forked from JointCloud/JCC-DeepOD
Add files via upload
This commit is contained in:
Yiyuan Yang
GitHub
parent
3a2c74d25f
commit
6d970e0df8
Binary file not shown.
Binary file not shown.
|
|
@ -3,6 +3,7 @@ from deepod.metrics._anomaly_detection import auc_pr
|
|||
from deepod.metrics._anomaly_detection import tabular_metrics
|
||||
from deepod.metrics._anomaly_detection import ts_metrics
|
||||
from deepod.metrics._tsad_adjustment import point_adjustment
|
||||
from deepod.metrics._anomaly_detection import ts_metrics_enhanced
|
||||
|
||||
|
||||
__all__ = [
|
||||
|
|
@ -10,5 +11,6 @@ __all__ = [
|
|||
'auc_roc',
|
||||
'tabular_metrics',
|
||||
'ts_metrics',
|
||||
'point_adjustment'
|
||||
'point_adjustment',
|
||||
'ts_metrics_enhanced'
|
||||
]
|
||||
|
|
@ -38,4 +38,33 @@ def get_best_f1(label, score):
|
|||
return best_f1, best_p, best_r
|
||||
|
||||
|
||||
# revised by Yiyuan Yang 2023/11/08
|
||||
# Compored with ts_metrics, this function can return more metrics with one more intput y_test(predictions of events)
|
||||
def ts_metrics_enhanced(y_true, y_score, y_test):
|
||||
"""
|
||||
Use Case Demo:
|
||||
|
||||
from deepod.models.time_series import DCdetector
|
||||
clf = DCdetector()
|
||||
clf.fit(X_train)
|
||||
pred, scores = clf.decision_function(X_test)
|
||||
|
||||
from deepod.metrics import point_adjustment
|
||||
from deepod.metrics import ts_metrics_enhanced
|
||||
adj_eval_metrics = ts_metrics_enhanced(labels, point_adjustment(labels, scores), pred)
|
||||
print('adj_eval_metrics',adj_eval_metrics)
|
||||
"""
|
||||
from .affiliation.generics import convert_vector_to_events
|
||||
from .vus.metrics import get_range_vus_roc
|
||||
from .affiliation.metrics import pr_from_events
|
||||
best_f1, best_p, best_r = get_best_f1(y_true, y_score)
|
||||
|
||||
events_pred = convert_vector_to_events(y_test)
|
||||
events_gt = convert_vector_to_events(y_true)
|
||||
Trange = (0, len(y_test))
|
||||
affiliation = pr_from_events(events_pred, events_gt, Trange)
|
||||
vus_results = get_range_vus_roc(y_score, y_true, 100) # default slidingWindow = 100
|
||||
|
||||
return auc_roc(y_true, y_score), auc_pr(y_true, y_score), best_f1, best_p, best_r, affiliation['Affiliation_Precision'], affiliation['Affiliation_Recall'], vus_results["R_AUC_ROC"], vus_results["R_AUC_PR"], vus_results["VUS_ROC"], vus_results["VUS_PR"]
|
||||
|
||||
|
||||
|
|
|
|||
|
|
@ -0,0 +1 @@
|
|||
|
||||
|
|
@ -0,0 +1,86 @@
|
|||
#!/usr/bin/env python3
|
||||
# -*- coding: utf-8 -*-
|
||||
from ._integral_interval import interval_intersection
|
||||
|
||||
def t_start(j, Js = [(1,2),(3,4),(5,6)], Trange = (1,10)):
|
||||
"""
|
||||
Helper for `E_gt_func`
|
||||
|
||||
:param j: index from 0 to len(Js) (included) on which to get the start
|
||||
:param Js: ground truth events, as a list of couples
|
||||
:param Trange: range of the series where Js is included
|
||||
:return: generalized start such that the middle of t_start and t_stop
|
||||
always gives the affiliation zone
|
||||
"""
|
||||
b = max(Trange)
|
||||
n = len(Js)
|
||||
if j == n:
|
||||
return(2*b - t_stop(n-1, Js, Trange))
|
||||
else:
|
||||
return(Js[j][0])
|
||||
|
||||
def t_stop(j, Js = [(1,2),(3,4),(5,6)], Trange = (1,10)):
|
||||
"""
|
||||
Helper for `E_gt_func`
|
||||
|
||||
:param j: index from 0 to len(Js) (included) on which to get the stop
|
||||
:param Js: ground truth events, as a list of couples
|
||||
:param Trange: range of the series where Js is included
|
||||
:return: generalized stop such that the middle of t_start and t_stop
|
||||
always gives the affiliation zone
|
||||
"""
|
||||
if j == -1:
|
||||
a = min(Trange)
|
||||
return(2*a - t_start(0, Js, Trange))
|
||||
else:
|
||||
return(Js[j][1])
|
||||
|
||||
def E_gt_func(j, Js, Trange):
|
||||
"""
|
||||
Get the affiliation zone of element j of the ground truth
|
||||
|
||||
:param j: index from 0 to len(Js) (excluded) on which to get the zone
|
||||
:param Js: ground truth events, as a list of couples
|
||||
:param Trange: range of the series where Js is included, can
|
||||
be (-math.inf, math.inf) for distance measures
|
||||
:return: affiliation zone of element j of the ground truth represented
|
||||
as a couple
|
||||
"""
|
||||
range_left = (t_stop(j-1, Js, Trange) + t_start(j, Js, Trange))/2
|
||||
range_right = (t_stop(j, Js, Trange) + t_start(j+1, Js, Trange))/2
|
||||
return((range_left, range_right))
|
||||
|
||||
def get_all_E_gt_func(Js, Trange):
|
||||
"""
|
||||
Get the affiliation partition from the ground truth point of view
|
||||
|
||||
:param Js: ground truth events, as a list of couples
|
||||
:param Trange: range of the series where Js is included, can
|
||||
be (-math.inf, math.inf) for distance measures
|
||||
:return: affiliation partition of the events
|
||||
"""
|
||||
# E_gt is the limit of affiliation/attraction for each ground truth event
|
||||
E_gt = [E_gt_func(j, Js, Trange) for j in range(len(Js))]
|
||||
return(E_gt)
|
||||
|
||||
def affiliation_partition(Is = [(1,1.5),(2,5),(5,6),(8,9)], E_gt = [(1,2.5),(2.5,4.5),(4.5,10)]):
|
||||
"""
|
||||
Cut the events into the affiliation zones
|
||||
The presentation given here is from the ground truth point of view,
|
||||
but it is also used in the reversed direction in the main function.
|
||||
|
||||
:param Is: events as a list of couples
|
||||
:param E_gt: range of the affiliation zones
|
||||
:return: a list of list of intervals (each interval represented by either
|
||||
a couple or None for empty interval). The outer list is indexed by each
|
||||
affiliation zone of `E_gt`. The inner list is indexed by the events of `Is`.
|
||||
"""
|
||||
out = [None] * len(E_gt)
|
||||
for j in range(len(E_gt)):
|
||||
E_gt_j = E_gt[j]
|
||||
discarded_idx_before = [I[1] < E_gt_j[0] for I in Is] # end point of predicted I is before the begin of E
|
||||
discarded_idx_after = [I[0] > E_gt_j[1] for I in Is] # start of predicted I is after the end of E
|
||||
kept_index = [not(a or b) for a, b in zip(discarded_idx_before, discarded_idx_after)]
|
||||
Is_j = [x for x, y in zip(Is, kept_index)]
|
||||
out[j] = [interval_intersection(I, E_gt[j]) for I in Is_j]
|
||||
return(out)
|
||||
|
|
@ -0,0 +1,464 @@
|
|||
#!/usr/bin/env python3
|
||||
# -*- coding: utf-8 -*-
|
||||
import math
|
||||
from .generics import _sum_wo_nan
|
||||
"""
|
||||
In order to shorten the length of the variables,
|
||||
the general convention in this file is to let:
|
||||
- I for a predicted event (start, stop),
|
||||
- Is for a list of predicted events,
|
||||
- J for a ground truth event,
|
||||
- Js for a list of ground truth events.
