DTW(Dynamic Time Warping)-時系列の類似度

DTW(Dynamic Time Warping)

Python

wiki/Dynamic_time_warpingのImplementationをPythonに書き換えただけです。

def DTW(s, t):
    S = len(s)
    T = len(t)

    dtw = np.full((S + 1, T + 1), np.inf)
    dtw[0, 0] = 0

    for i in range(1, S + 1):
        for j in range(1, T + 1):
            cost = np.sqrt((s[i - 1] - t[i - 1]) ** 2)
            dtw[i, j] = cost + min(dtw[i - 1, j],
                                   dtw[i, j - 1],
                                   dtw[i - 1, j - 1])
    return dtw[S-1, T-1]

参考

1. wiki/Dynamic_time_warping