RSM-GAN: A Convolutional Recurrent GAN for Anomaly Detection in Contaminated Seasonal Multivariate Time Series

Abstract: Robust anomaly detection is a requirement for monitoring complex modern systems with applications such as cyber-security, fraud prevention, and maintenance. These systems generate multiple correlated time series that are highly seasonal and noisy. This paper presents a novel unsupervised deep learning architecture for multivariate time series anomaly detection, called Robust Seasonal Multivariate Generative Adversarial Network (RSM-GAN). It extends recent advancements in GANs with adoption of convolutional-LSTM layers and an attention mechanism to produce state-of-the-art performance. We conduct extensive experiments to demonstrate the strength of our architecture in adjusting for complex seasonality patterns and handling severe levels of training data contamination. We also propose a novel anomaly score assignment and causal inference framework. We compare RSM-GAN with existing classical and deep-learning based anomaly detection models, and the results show that our architecture is associated with the lowest false positive rate and improves precision by 30% and 16% in real-world and synthetic data, respectively. Furthermore, we report the superiority of RSM-GAN regarding accurate root cause identification and NAB scores in all data settings.