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Deep Variational Graph Convolutional Recurrent Network for Multivariate Time Series Anomaly Detection

ICML 2022 · Time series › Anomaly detection · approach: Multivariate anomaly detection

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Measured effects reported in the paper

What was changedWhereMeasuredEffect
add prediction (forecasting) loss alongside reconstruction loss (VGCRN vs VGCRN-rec) (ablation)VGCRN · DNDF1-score: 0.820 -> 0.826Helped
add prediction loss alongside reconstruction loss (VGCRN vs VGCRN-rec) (ablation)VGCRN · SMDF1-score: 0.893 -> 0.901Helped
stack to 3 layers (DVGCRN-layer3 vs single-layer VGCRN)DVGCRN · DNDF1-score: 0.826 -> 0.834Helped
use modified multi-layer anomaly score (Eq.14, '-M') (ablation)DVGCRN-layer3 · DNDF1-score: 0.834 -> 0.849Helped
use modified multi-layer anomaly score (Eq.14, '-M') (ablation)DVGCRN-layer3 · SMDF1-score: 0.912 -> 0.915Helped
use modified multi-layer anomaly score (Eq.14, '-M') (ablation)DVGCRN-layer3 · MSLF1-score: 0.908 -> 0.914Helped
use modified multi-layer anomaly score (Eq.14, '-M') (ablation)DVGCRN-layer3 · SMAPF1-score: 0.912 -> 0.914Helped
add channel graph (embedding-based adjacency) and recurrence/hierarchy in ablation study (ablation)DVGCRN · DND and SMDF1-score: qualitative bar chart onlyHelped
increase network depth with fixed first-layer width (ablation)DVGCRN · DNDF1-score: qualitative trendHelped
increase hidden width beyond a moderate size at fixed depth (ablation)DVGCRN · DNDF1-score: first increases then decreasesMixed
increase number of layers beyond the best depth (ablation)DVGCRN · DND and SMDF1-score: not always improving with more layersMixed
weight reconstruction loss higher (gamma balance) (ablation)DVGCRN · DNDF1-score: qualitativeHelped

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