Multivariate Time Series Anomaly Detection Based on Inverted Transformer with Multivariate Memory Gate.

Abstract

In the industrial IoT, it is vital to detect anomalies in multivariate time series, yet it faces numerous challenges, including highly imbalanced datasets, complex and high-dimensional data, and large disparities across variables. Despite the recent surge in proposals for deep learning-based methods, these approaches typically treat the multivariate data at each point in time as a unique token, weakening the personalized features and dependency relationships between variables. As a result, their performance tends to degrade under highly imbalanced conditions, and reconstruction-based models are prone to overfitting abnormal patterns, leading to excessive reconstruction of anomalous inputs. In this paper, we propose ITMMG, an inverted Transformer with a multivariate memory gate. ITMMG employs an inverted token embedding strategy and multivariate memory to capture deep dependencies among variables and the normal patterns of individual variables. The experimental results obtained demonstrate that the proposed method exhibits superior performance in terms of detection accuracy and robustness compared with existing baseline methods across a range of standard time series anomaly detection datasets. This significantly reduces the probability of misclassifying anomalous samples during reconstruction.