Multi-Task Self-Supervised Time-Series Representation Learning

Time-series representation learning can extract representations from data with temporal dynamics and sparse labels. When labeled data are sparse but unlabeled data are abundant, contrastive learning, i.e., a framework to learn a latent space where similar samples are close to each other while dissimilar ones are far from each other, has shown outstanding performance. This strategy can encourage varied consistency of time-series representations depending on the positive pair selection and contrastive loss. We propose a new time-series representation learning method by combining the advantages of self-supervised tasks related to contextual, temporal, and transformation consistency. It allows the network to learn general representations for various downstream tasks and domains. Specifically, we first adopt data preprocessing to generate positive and negative pairs for each self-supervised task. The model then performs contextual, temporal, and transformation contrastive learning and is optimized jointly using their contrastive losses. We further investigate an uncertainty weighting approach to enable effective multi-task learning by considering the contribution of each consistency. We evaluate the proposed framework on three downstream tasks: time-series classification, forecasting, and anomaly detection. Experimental results show that our method not only outperforms the benchmark models on these downstream tasks, but also shows efficiency in cross-domain transfer learning.