Efficient anomaly detection and diagnosis in multivariate time-series data is of great importance for modern industrial applications. However, building a system that is able to quickly and accurately pinpoint anomalous observations is a challenging problem. This is due to the lack of anomaly labels, high data volatility and the demands of ultra-low inference times in modern applications. Despite the recent developments of deep learning approaches for anomaly detection, only a few of them can address all of these challenges. In this paper, we propose TranAD, a deep transformer network based anomaly detection and diagnosis model which uses attention-based sequence encoders to swiftly perform inference with the knowledge of the broader temporal trends in the data. TranAD uses focus score-based self-conditioning to enable robust multi-modal feature extraction and adversarial training to gain stability. Additionally, model-agnostic meta learning (MAML) allows us to train the model using limited data. Extensive empirical studies on six publicly available datasets demonstrate that TranAD can outperform state-of-the-art baseline methods in detection and diagnosis performance with data and time-efficient training. Specifically, TranAD increases F1 scores by up to 17%, reducing training times by up to 99% compared to the baselines.

TranAD: Deep Transformer Networks for Anomaly Detection in Multivariate Time Series Data

Detecting anomalous subsequences in time series data is an important task in areas ranging from manufacturing processes over finance applications to health care monitoring. An anomaly can indicate important events, such as production faults, delivery bottlenecks, system defects, or heart flicker, and is therefore of central interest. Because time series are often large and exhibit complex patterns, data scientists have developed various specialized algorithms for the automatic detection of such anomalous patterns. The number and variety of anomaly detection algorithms has grown significantly in the past and, because many of these solutions have been developed independently and by different research communities, there is no comprehensive study that systematically evaluates and compares the different approaches. For this reason, choosing the best detection technique for a given anomaly detection task is a difficult challenge.
 This comprehensive, scientific study carefully evaluates most state-of-the-art anomaly detection algorithms. We collected and re-implemented 71 anomaly detection algorithms from different domains and evaluated them on 976 time series datasets. The algorithms have been selected from different algorithm families and detection approaches to represent the entire spectrum of anomaly detection techniques. In the paper, we provide a concise overview of the techniques and their commonalities; we evaluate their individual strengths and weaknesses and, thereby, consider factors, such as effectiveness, efficiency, and robustness. Our experimental results should ease the algorithm selection problem and open up new research directions.

Anomaly detection in time series

Detecting anomalous subsequences in time series data is an important task in areas ranging from manufacturing processes over finance applications to health care monitoring. An anomaly can indicate important events, such as production faults, delivery bot-tlenecks, system defects, or heart flicker, and is therefore of central interest. Because time series are often large and exhibit complex patterns, data scientists have developed various specialized algorithms for the automatic detection of such anomalous patterns. The number and variety of anomaly detection algorithms has grown significantly in the past and, because many of these solutions have been developed independently and by different research communi-ties, there is no comprehensive study that systematically evaluates and compares the different approaches. For this reason, choosing the best detection technique for a given anomaly detection task is a difficult challenge. This comprehensive, scientific study carefully evaluates most state-of-the-art anomaly detection algorithms. We collected and re-implemented 71 anomaly detection algorithms from different domains and evaluated them on 976 time series datasets. The algorithms have been selected from different algorithm families and detection approaches to represent the entire spectrum of anomaly detection techniques. In the paper, we provide a concise overview of the techniques and their commonalities; we evaluate their individual strengths and weaknesses and, thereby, consider factors, such as effectiveness, efficiency, and robustness. Our experimental results should ease the algorithm selection problem and open up new research directions.

Anomaly Detection in Time Series: A Comprehensive Evaluation

Time series are the primary data type used to record dynamic system measurements and generated in great volume by both physical sensors and online processes (virtual sensors). Time series analytics is therefore crucial to unlocking the wealth of information implicit in available data. With the recent advancements in graph neural networks (GNNs), there has been a surge in GNN-based approaches for time series analysis. Approaches can explicitly model inter-temporal and inter-variable relationships, which traditional and other deep neural network-based methods struggle to do. In this survey, we provide a comprehensive review of graph neural networks for time series analysis (GNN4TS), encompassing four fundamental dimensions: Forecasting, classification, anomaly detection, and imputation. Our aim is to guide designers and practitioners to understand, build applications, and advance research of GNN4TS. At first, we provide a comprehensive task-oriented taxonomy of GNN4TS. Then, we present and discuss representative research works and, finally, discuss mainstream applications of GNN4TS. A comprehensive discussion of potential future research directions completes the survey. This survey, for the first time, brings together a vast array of knowledge on GNN-based time series research, highlighting both the foundations, practical applications, and opportunities of graph neural networks for time series analysis.

