Anomaly Detection and Localization based on Double Kernelized Scoring and Matrix Kernels.

Anomaly detection is necessary for proper and safe operation of large-scale systems consisting of multiple devices, networks, and/or plants. Those systems are often characterized by a pair of multivariate datasets. To detect anomaly in such a system and localize element(s) associated with anomaly, one would need to estimate scores that quantify anomalousness of the entire system as well as its elements. However, it is not trivial to estimate such scores by considering changes of relationships between the elements, which strongly correlate with each other. Moreover, it is necessary to estimate the scores for the entire system and its elements from a single framework, in order to identify relationships among the scores for localizing elements associated with anomaly. Here, we developed a new method to quantify anomalousness of an entire system and its elements simultaneously. The purpose of this paper is threefold. The first one is to propose a new anomaly detection method: Double Kernelized Scoring (DKS). DKS is a unified framework for entire-system anomaly scoring and element-wise anomaly scoring. Therefore, DKS allows for conducting simultaneously 1) anomaly detection for the entire system and 2) localization for identifying faulty elements responsible for the system anomaly. The second purpose is to propose a new kernel function: Matrix Kernel. The Matrix Kernel is defined between general matrices, which might have different dimensions, allowing for conducting anomaly detection on systems where the number of elements change over time. The third purpose is to demonstrate the effectiveness of the proposed method experimentally. We evaluated the proposed method with synthetic and real time series data. The results demonstrate that DKS is able to detect anomaly and localize the elements associated with it successfully.