Adversarial Autoencoder for Unsupervised Time Series Anomaly Detection and Interpretation

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 the limitations, in this paper, we propose an adversarial autoencoder anomaly detection and interpretation framework named DAEMON, 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. An unsupervised approach used to detect anomalies is proposed. Moreover, in order to help operators better diagnose anomalies, DAEMON provides anomaly interpretation by computing the gradients of anomalous data. An extensive empirical study on real data offers evidence that the framework is capable of outperforming state-of-the-art methods in terms of the overall F1-score and interpretation accuracy for time series anomaly detection.