Clustering of Multivariate Time Series Data Using Particle Swarm Optimization

Particle swarm optimization (PSO) is a practical and effective optimization approach that has been applied recently for data clustering in many applications. While various non-evolutionary optimization and clustering algorithms have been applied for clustering multivariate time series in some applications such as customer segmentation, they usually provide poor results due to their dependency on the initial values and their poor performance in manipulating multiple objectives. In this paper, a particle swarm optimization algorithm is proposed for clustering multivariate time series data. Since the time series data sometimes do not have the same length and they usually have missing data, the regular Euclidean distance and dynamic time warping can not be applied for such data to measure the similarity. Therefore, a hybrid similarity measure based on principal component analysis and Mahalanobis distance is applied in order to handle such limitations. The comparison between the results of the proposed method with the similar ones in the literature shows the superiority of the proposed method.