A Survey on Graph Neural Networks for Time Series: Forecasting, Classification, Imputation, and Anomaly Detection

Time series anomaly detection has applications in a wide range of research fields and applications, including manufacturing and healthcare. The presence of anomalies can indicate novel or unexpected events, such as production faults, system defects, or heart fluttering, and is therefore of particular interest. The large size and complex patterns of time series have led researchers to develop specialised deep learning models for detecting anomalous patterns. This survey focuses on providing structured and comprehensive state-of-the-art time series anomaly detection models through the use of deep learning. It providing a taxonomy based on the factors that divide anomaly detection models into different categories. Aside from describing the basic anomaly detection technique for each category, the advantages and limitations are also discussed. Furthermore, this study includes examples of deep anomaly detection in time series across various application domains in recent years. It finally summarises open issues in research and challenges faced while adopting deep anomaly detection models.

pdf/deep-learning-for-time-series-anomaly-detection-a-survey-1rrqw7pk.pdf

Deep Learning for Time Series Anomaly Detection: A Survey

Access to high-quality data repositories and benchmarks have been instrumental in advancing the state of the art in many experimental research domains. While advanced analytics tasks over time series data have been gaining lots of attention, lack of such community resources severely limits scientific progress. In this paper, we present Exathlon, the first comprehensive public benchmark for explainable anomaly detection over high-dimensional time series data. Exathlon has been systematically constructed based on real data traces from repeated executions of large-scale stream processing jobs on an Apache Spark cluster. Some of these executions were intentionally disturbed by introducing instances of six different types of anomalous events (e.g., misbehaving inputs, resource contention, process failures). For each of the anomaly instances, ground truth labels for the root cause interval as well as those for the extended effect interval are provided, supporting the development and evaluation of a wide range of anomaly detection (AD) and explanation discovery (ED) tasks. We demonstrate the practical utility of Exathlon's dataset, evaluation methodology, and end-to-end data science pipeline design through an experimental study with three state-of-the-art AD and ED techniques.

/pdf/exathlon-a-benchmark-for-explainable-anomaly-detection-over-d3a0uxlj6p.pdf

Exathlon: a benchmark for explainable anomaly detection over time series

Exathlon: A Benchmark for Explainable Anomaly Detection over Time Series.

As enterprise information systems are collecting event streams from various sources, the ability of a system to automatically detect anomalous events and further provide human-readable explanations is of paramount importance. In this paper, we present an approach to integrated anomaly detection (AD) and explanation discovery (ED), which is able to leverage state-of-the-art Deep Learning (DL) techniques for anomaly detection, while being able to recover human-readable explanations for detected anomalies. At the core of the framework is a new human-interpretable dimensionality reduction (HIDR) method that not only reduces the dimensionality of the data, but also maintains a meaningful mapping from the original features to the transformed low-dimensional features. Such transformed features can be fed into any DL technique designed for anomaly detection, and the feature mapping will be used to recover human-readable explanations through a suite of new feature selection and explanation discovery methods. Evaluation using a recent explainable anomaly detection benchmark demonstrates the efficiency and effectiveness of HIDR for AD, and the result that while all three recent ED techniques failed to generate quality explanations on high-dimensional data, our HIDR-based ED framework can enable them to generate explanations with dramatic improvements in the quality of explanations and computational efficiency.

Explainable anomaly detection on high-dimensional time series data

/pdf/a-demonstration-of-the-exathlon-benchmarking-platform-for-1hzmzcwcie.pdf

A demonstration of the exathlon benchmarking platform for explainable anomaly detection

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Exathlon: a benchmark for explainable anomaly detection over time series

Exathlon: A Benchmark for Explainable Anomaly Detection over Time Series.

Explainable anomaly detection on high-dimensional time series data

A demonstration of the exathlon benchmarking platform for explainable anomaly detection