MTAD: Tools and Benchmarks for Multivariate Time Series Anomaly
  Detection
Jinyang Liu Wenwei Gu Zhuangbin Chen Yichen Li Yuxin Su Michael R. Lyu
Key Performance Indicators (KPIs) are essential time-series metrics for
ensuring the reliability and stability of many software systems. They
faithfully record runtime states to facilitate the understanding of anomalous
system behaviors and provide informative clues for engineers to pinpoint the
root causes. The unprecedented scale and complexity of modern software systems,
however, make the volume of KPIs explode. Consequently, many traditional
methods of KPI anomaly detection become impractical, which serves as a catalyst
for the fast development of machine learning-based solutions in both academia
and industry. However, there is currently a lack of rigorous comparison among
these KPI anomaly detection methods, and re-implementation demands a
non-trivial effort. Moreover, we observe that different works adopt independent
evaluation processes with different metrics. Some of them may not fully reveal
the capability of a model and some are creating an illusion of progress. To
better understand the characteristics of different KPI anomaly detectors and
address the evaluation issue, in this paper, we provide a comprehensive review
and evaluation of twelve state-of-the-art methods, and propose a novel metric
called salience. Particularly, the selected methods include five traditional
machine learning-based methods and seven deep learning-based methods. These
methods are evaluated with five multivariate KPI datasets that are publicly
available. A unified toolkit with easy-to-use interfaces is also released. We
report the benchmark results in terms of accuracy, salience, efficiency, and
delay, which are of practical importance for industrial deployment. We believe
our work can contribute as a basis for future academic research and industrial
application.