A Relevance Weighted Ensemble Model for Anomaly Detection in Switching Data Streams

Anomaly detection in data streams plays a vital role in on-line data mining applications. A major challenge for anomaly detection is the dynamically changing nature of many monitoring environments. This causes a problem for traditional anomaly detection techniques in data streams, which assume a relatively static monitoring environment. In an environment that is intermittently changing (known as switching data streams), static approaches can yield a high error rate in terms of false positives. To cope with dynamic environments, we require an approach that can learn from the history of normal behaviour in data streams, while accounting for the fact that not all time periods in the past are equally relevant. Consequently, we have proposed a relevance-weighted ensemble model for learning normal behaviour, which forms the basis of our anomaly detection scheme. The advantage of this approach is that it can improve the accuracy of detection by using relevant history, while remaining computationally efficient. Our solution provides a novel contribution through the use of ensemble techniques for anomaly detection in switching data streams. Our empirical results on real and synthetic data streams show that we can achieve substantial improvements compared to a recent anomaly detection algorithm for data streams.