Soft Contrastive Learning for Time Series

Contrastive learning has shown to be effective to learn representations from time series in a self-supervised way. However, contrasting similar time series instances or values from adjacent timestamps within a time series leads to ignore their inherent correlations, which results in deteriorating the quality of learned representations. To address this issue, we propose SoftCLT, a simple yet effective soft contrastive learning strategy for time series. This is achieved by introducing instance-wise and temporal contrastive loss with soft assignments ranging from zero to one. Specifically, we define soft assignments for 1) instance-wise contrastive loss by the distance between time series on the data space, and 2) temporal contrastive loss by the difference of timestamps. SoftCLT is a plug-and-play method for time series contrastive learning that improves the quality of learned representations without bells and whistles. In experiments, we demonstrate that SoftCLT consistently improves the performance in various downstream tasks including classification, semi-supervised learning, transfer learning, and anomaly detection, showing stateof-the-art performance. Code is available at this repository: https://github. Time series (TS) data are ubiquitous in many fields, including finance, energy, healthcare, and transportation (Ding et al., 2020; Lago et al., 2018; Solares et al., 2020; Cai et al., 2020). However, annotating TS data can be challenging as it often requires significant domain expertise and time. To overcome the limitation and utilize unlabeled data without annotations, self-supervised learning has emerged as a promising representation learning approach not only in natural language processing (Devlin et al., 2018; Gao et al., 2021) and computer vision (Chen et al., 2020; Dosovitskiy et al., 2021), but also in TS analysis (Franceschi et al., 2019; Yue et al., 2022). In particular, contrastive learning (CL) has demonstrated remarkable performance across different domains (Chen et al., 2020; Gao et al., 2021; Yue et al., 2022). As it is challenging to determine similarities of instances in self-supervised learning, recent CL works apply data augmentation to generate two views per data and take views from the same instance as positive pairs and the others as negatives (Chen et al., 2020).