Papers › Time Series Anomaly Detection via Reinforcement Learning-Based Model Selection

Time Series Anomaly Detection via Reinforcement Learning-Based Model Selection

19 May 2022arXiv:2205.09884archive 2025-07-28

Jiuqi Elise Zhang, Di wu, Benoit Boulet

Time series anomaly detection has been recognized as of critical importance for the reliable and efficient operation of real-world systems. Many anomaly detection methods have been developed based on various assumptions on anomaly characteristics. However, due to the complex nature of real-world data, different anomalies within a time series usually have diverse profiles supporting different anomaly assumptions. This makes it difficult to find a single anomaly detector that can consistently outperform other models. In this work, to harness the benefits of different base models, we propose a reinforcement learning-based model selection framework. Specifically, we first learn a pool of different anomaly detection models, and then utilize reinforcement learning to dynamically select a candidate model from these base models. Experiments on real-world data have demonstrated that the proposed strategy can indeed outplay all baseline models in terms of overall performance.

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Anomaly DetectionModel SelectionReinforcement LearningReinforcement Learning (RL)Time SeriesTime Series AnalysisTime Series Anomaly Detectionreinforcement-learning

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