Echo-state conditional variational autoencoder for anomaly detection

Anomaly detection involves identifying the events which do not conform to an expected pattern in data. A common approach to anomaly detection is to identify outliers in a latent space learned from data. For instance, PCA has been successfully used for anomaly detection. Variational autoencoder (VAE) is a recently-developed deep generative model which has established itself as a powerful method for learning representation from data in a nonlinear way. However, the VAE does not take the temporal dependence in data into account, so it limits its applicability to time series. In this paper we combine the echo-state network, which is a simple training method for recurrent networks, with the VAE, in order to learn representation from multivariate time series data. We present an echo-state conditional variational autoencoder (ES-CVAE) and demonstrate its useful behavior in the task of anomaly detection in multivariate time series data.