|
||||
"""
|
||||
|
||||
def interval_length(J = (1,2)):
|
||||
"""
|
||||
Length of an interval
|
||||
|
||||
:param J: couple representating the start and stop of an interval, or None
|
||||
:return: length of the interval, and 0 for a None interval
|
||||
"""
|
||||
if J is None:
|
||||
return(0)
|
||||
return(J[1] - J[0])
|
||||
|
||||
def sum_interval_lengths(Is = [(1,2),(3,4),(5,6)]):
|
||||
"""
|
||||
Sum of length of the intervals
|
||||
|
||||
:param Is: list of intervals represented by starts and stops
|
||||
:return: sum of the interval length
|
||||
"""
|
||||
return(sum([interval_length(I) for I in Is]))
|
||||
|
||||
def interval_intersection(I = (1, 3), J = (2, 4)):
|
||||
"""
|
||||
Intersection between two intervals I and J
|
||||
I and J should be either empty or represent a positive interval (no point)
|
||||
|
||||
:param I: an interval represented by start and stop
|
||||
:param J: a second interval of the same form
|
||||
:return: an interval representing the start and stop of the intersection (or None if empty)
|
||||
"""
|
||||
if I is None:
|
||||
return(None)
|
||||
if J is None:
|
||||
return(None)
|
||||
|
||||
I_inter_J = (max(I[0], J[0]), min(I[1], J[1]))
|
||||
if I_inter_J[0] >= I_inter_J[1]:
|
||||
return(None)
|
||||
else:
|
||||
return(I_inter_J)
|
||||
|
||||
def interval_subset(I = (1, 3), J = (0, 6)):
|
||||
"""
|
||||
Checks whether I is a subset of J
|
||||
|
||||
:param I: an non empty interval represented by start and stop
|
||||
:param J: a second non empty interval of the same form
|
||||
:return: True if I is a subset of J
|
||||
"""
|
||||
if (I[0] >= J[0]) and (I[1] <= J[1]):
|
||||
return True
|
||||
else:
|
||||
return False
|
||||
|
||||
def cut_into_three_func(I, J):
|
||||
"""
|
||||
Cut an interval I into a partition of 3 subsets:
|
||||
the elements before J,
|
||||
the elements belonging to J,
|
||||
and the elements after J
|
||||
|
||||
:param I: an interval represented by start and stop, or None for an empty one
|
||||
:param J: a non empty interval
|
||||
:return: a triplet of three intervals, each represented by either (start, stop) or None
|
||||
"""
|
||||
if I is None:
|
||||
return((None, None, None))
|
||||
|
||||
I_inter_J = interval_intersection(I, J)
|
||||
if I == I_inter_J:
|
||||
I_before = None
|
||||
I_after = None
|
||||
elif I[1] <= J[0]:
|
||||
I_before = I
|
||||
I_after = None
|
||||
elif I[0] >= J[1]:
|
||||
I_before = None
|
||||
I_after = I
|
||||
elif (I[0] <= J[0]) and (I[1] >= J[1]):
|
||||
I_before = (I[0], I_inter_J[0])
|
||||
I_after = (I_inter_J[1], I[1])
|
||||
elif I[0] <= J[0]:
|
||||
I_before = (I[0], I_inter_J[0])
|
||||
I_after = None
|
||||
elif I[1] >= J[1]:
|
||||
I_before = None
|
||||
I_after = (I_inter_J[1], I[1])
|
||||
else:
|
||||
raise ValueError('unexpected unconsidered case')
|
||||
return(I_before, I_inter_J, I_after)
|
||||
|
||||
def get_pivot_j(I, J):
|
||||
"""
|
||||
Get the single point of J that is the closest to I, called 'pivot' here,
|
||||
with the requirement that I should be outside J
|
||||
|
||||
:param I: a non empty interval (start, stop)
|
||||
:param J: another non empty interval, with empty intersection with I
|
||||
:return: the element j of J that is the closest to I
|
||||
"""
|
||||
if interval_intersection(I, J) is not None:
|
||||
raise ValueError('I and J should have a void intersection')
|
||||
|
||||
j_pivot = None # j_pivot is a border of J
|
||||
if max(I) <= min(J):
|
||||
j_pivot = min(J)
|
||||
elif min(I) >= max(J):
|
||||
j_pivot = max(J)
|
||||
else:
|
||||
raise ValueError('I should be outside J')
|
||||
return(j_pivot)
|
||||
|
||||
def integral_mini_interval(I, J):
|
||||
"""
|
||||
In the specific case where interval I is located outside J,
|
||||
integral of distance from x to J over the interval x \in I.
|
||||
This is the *integral* i.e. the sum.
|
||||
It's not the mean (not divided by the length of I yet)
|
||||
|
||||
:param I: a interval (start, stop), or None
|
||||
:param J: a non empty interval, with empty intersection with I
|
||||
:return: the integral of distances d(x, J) over x \in I
|
||||
"""
|
||||
if I is None:
|
||||
return(0)
|
||||
|
||||
j_pivot = get_pivot_j(I, J)
|
||||
a = min(I)
|
||||
b = max(I)
|
||||
return((b-a)*abs((j_pivot - (a+b)/2)))
|
||||
|
||||
def integral_interval_distance(I, J):
|
||||
"""
|
||||
For any non empty intervals I, J, compute the
|
||||
integral of distance from x to J over the interval x \in I.
|
||||
This is the *integral* i.e. the sum.
|
||||
It's not the mean (not divided by the length of I yet)
|
||||
The interval I can intersect J or not
|
||||
|
||||
:param I: a interval (start, stop), or None
|
||||
:param J: a non empty interval
|
||||
:return: the integral of distances d(x, J) over x \in I
|
||||
"""
|
||||
# I and J are single intervals (not generic sets)
|
||||
# I is a predicted interval in the range of affiliation of J
|
||||
|
||||
def f(I_cut):
|
||||
return(integral_mini_interval(I_cut, J))
|
||||
# If I_middle is fully included into J, it is
|
||||
# the distance to J is always 0
|
||||
def f0(I_middle):
|
||||
return(0)
|
||||
|
||||
cut_into_three = cut_into_three_func(I, J)
|
||||
# Distance for now, not the mean:
|
||||
# Distance left: Between cut_into_three[0] and the point min(J)
|
||||
d_left = f(cut_into_three[0])
|
||||
# Distance middle: Between cut_into_three[1] = I inter J, and J
|
||||
d_middle = f0(cut_into_three[1])
|
||||
# Distance right: Between cut_into_three[2] and the point max(J)
|
||||
d_right = f(cut_into_three[2])
|
||||
# It's an integral so summable
|
||||
return(d_left + d_middle + d_right)
|
||||
|
||||
def integral_mini_interval_P_CDFmethod__min_piece(I, J, E):
|
||||
"""
|
||||
Helper of `integral_mini_interval_Pprecision_CDFmethod`
|
||||
In the specific case where interval I is located outside J,
|
||||
compute the integral $\int_{d_min}^{d_max} \min(m, x) dx$, with:
|
||||
- m the smallest distance from J to E,
|
||||
- d_min the smallest distance d(x, J) from x \in I to J
|
||||
- d_max the largest distance d(x, J) from x \in I to J
|
||||
|
||||
:param I: a single predicted interval, a non empty interval (start, stop)
|
||||
:param J: ground truth interval, a non empty interval, with empty intersection with I
|
||||
:param E: the affiliation/influence zone for J, represented as a couple (start, stop)
|
||||
:return: the integral $\int_{d_min}^{d_max} \min(m, x) dx$
|
||||
"""
|
||||
if interval_intersection(I, J) is not None:
|
||||
raise ValueError('I and J should have a void intersection')
|
||||
if not interval_subset(J, E):
|
||||
raise ValueError('J should be included in E')
|
||||
if not interval_subset(I, E):
|
||||
raise ValueError('I should be included in E')
|
||||
|
||||
e_min = min(E)
|
||||
j_min = min(J)
|
||||
j_max = max(J)
|
||||
e_max = max(E)
|
||||
i_min = min(I)
|
||||
i_max = max(I)
|
||||
|
||||
d_min = max(i_min - j_max, j_min - i_max)
|
||||
d_max = max(i_max - j_max, j_min - i_min)
|
||||
m = min(j_min - e_min, e_max - j_max)
|
||||
A = min(d_max, m)**2 - min(d_min, m)**2
|
||||
B = max(d_max, m) - max(d_min, m)
|
||||
C = (1/2)*A + m*B
|
||||
return(C)
|
||||
|
||||
def integral_mini_interval_Pprecision_CDFmethod(I, J, E):
|
||||
"""
|
||||
Integral of the probability of distances over the interval I.
