Interpretable Discrete Representation Learning on Time Series

SOM-VAE, an interpretable probabilistic deep variational autoencoder based approach for representation learning

Effective and efficient time series representation learning poses an important topic for a vast array of applications like, e.g. clustering. Many currently used approaches share the property of being difficult to interpret though. In many areas it is important that intermediate learned representations are easy to interpret for efficient downstream processing. Fortuin et al. proposed a novel variational autoencoder based time series representation learning framework, making use of discrete dimensionality reduction and deep generative modeling, called SOM-VAE. Their approach tries to overcome non-differentiability in discrete representation learning by introducing a gradient-based version of the self organizing map ( [SOM - Kohonen1990]) that is more performant while simultanuously allowing for probabilistic interpretation by making use of an internal Markov model in the representation space.

Foruin et al. evaluate SOM-VAE using the static (Fashion-)MNIST data from Zalando research, a chaotic Lorenz attractor system with two macro states, and medical time series data from the eICU dataset.

What Are The Benefits?

Learning lower dimensional representations of high dimensional data often enables and facilitates processing by reducing processing and memory complexity on downstream tasks. Furthermore, the availability of human interpretable, lower-dimensional time series representations often makes data interpretability possible while reducing human error during the process, which in turn facilitates research and business. In case of SOM-VAE this is achieved by incooperation of well understood model components, like utilizing a self-organizing map for mapping “states from an uninterpretable continuous space to a lower-dimensional space with a predefined topologically interpretable structure…” - [Foruin et al.] in conjunction with a Markov component for addressing the contextual attribute of a time series.

How Does It Work?

Essentially, Foruin et al. used a generative deep learning network (VAE) and extended it to be able to capture temporal smoothness in a discrete representation space by combining it with a self-organizing map (SOM) which introduces topological neighborhood relationships. As the classical SOM formulation has no notion of time, they extend SOM with a probabilistic transition Markov model in such a way, that single time point representations are enriched with information from adjacent time points in the series.

Schematic overview of the SOM-VAE model architecture. Image: SOM-VAE: Interpretable Discrete Representation Learning On Time Series

The schematic overview depicts time series from the data space [green] being encoded by a neural network [black] time-point wise into the latent space. With the help of a self-organizing map [red] data from the data manifold is being approximated. The discrete representation is achieved by mapping every data point $z_e$ from the latent space to its closest node $z_q$ in the self-organizing map. Subsequently, they train a Markov transition model [blue] for predicting the next discrete representation $z_q^{t+1}$ using the current representation $z_q^t$. Eventually, learned discrete representations can be decoded with the help of another neural network.

Make sure to have a look at their research paper, as it is quite facinating! Foruin et al.‘s original tensorflow-based SOM-VAE implementation, as well as a PyTorch version are available from GitHub.

Kind regards,

Henrik Hain

Henrik Hain
Henrik Hain
Data Scientist / Data Engineer

My (research) interests evolve around the practical and theoretical aspects of software engineering, (self-) learning systems and algorithms, especially (deep) reinforcement learning, spatio-temporal event detection, and computer vision approaches.