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... Show moreIn 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. Show less
Real-world anomaly detection for time series is still a challenging task. This is especially true for periodic or quasi-periodic time series since automated approaches have to learn long-term... Show moreReal-world anomaly detection for time series is still a challenging task. This is especially true for periodic or quasi-periodic time series since automated approaches have to learn long-term correlations before they are able to detect anomalies. Electrocardiography (ECG) time series, a prominent real-world example of quasi-periodic signals, are investigated in this work. Anomaly detection algorithms often have the additional goal to identify anomalies in an unsupervised manner. In this paper we present an unsupervised time series anomaly detection algorithm. It learns with recurrent Long Short-Term Memory (LSTM) networks to predict the normal time series behavior. The prediction error on several prediction horizons is used to build a statistical model of normal behavior. We propose new methods that are essential for a successful model-building process and for a high signal-to-noise-ratio. We apply our method to the well-known MIT-BIH ECG data set and present first results. We obtain a good recall of anomalies while having a very low false alarm rate (FPR) in a fully unsupervised procedure. We compare also with other anomaly detectors (NuPic, ADVec) from the state-of-the-art. Show less
