MPSTime.jl

A Julia package for time-series machine learning (ML) using Matrix-Product States (MPS) built on the ITensors.jl framework [1, 2].

Overview

MPSTime is a Julia package for learning the joint probability distribution of time series directly from data using matrix product state (MPS) methods inspired by quantum many-body physics. It provides a unified formalism for:

• Time-series classification (inferring the class of unseen time-series).
• Univariate time-series imputation (inferring missing points within time-series instances) across fixed-length time series.
• Synthetic data generation (coming soon).

Installation

MPSTime can be installed using the Julia package manager:

julia> ]
pkg> add MPSTime

Usage

See the sidebars for basic usage examples.

Citation

If you use MPSTime in your work, please read and cite the arXiv preprint:

@misc{MPSTime2024,
      title={Using matrix-product states for time-series machine learning}, 
      author={Joshua B. Moore and Hugo P. Stackhouse and Ben D. Fulcher and Sahand Mahmoodian},
      year={2024},
      eprint={2412.15826},
      archivePrefix={arXiv},
      primaryClass={stat.ML},
      url={https://arxiv.org/abs/2412.15826}, 
}