|
||||
In the specific case where interval I is located outside J,
|
||||
compute the integral $\int_{x \in I} Fbar(dist(x,J)) dx$.
|
||||
This is the *integral* i.e. the sum (not the mean)
|
||||
|
||||
:param I: a single predicted interval, a non empty interval (start, stop)
|
||||
:param J: ground truth interval, a non empty interval, with empty intersection with I
|
||||
:param E: the affiliation/influence zone for J, represented as a couple (start, stop)
|
||||
:return: the integral $\int_{x \in I} Fbar(dist(x,J)) dx$
|
||||
"""
|
||||
integral_min_piece = integral_mini_interval_P_CDFmethod__min_piece(I, J, E)
|
||||
|
||||
e_min = min(E)
|
||||
j_min = min(J)
|
||||
j_max = max(J)
|
||||
e_max = max(E)
|
||||
i_min = min(I)
|
||||
i_max = max(I)
|
||||
d_min = max(i_min - j_max, j_min - i_max)
|
||||
d_max = max(i_max - j_max, j_min - i_min)
|
||||
integral_linear_piece = (1/2)*(d_max**2 - d_min**2)
|
||||
integral_remaining_piece = (j_max - j_min)*(i_max - i_min)
|
||||
|
||||
DeltaI = i_max - i_min
|
||||
DeltaE = e_max - e_min
|
||||
|
||||
output = DeltaI - (1/DeltaE)*(integral_min_piece + integral_linear_piece + integral_remaining_piece)
|
||||
return(output)
|
||||
|
||||
def integral_interval_probaCDF_precision(I, J, E):
|
||||
"""
|
||||
Integral of the probability of distances over the interval I.
|
||||
Compute the integral $\int_{x \in I} Fbar(dist(x,J)) dx$.
|
||||
This is the *integral* i.e. the sum (not the mean)
|
||||
|
||||
:param I: a single (non empty) predicted interval in the zone of affiliation of J
|
||||
:param J: ground truth interval
|
||||
:param E: affiliation/influence zone for J
|
||||
:return: the integral $\int_{x \in I} Fbar(dist(x,J)) dx$
|
||||
"""
|
||||
# I and J are single intervals (not generic sets)
|
||||
def f(I_cut):
|
||||
if I_cut is None:
|
||||
return(0)
|
||||
else:
|
||||
return(integral_mini_interval_Pprecision_CDFmethod(I_cut, J, E))
|
||||
|
||||
# If I_middle is fully included into J, it is
|
||||
# integral of 1 on the interval I_middle, so it's |I_middle|
|
||||
def f0(I_middle):
|
||||
if I_middle is None:
|
||||
return(0)
|
||||
else:
|
||||
return(max(I_middle) - min(I_middle))
|
||||
|
||||
cut_into_three = cut_into_three_func(I, J)
|
||||
# Distance for now, not the mean:
|
||||
# Distance left: Between cut_into_three[0] and the point min(J)
|
||||
d_left = f(cut_into_three[0])
|
||||
# Distance middle: Between cut_into_three[1] = I inter J, and J
|
||||
d_middle = f0(cut_into_three[1])
|
||||
# Distance right: Between cut_into_three[2] and the point max(J)
|
||||
d_right = f(cut_into_three[2])
|
||||
# It's an integral so summable
|
||||
return(d_left + d_middle + d_right)
|
||||
|
||||
def cut_J_based_on_mean_func(J, e_mean):
|
||||
"""
|
||||
Helper function for the recall.
|
||||
Partition J into two intervals: before and after e_mean
|
||||
(e_mean represents the center element of E the zone of affiliation)
|
||||
|
||||
:param J: ground truth interval
|
||||
:param e_mean: a float number (center value of E)
|
||||
:return: a couple partitionning J into (J_before, J_after)
|
||||
"""
|
||||
if J is None:
|
||||
J_before = None
|
||||
J_after = None
|
||||
elif e_mean >= max(J):
|
||||
J_before = J
|
||||
J_after = None
|
||||
elif e_mean <= min(J):
|
||||
J_before = None
|
||||
J_after = J
|
||||
else: # e_mean is across J
|
||||
J_before = (min(J), e_mean)
|
||||
J_after = (e_mean, max(J))
|
||||
|
||||
return((J_before, J_after))
|
||||
|
||||
def integral_mini_interval_Precall_CDFmethod(I, J, E):
|
||||
"""
|
||||
Integral of the probability of distances over the interval J.
|
||||
In the specific case where interval J is located outside I,
|
||||
compute the integral $\int_{y \in J} Fbar_y(dist(y,I)) dy$.
|
||||
This is the *integral* i.e. the sum (not the mean)
|
||||
|
||||
:param I: a single (non empty) predicted interval
|
||||
:param J: ground truth (non empty) interval, with empty intersection with I
|
||||
:param E: the affiliation/influence zone for J, represented as a couple (start, stop)
|
||||
:return: the integral $\int_{y \in J} Fbar_y(dist(y,I)) dy$
|
||||
"""
|
||||
# The interval J should be located outside I
|
||||
# (so it's either the left piece or the right piece w.r.t I)
|
||||
i_pivot = get_pivot_j(J, I)
|
||||
e_min = min(E)
|
||||
e_max = max(E)
|
||||
e_mean = (e_min + e_max) / 2
|
||||
|
||||
# If i_pivot is outside E (it's possible), then
|
||||
# the distance is worst that any random element within E,
|
||||
# so we set the recall to 0
|
||||
if i_pivot <= min(E):
|
||||
return(0)
|
||||
elif i_pivot >= max(E):
|
||||
return(0)
|
||||
# Otherwise, we have at least i_pivot in E and so d < M so min(d,M)=d
|
||||
|
||||
cut_J_based_on_e_mean = cut_J_based_on_mean_func(J, e_mean)
|
||||
J_before = cut_J_based_on_e_mean[0]
|
||||
J_after = cut_J_based_on_e_mean[1]
|
||||
|
||||
iemin_mean = (e_min + i_pivot)/2
|
||||
cut_Jbefore_based_on_iemin_mean = cut_J_based_on_mean_func(J_before, iemin_mean)
|
||||
J_before_closeE = cut_Jbefore_based_on_iemin_mean[0] # before e_mean and closer to e_min than i_pivot ~ J_before_before
|
||||
J_before_closeI = cut_Jbefore_based_on_iemin_mean[1] # before e_mean and closer to i_pivot than e_min ~ J_before_after
|
||||
|
||||
iemax_mean = (e_max + i_pivot)/2
|
||||
cut_Jafter_based_on_iemax_mean = cut_J_based_on_mean_func(J_after, iemax_mean)
|
||||
J_after_closeI = cut_Jafter_based_on_iemax_mean[0] # after e_mean and closer to i_pivot than e_max ~ J_after_before
|
||||
J_after_closeE = cut_Jafter_based_on_iemax_mean[1] # after e_mean and closer to e_max than i_pivot ~ J_after_after
|
||||
|
||||
if J_before_closeE is not None:
|
||||
j_before_before_min = min(J_before_closeE) # == min(J)
|
||||
j_before_before_max = max(J_before_closeE)
|
||||
else:
|
||||
j_before_before_min = math.nan
|
||||
j_before_before_max = math.nan
|
||||
|
||||
if J_before_closeI is not None:
|
||||
j_before_after_min = min(J_before_closeI) # == j_before_before_max if existing
|
||||
