Abstract:

Multivariate time series data often exhibit multi-scale characteristics and complex interdependencies， which makes challenges for anomaly detection. To address this issue， a multi-scale based multivariate time series anomaly detection model was developed， namely M3AD （Multi-scale Mamba Multi-layer perceptron Anomaly Detection）. Firstly， a multi-scale feature extraction method was employed， which means segmenting time series across different temporal scales to capture short- and long-term patterns. Secondly， a Multi-Layer Perceptron （MLP） and convolutional layers were utilized for feature learning for extracting local and high-level feature representations. Thirdly， a selective State Space Model （SSM） Mamba was introduced to capture key information in long sequences through its efficient processing capability. Finally， sensitive anomaly detection was achieved through a loss function based on KL （Kullback-Leibler） divergence and anomaly score calculation. To validate the model’s effectiveness， M3AD was compared with seven models， such as Anomaly Transformer and MEMTO， on four public datasets. Experimental results show that M3AD has significant advantages and leading performance compared to the other methods in key metrics such as precision， recall， and F1 score， verifying the effectiveness and superiority of M3AD in multivariate time series anomaly detection tasks.

Key words: anomaly detection, multi-scale feature extraction, time series, State Space Model (SSM), unsupervised learning

摘要：

多变量时间序列数据常表现出多尺度特征和复杂的相互依赖性，给异常检测带来了挑战。为了解决这一问题，提出一种基于多尺度的多变量时间序列异常检测模型M3AD（Multi-scale Mamba Multi-layer perceptron Anomaly Detection）。首先，采用多尺度特征提取方法，即通过在不同时间尺度上分割时间序列，捕捉短期和长期模式；其次，利用多层感知机（MLP）和卷积层进行特征学习，提取局部和高级特征表示；再次，引入选择性状态空间模型（SSM） Mamba，通过它高效的处理能力捕捉长序列中的关键信息；最后，通过基于KL （Kullback-Leibler）散度的损失函数和异常分数计算，实现对异常的敏感检测。为了验证模型的有效性，将M3AD与Anomaly Transformer和MEMTO等7种模型在4个公共数据集上对比。实验结果表明，M3AD在精确率、召回率和F1分数等关键指标上相较于对比方法展现出显著优势和领先性能，验证了M3AD在多变量时间序列异常检测任务中的有效性和优越性。

关键词: 异常检测, 多尺度特征提取, 时间序列, 状态空间模型, 无监督学习