Benchmarking Unsupervised Strategies for Anomaly Detection in Multivariate Time Series

Anomaly detection in multivariate time series is an important problem across various fields such as healthcare, financial services, manufacturing or physics detector monitoring. Accurately identifying when unexpected errors or faults occur is essential, yet challenging, due to the unknown nature of anomalies and the complex interdependencies between time series dimensions. In this paper, we investigate transformer-based approaches for time series anomaly detection, focusing on the recently proposed iTransformer architecture. Our contributions are fourfold: (i) we explore the application of the iTransformer to time series anomaly detection, and analyse the influence of key parameters such as window size, step size, and model dimensions on performance; (ii) we examine methods for extracting anomaly labels from multidimensional anomaly scores and discuss appropriate evaluation metrics for such labels; (iii) we study the impact of anomalous data present during training and assess the effectiveness of alternative loss functions in mitigating their influence; and (iv) we present a comprehensive comparison of several transformer-based models across a diverse set of datasets for time series anomaly detection.

An unfolding method based on conditional Invertible Neural Networks (cINN) using iterative training

The unfolding of detector effects is crucial for the comparison of data to theory predictions. While traditional methods are limited to representing the data in a low number of dimensions, machine learning has enabled new unfolding techniques while retaining the full dimensionality. Generative networks like invertible neural networks~(INN) enable a probabilistic unfolding, which map individual events to their corresponding unfolded probability distribution. The accuracy of such methods is however limited by how well simulated training samples model the actual data that is unfolded. We introduce the iterative conditional INN~(IcINN) for unfolding that adjusts for deviations between simulated training samples and data. The IcINN unfolding is first validated on toy data and then applied to pseudo-data for the $pp \to Z \gamma \gamma$ process.