RSM-GAN: A Convolutional Recurrent GAN for Anomaly Detection in Contaminated Seasonal Multivariate Time Series
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Robust anomaly detection is a requirement for monitoring complex modern systems with applications such as cyber-security, fraud prevention, and maintenance. These systems generate multiple correlated time series that are highly seasonal and noisy. This paper presents a novel unsupervised deep learning architecture for multivariate time series anomaly detection, called Robust Seasonal Multivariate Generative Adversarial Network (RSM-GAN). It extends recent advancements in GANs with adoption of convolutional-LSTM layers and an attention mechanism to produce state-of-the-art performance. We conduct extensive experiments to demonstrate the strength of our architecture in adjusting for complex seasonality patterns and handling severe levels of training data contamination. We also propose a novel anomaly score assignment and causal inference framework. We compare RSM-GAN with existing classical and deep-learning based anomaly detection models, and the results show that our architecture is associated with the lowest false positive rate and improves precision by 30 Furthermore, we report the superiority of RSM-GAN regarding accurate root cause identification and NAB scores in all data settings.
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