Anomaly Detection on Graph Time Series

Abstract: In this paper, we use variational recurrent neural network to investigate the anomaly detection problem on graph time series. The temporal correlation is modeled by the combination of recurrent neural network (RNN) and variational inference (VI), while the spatial information is captured by the graph convolutional network. In order to incorporate external factors, we use feature extractor to augment the transition of latent variables, which can learn the influence of external factors. With the target function as accumulative ELBO, it is easy to extend this model to on-line method. The experimental study on traffic flow data shows the detection capability of the proposed method.