j_before_after_max = max(J_before_closeI) # == max(J_before)
|
||||
else:
|
||||
j_before_after_min = math.nan
|
||||
j_before_after_max = math.nan
|
||||
|
||||
if J_after_closeI is not None:
|
||||
j_after_before_min = min(J_after_closeI) # == min(J_after)
|
||||
j_after_before_max = max(J_after_closeI)
|
||||
else:
|
||||
j_after_before_min = math.nan
|
||||
j_after_before_max = math.nan
|
||||
|
||||
if J_after_closeE is not None:
|
||||
j_after_after_min = min(J_after_closeE) # == j_after_before_max if existing
|
||||
j_after_after_max = max(J_after_closeE) # == max(J)
|
||||
else:
|
||||
j_after_after_min = math.nan
|
||||
j_after_after_max = math.nan
|
||||
|
||||
# <-- J_before_closeE --> <-- J_before_closeI --> <-- J_after_closeI --> <-- J_after_closeE -->
|
||||
# j_bb_min j_bb_max j_ba_min j_ba_max j_ab_min j_ab_max j_aa_min j_aa_max
|
||||
# (with `b` for before and `a` for after in the previous variable names)
|
||||
|
||||
# vs e_mean m = min(t-e_min, e_max-t) d=|i_pivot-t| min(d,m) \int min(d,m)dt \int d dt \int_(min(d,m)+d)dt \int_{t \in J}(min(d,m)+d)dt
|
||||
# Case J_before_closeE & i_pivot after J before t-e_min i_pivot-t min(i_pivot-t,t-e_min) = t-e_min t^2/2-e_min*t i_pivot*t-t^2/2 t^2/2-e_min*t+i_pivot*t-t^2/2 = (i_pivot-e_min)*t (i_pivot-e_min)*tB - (i_pivot-e_min)*tA = (i_pivot-e_min)*(tB-tA)
|
||||
# Case J_before_closeI & i_pivot after J before t-e_min i_pivot-t min(i_pivot-t,t-e_min) = i_pivot-t i_pivot*t-t^2/2 i_pivot*t-t^2/2 i_pivot*t-t^2/2+i_pivot*t-t^2/2 = 2*i_pivot*t-t^2 2*i_pivot*tB-tB^2 - 2*i_pivot*tA + tA^2 = 2*i_pivot*(tB-tA) - (tB^2 - tA^2)
|
||||
# Case J_after_closeI & i_pivot after J after e_max-t i_pivot-t min(i_pivot-t,e_max-t) = i_pivot-t i_pivot*t-t^2/2 i_pivot*t-t^2/2 i_pivot*t-t^2/2+i_pivot*t-t^2/2 = 2*i_pivot*t-t^2 2*i_pivot*tB-tB^2 - 2*i_pivot*tA + tA^2 = 2*i_pivot*(tB-tA) - (tB^2 - tA^2)
|
||||
# Case J_after_closeE & i_pivot after J after e_max-t i_pivot-t min(i_pivot-t,e_max-t) = e_max-t e_max*t-t^2/2 i_pivot*t-t^2/2 e_max*t-t^2/2+i_pivot*t-t^2/2 = (e_max+i_pivot)*t-t^2 (e_max+i_pivot)*tB-tB^2 - (e_max+i_pivot)*tA + tA^2 = (e_max+i_pivot)*(tB-tA) - (tB^2 - tA^2)
|
||||
#
|
||||
# Case J_before_closeE & i_pivot before J before t-e_min t-i_pivot min(t-i_pivot,t-e_min) = t-e_min t^2/2-e_min*t t^2/2-i_pivot*t t^2/2-e_min*t+t^2/2-i_pivot*t = t^2-(e_min+i_pivot)*t tB^2-(e_min+i_pivot)*tB - tA^2 + (e_min+i_pivot)*tA = (tB^2 - tA^2) - (e_min+i_pivot)*(tB-tA)
|
||||
# Case J_before_closeI & i_pivot before J before t-e_min t-i_pivot min(t-i_pivot,t-e_min) = t-i_pivot t^2/2-i_pivot*t t^2/2-i_pivot*t t^2/2-i_pivot*t+t^2/2-i_pivot*t = t^2-2*i_pivot*t tB^2-2*i_pivot*tB - tA^2 + 2*i_pivot*tA = (tB^2 - tA^2) - 2*i_pivot*(tB-tA)
|
||||
# Case J_after_closeI & i_pivot before J after e_max-t t-i_pivot min(t-i_pivot,e_max-t) = t-i_pivot t^2/2-i_pivot*t t^2/2-i_pivot*t t^2/2-i_pivot*t+t^2/2-i_pivot*t = t^2-2*i_pivot*t tB^2-2*i_pivot*tB - tA^2 + 2*i_pivot*tA = (tB^2 - tA^2) - 2*i_pivot*(tB-tA)
|
||||
# Case J_after_closeE & i_pivot before J after e_max-t t-i_pivot min(t-i_pivot,e_max-t) = e_max-t e_max*t-t^2/2 t^2/2-i_pivot*t e_max*t-t^2/2+t^2/2-i_pivot*t = (e_max-i_pivot)*t (e_max-i_pivot)*tB - (e_max-i_pivot)*tA = (e_max-i_pivot)*(tB-tA)
|
||||
|
||||
if i_pivot >= max(J):
|
||||
part1_before_closeE = (i_pivot-e_min)*(j_before_before_max - j_before_before_min) # (i_pivot-e_min)*(tB-tA) # j_before_before_max - j_before_before_min
|
||||
part2_before_closeI = 2*i_pivot*(j_before_after_max-j_before_after_min) - (j_before_after_max**2 - j_before_after_min**2) # 2*i_pivot*(tB-tA) - (tB^2 - tA^2) # j_before_after_max - j_before_after_min
|
||||
part3_after_closeI = 2*i_pivot*(j_after_before_max-j_after_before_min) - (j_after_before_max**2 - j_after_before_min**2) # 2*i_pivot*(tB-tA) - (tB^2 - tA^2) # j_after_before_max - j_after_before_min
|
||||
part4_after_closeE = (e_max+i_pivot)*(j_after_after_max-j_after_after_min) - (j_after_after_max**2 - j_after_after_min**2) # (e_max+i_pivot)*(tB-tA) - (tB^2 - tA^2) # j_after_after_max - j_after_after_min
|
||||
out_parts = [part1_before_closeE, part2_before_closeI, part3_after_closeI, part4_after_closeE]
|
||||
elif i_pivot <= min(J):
|
||||
part1_before_closeE = (j_before_before_max**2 - j_before_before_min**2) - (e_min+i_pivot)*(j_before_before_max-j_before_before_min) # (tB^2 - tA^2) - (e_min+i_pivot)*(tB-tA) # j_before_before_max - j_before_before_min
|
||||
part2_before_closeI = (j_before_after_max**2 - j_before_after_min**2) - 2*i_pivot*(j_before_after_max-j_before_after_min) # (tB^2 - tA^2) - 2*i_pivot*(tB-tA) # j_before_after_max - j_before_after_min
|
||||
part3_after_closeI = (j_after_before_max**2 - j_after_before_min**2) - 2*i_pivot*(j_after_before_max - j_after_before_min) # (tB^2 - tA^2) - 2*i_pivot*(tB-tA) # j_after_before_max - j_after_before_min
|
||||
part4_after_closeE = (e_max-i_pivot)*(j_after_after_max - j_after_after_min) # (e_max-i_pivot)*(tB-tA) # j_after_after_max - j_after_after_min
|
||||
out_parts = [part1_before_closeE, part2_before_closeI, part3_after_closeI, part4_after_closeE]
|
||||
else:
|
||||
raise ValueError('The i_pivot should be outside J')
|
||||
|
||||
out_integral_min_dm_plus_d = _sum_wo_nan(out_parts) # integral on all J, i.e. sum of the disjoint parts
|
||||
|
||||
# We have for each point t of J:
|
||||
# \bar{F}_{t, recall}(d) = 1 - (1/|E|) * (min(d,m) + d)
|
||||
# Since t is a single-point here, and we are in the case where i_pivot is inside E.
|
||||
# The integral is then given by:
|
||||
# C = \int_{t \in J} \bar{F}_{t, recall}(D(t)) dt
|
||||
# = \int_{t \in J} 1 - (1/|E|) * (min(d,m) + d) dt
|
||||
# = |J| - (1/|E|) * [\int_{t \in J} (min(d,m) + d) dt]
|
||||
# = |J| - (1/|E|) * out_integral_min_dm_plus_d
|
||||
DeltaJ = max(J) - min(J)
|
||||
DeltaE = max(E) - min(E)
|
||||
C = DeltaJ - (1/DeltaE) * out_integral_min_dm_plus_d
|
||||
|
||||
return(C)
|
||||
|
||||
def integral_interval_probaCDF_recall(I, J, E):
|
||||
"""
|
||||
Integral of the probability of distances over the interval J.
