Unsupervised Online Anomaly Detection On Irregularly Sampled Or Missing
Valued Time-Series Data Using LSTM Networks
- URL: http://arxiv.org/abs/2005.12005v1
- Date: Mon, 25 May 2020 09:41:04 GMT
- Title: Unsupervised Online Anomaly Detection On Irregularly Sampled Or Missing
Valued Time-Series Data Using LSTM Networks
- Authors: Oguzhan Karaahmetoglu (1 and 2), Fatih Ilhan (1 and 2), Ismail Balaban
(2), Suleyman Serdar Kozat (1 and 2) ((1) Bilkent University, (2) DataBoss
A.S.)
- Abstract summary: We study anomaly detection and introduce an algorithm that processes variable length, irregularly sampled sequences or sequences with missing values.
Our algorithm is fully unsupervised, however, can be readily extended to supervised or semisupervised cases.
- Score: 0.0
- License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
- Abstract: We study anomaly detection and introduce an algorithm that processes variable
length, irregularly sampled sequences or sequences with missing values. Our
algorithm is fully unsupervised, however, can be readily extended to supervised
or semisupervised cases when the anomaly labels are present as remarked
throughout the paper. Our approach uses the Long Short Term Memory (LSTM)
networks in order to extract temporal features and find the most relevant
feature vectors for anomaly detection. We incorporate the sampling time
information to our model by modulating the standard LSTM model with time
modulation gates. After obtaining the most relevant features from the LSTM, we
label the sequences using a Support Vector Data Descriptor (SVDD) model. We
introduce a loss function and then jointly optimize the feature extraction and
sequence processing mechanisms in an end-to-end manner. Through this joint
optimization, the LSTM extracts the most relevant features for anomaly
detection later to be used in the SVDD, hence completely removes the need for
feature selection by expert knowledge. Furthermore, we provide a training
algorithm for the online setup, where we optimize our model parameters with
individual sequences as the new data arrives. Finally, on real-life datasets,
we show that our model significantly outperforms the standard approaches thanks
to its combination of LSTM with SVDD and joint optimization.
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