Time Series Anomaly Detection With Adversarial Reconstruction Networks

Time series data naturally exist in many domains including medical data analysis, infrastructure sensor monitoring, and motion tracking. However, a very small portion of anomalous time series can be observed, comparing to the whole data. Most existing approaches are based on the supervised classification model requiring representative labels for anomaly class(es), which is challenging in real-world problems. So can we learn how to detect anomalous time ticks in an effective yet efficient way, given mostly normal time series data? Therefore, we propose an unsupervised reconstruction model named BeatGAN which learns to detect anomalies based on normal data, or data which majority of samples are normal. BeatGAN provides a framework to adversarially learn to reconstruct, which can cooperate with both 1-d CNN and RNN. Rarely observed anomalies can result in larger reconstruction errors, which are then detected based on extreme value theory. Moreover, data augmentation with dynamic time warping regularizes reconstruction and provides robustness. In the experiments, effectiveness and sensitivity are studied in both synthetic data and various real-world time series. BeatGAN achieves better accuracy and fast inference.