|
||||
Compute the integral $\int_{y \in J} Fbar_y(dist(y,I)) dy$.
|
||||
This is the *integral* i.e. the sum (not the mean)
|
||||
|
||||
:param I: a single (non empty) predicted interval
|
||||
:param J: ground truth (non empty) interval
|
||||
:param E: the affiliation/influence zone for J
|
||||
:return: the integral $\int_{y \in J} Fbar_y(dist(y,I)) dy$
|
||||
"""
|
||||
# I and J are single intervals (not generic sets)
|
||||
# E is the outside affiliation interval of J (even for recall!)
|
||||
# (in particular J \subset E)
|
||||
#
|
||||
# J is the portion of the ground truth affiliated to I
|
||||
# I is a predicted interval (can be outside E possibly since it's recall)
|
||||
def f(J_cut):
|
||||
if J_cut is None:
|
||||
return(0)
|
||||
else:
|
||||
return integral_mini_interval_Precall_CDFmethod(I, J_cut, E)
|
||||
|
||||
# If J_middle is fully included into I, it is
|
||||
# integral of 1 on the interval J_middle, so it's |J_middle|
|
||||
def f0(J_middle):
|
||||
if J_middle is None:
|
||||
return(0)
|
||||
else:
|
||||
return(max(J_middle) - min(J_middle))
|
||||
|
||||
cut_into_three = cut_into_three_func(J, I) # it's J that we cut into 3, depending on the position w.r.t I
|
||||
# since we integrate over J this time.
|
||||
#
|
||||
# Distance for now, not the mean:
|
||||
# Distance left: Between cut_into_three[0] and the point min(I)
|
||||
d_left = f(cut_into_three[0])
|
||||
# Distance middle: Between cut_into_three[1] = J inter I, and I
|
||||
d_middle = f0(cut_into_three[1])
|
||||
# Distance right: Between cut_into_three[2] and the point max(I)
|
||||
d_right = f(cut_into_three[2])
|
||||
# It's an integral so summable
|
||||
return(d_left + d_middle + d_right)
|
||||
|
|
@ -0,0 +1,68 @@
|
|||
#!/usr/bin/env python3
|
||||
# -*- coding: utf-8 -*-
|
||||
import math
|
||||
from ._affiliation_zone import (
|
||||
get_all_E_gt_func,
|
||||
affiliation_partition)
|
||||
from ._integral_interval import (
|
||||
integral_interval_distance,
|
||||
integral_interval_probaCDF_precision,
|
||||
integral_interval_probaCDF_recall,
|
||||
interval_length,
|
||||
sum_interval_lengths)
|
||||
|
||||
def affiliation_precision_distance(Is = [(1,2),(3,4),(5,6)], J = (2,5.5)):
|
||||
"""
|
||||
Compute the individual average distance from Is to a single ground truth J
|
||||
|
||||
:param Is: list of predicted events within the affiliation zone of J
|
||||
:param J: couple representating the start and stop of a ground truth interval
|
||||
:return: individual average precision directed distance number
|
||||
"""
|
||||
if all([I is None for I in Is]): # no prediction in the current area
|
||||
return(math.nan) # undefined
|
||||
return(sum([integral_interval_distance(I, J) for I in Is]) / sum_interval_lengths(Is))
|
||||
|
||||
def affiliation_precision_proba(Is = [(1,2),(3,4),(5,6)], J = (2,5.5), E = (0,8)):
|
||||
"""
|
||||
Compute the individual precision probability from Is to a single ground truth J
|
||||
|
||||
:param Is: list of predicted events within the affiliation zone of J
|
||||
:param J: couple representating the start and stop of a ground truth interval
|
||||
:param E: couple representing the start and stop of the zone of affiliation of J
|
||||
:return: individual precision probability in [0, 1], or math.nan if undefined
|
||||
"""
|
||||
if all([I is None for I in Is]): # no prediction in the current area
|
||||
return(math.nan) # undefined
|
||||
return(sum([integral_interval_probaCDF_precision(I, J, E) for I in Is]) / sum_interval_lengths(Is))
|
||||
|
||||
def affiliation_recall_distance(Is = [(1,2),(3,4),(5,6)], J = (2,5.5)):
|
||||
"""
|
||||
Compute the individual average distance from a single J to the predictions Is
|
||||
|
||||
:param Is: list of predicted events within the affiliation zone of J
|
||||
:param J: couple representating the start and stop of a ground truth interval
|
||||
:return: individual average recall directed distance number
|
||||
"""
|
||||
Is = [I for I in Is if I is not None] # filter possible None in Is
|
||||
if len(Is) == 0: # there is no prediction in the current area
|
||||
return(math.inf)
|
||||
E_gt_recall = get_all_E_gt_func(Is, (-math.inf, math.inf)) # here from the point of view of the predictions
|
||||
Js = affiliation_partition([J], E_gt_recall) # partition of J depending of proximity with Is
|
||||
return(sum([integral_interval_distance(J[0], I) for I, J in zip(Is, Js)]) / interval_length(J))
|
||||
|
||||
def affiliation_recall_proba(Is = [(1,2),(3,4),(5,6)], J = (2,5.5), E = (0,8)):
|
||||
"""
|
||||
Compute the individual recall probability from a single ground truth J to Is
|
||||
|
||||
:param Is: list of predicted events within the affiliation zone of J
|
||||
:param J: couple representating the start and stop of a ground truth interval
|
||||
:param E: couple representing the start and stop of the zone of affiliation of J
|
||||
:return: individual recall probability in [0, 1]
|
||||
"""
|
||||
Is = [I for I in Is if I is not None] # filter possible None in Is
|
||||
if len(Is) == 0: # there is no prediction in the current area
|
||||
return(0)
|
||||
E_gt_recall = get_all_E_gt_func(Is, E) # here from the point of view of the predictions
|
||||
Js = affiliation_partition([J], E_gt_recall) # partition of J depending of proximity with Is
|
||||
return(sum([integral_interval_probaCDF_recall(I, J[0], E) for I, J in zip(Is, Js)]) / interval_length(J))
|
||||
|
|
@ -0,0 +1,135 @@
|
|||
#!/usr/bin/env python3
|
||||
# -*- coding: utf-8 -*-
|
||||
from itertools import groupby
|
||||
from operator import itemgetter
|
||||
import math
|
||||
import gzip
|
||||
import glob
|
||||
import os
|
||||
|
||||
def convert_vector_to_events(vector = [0, 1, 1, 0, 0, 1, 0]):
|
||||
"""
|
||||
Convert a binary vector (indicating 1 for the anomalous instances)
|
||||
to a list of events. The events are considered as durations,
|
||||
i.e. setting 1 at index i corresponds to an anomalous interval [i, i+1).
|
||||
|
||||
:param vector: a list of elements belonging to {0, 1}
|
||||
:return: a list of couples, each couple representing the start and stop of
|
||||
each event
|
||||
"""
|
||||
positive_indexes = [idx for idx, val in enumerate(vector) if val > 0]
|
||||
events = []
|
||||
for k, g in groupby(enumerate(positive_indexes), lambda ix : ix[0] - ix[1]):
|
||||
cur_cut = list(map(itemgetter(1), g))
|
||||
events.append((cur_cut[0], cur_cut[-1]))
|
||||
|
||||
# Consistent conversion in case of range anomalies (for indexes):
|
||||
# A positive index i is considered as the interval [i, i+1),
|
||||
# so the last index should be moved by 1
|
||||
events = [(x, y+1) for (x,y) in events]
|
||||
|
||||
return(events)
|
||||
|
||||
def infer_Trange(events_pred, events_gt):
|
||||
"""
|
||||
Given the list of events events_pred and events_gt, get the
|
||||
smallest possible Trange corresponding to the start and stop indexes
|
||||
of the whole series.
