Robust factorization of real-world tensor streams with patterns, missing values, and outliers

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Consider multiple seasonal time series being collected in real-time, in the form of a tensor stream. Real-world tensor streams often include missing entries (e.g., due to network disconnection) and at the same time unexpected outliers (e.g., due to system errors). Given such a real-world tensor stream, how can we estimate missing entries and predict future evolution accurately in real-time?In this work, we answer this question by introducing SOFIA, a robust factorization method for real-world tensor streams. In a nutshell, SOFIA smoothly and tightly integrates tensor factorization, outlier removal, and temporal-pattern detection, which naturally reinforce each other. Moreover, SOFIA integrates them in linear time, in an online manner, despite the presence of missing entries. We experimentally show that SOFIA is (a) robust and accurate: yielding up to 76% lower imputation error and 71% lower forecasting error; (b) fast: up to 935× faster than the second-most accurate competitor; and (c) scalable: scaling linearly with the number of new entries per time step.
Publisher
IEEE Computer Society
Issue Date
2021-04-19
Language
English
Citation

37th IEEE International Conference on Data Engineering, ICDE 2021, pp.840 - 851

ISSN
1084-4627
DOI
10.1109/ICDE51399.2021.00078
URI
http://hdl.handle.net/10203/287562
Appears in Collection
RIMS Conference Papers
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