Learning sparsity-constrained gaussian graphical models in anomaly detection

Abstract

A first dependency graph is constructed based on a first data set by solving an objective function constrained with a maximum number of non-zeros and formulated with a regularization term comprising a quadratic penalty to control sparsity. The quadratic penalty in constructing the second dependency graph is determined as a function of the first data set. A second dependency graph is constructed based on a second data set by solving the objective function constrained with the maximum number of non-zeros and formulated with the regularization term comprising a quadratic penalty. The quadratic penalty in constructing the second dependency graph is determined as a function of the first data set and the second data set. An anomaly score is determined for each of a plurality of sensors based on comparing the first dependency graph and the second dependency graph, nodes of which represent sensors.