RobustTAD: Robust Time Series Anomaly Detection via Decomposition and Convolutional Neural Networks

TL;DR

RobustTAD is a scalable, decomposition-based neural network framework for time series anomaly detection that effectively handles complex patterns and data scarcity, outperforming existing methods in real-world applications.

Contribution

The paper introduces RobustTAD, a novel framework combining robust seasonal-trend decomposition with a CNN architecture, and explores data augmentation and weighted loss functions for improved anomaly detection.

Findings

Outperforms existing algorithms on benchmark datasets

Effective in handling complex time series patterns

Widely adopted in Alibaba's business scenarios

Abstract

The monitoring and management of numerous and diverse time series data at Alibaba Group calls for an effective and scalable time series anomaly detection service. In this paper, we propose RobustTAD, a Robust Time series Anomaly Detection framework by integrating robust seasonal-trend decomposition and convolutional neural network for time series data. The seasonal-trend decomposition can effectively handle complicated patterns in time series, and meanwhile significantly simplifies the architecture of the neural network, which is an encoder-decoder architecture with skip connections. This architecture can effectively capture the multi-scale information from time series, which is very useful in anomaly detection. Due to the limited labeled data in time series anomaly detection, we systematically investigate data augmentation methods in both time and frequency domains. We also introduce label-based weight and value-based weight in the loss function by utilizing the unbalanced nature of the time series anomaly detection problem. Compared with the widely used forecasting-based anomaly detection algorithms, decomposition-based algorithms, traditional statistical algorithms, as well as recent neural network based algorithms, RobustTAD performs significantly better on public benchmark datasets. It is deployed as a public online service and widely adopted in different business scenarios at Alibaba Group.