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ALAE: self-attention reconstruction network for multivariate time series anomaly identification

  • Data analytics and machine learning
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Abstract

Multivariate time series from the real world has great application values, where its accurate anomaly identification has become an important research topic. Although existing methods have achieved promising performance to some extent, there still exist some limitations, such as the temporal dependency of long sequences and complex relationships among multiple features. To address these problems, a self-attention-based unsupervised multivariate reconstruction network called ALAE is proposed in this paper. ALAE first establishes a LSTM autoencoder framework to capture the temporal dependencies of long sequences. Then, a multi-head weighted self-attention mechanism is proposed to explore the complex relationships between multiple features in high-dimensional data. This attention mechanism also resolves the issue of insufficient information caused by the fixed vector between the encoder and decoder. Finally, a more robust strategy is used to calculate the anomaly score. Abundant experiments conducted on six public multivariate time series datasets, including financial risks, social governance, and NASA, show that ALAE performs better than seven baseline algorithms. Noteworthy, ablation experiments reveal the validity of integrating the autoencoder with the attention mechanism.

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Acknowledgements

This work was supported by National Natural Science Foundation of China (Grant No. 62072274), the Shandong Provincial Transfer and Transformation Project of Scientific and Technological Achievements (Grant No.2021LYXZ021), and the Special Funds of Taishan Scholars Project of Shandong Province(No.tstp20221137).

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Authors and Affiliations

  1. School of Computer Science and Technology, Shandong University of Finance and Economics, Jinan, 250014, China

    Kai Jiang, Hui Liu & Yuxiu Lin

  2. Shandong Key Laboratory of Blockchain Finance, Jinan, 250014, China

    Kai Jiang

  3. Key Laboratory of Digital Media Technology of Shandong Province, Jinan, 250014, China

    Hui Liu & Yuxiu Lin

  4. Institute of Information Technology, Shandong Academy of Agricultural Sciences, Jinan, 250000, China

    Huaijun Ruan & Jia Zhao

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  1. Kai Jiang
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  2. Hui Liu
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  3. Huaijun Ruan
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Correspondence to Hui Liu.

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Jiang, K., Liu, H., Ruan, H. et al. ALAE: self-attention reconstruction network for multivariate time series anomaly identification. Soft Comput 27, 10509–10519 (2023). https://doi.org/10.1007/s00500-023-08467-4

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