|
||||
Trange will not influence the measure of distances, but will impact the
|
||||
measures of probabilities.
|
||||
|
||||
:param events_pred: a list of couples corresponding to predicted events
|
||||
:param events_gt: a list of couples corresponding to ground truth events
|
||||
:return: a couple corresponding to the smallest range containing the events
|
||||
"""
|
||||
if len(events_gt) == 0:
|
||||
raise ValueError('The gt events should contain at least one event')
|
||||
if len(events_pred) == 0:
|
||||
# empty prediction, base Trange only on events_gt (which is non empty)
|
||||
return(infer_Trange(events_gt, events_gt))
|
||||
|
||||
min_pred = min([x[0] for x in events_pred])
|
||||
min_gt = min([x[0] for x in events_gt])
|
||||
max_pred = max([x[1] for x in events_pred])
|
||||
max_gt = max([x[1] for x in events_gt])
|
||||
Trange = (min(min_pred, min_gt), max(max_pred, max_gt))
|
||||
return(Trange)
|
||||
|
||||
def has_point_anomalies(events):
|
||||
"""
|
||||
Checking whether events contain point anomalies, i.e.
|
||||
events starting and stopping at the same time.
|
||||
|
||||
:param events: a list of couples corresponding to predicted events
|
||||
:return: True is the events have any point anomalies, False otherwise
|
||||
"""
|
||||
if len(events) == 0:
|
||||
return(False)
|
||||
return(min([x[1] - x[0] for x in events]) == 0)
|
||||
|
||||
def _sum_wo_nan(vec):
|
||||
"""
|
||||
Sum of elements, ignoring math.isnan ones
|
||||
|
||||
:param vec: vector of floating numbers
|
||||
:return: sum of the elements, ignoring math.isnan ones
|
||||
"""
|
||||
vec_wo_nan = [e for e in vec if not math.isnan(e)]
|
||||
return(sum(vec_wo_nan))
|
||||
|
||||
def _len_wo_nan(vec):
|
||||
"""
|
||||
Count of elements, ignoring math.isnan ones
|
||||
|
||||
:param vec: vector of floating numbers
|
||||
:return: count of the elements, ignoring math.isnan ones
|
||||
"""
|
||||
vec_wo_nan = [e for e in vec if not math.isnan(e)]
|
||||
return(len(vec_wo_nan))
|
||||
|
||||
def read_gz_data(filename = 'data/machinetemp_groundtruth.gz'):
|
||||
"""
|
||||
Load a file compressed with gz, such that each line of the
|
||||
file is either 0 (representing a normal instance) or 1 (representing)
|
||||
an anomalous instance.
|
||||
:param filename: file path to the gz compressed file
|
||||
:return: list of integers with either 0 or 1
|
||||
"""
|
||||
with gzip.open(filename, 'rb') as f:
|
||||
content = f.read().splitlines()
|
||||
content = [int(x) for x in content]
|
||||
return(content)
|
||||
|
||||
def read_all_as_events():
|
||||
"""
|
||||
Load the files contained in the folder `data/` and convert
|
||||
to events. The length of the series is kept.
|
||||
The convention for the file name is: `dataset_algorithm.gz`
|
||||
:return: two dictionaries:
|
||||
- the first containing the list of events for each dataset and algorithm,
|
||||
- the second containing the range of the series for each dataset
|
||||
"""
|
||||
filepaths = glob.glob('data/*.gz')
|
||||
datasets = dict()
|
||||
Tranges = dict()
|
||||
for filepath in filepaths:
|
||||
vector = read_gz_data(filepath)
|
||||
events = convert_vector_to_events(vector)
|
||||
# ad hoc cut for those files
|
||||
cut_filepath = (os.path.split(filepath)[1]).split('_')
|
||||
data_name = cut_filepath[0]
|
||||
algo_name = (cut_filepath[1]).split('.')[0]
|
||||
if not data_name in datasets:
|
||||
datasets[data_name] = dict()
|
||||
Tranges[data_name] = (0, len(vector))
|
||||
datasets[data_name][algo_name] = events
|
||||
return(datasets, Tranges)
|
||||
|
||||
def f1_func(p, r):
|
||||
"""
|
||||
Compute the f1 function
|
||||
:param p: precision numeric value
|
||||
:param r: recall numeric value
|
||||
:return: f1 numeric value
|
||||
"""
|
||||
return(2*p*r/(p+r))
|
||||
|
|
@ -0,0 +1,116 @@
|
|||
#!/usr/bin/env python3
|
||||
# -*- coding: utf-8 -*-
|
||||
from .generics import (
|
||||
infer_Trange,
|
||||
has_point_anomalies,
|
||||
_len_wo_nan,
|
||||
_sum_wo_nan,
|
||||
read_all_as_events)
|
||||
from ._affiliation_zone import (
|
||||
get_all_E_gt_func,
|
||||
affiliation_partition)
|
||||
from ._single_ground_truth_event import (
|
||||
affiliation_precision_distance,
|
||||
affiliation_recall_distance,
|
||||
affiliation_precision_proba,
|
||||
affiliation_recall_proba)
|
||||
|
||||
def test_events(events):
|
||||
"""
|
||||
Verify the validity of the input events
|
||||
:param events: list of events, each represented by a couple (start, stop)
|
||||
:return: None. Raise an error for incorrect formed or non ordered events
|
||||
"""
|
||||
if type(events) is not list:
|
||||
raise TypeError('Input `events` should be a list of couples')
|
||||
if not all([type(x) is tuple for x in events]):
|
||||
raise TypeError('Input `events` should be a list of tuples')
|
||||
if not all([len(x) == 2 for x in events]):
|
||||
raise ValueError('Input `events` should be a list of couples (start, stop)')
|
||||
if not all([x[0] <= x[1] for x in events]):
|
||||
raise ValueError('Input `events` should be a list of couples (start, stop) with start <= stop')
|
||||
if not all([events[i][1] < events[i+1][0] for i in range(len(events) - 1)]):
|
||||
raise ValueError('Couples of input `events` should be disjoint and ordered')
|
||||
|
||||
def pr_from_events(events_pred, events_gt, Trange):
|
||||
"""
|
||||
Compute the affiliation metrics including the precision/recall in [0,1],
|
||||
along with the individual precision/recall distances and probabilities
|
||||
|
||||
:param events_pred: list of predicted events, each represented by a couple
|
||||
indicating the start and the stop of the event
|
||||
:param events_gt: list of ground truth events, each represented by a couple
|
||||
indicating the start and the stop of the event
|
||||
:param Trange: range of the series where events_pred and events_gt are included,
|
||||
represented as a couple (start, stop)
|
||||
:return: dictionary with precision, recall, and the individual metrics
|
||||
"""
|
||||
# testing the inputs
|
||||
test_events(events_pred)
|
||||
test_events(events_gt)
|
||||
|
||||
# other tests
|
||||
minimal_Trange = infer_Trange(events_pred, events_gt)
|
||||
if not Trange[0] <= minimal_Trange[0]:
