Unsupervised anomaly detection approach for time-series in multi-domains using deep reconstruction error

Abstract

© 2020 by the authors. Automatic anomaly detection for time-series is critical in a variety of real-world domains such as fraud detection, fault diagnosis, and patient monitoring. Current anomaly detection methods detect the remarkably low proportion of the actual abnormalities correctly. Furthermore, most of the datasets do not provide data labels, and require unsupervised approaches. By focusing on these problems, we propose a novel deep learning-based unsupervised anomaly detection approach (RE-ADTS) for time-series data, which can be applicable to batch and real-time anomaly detections. RE-ADTS consists of two modules including the time-series reconstructor and anomaly detector. The time-series reconstructor module uses the autoregressive (AR) model to find an optimal window width and prepares the subsequences for further analysis according to the width. Then, it uses a deep autoencoder (AE) model to learn the data distribution, which is then used to reconstruct a time-series close to the normal. For anomalies, their reconstruction error (RE) was higher than that of the normal data. As a result of this module, RE and compressed representation of the subsequences were estimated. Later, the anomaly detector module defines the corresponding time-series as normal or an anomaly using a RE based anomaly threshold. For batch anomaly detection, the combination of the density-based clustering technique and anomaly threshold is employed. In the case of real-time anomaly detection, only the anomaly threshold is used without the clustering process. We conducted two types of experiments on a total of 52 publicly available time-series benchmark datasets for the batch and real-time anomaly detections. Experimental results show that the proposed RE-ADTS outperformed the state-of-the-art publicly available anomaly detection methods in most cases.