State-transition-aware anomaly detection under concept drifts

Detecting temporal abnormal patterns over streaming data is challenging due to volatile data properties and the lack of real-time labels. The abnormal patterns are usually hidden in the temporal context, which cannot be detected by evaluating single points. Furthermore, the normal state evolves over time due to concept drifts. A single model does not fit all data over time. Autoencoders have recently been applied for unsupervised anomaly detection. However, they are trained on a single normal state and usually become invalid after distributional drifts in the data stream. This paper uses an Autoencoder-based approach STAD for anomaly detection under concept drifts. In particular, we propose a state-transition-aware model to map different data distributions in each period of the data stream into states, thereby addressing the model adaptation problem in an interpretable way. In addition, we analyzed statistical tests to detect the drift by examining the sensitivity and powers. Furthermore, we present considerable ways to estimate the probability density function for comparing the distributional similarity for state transitions. Our experiments evaluate the proposed method on synthetic and real-world datasets. While delivering comparable anomaly detection performance as the state-of-the-art approaches, STAD works more efficiently and provides extra interpretability. We also provide insightful analysis of optimal hyperparameters for efficient model training and adaptation.