Liang Sun

Yiyuan Yang, Chaoli Zhang, Tian Zhou et al.

Time series anomaly detection is critical for a wide range of applications. It aims to identify deviant samples from the normal sample distribution in time series. The most fundamental challenge for this task is to learn a representation map that enables effective discrimination of anomalies. Reconstruction-based methods still dominate, but the representation learning with anomalies might hurt the performance with its large abnormal loss. On the other hand, contrastive learning aims to find a representation that can clearly distinguish any instance from the others, which can bring a more natural and promising representation for time series anomaly detection. In this paper, we propose DCdetector, a multi-scale dual attention contrastive representation learning model. DCdetector utilizes a novel dual attention asymmetric design to create the permutated environment and pure contrastive loss to guide the learning process, thus learning a permutation invariant representation with superior discrimination abilities. Extensive experiments show that DCdetector achieves state-of-the-art results on multiple time series anomaly detection benchmark datasets. Code is publicly available at https://github.com/DAMO-DI-ML/KDD2023-DCdetector.

Chaoli Zhang, Tian Zhou, Qingsong Wen et al.

Time series anomaly detection is a challenging problem due to the complex temporal dependencies and the limited label data. Although some algorithms including both traditional and deep models have been proposed, most of them mainly focus on time-domain modeling, and do not fully utilize the information in the frequency domain of the time series data. In this paper, we propose a Time-Frequency analysis based time series Anomaly Detection model, or TFAD for short, to exploit both time and frequency domains for performance improvement. Besides, we incorporate time series decomposition and data augmentation mechanisms in the designed time-frequency architecture to further boost the abilities of performance and interpretability. Empirical studies on widely used benchmark datasets show that our approach obtains state-of-the-art performance in univariate and multivariate time series anomaly detection tasks. Code is provided at https://github.com/DAMO-DI-ML/CIKM22-TFAD.

YanJun Zhao, Ziqing Ma, Tian Zhou et al.

Transformer-based models have emerged as promising tools for time series forecasting. However, these model cannot make accurate prediction for long input time series. On the one hand, they failed to capture global dependencies within time series data. On the other hand, the long input sequence usually leads to large model size and high time complexity. To address these limitations, we present GCformer, which combines a structured global convolutional branch for processing long input sequences with a local Transformer-based branch for capturing short, recent signals. A cohesive framework for a global convolution kernel has been introduced, utilizing three distinct parameterization methods. The selected structured convolutional kernel in the global branch has been specifically crafted with sublinear complexity, thereby allowing for the efficient and effective processing of lengthy and noisy input signals. Empirical studies on six benchmark datasets demonstrate that GCformer outperforms state-of-the-art methods, reducing MSE error in multivariate time series benchmarks by 4.38% and model parameters by 61.92%. In particular, the global convolutional branch can serve as a plug-in block to enhance the performance of other models, with an average improvement of 31.93\%, including various recently published Transformer-based models. Our code is publicly available at https://github.com/zyj-111/GCformer.

Hengbo Liu, Ziqing Ma, Linxiao Yang et al.

Accurate prediction of electric load is crucial in power grid planning and management. In this paper, we solve the electric load forecasting problem under extreme events such as scorching heats. One challenge for accurate forecasting is the lack of training samples under extreme conditions. Also load usually changes dramatically in these extreme conditions, which calls for interpretable model to make better decisions. In this paper, we propose a novel forecasting framework, named Self-adaptive Decomposed Interpretable framework~(SaDI), which ensembles long-term trend, short-term trend, and period modelings to capture temporal characteristics in different components. The external variable triggered loss is proposed for the imbalanced learning under extreme events. Furthermore, Generalized Additive Model (GAM) is employed in the framework for desirable interpretability. The experiments on both Central China electric load and public energy meters from buildings show that the proposed SaDI framework achieves average 22.14% improvement compared with the current state-of-the-art algorithms in forecasting under extreme events in terms of daily mean of normalized RMSE. Code, Public datasets, and Appendix are available at: https://doi.org/10.24433/CO.9696980.v1 .

Jiehui Zhou, Linxiao Yang, Xingyu Liu et al.

