DAEMON: Unsupervised Anomaly Detection and Interpretation for Multivariate Time Series

Abstract

In many complex systems, devices are typically monitored and generating massive multivariate time series. However, due to the complex patterns and little useful labeled data, it is a great challenge to detect anomalies from these time series data. Existing methods either rely on less regularizations, or require a large number of labeled data, leading to poor accuracy in anomaly detection. To overcome those limitations, in this paper, we propose an unsupervised anomaly detection framework, called DAEMON (Adversarial Autoencoder Anomaly Detection Interpretation), which performs robustly for various datasets. The key idea is to use two discriminators to adversarially train an autoencoder to learn the normal pattern of multivariate time series, and thereafter use the reconstruction error to detect anomalies. The robustness of DAEMON is guaranteed by the regularization of hidden variables and reconstructed data using the adversarial generation method. Moreover, in order to help operators better diagnose anomalies, DAEMON provides anomaly interpretation based on the reconstruction error of the constituent univariate time series. Experiment results on four real datasets show that DAEMON can achieve an overall F1-score of 0.94, outperforming state-of-the-art methods. In addition, the anomaly interpretation accuracy of DAEMON can achieve 97%.