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Poster

Optimal Transport for Time Series Imputation

Hao Wang · zhengnan li · Haoxuan Li · Xu Chen · Mingming Gong · BinChen · Zhichao Chen

Hall 3 + Hall 2B #46
[ ]
Fri 25 Apr 7 p.m. PDT — 9:30 p.m. PDT

Abstract:

Missing data imputation through distribution alignment has demonstrated advantages for non-temporal datasets but exhibits suboptimal performance in time-series applications. The primary obstacle is crafting a discrepancy measure that simultaneously (1) captures temporal patterns—accounting for periodicity and temporal dependencies inherent in time-series—and (2) accommodates non-stationarity, ensuring robustness amidst multiple coexisting temporal patterns. In response to these challenges, we introduce the Proximal Spectrum Wasserstein (PSW) discrepancy, a novel discrepancy tailored for comparing two \textit{sets} of time-series based on optimal transport. It incorporates a pairwise spectral distance to encapsulate temporal patterns, and a selective matching regularization to accommodate non-stationarity. Subsequently, we develop the PSW for Imputation (PSW-I) framework, which iteratively refines imputation results by minimizing the PSW discrepancy. Extensive experiments demonstrate that PSW-I effectively accommodates temporal patterns and non-stationarity, outperforming prevailing time-series imputation methods. Code is available at https://github.com/FMLYD/PSW-I.

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