提出一种实时多变量时间序列异常检测方法,无需存储历史数据即可高效识别异常。
Real-Time Decorrelation-Based Anomaly Detection for Multivariate Time Series
- 逐样本在线学习数据相关性结构,单次遍历完成检测
- 在多个基准数据集上性能优于现有方法,高维下仍稳定有效
- 适合工业物联网等内存受限的实时场景,兼顾精度与效率
异常检测在现实世界中至关重要,可识别系统故障、欺诈行为或罕见疾病等关键事件。随着物联网发展,对实时异常检测的需求激增,需处理海量多变量传感器数据并实现即时响应。真实场景要求方法能处理高维流数据,且以单次遍历方式运行,无需存储历史数据,从而实现低内存占用和快速决策。本文提出DAD,一种基于在线去相关学习的实时多变量时间序列异常检测方法。不同于传统基于邻近性或重构的检测器,DAD在单次遍历中逐样本动态学习并监控数据的相关结构,实现高效精准检测。为支持更贴近实际的评估,我们还设计了针对实时异常检测的实用超参数调优策略。大量实验表明,DAD在多种异常类型下表现最为一致且领先于现有先进方法。其对维度增加的鲁棒性使其特别适用于实时高维数据流。DAD不仅在检测效果与计算效率间取得最佳平衡,更树立了内存受限实时异常检测的新标准。
原文摘要 · Abstract (English)
Anomaly detection (AD) plays a vital role across a wide range of real-world domains by identifying data instances that deviate from expected patterns, potentially signaling critical events such as system failures, fraudulent activities, or rare medical conditions. The demand for real-time AD has surged with the rise of the (Industrial) Internet of Things, where massive volumes of multivariate sensor data must be processed instantaneously. Real-time AD requires methods that not only handle high-dimensional streaming data but also operate in a single-pass manner, without the burden of storing historical instances, thereby ensuring minimal memory usage and fast decision-making. We propose DAD, a novel real-time decorrelation-based anomaly detection method for multivariate time series, based on an online decorrelation learning approach. Unlike traditional proximity-based or reconstruction-based detectors that process entire data or windowed instances, DAD dynamically learns and monitors the correlation structure of data sample by sample in a single pass, enabling efficient and effective detection. To support more realistic benchmarking practices, we also introduce a practical hyperparameter tuning strategy tailored for real-time anomaly detection scenarios. Extensive experiments on widely used benchmark datasets demonstrate that DAD achieves the most consistent and superior performance across diverse anomaly types compared to state-of-the-art methods. Crucially, its robustness to increasing dimensionality makes it particularly well-suited for real-time, high-dimensional data streams. Ultimately, DAD not only strikes an optimal balance between detection efficacy and computational efficiency but also sets a new standard for real-time, memory-constrained anomaly detection.
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