Multivariate time-series forecasting plays a crucial role in many real-world applications. It is a challenging problem as one needs to consider both intra-series temporal correlations and inter-series correlations simultaneously. Recently, there have been multiple works trying to capture both correlations, but most, if not all of them only capture temporal correlations in the time domain and resort to pre-defined priors as inter-series relationships. In this paper, we propose Spectral Temporal Graph Neural Network (StemGNN) to further improve the accuracy of multivariate time-series forecasting. StemGNN captures inter-series correlations and temporal dependencies jointly in the spectral domain. It combines Graph Fourier Transform (GFT) which models inter-series correlations and Discrete Fourier Transform (DFT) which models temporal dependencies in an end-to-end framework. After passing through GFT and DFT, the spectral representations hold clear patterns and can be predicted effectively by convolution and sequential learning modules. Moreover, StemGNN learns inter-series correlations automatically from the data without using pre-defined priors. We conduct extensive experiments on ten real-world datasets to demonstrate the effectiveness of StemGNN.

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Spectral Temporal Graph Neural Network for Multivariate Time-series Forecasting

Pervasive growth and usage of the Internet and mobile applications have expanded cyberspace. The cyberspace has become more vulnerable to automated and prolonged cyberattacks. Cyber security techniques provide enhancements in security measures to detect and react against cyberattacks. The previously used security systems are no longer sufficient because cybercriminals are smart enough to evade conventional security systems. Conventional security systems lack efficiency in detecting previously unseen and polymorphic security attacks. Machine learning (ML) techniques are playing a vital role in numerous applications of cyber security. However, despite the ongoing success, there are significant challenges in ensuring the trustworthiness of ML systems. There are incentivized malicious adversaries present in the cyberspace that are willing to game and exploit such ML vulnerabilities. This paper aims to provide a comprehensive overview of the challenges that ML techniques face in protecting cyberspace against attacks, by presenting a literature on ML techniques for cyber security including intrusion detection, spam detection, and malware detection on computer networks and mobile networks in the last decade. It also provides brief descriptions of each ML method, frequently used security datasets, essential ML tools, and evaluation metrics to evaluate a classification model. It finally discusses the challenges of using ML techniques in cyber security. This paper provides the latest extensive bibliography and the current trends of ML in cyber security.

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A Survey on Machine Learning Techniques for Cyber Security in the Last Decade

Anomaly detection on multivariate time-series is of great importance in both data mining research and industrial applications. Recent approaches have achieved significant progress in this topic, but there is remaining limitations. One major limitation is that they do not capture the relationships between different time-series explicitly, resulting in inevitable false alarms. In this paper, we propose a novel self-supervised framework for multivariate time-series anomaly detection to address this issue. Our framework considers each univariate time-series as an individual feature and includes two graph attention layers in parallel to learn the complex dependencies of multivariate time-series in both temporal and feature dimensions. In addition, our approach jointly optimizes a forecasting-based model and are construction-based model, obtaining better time-series representations through a combination of single-timestamp prediction and reconstruction of the entire time-series. We demonstrate the efficacy of our model through extensive experiments. The proposed method outperforms other state-of-the-art models on three real-world datasets. Further analysis shows that our method has good interpretability and is useful for anomaly diagnosis.

Multivariate Time-series Anomaly Detection via Graph Attention Network

Traffic forecasting is important for the success of intelligent transportation systems. Deep learning models, including convolution neural networks and recurrent neural networks, have been extensively applied in traffic forecasting problems to model spatial and temporal dependencies. In recent years, to model the graph structures in transportation systems as well as contextual information, graph neural networks have been introduced and have achieved state-of-the-art performance in a series of traffic forecasting problems. In this survey, we review the rapidly growing body of research using different graph neural networks, e.g. graph convolutional and graph attention networks, in various traffic forecasting problems, e.g. road traffic flow and speed forecasting, passenger flow forecasting in urban rail transit systems, and demand forecasting in ride-hailing platforms. We also present a comprehensive list of open data and source resources for each problem and identify future research directions. To the best of our knowledge, this paper is the first comprehensive survey that explores the application of graph neural networks for traffic forecasting problems. We have also created a public GitHub repository where the latest papers, open data, and source resources will be updated.

Graph Neural Network for Traffic Forecasting: A Survey.

Travel-time prediction constitutes a task of high importance in transportation networks, with web mapping services like Google Maps regularly serving vast quantities of travel time queries from users and enterprises alike. Further, such a task requires accounting for complex spatiotemporal interactions (modelling both the topological properties of the road network and anticipating events -- such as rush hours -- that may occur in the future). Hence, it is an ideal target for graph representation learning at scale. Here we present a graph neural network estimator for estimated time of arrival (ETA) which we have deployed in production at Google Maps. While our main architecture consists of standard GNN building blocks, we further detail the usage of training schedule methods such as MetaGradients in order to make our model robust and production-ready. We also provide prescriptive studies: ablating on various architectural decisions and training regimes, and qualitative analyses on real-world situations where our model provides a competitive edge. Our GNN proved powerful when deployed, significantly reducing negative ETA outcomes in several regions compared to the previous production baseline (40+% in cities like Sydney).

ETA Prediction with Graph Neural Networks in Google Maps

Large companies need to monitor various metrics (for example, Page Views and Revenue) of their applications and services in real time. At Microsoft, we develop a time-series anomaly detection service which helps customers to monitor the time-series continuously and alert for potential incidents on time. In this paper, we introduce the pipeline and algorithm of our anomaly detection service, which is designed to be accurate, efficient and general. The pipeline consists of three major modules, including data ingestion, experimentation platform and online compute. To tackle the problem of time-series anomaly detection, we propose a novel algorithm based on Spectral Residual (SR) and Convolutional Neural Network (CNN). Our work is the first attempt to borrow the SR model from visual saliency detection domain to time-series anomaly detection. Moreover, we innovatively combine SR and CNN together to improve the performance of SR model. Our approach achieves superior experimental results compared with state-of-the-art baselines on both public datasets and Microsoft production data.

Time-Series Anomaly Detection Service at Microsoft

Anomaly detection on multivariate time-series is of great importance in both data mining research and industrial applications. Recent approaches have achieved significant progress in this topic, but there is remaining limitations. One major limitation is that they do not capture the relationships between different time-series explicitly, resulting in inevitable false alarms. In this paper, we propose a novel self-supervised framework for multivariate time-series anomaly detection to address this issue. Our framework considers each univariate time-series as an individual feature and includes two graph attention layers in parallel to learn the complex dependencies of multivariate time-series in both temporal and feature dimensions. In addition, our approach jointly optimizes a forecasting-based model and a reconstruction-based model, obtaining better time-series representations through a combination of single-timestamp prediction and reconstruction of the entire time-series. We demonstrate the efficacy of our model through extensive experiments. The proposed method outperforms other state-of-the-art models on three real-world datasets. Further analysis shows that our method has good interpretability and is useful for anomaly diagnosis.

Congrui Huang

Papers

Time-Series Anomaly Detection Service at Microsoft

Time-Series Anomaly Detection Service at Microsoft

Spectral Temporal Graph Neural Network for Multivariate Time-series Forecasting

Multivariate Time-series Anomaly Detection via Graph Attention Network

Multivariate Time-series Anomaly Detection via Graph Attention Network