Generalized flow-based variational autoencoder networks for anomaly detection in multivariate time series
Shah, Raimi
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https://hdl.handle.net/2142/110543
Description
Title
Generalized flow-based variational autoencoder networks for anomaly detection in multivariate time series
Author(s)
Shah, Raimi
Issue Date
2021-04-26
Director of Research (if dissertation) or Advisor (if thesis)
Zhao, Zhizhen
Department of Study
Electrical & Computer Eng
Discipline
Electrical & Computer Engr
Degree Granting Institution
University of Illinois at Urbana-Champaign
Degree Name
M.S.
Degree Level
Thesis
Keyword(s)
anomaly detection
deep learning
normalizing flow
variational autoencoder
convolutional neural network
Abstract
Time series are widely used in applications such as finance, robotics, telecommunications, astronomy, and many more. Detecting anomalies like robotic arm failures or server attacks is a valuable and important task. Recent research in anomaly detection in multivariate temporal data formulates the problem as one of variational inference. To solve this problem, such approaches have used variational autoencoders to try to learn the probability distribution of multiple time series.
Variational autoencoders are used as a way to approximate intractable distributions, and methods to improve these approximations are explored through the use of normalizing flows. By applying normalizing flow transforms to the latent variables of a variational autoencoder, the true latent distribution can be more richly modeled and learned, thus enabling better metrics for anomaly detection.
This thesis explores five different types of normalizing flow in the context of three multivariate datasets, and demonstrates the effectiveness, compared to prior research, of flows and convolutional networks for anomaly detection by improving popular metrics like the F1-score.
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