Frequency-enhanced and decomposed transformer for multivariate time series anomaly detection

Abstract

With the widespread adoption of the Internet of Things (IoT), vast amounts of multivariate time series data are generated, which reflect the operational status of systems. Accurate and efficient anomaly detection in these data is crucial for maintaining system stability. However, data from unstable environments often exhibit high volatility, data drift, and complex patterns of anomalies. Unsupervised anomaly detection models are typically designed for stable data and lack generalizability, leading to a high rate of false positives when applied to unstable data. This paper introduces the frequency-enhanced and decomposed transformer for anomaly detection (FDTAD), which is a novel anomaly detection model based on a transformer that is enhanced with frequency and time series decomposition. FDTAD addresses data drift by decomposing time series and leverages both time-domain and frequency-domain information to improve the generalization ability of the model. The model preserves major amplitudes in the frequency domain to extract primary periodic patterns, uses spectral residuals to capture detailed variations, and incorporates a frequency-domain correlation attention mechanism to extract dependencies in frequency-domain data in a sparse representation. Additionally, a spatiotemporal module is designed to extract the temporal correlations in the data and spatial correlations among the data with different attributes. FDTAD combines a data periodic pattern reconstructor and a data detailed pattern reconstructor through an adversarial mechanism to achieve maximum accuracy in reconstructing normal data. Extensive experiments on 10 public datasets demonstrate that FDTAD outperforms state-of-the-art baseline methods, with a 4.1% improvement in the F1 score and a 4.7% improvement in precision.