Unsupervised Retrieval Based Multivariate Time Series Anomaly Detection and Diagnosis with Deep Binary Coding Models

Abstract

Retrieval based multivariate time series anomaly detection and diagnosis refer to identifying abnormal status in certain time steps and pinpointing the root cause input variables, i.e., sensors, by comparing a current time series segment and its relevant ones that are retrieved from huge amount of historical data. Binary coding with a deep neural network can be applied to reduce the computational cost of the retrieval tasks. However, it is hard to pinpoint the root cause sensors that are responsible for the anomaly, once multivariate time series segments are transformed into binary codes. In this paper, we present an unsupervised retrieval based multivariate time series anomaly detection and diagnosis method with deep binary coding model, to secure both efficiency and explainability. Specifically, we first transform input multivariate time series segments into low dimensional features with a temporal encoder. Subsequently, two hash functions predict two binary codes with different lengths from each feature. The binary codes with two different lengths can contribute to accelerate both anomaly detection and anomaly diagnosis. Experiments performed on datasets from various domains including real optical network, demonstrate the effectiveness and efficiency of the proposed method.