|
||||
raise ValueError('`Trange` should include all the events')
|
||||
if not minimal_Trange[1] <= Trange[1]:
|
||||
raise ValueError('`Trange` should include all the events')
|
||||
|
||||
if len(events_gt) == 0:
|
||||
raise ValueError('Input `events_gt` should have at least one event')
|
||||
|
||||
if has_point_anomalies(events_pred) or has_point_anomalies(events_gt):
|
||||
raise ValueError('Cannot manage point anomalies currently')
|
||||
|
||||
if Trange is None:
|
||||
# Set as default, but Trange should be indicated if probabilities are used
|
||||
raise ValueError('Trange should be indicated (or inferred with the `infer_Trange` function')
|
||||
|
||||
E_gt = get_all_E_gt_func(events_gt, Trange)
|
||||
aff_partition = affiliation_partition(events_pred, E_gt)
|
||||
|
||||
# Computing precision distance
|
||||
d_precision = [affiliation_precision_distance(Is, J) for Is, J in zip(aff_partition, events_gt)]
|
||||
|
||||
# Computing recall distance
|
||||
d_recall = [affiliation_recall_distance(Is, J) for Is, J in zip(aff_partition, events_gt)]
|
||||
|
||||
# Computing precision
|
||||
p_precision = [affiliation_precision_proba(Is, J, E) for Is, J, E in zip(aff_partition, events_gt, E_gt)]
|
||||
|
||||
# Computing recall
|
||||
p_recall = [affiliation_recall_proba(Is, J, E) for Is, J, E in zip(aff_partition, events_gt, E_gt)]
|
||||
|
||||
if _len_wo_nan(p_precision) > 0:
|
||||
p_precision_average = _sum_wo_nan(p_precision) / _len_wo_nan(p_precision)
|
||||
else:
|
||||
p_precision_average = p_precision[0] # math.nan
|
||||
p_recall_average = sum(p_recall) / len(p_recall)
|
||||
|
||||
dict_out = dict({'Affiliation_Precision': p_precision_average,
|
||||
'Affiliation_Recall': p_recall_average,
|
||||
'individual_precision_probabilities': p_precision,
|
||||
'individual_recall_probabilities': p_recall,
|
||||
'individual_precision_distances': d_precision,
|
||||
'individual_recall_distances': d_recall})
|
||||
return(dict_out)
|
||||
|
||||
def produce_all_results():
|
||||
"""
|
||||
Produce the affiliation precision/recall for all files
|
||||
contained in the `data` repository
|
||||
:return: a dictionary indexed by data names, each containing a dictionary
|
||||
indexed by algorithm names, each containing the results of the affiliation
|
||||
metrics (precision, recall, individual probabilities and distances)
|
||||
"""
|
||||
datasets, Tranges = read_all_as_events() # read all the events in folder `data`
|
||||
results = dict()
|
||||
for data_name in datasets.keys():
|
||||
results_data = dict()
|
||||
for algo_name in datasets[data_name].keys():
|
||||
if algo_name != 'groundtruth':
|
||||
results_data[algo_name] = pr_from_events(datasets[data_name][algo_name],
|
||||
datasets[data_name]['groundtruth'],
|
||||
Tranges[data_name])
|
||||
results[data_name] = results_data
|
||||
return(results)
|
||||
|
|
@ -0,0 +1,343 @@
|
|||
from random import shuffle
|
||||
import numpy as np
|
||||
import math
|
||||
import matplotlib.pyplot as plt
|
||||
from matplotlib import cm
|
||||
import pandas as pd
|
||||
from tqdm import tqdm as tqdm
|
||||
import time
|
||||
from sklearn.preprocessing import MinMaxScaler
|
||||
import random
|
||||
|
||||
|
||||
import os
|
||||
import sys
|
||||
module_path = os.path.abspath(os.path.join('../..'))
|
||||
if module_path not in sys.path:
|
||||
sys.path.append(module_path)
|
||||
|
||||
from deepod.metrics.vus.utils.slidingWindows import find_length
|
||||
from deepod.metrics.vus.utils.metrics import metricor
|
||||
|
||||
from deepod.metrics.vus.models.distance import Fourier
|
||||
from deepod.metrics.vus.models.feature import Window
|
||||
|
||||
|
||||
def generate_new_label(label,lag):
|
||||
if lag < 0:
|
||||
return np.array(list(label[-lag:]) + [0]*(-lag))
|
||||
elif lag > 0:
|
||||
return np.array([0]*lag + list(label[:-lag]))
|
||||
elif lag == 0:
|
||||
return label
|
||||
|
||||
def compute_anomaly_acc_lag(methods_scores,label,slidingWindow,methods_keys):
|
||||
|
||||
lag_range = list(range(-slidingWindow//4,slidingWindow//4,5))
|
||||
methods_acc = {}
|
||||
for i,methods_score in enumerate(tqdm(methods_keys)):
|
||||
dict_acc = {
|
||||
'R_AUC_ROC': [],
|
||||
'AUC_ROC': [],
|
||||
'R_AUC_PR': [],
|
||||
'AUC_PR': [],
|
||||
'VUS_ROC': [],
|
||||
'VUS_PR': [],
|
||||
'Precision': [],
|
||||
'Recall': [],
|
||||
'F': [],
|
||||
'ExistenceReward':[],
|
||||
'OverlapReward': [],
|
||||
'Precision@k': [],
|
||||
'Rprecision': [],
|
||||
'Rrecall': [],
|
||||
'RF': []}
|
||||
|
||||
for lag in tqdm(lag_range):
|
||||
new_label = generate_new_label(label,lag)
|
||||
|
||||
grader = metricor()
|
||||
|
||||
R_AUC, R_AP, R_fpr, R_tpr, R_prec = grader.RangeAUC(labels=new_label, score=methods_scores[methods_score], window=slidingWindow, plot_ROC=True)
|
||||
L, fpr, tpr= grader.metric_new(new_label, methods_scores[methods_score], plot_ROC=True)
|
||||
precision, recall, AP = grader.metric_PR(new_label, methods_scores[methods_score])
|
||||
Y, Z, X, X_ap, W, Z_ap,avg_auc_3d, avg_ap_3d = generate_curve(new_label,methods_scores[methods_score],2*slidingWindow)
|
||||
L1 = [ elem for elem in L]
|
||||
|
||||
dict_acc['R_AUC_ROC'] +=[R_AUC]
|
||||
dict_acc['AUC_ROC'] +=[L1[0]]
|
||||
dict_acc['R_AUC_PR'] +=[R_AP]
|
||||
dict_acc['AUC_PR'] +=[AP]
|
||||
dict_acc['VUS_ROC'] +=[avg_auc_3d]
|
||||
dict_acc['VUS_PR'] +=[avg_ap_3d]
|
||||
dict_acc['Precision'] +=[L1[1]]
|
||||
dict_acc['Recall'] +=[L1[2]]
|
||||
dict_acc['F'] +=[L1[3]]
|
||||
dict_acc['ExistenceReward']+=[L1[5]]
|
||||
dict_acc['OverlapReward'] +=[L1[6]]
|
||||
dict_acc['Precision@k'] +=[L1[9]]
|
||||
dict_acc['Rprecision'] +=[L1[7]]
|
||||
dict_acc['Rrecall'] +=[L1[4]]
|
||||
dict_acc['RF'] +=[L1[8]]
|
||||
|
||||
methods_acc[methods_score] = dict_acc
|
||||
return methods_acc
|
||||
|
||||
|
||||
def compute_anomaly_acc_percentage(methods_scores,label,slidingWindow,methods_keys,pos_first_anom):
|
||||
|
||||
|
||||
list_pos = []
|
||||
step_a = max(0,(len(label) - pos_first_anom-200))//20
|
||||
step_b = max(0,pos_first_anom-200)//20
|
||||
pos_a = min(len(label),pos_first_anom + 200)
|
||||
pos_b = max(0,pos_first_anom - 200)
|
||||
list_pos.append((pos_b,pos_a))
|
||||