In causal inference, estimating heterogeneous treatment effects (HTE) is critical for identifying how different subgroups respond to interventions, with broad applications in fields such as precision medicine and personalized advertising. Although HTE estimation methods aim to improve accuracy, how to provide explicit subgroup descriptions remains unclear, hindering data interpretation and strategic intervention management. In this paper, we propose CURLS, a novel rule learning method leveraging HTE, which can effectively describe subgroups with significant treatment effects. Specifically, we frame causal rule learning as a discrete optimization problem, finely balancing treatment effect with variance and considering the rule interpretability. We design an iterative procedure based on the minorize-maximization algorithm and solve a submodular lower bound as an approximation for the original. Quantitative experiments and qualitative case studies verify that compared with state-of-the-art methods, CURLS can find subgroups where the estimated and true effects are 16.1% and 13.8% higher and the variance is 12.0% smaller, while maintaining similar or better estimation accuracy and rule interpretability. Code is available at https://osf.io/zwp2k/.

Yingying Zhang, Zhengxiong Guan, Huajie Qian et al.

As business of Alibaba expands across the world among various industries, higher standards are imposed on the service quality and reliability of big data cloud computing platforms which constitute the infrastructure of Alibaba Cloud. However, root cause analysis in these platforms is non-trivial due to the complicated system architecture. In this paper, we propose a root cause analysis framework called CloudRCA which makes use of heterogeneous multi-source data including Key Performance Indicators (KPIs), logs, as well as topology, and extracts important features via state-of-the-art anomaly detection and log analysis techniques. The engineered features are then utilized in a Knowledge-informed Hierarchical Bayesian Network (KHBN) model to infer root causes with high accuracy and efficiency. Ablation study and comprehensive experimental comparisons demonstrate that, compared to existing frameworks, CloudRCA 1) consistently outperforms existing approaches in f1-score across different cloud systems; 2) can handle novel types of root causes thanks to the hierarchical structure of KHBN; 3) performs more robustly with respect to algorithmic configurations; and 4) scales more favorably in the data and feature sizes. Experiments also show that a cross-platform transfer learning mechanism can be adopted to further improve the accuracy by more than 10\%. CloudRCA has been integrated into the diagnosis system of Alibaba Cloud and employed in three typical cloud computing platforms including MaxCompute, Realtime Compute and Hologres. It saves Site Reliability Engineers (SREs) more than $20\%$ in the time spent on resolving failures in the past twelve months and improves service reliability significantly.

Linxiao Yang, Qingsong Wen, Bo Yang et al.

Many real-world time series exhibit multiple seasonality with different lengths. The removal of seasonal components is crucial in numerous applications of time series, including forecasting and anomaly detection. However, many seasonal-trend decomposition algorithms suffer from high computational cost and require a large amount of data when multiple seasonal components exist, especially when the periodic length is long. In this paper, we propose a general and efficient multi-scale seasonal-trend decomposition algorithm for time series with multiple seasonality. We first down-sample the original time series onto a lower resolution, and then convert it to a time series with single seasonality. Thus, existing seasonal-trend decomposition algorithms can be applied directly to obtain the rough estimates of trend and the seasonal component corresponding to the longer periodic length. By considering the relationship between different resolutions, we formulate the recovery of different components on the high resolution as an optimization problem, which is solved efficiently by our alternative direction multiplier method (ADMM) based algorithm. Our experimental results demonstrate the accurate decomposition results with significantly improved efficiency.

Qingyang Xu, Qingsong Wen, Liang Sun

Seasonal time series Forecasting remains a challenging problem due to the long-term dependency from seasonality. In this paper, we propose a two-stage framework to forecast univariate seasonal time series. The first stage explicitly learns the long-range time series structure in a time window beyond the forecast horizon. By incorporating the learned long-range structure, the second stage can enhance the prediction accuracy in the forecast horizon. In both stages, we integrate the auto-regressive model with neural networks to capture both linear and non-linear characteristics in time series. Our framework achieves state-of-the-art performance on M4 Competition Hourly datasets. In particular, we show that incorporating the intermediate results generated in the first stage to existing forecast models can effectively enhance their prediction performance.

Jingkun Gao, Xiaomin Song, Qingsong Wen et al.

The monitoring and management of numerous and diverse time series data at Alibaba Group calls for an effective and scalable time series anomaly detection service. In this paper, we propose RobustTAD, a Robust Time series Anomaly Detection framework by integrating robust seasonal-trend decomposition and convolutional neural network for time series data. The seasonal-trend decomposition can effectively handle complicated patterns in time series, and meanwhile significantly simplifies the architecture of the neural network, which is an encoder-decoder architecture with skip connections. This architecture can effectively capture the multi-scale information from time series, which is very useful in anomaly detection. Due to the limited labeled data in time series anomaly detection, we systematically investigate data augmentation methods in both time and frequency domains. We also introduce label-based weight and value-based weight in the loss function by utilizing the unbalanced nature of the time series anomaly detection problem. Compared with the widely used forecasting-based anomaly detection algorithms, decomposition-based algorithms, traditional statistical algorithms, as well as recent neural network based algorithms, RobustTAD performs significantly better on public benchmark datasets. It is deployed as a public online service and widely adopted in different business scenarios at Alibaba Group.

