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Collaborating Authors

 Goethals, Bart


Efficient pattern-based anomaly detection in a network of multivariate devices

arXiv.org Artificial Intelligence

Many organisations manage service quality and monitor a large set devices and servers where each entity is associated with telemetry or physical sensor data series. Recently, various methods have been proposed to detect behavioural anomalies, however existing approaches focus on multivariate time series and ignore communication between entities. Moreover, we aim to support end-users in not only in locating entities and sensors causing an anomaly at a certain period, but also explain this decision. We propose a scalable approach to detect anomalies using a two-step approach. First, we recover relations between entities in the network, since relations are often dynamic in nature and caused by an unknown underlying process. Next, we report anomalies based on an embedding of sequential patterns. Pattern mining is efficient and supports interpretation, i.e. patterns represent frequent occurring behaviour in time series. We extend pattern mining to filter sequential patterns based on frequency, temporal constraints and minimum description length. We collect and release two public datasets for international broadcasting and X from an Internet company. \textit{BAD} achieves an overall F1-Score of 0.78 on 9 benchmark datasets, significantly outperforming the best baseline by 3\%. Additionally, \textit{BAD} is also an order-of-magnitude faster than state-of-the-art anomaly detection methods.


Proximity Forest: An effective and scalable distance-based classifier for time series

arXiv.org Machine Learning

Research into the classification of time series has made enormous progress in the last decade. The UCR time series archive has played a significant role in challenging and guiding the development of new learners for time series classification. The largest dataset in the UCR archive holds 10 thousand time series only; which may explain why the primary research focus has been in creating algorithms that have high accuracy on relatively small datasets. This paper introduces Proximity Forest, an algorithm that learns accurate models from datasets with millions of time series, and classifies a time series in milliseconds. The models are ensembles of highly randomized Proximity Trees. Whereas conventional decision trees branch on attribute values (and usually perform poorly on time series), Proximity Trees branch on the proximity of time series to one exemplar time series or another; allowing us to leverage the decades of work into developing relevant measures for time series. Proximity Forest gains both efficiency and accuracy by stochastic selection of both exemplars and similarity measures. Our work is motivated by recent time series applications that provide orders of magnitude more time series than the UCR benchmarks. Our experiments demonstrate that Proximity Forest is highly competitive on the UCR archive: it ranks among the most accurate classifiers while being significantly faster. We demonstrate on a 1M time series Earth observation dataset that Proximity Forest retains this accuracy on datasets that are many orders of magnitude greater than those in the UCR repository, while learning its models at least 100,000 times faster than current state of the art models Elastic Ensemble and COTE.