Temporally-Reweighted Dirichlet Process Mixture Anomaly Detector

Abstract

This paper proposes a streaming anomaly detection algorithm using variational Bayesian non-parametric methods. We extend the use of Dirichlet process mixture models to anomaly detection for online streaming data through the use of streaming variational bayes method and a cohesion function. Using our algorithm, we were able to update model parameters sequentially near real-time, using a fixed amount of computational resources. The algorithm was able to capture the temporal dynamics of the data and enabled good online anomaly detection. We demonstrate the performance, and discuss results, of the algorithm on an industrial datasets with anomalies provided by a local utility.