Multivariate Time Series Classification via Hierarchical Graph Embedding

Multivariate time series classification aims to determine the labels for multivariate time series samples. Although variable interaction relationships and sample similarity relationships exist in multivariate time series, the available related methods usually ignore the rich relationships and are ineffective in exploiting these. To solve this problem, we propose a Hierarchical Graph Embedding for Multivariate Time Series Classification (MTSC-HGE), which consists of a variable-wise attentive graph pooling module and a sample-wise graph convolutional module to obtain the relationships of variables and samples. Specifically, we design an attentive graph pooling module based on self-attention, which can obtain sample features fusing temporal patterns and variable interaction relationships in samples. Furthermore, we propose a graph mapping criterion that converts the MTS dataset into a graph based on dynamic time warping to explicitly reflect the similarity relationships between samples. To capture latent sample relationships, a GCN module is utilized on the sample graph to integrate sample features obtained from the attentive graph pool module. In addition, a classifier takes the rich representation output by the model to get the final predicted class. Extensive experiments on 14 public datasets show that MTSC-HGE significantly outperforms state-of-the-art baselines.