DAMP: accurate time series anomaly detection on trillions of datapoints and ultra-fast arriving data streams

Time series anomaly detection is one of the most active areas of research in data mining, with dozens of new approaches been suggested each year. In spite of all these creative solutions proposed for this problem, recent empirical evidence suggests that the time series discord , a relatively simple...

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Published inData mining and knowledge discovery Vol. 37; no. 2; pp. 627 - 669
Main Authors Lu, Yue, Wu, Renjie, Mueen, Abdullah, Zuluaga, Maria A., Keogh, Eamonn
Format Journal Article
LanguageEnglish
Published New York Springer US 01.03.2023
Springer Nature B.V
Springer
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ISSN1384-5810
1573-756X
DOI10.1007/s10618-022-00911-7

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Abstract Time series anomaly detection is one of the most active areas of research in data mining, with dozens of new approaches been suggested each year. In spite of all these creative solutions proposed for this problem, recent empirical evidence suggests that the time series discord , a relatively simple twenty-year old distance-based technique, remains among the state-of-art techniques. While there are many algorithms for computing the time series discords, they all have limitations. First, they are limited to the batch case, whereas the online case is more actionable. Second, these algorithms exhibit poor scalability beyond tens of thousands of datapoints. In this work we introduce DAMP, a novel algorithm that addresses both these issues. DAMP computes exact left-discords on fast arriving streams, at up to 300,000 Hz using a commodity desktop. This allows us to find time series discords in datasets with trillions of datapoints for the first time. We will demonstrate the utility of our algorithm with the most ambitious set of time series anomaly detection experiments ever conducted. We will further show that our speedup improvements can be applied in the multidimensional case.
AbstractList Time series anomaly detection is one of the most active areas of research in data mining, with dozens of new approaches been suggested each year. In spite of all these creative solutions proposed for this problem, recent empirical evidence suggests that the time series discord, a relatively simple twenty-year old distance-based technique, remains among the state-of-art techniques. While there are many algorithms for computing the time series discords, they all have limitations. First, they are limited to the batch case, whereas the online case is more actionable. Second, these algorithms exhibit poor scalability beyond tens of thousands of datapoints. In this work we introduce DAMP, a novel algorithm that addresses both these issues. DAMP computes exact left-discords on fast arriving streams, at up to 300,000 Hz using a commodity desktop. This allows us to find time series discords in datasets with trillions of datapoints for the first time. We will demonstrate the utility of our algorithm with the most ambitious set of time series anomaly detection experiments ever conducted. We will further show that our speedup improvements can be applied in the multidimensional case.
Time series anomaly detection is one of the most active areas of research in data mining, with dozens of new approaches been suggested each year. In spite of all these creative solutions proposed for this problem, recent empirical evidence suggests that the time series discord , a relatively simple twenty-year old distance-based technique, remains among the state-of-art techniques. While there are many algorithms for computing the time series discords, they all have limitations. First, they are limited to the batch case, whereas the online case is more actionable. Second, these algorithms exhibit poor scalability beyond tens of thousands of datapoints. In this work we introduce DAMP, a novel algorithm that addresses both these issues. DAMP computes exact left-discords on fast arriving streams, at up to 300,000 Hz using a commodity desktop. This allows us to find time series discords in datasets with trillions of datapoints for the first time. We will demonstrate the utility of our algorithm with the most ambitious set of time series anomaly detection experiments ever conducted. We will further show that our speedup improvements can be applied in the multidimensional case.
Author Lu, Yue
Wu, Renjie
Zuluaga, Maria A.
Mueen, Abdullah
Keogh, Eamonn
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  organization: University of California, Riverside
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CitedBy_id crossref_primary_10_1016_j_mlwa_2024_100530
crossref_primary_10_1007_s10994_024_06712_x
crossref_primary_10_1038_s44260_025_00030_6
crossref_primary_10_1016_j_is_2025_102524
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Snippet Time series anomaly detection is one of the most active areas of research in data mining, with dozens of new approaches been suggested each year. In spite of...
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SubjectTerms Algorithms
Anomalies
Artificial Intelligence
Chemistry and Earth Sciences
Computer Aided Engineering
Computer Science
Data mining
Data Mining and Knowledge Discovery
Data transmission
Information Storage and Retrieval
Physics
Statistics for Engineering
Time series
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Title DAMP: accurate time series anomaly detection on trillions of datapoints and ultra-fast arriving data streams
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