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DROP: Dimensionality Reduction Optimization for Time Series [pdf] (arxiv.org)
4 points by SEJeff on Oct 17, 2017 | hide | past | pdf | discuss on HN

In plain words: Shrinking time-series data with PCA usually runs a fixed number of rounds or until fully converged. This approach stops early once the reduced data is good enough for the analysis that follows, and runs up to 5x faster than standard PCA.

Abstract · DROP: Dimensionality Reduction Optimization for Time Series

Dimensionality reduction is a critical step in scaling machine learning pipelines. Principal component analysis (PCA) is a standard tool for dimensionality reduction, but performing PCA over a full dataset can be prohibitively expensive. As a result, theoretical work has studied the effectiveness of iterative, stochastic PCA methods that operate over data samples. However, termination conditions for stochastic PCA either execute for a predetermined number of iterations, or until convergence of the solution, frequently sampling too many or too few datapoints for end-to-end runtime improvements. We show how accounting for downstream analytics operations during DR via PCA allows stochastic methods to efficiently terminate after operating over small (e.g., 1%) subsamples of input data, reducing whole workload runtime. Leveraging this, we propose DROP, a DR optimizer that enables speedups of up to 5x over Singular-Value-Decomposition-based PCA techniques, and exceeds conventional approaches like FFT and PAA by up to 16x in end-to-end workloads.

Sahaana Suri, Peter Bailis
arXiv:1708.00183 · cs.DB · submitted Aug 1, 2017 · updated Aug 23, 2020
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