An adversarial contrastive autoencoder for robust multivariate time series anomaly detection

Multivariate time series (MTS), whose patterns change dynamically, often have complex temporal and dimensional dependence. Most existing reconstruction-based MTS anomaly detection methods only learn the point-wise information while ignoring the overall trend of time series, resulting in their incompetence in extracting high-level semantic information. Although a few contrastive learning-based approaches have been proposed recently to solve this problem, they forcibly increase the difference between the features of normal data, leading to the loss of useful information. This paper proposes an adversarial contrastive autoencoder (ACAE) for MTS anomaly detection. ACAE conducts feature combination and decomposition as the contrastive learning proxy task, which introduces adversarial training to learn the transformation-invariant representation of data, achieving a robust representation of MTS. Firstly, ACAE constructs positive and negative sample pairs through the multi-scale timestamp mask and random sampling. Secondly, the features of the original samples are combined with those of the positive and negative samples to generate the positive and negative composite features. Finally, ACAE trains the encoder and discriminator to decompose the negative composite features cooperatively to decrease the similarity between the features of negative pairs. In contrast, it adversarially decomposes the positive composite features to increase the similarity between the features of positive pairs. Experimental results show that ACAE outperforms 14 state-of-the-art baselines on five real-world datasets from different fields.