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Anomaly detection is an important problem that has been well-studied within diverse research areas and application domains. A robust anomaly detection system identifies rare events and patterns in the absence of labelled data. The identified patterns provide crucial insights about both the fidelity of the data and deviations in the underlying data-generating process. For example a surveillance system designed to monitor the emergence of new epidemics will use a robust anomaly detection methods to separate spurious associations from genuine indicators of an epidemic with minimal lag time.

The key concept in anomaly detection is the notion of "robustness'', i.e., designing models and representations which are less-sensitive to small changes in the underlying data distribution. The canonical example is that the median is more robust than the mean as an estimator. The tutorial will primarily help researchers and …