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Time Series Discord Discovery on Intel Many-Core Systems

  • Jan 1, 2019
  • Mikhail Zymbler +2 more
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Abstract

A discord is a refinement of the concept of an anomalous subsequence of a time series. The task of discovering discords is applied in a wide range of subject areas involving time series: medicine, economics, climate modeling, and others. In this paper, we propose a novel parallel algorithm for discord discovery using Intel MIC (Many Integrated Core) accelerators in the case when time series fit in the main memory. We achieve parallelization through thread-level parallelism and OpenMP technology. The algorithm employs a set of matrix data structures to store and index the subsequences of a time series and to provide an efficient vectorization of computations on the Intel MIC platform. Moreover, the algorithm exploits the ability to independently computing Euclidean distances between subsequences of a time series. The algorithm iterates subsequences in two nested loops; it parallelizes the outer and the inner loops separately and differently, depending on both the number of running threads and the cardinality of the sets of subsequences scanned in the loop. The experimental evaluation shows the high scalability of the proposed algorithm.

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