Drift doesn't Matter: Dynamic Decomposition with Diffusion Reconstruction for Unstable Multivariate Time Series Anomaly Detection

Part of Advances in Neural Information Processing Systems 36 (NeurIPS 2023) Main Conference Track

Bibtex Paper Supplemental


Chengsen Wang, Zirui Zhuang, Qi Qi, Jingyu Wang, Xingyu Wang, Haifeng Sun, Jianxin Liao


Many unsupervised methods have recently been proposed for multivariate time series anomaly detection. However, existing works mainly focus on stable data yet often omit the drift generated from non-stationary environments, which may lead to numerous false alarms. We propose **D**ynamic **D**ecomposition with **D**iffusion **R**econstruction (D$^3$R), a novel anomaly detection network for real-world unstable data to fill the gap. D$^3$R tackles the drift via decomposition and reconstruction. In the decomposition procedure, we utilize data-time mix-attention to dynamically decompose long-period multivariate time series, overcoming the limitation of the local sliding window. The information bottleneck is critical yet difficult to determine in the reconstruction procedure. To avoid retraining once the bottleneck changes, we control it externally by noise diffusion and directly reconstruct the polluted data. The whole model can be trained end-to-end. Extensive experiments on various real-world datasets demonstrate that D$^3$R significantly outperforms existing methods, with a 11% average relative improvement over the previous SOTA models.