Adversarially learned anomaly detection for time series data

25 Sep 2019  ·  Alexander Geiger, Alfredo Cuesta-Infante, Kalyan Veeramachaneni ·

Anomaly detection in time series data is an important topic in many domains. However, time series are known to be particular hard to analyze. Based on the recent developments in adversarially learned models, we propose a new approach for anomaly detection in time series data. We build upon the idea to use a combination of a reconstruction error and the output of a Critic network. To this end we propose a cycle-consistent GAN architecture for sequential data and a new way of measuring the reconstruction error. We then show in a detailed evaluation how the different parts of our model contribute to the final anomaly score and demonstrate how the method improves the results on several data sets. We also compare our model to other baseline anomaly detection methods to verify its performance.

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