Cost-sensitive convolutional neural networks for imbalanced time series classification

Time series classification and class imbalance problem are two common issues in a multitude of real-life scenarios. This paper simultaneously explores both issues with deep convolution neural networks (CNNs). Because standard networks treat the majority and minority classes with same class weights, most CNN-based networks fail to classify imbalanced time series. Until recently, there is very little work applying deep learning to imbalanced time series classification (ITSC). Thus, we propose an adaptive cost-sensitive learning strategy to address the ITSC problem. The standard CNN is modified to a cost-sensitive network (CS-CNN), which is able to punish the misclassified samples using a class-dependent cost matrix. Moreover, this cost matrix is automatically updated based on overall class distribution and the CS-CNN's training performance. The proposed method is extended to FCN, LSTM-FCN and ResNet. It is experimentally tested on five public benchmark UCR datasets and a real-life large volume dataset. Four cost-sensitive CNN-based networks are compared with several data samplers and two traditional ITSC methods. The modified networks are superior in all metrics. Results show that cost-sensitive networks successfully complete the ITSC tasks.