通过图对齐捕捉多变量时间序列依赖关系变化,实现更精准的异常检测。
Interdependency Matters: Graph Alignment for Multivariate Time Series Anomaly Detection
- 将异常检测转化为图对齐问题,动态构建子序列图以捕捉通道间依赖演化。
- 利用节点和边的联合对齐,正常数据对齐成本低,异常数据成本高,区分度显著。
- 首次在多变量时间序列中显式使用图对齐检测依赖关系变化,适合工业级异常监测。
多变量时间序列(MTS)异常检测在数据挖掘与工业应用中至关重要。当前工业方法通常将其视为无监督学习任务,通过估计噪声标签缺失数据中的正常分布来识别偏离。这些方法越来越多地引入图结构来建模通道间的依赖关系以提升精度。然而,依赖关系的变化比以往理解的更为关键——从正常到异常数据,通道间的依赖关系发生显著转移。这一发现表明:异常可通过依赖关系图序列的变化来检测。为此,我们提出MADGA(基于图对齐的多变量时间序列异常检测),将异常检测重新定义为图对齐(GA)问题,显式利用依赖关系进行检测。MADGA动态将子序列转换为图,以捕捉依赖关系的演化,并在图之间执行对齐,优化对齐方案以最小化成本,正常数据对齐距离小,异常数据则大。独特之处在于,该方法同时对齐节点与边,使用Wasserstein距离处理节点,Gromov-Wasserstein距离处理边。据我们所知,这是首个显式利用图对齐检测多变量时间序列依赖关系变化的方法。在多个真实世界数据集上的大量实验验证了MADGA的有效性,其在各类场景下均达到领先性能,具备检测异常与区分依赖关系的能力。
原文摘要 · Abstract (English)
Anomaly detection in multivariate time series (MTS) is crucial for various applications in data mining and industry. Current industrial methods typically approach anomaly detection as an unsupervised learning task, aiming to identify deviations by estimating the normal distribution in noisy, label-free datasets. These methods increasingly incorporate interdependencies between channels through graph structures to enhance accuracy. However, the role of interdependencies is more critical than previously understood, as shifts in interdependencies between MTS channels from normal to anomalous data are significant. This observation suggests that \textit{anomalies could be detected by changes in these interdependency graph series}. To capitalize on this insight, we introduce MADGA (MTS Anomaly Detection via Graph Alignment), which redefines anomaly detection as a graph alignment (GA) problem that explicitly utilizes interdependencies for anomaly detection. MADGA dynamically transforms subsequences into graphs to capture the evolving interdependencies, and Graph alignment is performed between these graphs, optimizing an alignment plan that minimizes cost, effectively minimizing the distance for normal data and maximizing it for anomalous data. Uniquely, our GA approach involves explicit alignment of both nodes and edges, employing Wasserstein distance for nodes and Gromov-Wasserstein distance for edges. To our knowledge, this is the first application of GA to MTS anomaly detection that explicitly leverages interdependency for this purpose. Extensive experiments on diverse real-world datasets validate the effectiveness of MADGA, demonstrating its capability to detect anomalies and differentiate interdependencies, consistently achieving state-of-the-art across various scenarios.
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