将异常检测从观测空间转到隐空间,利用时序动态约束提升检测可靠性。
Anomaly detection in time-series via inductive biases in the latent space of conditional normalizing flows
- 在条件归一化流中引入时序先验,约束隐变量按预设动态演化
- 通过隐空间拟合优度检验识别异常,即使观测似然高也能准确检测
- 适用于多变量时间序列,可解释模型对齐程度,适合工业监控场景
多变量时间序列的深度生成模型通常通过最大化观测数据似然进行训练。然而,观测空间中的似然衡量的是边缘密度,而非对结构化时序动态的符合程度,因此可能为异常或分布外样本赋予高概率。为此,本文将异常概念迁移至预设的隐空间,引入显式归纳偏置于条件归一化流中,构建离散时间状态空间框架,使隐表示遵循指定的时序动态。在此设定下,正常行为对应于隐轨迹服从特定分布,而异常则表现为对这些动态的偏离。异常检测被重新定义为基于统计的合规性检验:将观测映射至隐空间,并通过拟合优度检验评估其与预设隐演化路径的符合程度。该方法提供了一个严谨的判别准则,在高观测似然区域仍具有效性。在合成与真实世界时间序列上的实验表明,该方法能可靠检测频率、振幅及观测噪声异常,并提供模型合规性的可解释诊断。
原文摘要 · Abstract (English)
Deep generative models for anomaly detection in multivariate time-series are typically trained by maximizing observed data likelihood. However, likelihood in observation space measures marginal density rather than conformity to structured temporal dynamics, and therefore can assign high probability to anomalous or out-of-distribution samples. We address this structural limitation by relocating the notion of anomaly to a prescribed latent space. We introduce explicit inductive biases in conditional normalizing flows, modeling time-series observations within a discrete-time state-space framework that constrains latent representations to evolve according to prescribed temporal dynamics. Under this formulation, expected behavior corresponds to compliance with a specified distribution over latent trajectories, while anomalies are defined as violations of these dynamics. Anomaly detection is consequently reformulated as a statistically grounded compliance test, such that observations are mapped to latent space and evaluated via goodness-of-fit tests against the prescribed latent evolution. This yields a principled decision rule that remains effective even in regions of high observation likelihood. Experiments on synthetic and real-world time-series demonstrate reliable detection of anomalies in frequency, amplitude, and observation noise, while providing interpretable diagnostics of model compliance.
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