faster over random-walk and shape time series.


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Code Repositories


Dynamic Time Warping (DTW) library implementing lower bounds (LB_Keogh, LB_Improved...)

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Fast Nearest-Neighbor Retrieval under the Dynamic Time Warping

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