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Paper · 2009.02040 · 2020

Multivariate Time-series Anomaly Detection via Graph Attention Network

arXiv · PDF · Open in the Atlas

Code that ran

We lifted 8 functions out of this paper's own repositories and ran 8 of them in a sandbox. "Ran" means the function executed on a synthesized input and returned a value. It is not a reproduction of the paper's results.

RepositoryRoleRan
ML4ITS/mtad-gat-pytorch pwc_unofficial 7 of 7
mangushev/mtad-gat reimplementation 1 of 1
FunctionStatusWhere it lives
adjust_predicts Ran ML4ITS/mtad-gat-pytorch/eval_methods.py
code served (permissive licence) · get_code("6e0ef50ddcbd9946")
backMean Ran ML4ITS/mtad-gat-pytorch/spot.py
code served (permissive licence) · get_code("e4c7d8229585523b")
calc_point2point Ran ML4ITS/mtad-gat-pytorch/eval_methods.py
code served (permissive licence) · get_code("5730860df6f005e7")
get_data_dim Ran ML4ITS/mtad-gat-pytorch/utils.py
code served (permissive licence) · get_code("8ba79dc49855a077")
get_target_dims Ran ML4ITS/mtad-gat-pytorch/utils.py
code served (permissive licence) · get_code("b2029bff46e49e3a")
normalize_data Ran ML4ITS/mtad-gat-pytorch/utils.py
code served (permissive licence) · get_code("9725dabb7ae0f789")
scale01 Ran mangushev/mtad-gat/training.py
code served (permissive licence) · get_code("681a2fdae1dd8b51")
str2bool Ran ML4ITS/mtad-gat-pytorch/args.py
code served (permissive licence) · get_code("7c508037b40522af")

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Abstract

Anomaly detection on multivariate time-series is of great importance in both data mining research and industrial applications. Recent approaches have achieved significant progress in this topic, but there is remaining limitations. One major limitation is that they do not capture the relationships between different time-series explicitly, resulting in inevitable false alarms. In this paper, we propose a novel self-supervised framework for multivariate time-series anomaly detection to address this issue. Our framework considers each univariate time-series as an individual feature and includes two graph attention layers in parallel to learn the complex dependencies of multivariate time-series in both temporal and feature dimensions. In addition, our approach jointly optimizes a forecasting-based model and are construction-based model, obtaining better time-series representations through a combination of single-timestamp prediction and reconstruction of the entire time-series. We demonstrate the efficacy of our model through extensive experiments. The proposed method outperforms other state-of-the-art models on three real-world datasets. Further analysis shows that our method has good interpretability and is useful for anomaly diagnosis.

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