MAD: Multi-Scale Anomaly Detection in Link Streams

Given an arbitrary group of computers, how to identify abnormal changes in their communication pattern? How to assess if the absence of some communications is normal or due to a failure? How to distinguish local from global events when communication data are extremely sparse and volatile? Existing approaches for anomaly detection in interaction streams, focusing on edge, nodes or graphs, lack flexibility to monitor arbitrary communication topologies. Moreover, they rely on structural features that are not adapted to highly sparse settings. In this work, we introduce MAD, a novel Multi-scale Anomaly Detection algorithm that (i) allows to query for the normality/abnormality state of an arbitrary group of observed/non-observed communications at a given time; and (ii) handles the highly sparse and uncertain nature of interaction data through a scoring method that is based on a novel probabilistic and multi-scale analysis of sub-graphs. In particular, MAD is (a) flexible: it can assess if any time-stamped subgraph is anomalous, making edge, node and graph anomalies particular instances; (b) interpretable: its multi-scale analysis allows to characterize the scope and nature of the anomalies; (c) efficient: given historical data of length.. and.. observed/non-observed communications to analyze, MAD produces an anomaly score in O(NM); and (d) effective: it significantly outperforms state-of-the-art alternatives tailored for edge, node or graph anomalies.