MAD-GAN: Multivariate Anomaly Detection for Time Series Data with Generative Adversarial Networks.

Many real-world cyber-physical systems (CPSs) are engineered for mission-critical tasks and usually are prime targets for cyber-attacks. The rich sensor data in CPSs can be continuously monitored for intrusion events through anomaly detection. On one hand, conventional supervised anomaly detection methods are unable to exploit the large amounts of data due to the lack of labelled data. On the other hand, current unsupervised machine learning approaches have not fully exploited the spatial-temporal correlation and other dependencies amongst the multiple variables (sensors/actuators) in the system when detecting anomalies. In this work, we propose an unsupervised multivariate anomaly detection method based on Generative Adversarial Networks (GANs), using the Long-Short-Term-Memory Recurrent Neural Networks (LSTM-RNN) as the base models (namely, the generator and discriminator) in the GAN framework to capture the temporal correlation of time series distributions. Instead of treating each data stream independently, our proposed Multivariate Anomaly Detection with GAN (MAD-GAN) framework considers the entire variable set concurrently to capture the latent interactions amongst the variables. We also fully exploit both the generator and discriminator produced by the GAN, using a novel anomaly score called DR-score to detect anomalies through discrimination and reconstruction. We have tested our proposed MAD-GAN using two recent datasets collected from real-world CPSs: the Secure Water Treatment (SWaT) and the Water Distribution (WADI) datasets. Our experimental results show that the proposed MAD-GAN is effective in reporting anomalies caused by various cyber-attacks inserted in these complex real-world systems.