Multi-Resolution Decomposable Diffusion Model for Non-Stationary Time Series Anomaly Detection

ICLR 2025 Conference Submission10248 Authors

Keywords: Diffusion Model, Non-Stationary Time Series, Anomaly Detection, Multi-Resolution

TL;DR: This paper delves into the potential of multi-resolution technique and diffusion model for non-stationary time series anomaly detection, supported by rigorous mathematical proofs.

Abstract: Recently, generative models have shown considerable promise in unsupervised time series anomaly detection. Nonetheless, the task of effectively capturing complex temporal patterns and minimizing false alarms becomes increasingly challenging when dealing with non-stationary time series, characterized by continuously fluctuating statistical attributes and joint distributions. To confront these challenges, we underscore the benefits of multi-resolution modeling, which improves the ability to distinguish between anomalies and non-stationary behaviors by leveraging correlations across various resolution scales. In response, we introduce a **M**ulti-Res**o**lution **De**composable Diffusion **M**odel (MODEM), which integrates a coarse-to-fine diffusion paradigm with a frequency-enhanced decomposable network to adeptly navigate the intricacies of non-stationarity. Technically, the coarse-to-fine diffusion model embeds cross-resolution correlations into the forward process to optimize diffusion transitions mathematically. It then innovatively employs low-resolution recovery to guide the reverse trajectories of high-resolution series in a coarse-to-fine manner, enhancing the model's ability to learn and elucidate underlying temporal patterns. Furthermore, the frequency-enhanced decomposable network operates in the frequency domain to extract globally shared time-invariant information and time-variant temporal dynamics for accurate series reconstruction. Extensive experiments conducted across five real-world datasets demonstrate that our proposed MODEM achieves state-of-the-art performance and can be generalized to other time series tasks. The code will be publicly available upon acceptance.

Primary Area: generative models

Code Of Ethics: I acknowledge that I and all co-authors of this work have read and commit to adhering to the ICLR Code of Ethics.

Submission Guidelines: I certify that this submission complies with the submission instructions as described on https://iclr.cc/Conferences/2025/AuthorGuide.

Reciprocal Reviewing: I understand the reciprocal reviewing requirement as described on https://iclr.cc/Conferences/2025/CallForPapers. If none of the authors are registered as a reviewer, it may result in a desk rejection at the discretion of the program chairs. To request an exception, please complete this form at https://forms.gle/Huojr6VjkFxiQsUp6.

Anonymous Url: I certify that there is no URL (e.g., github page) that could be used to find authors’ identity.

No Acknowledgement Section: I certify that there is no acknowledgement section in this submission for double blind review.

Submission Number: 10248