论文标题

时间序列中无监督的异常检测:对最新方法的广泛评估和分析

Unsupervised Anomaly Detection in Time-series: An Extensive Evaluation and Analysis of State-of-the-art Methods

论文作者

Mejri, Nesryne, Lopez-Fuentes, Laura, Roy, Kankana, Chernakov, Pavel, Ghorbel, Enjie, Aouada, Djamila

论文摘要

储层计算是预测湍流的有力工具,其简单的架构具有处理大型系统的计算效率。然而,其实现通常需要完整的状态向量测量和系统非线性知识。我们使用非线性投影函数将系统测量扩展到高维空间,然后将其输入到储层中以获得预测。我们展示了这种储层计算网络在时空混沌系统上的应用,该系统模拟了湍流的若干特征。我们表明,使用径向基函数作为非线性投影器,即使只有部分观测并且不知道控制方程,也能稳健地捕捉复杂的系统非线性。最后,我们表明,当测量稀疏、不完整且带有噪声,甚至控制方程变得不准确时,我们的网络仍然可以产生相当准确的预测,从而为实际湍流系统的无模型预测铺平了道路。

Unsupervised anomaly detection in time-series has been extensively investigated in the literature. Notwithstanding the relevance of this topic in numerous application fields, a comprehensive and extensive evaluation of recent state-of-the-art techniques taking into account real-world constraints is still needed. Some efforts have been made to compare existing unsupervised time-series anomaly detection methods rigorously. However, only standard performance metrics, namely precision, recall, and F1-score are usually considered. Essential aspects for assessing their practical relevance are therefore neglected. This paper proposes an in-depth evaluation study of recent unsupervised anomaly detection techniques in time-series. Instead of relying solely on standard performance metrics, additional yet informative metrics and protocols are taken into account. In particular, (i) more elaborate performance metrics specifically tailored for time-series are used; (ii) the model size and the model stability are studied; (iii) an analysis of the tested approaches with respect to the anomaly type is provided; and (iv) a clear and unique protocol is followed for all experiments. Overall, this extensive analysis aims to assess the maturity of state-of-the-art time-series anomaly detection, give insights regarding their applicability under real-world setups and provide to the community a more complete evaluation protocol.

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