An Adaptive Approach for Anomaly Detector Selection and Fine-Tuning in Time Series

The anomaly detection of time series is a hotspot of time series data mining. The own characteristics of different anomaly detectors determine the abnormal data that they are good at. There is no detector can be optimizing in all types of anomalies. Moreover, it still has difficulties in industrial production due to problems such as a single detector can't be optimized at different time windows of the same time series. This paper proposes an adaptive model based on time series characteristics and selecting appropriate detector and run-time parameters for anomaly detection, which is called ATSDLN(Adaptive Time Series Detector Learning Network). We take the time series as the input of the model, and learn the time series representation through FCN. In order to realize the adaptive selection of detectors and run-time parameters according to the input time series, the outputs of FCN are the inputs of two sub-networks: the detector selection network and the run-time parameters selection network. In addition, the way that the variable layer width design of the parameter selection sub-network and the introduction of transfer learning make the model be with more expandability. Through experiments, it is found that ATSDLN can select appropriate anomaly detector and run-time parameters, and have strong expandability, which can quickly transfer. We investigate the performance of ATSDLN in public data sets, our methods outperform other methods in most cases with higher effect and better adaptation. We also show experimental results on public data sets to demonstrate how model structure and transfer learning affect the effectiveness.Comment: 7 pages, 5 figures it has been accepted to DLP-KDD 2019 worksho

RobustTAD: Robust Time Series Anomaly Detection via Decomposition and Convolutional Neural Networks

The monitoring and management of numerous and diverse time series data at Alibaba Group calls for an effective and scalable time series anomaly detection service. In this paper, we propose RobustTAD, a Robust Time series Anomaly Detection framework by integrating robust seasonal-trend decomposition and convolutional neural network for time series data. The seasonal-trend decomposition can effectively handle complicated patterns in time series, and meanwhile significantly simplifies the architecture of the neural network, which is an encoder-decoder architecture with skip connections. This architecture can effectively capture the multi-scale information from time series, which is very useful in anomaly detection. Due to the limited labeled data in time series anomaly detection, we systematically investigate data augmentation methods in both time and frequency domains. We also introduce label-based weight and value-based weight in the loss function by utilizing the unbalanced nature of the time series anomaly detection problem. Compared with the widely used forecasting-based anomaly detection algorithms, decomposition-based algorithms, traditional statistical algorithms, as well as recent neural network based algorithms, RobustTAD performs significantly better on public benchmark datasets. It is deployed as a public online service and widely adopted in different business scenarios at Alibaba Group.Comment: 9 pages, 5 figures, and 2 table