Deep Autoencoders with Value-at-Risk Thresholding for Unsupervised Anomaly Detection

Albert Akhriev; Jakub Marecek

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arXiv · 1912.04418

Deep Autoencoders with Value-at-Risk Thresholding for Unsupervised Anomaly Detection

Albert Akhriev·Jakub Marecek

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Abstract

Many real-world monitoring and surveillance applications require non-trivial anomaly detection to be run in the streaming model. We consider an incremental-learning approach, wherein a deep-autoencoding (DAE) model of what is normal is trained and used to detect anomalies at the same time. In the detection of anomalies, we utilise a novel thresholding mechanism, based on value at risk (VaR). We compare the resulting convolutional neural network (CNN) against a number of subspace methods, and present results on changedetection net.

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BibTeX RIS

Albert Akhriev, Jakub Marecek. 2019-12-09. Deep Autoencoders with Value-at-Risk Thresholding for Unsupervised Anomaly Detection. https://arxiv.org/abs/1912.04418

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