RobustSTL: A Robust Seasonal-Trend Decomposition Algorithm for Long Time Series

Decomposing complex time series into trend, seasonality, and remainder components is an important task to facilitate time series anomaly detection and forecasting. Although numerous methods have been proposed, there are still many time series characteristics exhibiting in real-world data which are not addressed properly, including 1) ability to handle seasonality fluctuation and shift, and abrupt change in trend and reminder; 2) robustness on data with anomalies; 3) applicability on time series with long seasonality period. In the paper, we propose a novel and generic time series decomposition algorithm to address these challenges. Specifically, we extract the trend component robustly by solving a regression problem using the least absolute deviations loss with sparse regularization. Based on the extracted trend, we apply the the non-local seasonal filtering to extract the seasonality component. This process is repeated until accurate decomposition is obtained. Experiments on different synthetic and real-world time series datasets demonstrate that our method outperforms existing solutions.Comment: Accepted to the thirty-third AAAI Conference on Artificial Intelligence (AAAI 2019), 9 pages, 5 figure

The model of an anomaly detector for HiLumi LHC magnets based on Recurrent Neural Networks and adaptive quantization

This paper focuses on an examination of an applicability of Recurrent Neural Network models for detecting anomalous behavior of the CERN superconducting magnets. In order to conduct the experiments, the authors designed and implemented an adaptive signal quantization algorithm and a custom GRU-based detector and developed a method for the detector parameters selection. Three different datasets were used for testing the detector. Two artificially generated datasets were used to assess the raw performance of the system whereas the 231 MB dataset composed of the signals acquired from HiLumi magnets was intended for real-life experiments and model training. Several different setups of the developed anomaly detection system were evaluated and compared with state-of-the-art OC-SVM reference model operating on the same data. The OC-SVM model was equipped with a rich set of feature extractors accounting for a range of the input signal properties. It was determined in the course of the experiments that the detector, along with its supporting design methodology, reaches F1 equal or very close to 1 for almost all test sets. Due to the profile of the data, the best_length setup of the detector turned out to perform the best among all five tested configuration schemes of the detection system. The quantization parameters have the biggest impact on the overall performance of the detector with the best values of input/output grid equal to 16 and 8, respectively. The proposed solution of the detection significantly outperformed OC-SVM-based detector in most of the cases, with much more stable performance across all the datasets.Comment: Related to arXiv:1702.0083

Structural Analysis of Network Traffic Matrix via Relaxed Principal Component Pursuit

The network traffic matrix is widely used in network operation and management. It is therefore of crucial importance to analyze the components and the structure of the network traffic matrix, for which several mathematical approaches such as Principal Component Analysis (PCA) were proposed. In this paper, we first argue that PCA performs poorly for analyzing traffic matrix that is polluted by large volume anomalies, and then propose a new decomposition model for the network traffic matrix. According to this model, we carry out the structural analysis by decomposing the network traffic matrix into three sub-matrices, namely, the deterministic traffic, the anomaly traffic and the noise traffic matrix, which is similar to the Robust Principal Component Analysis (RPCA) problem previously studied in [13]. Based on the Relaxed Principal Component Pursuit (Relaxed PCP) method and the Accelerated Proximal Gradient (APG) algorithm, we present an iterative approach for decomposing a traffic matrix, and demonstrate its efficiency and flexibility by experimental results. Finally, we further discuss several features of the deterministic and noise traffic. Our study develops a novel method for the problem of structural analysis of the traffic matrix, which is robust against pollution of large volume anomalies.Comment: Accepted to Elsevier Computer Network