P-ROCKET: Pruning Random Convolution Kernels for Time Series Classification

In recent years, two time series classification models, ROCKET and MINIROCKET, have attracted much attention for their low training cost and state-of-the-art accuracy. Utilizing random 1-D convolutional kernels without training, ROCKET and MINIROCKET can rapidly extract features from time series data, allowing for the efficient fitting of linear classifiers. However, to comprehensively capture useful features, a large number of random kernels are required, which is incompatible for resource-constrained devices. Therefore, a heuristic evolutionary algorithm named S-ROCKET is devised to recognize and prune redundant kernels. Nevertheless, the inherent nature of evolutionary algorithms renders the evaluation of kernels within S-ROCKET an unacceptable time-consuming process. In this paper, diverging from S-ROCKET, which directly evaluates random kernels with nonsignificant differences, we remove kernels from a feature selection perspective by eliminating associating connections in the sequential classification layer. To this end, we start by formulating the pruning challenge as a Group Elastic Net classification problem and employ the ADMM method to arrive at a solution. Sequentially, we accelerate the aforementioned time-consuming solving process by bifurcating the $l_{2,1}$ and $l_2$ regularizations into two sequential stages and solve them separately, which ultimately forms our core algorithm, named P-ROCKET. Stage 1 of P-ROCKET employs group-wise regularization similarly to our initial ADMM-based Algorithm, but introduces dynamically varying penalties to greatly accelerate the process. To mitigate overfitting, Stage 2 of P-ROCKET implements element-wise regularization to refit a linear classifier, utilizing the retained features.