MST-VAE: Multi-Scale Temporal Variational Autoencoder for Anomaly Detection in Multivariate Time Series

Abstract

In IT monitoring systems, anomaly detection plays a vital role in detecting and alerting unexpected behaviors timely to system operators. With the growth of signal data in both volumes and dimensions during operation, unsupervised learning turns out to be a great solution to trigger anomalies thanks to the feasibility of working well with unlabeled data. In recent years, autoencoder, an unsupervised learning technique, has gained much attention because of its robustness. Autoencoder first compresses input data to lower-dimensional latent representation, which obtains normal patterns, then the compressed data are reconstructed back to the input form to detect abnormal data. In this paper, we propose a practical unsupervised learning approach using Multi-Scale Temporal convolutional kernels with Variational AutoEncoder (MST-VAE) for anomaly detection in multivariate time series data. Our key observation is that combining short-scale and long-scale convolutional kernels to extract various temporal information of the time series can enhance the model performance. Extensive empirical studies on five real-world datasets demonstrate that MST-VAE can outperform baseline methods in effectiveness and efficiency.

Keywords

• multi-scale convolutional kernels
• variational autoencoder
• multivariate time series
• anomaly detection
• convolutional neural network