MagNet: Multilevel Dynamic Wavelet Graph Neural Network for Multivariate Time Series Classification

Abstract

Multivariate time series classification (MTSC) is a fundamental data mining task, which is widely applied in the fields like health care and energy management. However, the existing MTSC methods are mostly adapted from univariate versions and model the static patterns among series in the time domain. We argue they fail to capture the inter-dependencies across variables and rarely consider the unique dynamic features in multilevel frequencies, which are susceptible to signal noise and lack sufficient feature extraction capability to achieve satisfactory classification accuracy. To address these issues, we propose a novel M ultilevel dyn a mic wavelet g raph neural Net work called MagNet, which effectively captures inherent temporal-frequency dependencies in multivariate time series data in a global view, facilitating the information flow among interrelated variables and leveraging learnable graph neural networks (GNNs) to uncover dynamic frequency dependencies. We propose an orthogonal temporal convolution layer that utilizes soft orthogonal losses to constrain features learned at different frequency components to reduce feature redundancy. Additionally, we introduce a hierarchical graph coarsening operator to address the flat learning challenges in traditional GNNs. Our dynamic wavelet graph neural network and hierarchical coarsening enable deep model stacking and end-to-end learning. Extensive experiments on 30 UEA benchmarks demonstrate that our method outperforms the state-of-the-art baselines in the MTSC tasks.