Machine learning and deep learning approaches for multivariate time series prediction and anomaly detection

Thill, M. (2022)

Doctoral Thesis

In many real-world applications today, it is critical to continuously record and monitor certain machine or system health indicators to discover malfunctions or other abnormal behavior at an early stage and prevent potential harm. The demand for such reliable monitoring systems is expected to increase in the coming years. 
Particularly in the industrial context, in the course of ongoing digitization, it is becoming increasingly important to analyze growing volumes of data in an automated manner using state-of-the-art algorithms. In many practical applications, one has to deal with temporal data in the form of data streams or time series. The problem of detecting unusual (or anomalous) behavior in time series is commonly referred to as time series anomaly detection. Anomalies are events observed in the data that do not conform to the normal or expected behavior when viewed in their temporal context.
This thesis focuses on unsupervised machine learning algorithms for anomaly detection in time series. In an unsupervised learning setup, a model attempts to learn the normal behavior in a time series — which might already be contaminated with anomalies — without any external assistance. The model can then use its learned notion of normality to detect anomalous events. 

• Anomaly Detection
• Time Series
• Machine Learning
• Deep Learning

• All authors: Thill, M.
• Supervisor: Bäck, T.H.W.; Konen, W.
• Co-supervisor: Wang, H.
• Committee: Plaat, A.; Batenburg, K.J.; Baratchi, M.; Trautmann, H.; Alba, E.
• Qualification: Doctor (dr.)
• Awarding Institution: Leiden Institute of Advanced Computer Science (LIACS), Faculty of Science, Leiden University
• Date: 2022-03-17