A System for Time Series Feature Extraction in Federated Learning

Federated learning (FL), which enables collaborative learning without revealing raw data, is an emerging topic in privacy-preserving machine learning. Based on our experiences in thousands of real-world applications, time-series feature extraction plays a significant role in improving model quality. In this work, we propose a system automatically integrating time series feature extraction for training FL models. Our experiments show that by adopting time series feature extraction, the model accuracy (AUC) is improved by 3% on average, and recall is increased by 10% in recommender systems. We have open-sourced the project(1) and provided a step by step demonstration on how audiences can use our system to create their own FL pipeline that extracts time series features. (2)