Fast Multivariate Time Series Anomaly Detection Based on Matrix Completion

Increasingly complex systems contain large numbers of devices that generate great number of multivariate time series that are monitored and recorded. For anomaly detection of these complex time series, deep learning technology is often used to build a learning model for anomaly detection. The method based on deep learning usually takes a long time to train data in practice, and the online service system is deployed or changed very frequently, which makes the online service system need to frequently spend a lot of time updating the anomaly detection model. To overcome this challenge, this paper proposes a fast multivariate time series anomaly detection (FMAD) approach based on matrix completion. After sampling the primitive low-rank matrix, FMAD uses matrix completion to reconstruct the original low-rank matrix to detect anomalies in multivariate time series. We conducted related experimental analysis and discussion. The experimental results on three real data sets show that FMAD has improved the problem of too long model training time and improved the detection efficiency.