Solving a prisoner's dilemma in distributed anomaly detection

Anomaly detection has recently become an important problem in many industrial and financial applications. In several instances, the data to be analyzed for possible anomalies is located at multiple sites and cannot be merged due to practical constraints such as bandwidth limitations and proprietary concerns. At the same time, the size of data sets affects prediction quality in almost all data mining applications. In such circumstances, distributed data mining algorithms may be used to extract information from multiple data sites in order to make better predictions. In the absence of theoretical guarantees, however, the degree to which data decentralization affects the performance of these algorithms is not known, which reduces the data providing participants' incentive to cooperate.This creates a metaphorical 'prisoners' dilemma' in the context of data mining. In this work, we propose a novel general framework for distributed anomaly detection with theoretical performance guarantees. Our algorithmic approach combines existing anomaly detection procedures with a novel method for computing global statistics using local sufficient statistics. We show that the performance of such a distributed approach is indistinguishable from that of a centralized instantiation of the same anomaly detection algorithm, a condition that we call zero information loss. We further report experimental results on synthetic as well as real-world data to demonstrate the viability of our approach. The remaining content of this presentation is presented in Fig. 1.

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