Qingsong Wen, Kai He, Liang Sun et al.

Periodicity detection is a crucial step in time series tasks, including monitoring and forecasting of metrics in many areas, such as IoT applications and self-driving database management system. In many of these applications, multiple periodic components exist and are often interlaced with each other. Such dynamic and complicated periodic patterns make the accurate periodicity detection difficult. In addition, other components in the time series, such as trend, outliers and noises, also pose additional challenges for accurate periodicity detection. In this paper, we propose a robust and general framework for multiple periodicity detection. Our algorithm applies maximal overlap discrete wavelet transform to transform the time series into multiple temporal-frequency scales such that different periodic components can be isolated. We rank them by wavelet variance, and then at each scale detect single periodicity by our proposed Huber-periodogram and Huber-ACF robustly. We rigorously prove the theoretical properties of Huber-periodogram and justify the use of Fisher's test on Huber-periodogram for periodicity detection. To further refine the detected periods, we compute unbiased autocorrelation function based on Wiener-Khinchin theorem from Huber-periodogram for improved robustness and efficiency. Experiments on synthetic and real-world datasets show that our algorithm outperforms other popular ones for both single and multiple periodicity detection.

Qingsong Wen, Jingkun Gao, Xiaomin Song et al.

Extracting the underlying trend signal is a crucial step to facilitate time series analysis like forecasting and anomaly detection. Besides noise signal, time series can contain not only outliers but also abrupt trend changes in real-world scenarios. To deal with these challenges, we propose a robust trend filtering algorithm based on robust statistics and sparse learning. Specifically, we adopt the Huber loss to suppress outliers, and utilize a combination of the first order and second order difference on the trend component as regularization to capture both slow and abrupt trend changes. Furthermore, an efficient method is designed to solve the proposed robust trend filtering based on majorization minimization (MM) and alternative direction method of multipliers (ADMM). We compared our proposed robust trend filter with other nine state-of-the-art trend filtering algorithms on both synthetic and real-world datasets. The experiments demonstrate that our algorithm outperforms existing methods.

Qingsong Wen, Jingkun Gao, Xiaomin Song et al.

Decomposing complex time series into trend, seasonality, and remainder components is an important task to facilitate time series anomaly detection and forecasting. Although numerous methods have been proposed, there are still many time series characteristics exhibiting in real-world data which are not addressed properly, including 1) ability to handle seasonality fluctuation and shift, and abrupt change in trend and reminder; 2) robustness on data with anomalies; 3) applicability on time series with long seasonality period. In the paper, we propose a novel and generic time series decomposition algorithm to address these challenges. Specifically, we extract the trend component robustly by solving a regression problem using the least absolute deviations loss with sparse regularization. Based on the extracted trend, we apply the the non-local seasonal filtering to extract the seasonality component. This process is repeated until accurate decomposition is obtained. Experiments on different synthetic and real-world time series datasets demonstrate that our method outperforms existing solutions.

Yong Huang, Wei Wang, Biao He et al.

Information leakage rate is an intuitive metric that reflects the level of security in a wireless communication system, however, there are few studies taking it into consideration. Existing work on information leakage rate has two major limitations due to the complicated expression for the leakage rate: 1) the analytical and numerical results give few insights into the trade-off between system throughput and information leakage rate; 2) and the corresponding optimal designs of transmission rates are not analytically tractable. To overcome such limitations and obtain an in-depth understanding of information leakage rate in secure wireless communications, we propose an approximation for the average information leakage rate in the fixed-rate transmission scheme. Different from the complicated expression for information leakage rate in the literature, our proposed approximation has a low-complexity expression, and hence, it is easy for further analysis. Based on our approximation, the corresponding approximate optimal transmission rates are obtained for two transmission schemes with different design objectives. Through analytical and numerical results, we find that for the system maximizing throughput subject to information leakage rate constraint, the throughput is an upward convex non-decreasing function of the security constraint and much too loose security constraint does not contribute to higher throughput; while for the system minimizing information leakage rate subject to throughput constraint, the average information leakage rate is a lower convex increasing function of the throughput constraint.