Optimizing VarLiNGAM for Scalable and Efficient Time Series Causal Discovery

• URL: http://arxiv.org/abs/2409.05500v1
• Date: Mon, 9 Sep 2024 10:52:58 GMT
• Title: Optimizing VarLiNGAM for Scalable and Efficient Time Series Causal Discovery
• Authors: Ziyang Jiao, Ce Guo, Wayne Luk,
• Abstract summary: Causal discovery is designed to identify causal relationships in data. Time series causal discovery is particularly challenging due to the need to account for temporal dependencies and potential time lag effects. This study significantly improves the feasibility of processing large datasets.
• Score: 5.430532390358285
• License: http://creativecommons.org/licenses/by/4.0/
• Abstract: Causal discovery is designed to identify causal relationships in data, a task that has become increasingly complex due to the computational demands of traditional methods such as VarLiNGAM, which combines Vector Autoregressive Model with Linear Non-Gaussian Acyclic Model for time series data. This study is dedicated to optimising causal discovery specifically for time series data, which is common in practical applications. Time series causal discovery is particularly challenging due to the need to account for temporal dependencies and potential time lag effects. By designing a specialised dataset generator and reducing the computational complexity of the VarLiNGAM model from \( O(m^3 \cdot n) \) to \( O(m^3 + m^2 \cdot n) \), this study significantly improves the feasibility of processing large datasets. The proposed methods have been validated on advanced computational platforms and tested across simulated, real-world, and large-scale datasets, showcasing enhanced efficiency and performance. The optimised algorithm achieved 7 to 13 times speedup compared with the original algorithm and around 4.5 times speedup compared with the GPU-accelerated version on large-scale datasets with feature sizes between 200 and 400. Our methods aim to push the boundaries of current causal discovery capabilities, making them more robust, scalable, and applicable to real-world scenarios, thus facilitating breakthroughs in various fields such as healthcare and finance.

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