通过重建正常模式与对比预测,提升多变量时间序列异常预判精度。
RED-F: Reconstruction-Elimination based Dual-stream Contrastive Forecasting for Multivariate Time Series Anomaly Prediction
- 先重建正常模式,再对比当前窗口与正常预测的差异。
- 在多个真实数据集上,异常检测准确率显著优于现有方法。
- 适合需要高精度异常预警的工业监控、金融风控场景。
多变量时间序列(MTS)中的异常预测(AP)对系统可靠性至关重要。现有方法或仅判断异常是否即将发生,无法提供精确的未来异常预测;或直接在历史数据上进行预测,易被正常模式掩盖。为此,我们提出RED-F框架,包含重建-消除模型(REM)和双流对比预测模型(DFM)。REM从历史数据中构建正常模式基线,为后续异常预测奠定基础。DFM同时预测构建的正常模式与当前窗口,通过计算两预测间的差异,将复杂的异常预测任务转化为更简单稳健的轨迹相对比较任务。为使预测模型对当前窗口更敏感,避免被正常模式淹没,我们设计了多序列预测(MSP)训练目标。在多个真实世界数据集上的大量实验表明,RED-F在异常预测任务中表现出卓越性能。代码已公开于http://github.com/PenyChen/RED-F。
原文摘要 · Abstract (English)
Anomaly prediction (AP) in multivariate time series (MTS) is crucial to ensure system dependability. Existing methods either focus solely on whether an anomaly is imminent without providing precise predictions for the future anomaly, or performing predictions directly on historical data, which is easily drowned out by the normal patterns. To address the challenges in AP task, we propose RED-F, a novel framework comprised of the Reconstruction-Elimination Model (REM) and the Dual-stream Contrastive Forecasting Model (DFM). We utilize REM to construct a baseline of normal patterns from historical data, providing a foundation for subsequent predictions of anomalies. Then DFM simultaneously predicts both the constructed normal pattern and the current window, employing a contrastive forecast that transforms the difficult AP task into a simpler, more robust task of relative trajectory comparison by computing the divergence between these two predictions. To enable the forecasting model to generate a prediction not easily obscured by normal patterns, we propose a Multi-Series Prediction (MSP) training objective to enhance its sensitivity to the current window. Extensive experiments on multiple real-world datasets demonstrate the superior capability of RED-F in anomaly prediction tasks. Our code is available at http://github.com/PenyChen/RED-F.
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