Variate Associated Domain Adaptation for Unsupervised Multivariate Time Series Anomaly Detection

Multivariate Time Series Anomaly Detection (MTS-AD) is crucial for the effective management and maintenance of devices in complex systems such as server clusters, spacecrafts and financial systems etc. However, upgrade or cross-platform deployment of these devices will introduce the issue of cross-domain distribution shift, which leads to the prototypical problem of Domain Adaptation for MTS-AD. Compared with general domain adaptation problems, MTS-AD domain adaptation presents two peculiar challenges: 1) The dimensions of data from the source domain and the target domain are usually different, so alignment without losing any information is necessary. 2) The association between different variates plays a vital role in the MTS-AD task, which is overlooked by traditional domain adaptation approaches. Aiming at addressing the above issues, we propose a Variate Associated domaiN aDaptation method combined with a GrAph Deviation Network (abbreviated as VANDA) for MTS-AD, which includes two major contributions. First, we characterize the intra-domain variate associations of the source domain by a graph deviation network (GDN), which can share parameters across domains without dimension alignment. Second, we propose a sliding similarity to measure the inter-domain variate associations and perform joint training by minimizing the optimal transport distance between source and target data for transferring variate associations across domains. VANDA achieves domain adaptation by transferring both variate associations and GDN parameters from the source domain to the target domain. We construct two pairs of MTS-AD datasets from existing MTS-AD data and combine three domain adaptation strategies with six MTS-AD backbones as the benchmark methods for experimental evaluation and comparison. Extensive experiments demonstrate the effectiveness of our approach, which outperforms the benchmark methods, and significantly improves the AD performance of the target domain by effectively utilizing the source domain knowledge.