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Register a new userTadGAN: Time Series Anomaly Detection Using Generative Adversarial Networks
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Time series anomalies can offer information relevant to critical situations facing various fields, from finance and aerospace to the IT, security, and medical domains. However, detecting anomalies in time series data is particularly challenging due to the vague definition of anomalies and said datas frequent lack of labels and highly complex temporal correlations. Current state-of-the-art unsupervised machine learning methods for anomaly detection suffer from scalability and portability issues, and may have high false positive rates. In this paper, we propose TadGAN, an unsupervised anomaly detection approach built on Generative Adversarial Networks (GANs). To capture the temporal correlations of time series distributions, we use LSTM Recurrent Neural Networks as base models for Generators and Critics. TadGAN is trained with cycle consistency loss to allow for effective time-series data reconstruction. We further propose several novel methods to compute reconstruction errors, as well as different approaches to combine reconstruction errors and Critic outputs to compute anomaly scores. To demonstrate the performance and generalizability of our approach, we test several anomaly scoring techniques and report the best-suited one. We compare our approach to 8 baseline anomaly detection methods on 11 datasets from multiple reputable sources such as NASA, Yahoo, Numenta, Amazon, and Twitter. The results show that our approach can effectively detect anomalies and outperform baseline methods in most cases (6 out of 11). Notably, our method has the highest averaged F1 score across all the datasets. Our code is open source and is available as a benchmarking tool.
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Large companies need to monitor various metrics (for example, Page Views and Revenue) of their applications and services in real time. At Microsoft, we develop a time-series anomaly detection service which helps customers to monitor the time-series continuously and alert for potential incidents on time. In this paper, we introduce the pipeline and algorithm of our anomaly detection service, which is designed to be accurate, efficient and general. The pipeline consists of three major modules, including data ingestion, experimentation platform and online compute. To tackle the problem of time-series anomaly detection, we propose a novel algorithm based on Spectral Residual (SR) and Convolutional Neural Network (CNN). Our work is the first attempt to borrow the SR model from visual saliency detection domain to time-series anomaly detection. Moreover, we innovatively combine SR and CNN together to improve the performance of SR model. Our approach achieves superior experimental results compared with state-of-the-art baselines on both public datasets and Microsoft production data.
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Many biological data analysis processes like Cytometry or Next Generation Sequencing (NGS) produce massive amounts of data which needs to be processed in batches for down-stream analysis. Such datasets are prone to technical variations due to difference in handling the batches possibly at different times, by different experimenters or under other different conditions. This adds variation to the batches coming from the same source sample. These variations are known as Batch Effects. It is possible that these variations and natural variations due to biology confound but such situations can be avoided by performing experiments in a carefully planned manner. Batch effects can hamper downstream analysis and may also cause results to be inconclusive. Thus, it is essential to correct for these effects. This can be solved using a novel Generative Adversarial Networks (GANs) based framework that is proposed here, advantage of using this framework over other prior approaches is that here it is not required to choose a reproducing kernel and define its parameters. Results of the framework on a mass cytometry dataset are reported.
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