Demo of ROCKET transform

Overview

ROCKET [1] transforms time series using random convolutional kernels (random length, weights, bias, dilation, and padding). ROCKET computes two features from the resulting feature maps: the max, and the proportion of positive values (or ppv). The transformed features are used to train a linear classifier.

[1] Dempster A, Petitjean F, Webb GI (2019) ROCKET: Exceptionally fast and accurate time series classification using random convolutional kernels. arXiv:1910.13051

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Contents

1. Imports

2. Univariate Time Series

3. Multivariate Time Series

4. Pipeline Example

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1 Imports

Import example data, ROCKET, and a classifier (RidgeClassifierCV from scikit-learn), as well as NumPy and make_pipeline from scikit-learn.

Note: ROCKET compiles (via Numba) on import, which may take a few seconds.

 # !pip install --upgrade numba

 import numpy as np
from sklearn.linear_model import RidgeClassifierCV
from sklearn.pipeline import make_pipeline
from sktime.datasets import load_arrow_head  # univariate dataset
from sktime.datasets import load_basic_motions  # multivariate dataset
from sktime.transformations.panel.rocket import Rocket

2 Univariate Time Series

We can transform the data using ROCKET and separately fit a classifier, or we can use ROCKET together with a classifier in a pipeline (section 4, below).

2.1 Load the Training Data

For more details on the data set, see the univariate time series classification notebook.

 X_train, y_train = load_arrow_head(split="train", return_X_y=True)

2.2 Initialise ROCKET and Transform the Training Data

 rocket = Rocket()  # by default, ROCKET uses 10,000 kernels
rocket.fit(X_train)
X_train_transform = rocket.transform(X_train)

2.3 Fit a Classifier

We recommend using RidgeClassifierCV from scikit-learn for smaller datasets (fewer than approx. 20K training examples), and using logistic regression trained using stochastic gradient descent for larger datasets.

 classifier = RidgeClassifierCV(alphas=np.logspace(-3, 3, 10), normalize=True)
classifier.fit(X_train_transform, y_train)

RidgeClassifierCV(alphas=array([1.00000000e-03, 4.64158883e-03, 2.15443469e-02, 1.00000000e-01,
       4.64158883e-01, 2.15443469e+00, 1.00000000e+01, 4.64158883e+01,
       2.15443469e+02, 1.00000000e+03]),
                  normalize=True)

2.4 Load and Transform the Test Data

 X_test, y_test = load_arrow_head(split="test", return_X_y=True)
X_test_transform = rocket.transform(X_test)

2.5 Classify the Test Data

 classifier.score(X_test_transform, y_test)

0.8171428571428572

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3 Multivariate Time Series

We can use ROCKET in exactly the same way for multivariate time series.

3.1 Load the Training Data

 X_train, y_train = load_basic_motions(split="train", return_X_y=True)

3.2 Initialise ROCKET and Transform the Training Data

 rocket = Rocket()
rocket.fit(X_train)
X_train_transform = rocket.transform(X_train)

3.3 Fit a Classifier

 classifier = RidgeClassifierCV(alphas=np.logspace(-3, 3, 10), normalize=True)
classifier.fit(X_train_transform, y_train)

RidgeClassifierCV(alphas=array([1.00000000e-03, 4.64158883e-03, 2.15443469e-02, 1.00000000e-01,
       4.64158883e-01, 2.15443469e+00, 1.00000000e+01, 4.64158883e+01,
       2.15443469e+02, 1.00000000e+03]),
                  normalize=True)

3.4 Load and Transform the Test Data

 X_test, y_test = load_basic_motions(split="test", return_X_y=True)
X_test_transform = rocket.transform(X_test)

3.5 Classify the Test Data

 classifier.score(X_test_transform, y_test)

1.0

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4 Pipeline Example

We can use ROCKET together with RidgeClassifierCV (or another classifier) in a pipeline. We can then use the pipeline like a self-contained classifier, with a single call to fit, and without having to separately transform the data, etc.

4.1 Initialise the Pipeline

 rocket_pipeline = make_pipeline(
    Rocket(), RidgeClassifierCV(alphas=np.logspace(-3, 3, 10), normalize=True)
)

4.2 Load and Fit the Training Data

 X_train, y_train = load_arrow_head(split="train", return_X_y=True)
# it is necessary to pass y_train to the pipeline
# y_train is not used for the transform, but it is used by the classifier
rocket_pipeline.fit(X_train, y_train)

Pipeline(steps=[('rocket', Rocket()),
                ('ridgeclassifiercv',
                 RidgeClassifierCV(alphas=array([1.00000000e-03, 4.64158883e-03, 2.15443469e-02, 1.00000000e-01,
       4.64158883e-01, 2.15443469e+00, 1.00000000e+01, 4.64158883e+01,
       2.15443469e+02, 1.00000000e+03]),
                                   normalize=True))])

4.3 Load and Classify the Test Data

 X_test, y_test = load_arrow_head(split="test", return_X_y=True)
rocket_pipeline.score(X_test, y_test)

0.7942857142857143

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Generated using nbsphinx. The Jupyter notebook can be found here.