A Multi-scale Patch Mixer Network for Time Series Anomaly Detection

Abstract

With the development of Internet of Things (IoT) technology, a large amount of data with temporal characteristics is collected and stored. How to efficiently and accurately identify anomalies from these data is a major challenge. At present, there are many problems in the application of anomaly detection, including non-stationary data, complex and difficult-to-collect anomalies, the need for real-time detection and the limitation of computing resources. But few methods can comprehensively consider these issues. To overcome these challenges, we propose a lightweight neural network, Multi-scale Patch Mixer Network (MP-MixerNet). It is mainly composed of a Mixer Block based on fully connected layer design, which contains a Temporal-Mixer and a Spatial-Mixer, and can simultaneously model the intra- and inter-series dependencies of multivariate time series. We also perform multi-scale patch segmentation based on frequency analysis, which helps the model extract robust features from multiple period views. In addition, we design an Input Stabilization module to help the model deal with data distribution shift. Experimental results on a public time series anomaly detection dataset show that we are able to achieve higher comprehensive performance with fewer parameters and inference time.