for pos_iter in range(20):
|
||||
pos_a = min(len(label),pos_a + step_a)
|
||||
pos_b = max(0,pos_b - step_b)
|
||||
list_pos.append((pos_b,pos_a))
|
||||
methods_acc = {}
|
||||
print(list_pos)
|
||||
for i,methods_score in enumerate(tqdm(methods_keys)):
|
||||
dict_acc = {
|
||||
'R_AUC_ROC': [],
|
||||
'AUC_ROC': [],
|
||||
'R_AUC_PR': [],
|
||||
'AUC_PR': [],
|
||||
'VUS_ROC': [],
|
||||
'VUS_PR': [],
|
||||
'Precision': [],
|
||||
'Recall': [],
|
||||
'F': [],
|
||||
'ExistenceReward':[],
|
||||
'OverlapReward': [],
|
||||
'Precision@k': [],
|
||||
'Rprecision': [],
|
||||
'Rrecall': [],
|
||||
'RF': []}
|
||||
|
||||
for end_pos in tqdm(list_pos):
|
||||
new_label = label[end_pos[0]:end_pos[1]]
|
||||
new_score = np.array(methods_scores[methods_score])[end_pos[0]:end_pos[1]]
|
||||
grader = metricor()
|
||||
|
||||
R_AUC, R_AP, R_fpr, R_tpr, R_prec = grader.RangeAUC(labels=new_label, score=new_score, window=slidingWindow, plot_ROC=True)
|
||||
L, fpr, tpr= grader.metric_new(new_label, new_score, plot_ROC=True)
|
||||
precision, recall, AP = grader.metric_PR(new_label, new_score)
|
||||
Y, Z, X, X_ap, W, Z_ap,avg_auc_3d, avg_ap_3d = generate_curve(new_label,new_score,2*slidingWindow)
|
||||
L1 = [ elem for elem in L]
|
||||
|
||||
dict_acc['R_AUC_ROC'] +=[R_AUC]
|
||||
dict_acc['AUC_ROC'] +=[L1[0]]
|
||||
dict_acc['R_AUC_PR'] +=[R_AP]
|
||||
dict_acc['AUC_PR'] +=[AP]
|
||||
dict_acc['VUS_ROC'] +=[avg_auc_3d]
|
||||
dict_acc['VUS_PR'] +=[avg_ap_3d]
|
||||
dict_acc['Precision'] +=[L1[1]]
|
||||
dict_acc['Recall'] +=[L1[2]]
|
||||
dict_acc['F'] +=[L1[3]]
|
||||
dict_acc['ExistenceReward']+=[L1[5]]
|
||||
dict_acc['OverlapReward'] +=[L1[6]]
|
||||
dict_acc['Precision@k'] +=[L1[9]]
|
||||
dict_acc['Rprecision'] +=[L1[7]]
|
||||
dict_acc['Rrecall'] +=[L1[4]]
|
||||
dict_acc['RF'] +=[L1[8]]
|
||||
|
||||
methods_acc[methods_score] = dict_acc
|
||||
return methods_acc
|
||||
|
||||
def compute_anomaly_acc_noise(methods_scores,label,slidingWindow,methods_keys):
|
||||
|
||||
lag_range = list(range(-slidingWindow//2,slidingWindow//2,10))
|
||||
methods_acc = {}
|
||||
for i,methods_score in enumerate(tqdm(methods_keys)):
|
||||
dict_acc = {
|
||||
'R_AUC_ROC': [],
|
||||
'AUC_ROC': [],
|
||||
'R_AUC_PR': [],
|
||||
'AUC_PR': [],
|
||||
'VUS_ROC': [],
|
||||
'VUS_PR': [],
|
||||
'Precision': [],
|
||||
'Recall': [],
|
||||
'F': [],
|
||||
'ExistenceReward':[],
|
||||
'OverlapReward': [],
|
||||
'Precision@k': [],
|
||||
'Rprecision': [],
|
||||
'Rrecall': [],
|
||||
'RF': []}
|
||||
|
||||
for lag in tqdm(lag_range):
|
||||
new_label = label
|
||||
|
||||
grader = metricor()
|
||||
|
||||
noise = np.random.normal(-0.1,0.1,len(methods_scores[methods_score]))
|
||||
|
||||
new_score = np.array(methods_scores[methods_score]) + noise
|
||||
new_score = (new_score - min(new_score))/(max(new_score) - min(new_score))
|
||||
|
||||
R_AUC, R_AP, R_fpr, R_tpr, R_prec = grader.RangeAUC(labels=new_label, score=new_score, window=slidingWindow, plot_ROC=True)
|
||||
L, fpr, tpr= grader.metric_new(new_label, new_score, plot_ROC=True)
|
||||
precision, recall, AP = grader.metric_PR(new_label, new_score)
|
||||
Y, Z, X, X_ap, W, Z_ap,avg_auc_3d, avg_ap_3d = generate_curve(new_label,new_score,2*slidingWindow)
|
||||
L1 = [ elem for elem in L]
|
||||
|
||||
dict_acc['R_AUC_ROC'] +=[R_AUC]
|
||||
dict_acc['AUC_ROC'] +=[L1[0]]
|
||||
dict_acc['R_AUC_PR'] +=[R_AP]
|
||||
dict_acc['AUC_PR'] +=[AP]
|
||||
dict_acc['VUS_ROC'] +=[avg_auc_3d]
|
||||
dict_acc['VUS_PR'] +=[avg_ap_3d]
|
||||
dict_acc['Precision'] +=[L1[1]]
|
||||
dict_acc['Recall'] +=[L1[2]]
|
||||
dict_acc['F'] +=[L1[3]]
|
||||
dict_acc['ExistenceReward']+=[L1[5]]
|
||||
dict_acc['OverlapReward'] +=[L1[6]]
|
||||
dict_acc['Precision@k'] +=[L1[9]]
|
||||
dict_acc['Rprecision'] +=[L1[7]]
|
||||
dict_acc['Rrecall'] +=[L1[4]]
|
||||
dict_acc['RF'] +=[L1[8]]
|
||||
|
||||
methods_acc[methods_score] = dict_acc
|
||||
return methods_acc
|
||||
|
||||
|
||||
def compute_anomaly_acc_pairwise(methods_scores,label,slidingWindow,method1,method2):
|
||||
|
||||
lag_range = list(range(-slidingWindow//4,slidingWindow//4,5))
|
||||
methods_acc = {}
|
||||
method_key = [method1]
|
||||
if method2 is not None:
|
||||
method_key = [method1,method2]
|
||||
for i,methods_score in enumerate(tqdm(method_key)):
|
||||
dict_acc = {
|
||||
'R_AUC_ROC': [],
|
||||
'AUC_ROC': [],
|
||||
'R_AUC_PR': [],
|
||||
'AUC_PR': [],
|
||||
'VUS_ROC': [],
|
||||
'VUS_PR': [],
|
||||
'Precision': [],
|
||||
'Recall': [],
|
||||
'F': [],
|
||||
'ExistenceReward':[],
|
||||
'OverlapReward': [],
|
||||
'Precision@k': [],
|
||||
'Rprecision': [],
|
||||
'Rrecall': [],
|
||||
'RF': []}
|
||||
|
||||
for lag in tqdm(range(60)):
|
||||
new_lag = random.randint(-slidingWindow//4,slidingWindow//4)
|
||||
new_label = generate_new_label(label,new_lag)
|
||||
|
||||
noise = np.random.normal(-0.1,0.1,len(methods_scores[methods_score]))
|
||||
new_score = np.array(methods_scores[methods_score]) + noise
|
||||
new_score = (new_score - min(new_score))/(max(new_score) - min(new_score))
|
||||
|
||||
grader = metricor()
|
||||
|
||||
R_AUC, R_AP, R_fpr, R_tpr, R_prec = grader.RangeAUC(labels=new_label, score=new_score, window=slidingWindow, plot_ROC=True)
|
||||
L, fpr, tpr= grader.metric_new(new_label, new_score, plot_ROC=True)
|
||||
precision, recall, AP = grader.metric_PR(new_label, new_score)
|
||||
#range_anomaly = grader.range_convers_new(new_label)
|
||||
Y, Z, X, X_ap, W, Z_ap,avg_auc_3d, avg_ap_3d = generate_curve(new_label,new_score,2*slidingWindow)
|
||||
L1 = [ elem for elem in L]
|
||||
|
||||
dict_acc['R_AUC_ROC'] +=[R_AUC]
|
||||
dict_acc['AUC_ROC'] +=[L1[0]]
|
||||
dict_acc['R_AUC_PR'] +=[R_AP]
|
||||
dict_acc['AUC_PR'] +=[AP]
|
||||
dict_acc['VUS_ROC'] +=[avg_auc_3d]
|
||||
dict_acc['VUS_PR'] +=[avg_ap_3d]
|
||||
dict_acc['Precision'] +=[L1[1]]
|
||||
dict_acc['Recall'] +=[L1[2]]
|
||||
dict_acc['F'] +=[L1[3]]
|
||||
dict_acc['ExistenceReward']+=[L1[5]]
|
||||
dict_acc['OverlapReward'] +=[L1[6]]
|
||||
dict_acc['Precision@k'] +=[L1[9]]
|
||||
dict_acc['Rprecision'] +=[L1[7]]
|
||||
dict_acc['Rrecall'] +=[L1[4]]
|
||||
dict_acc['RF'] +=[L1[8]]
|
||||
|
||||
methods_acc[methods_score] = dict_acc
|
||||
return methods_acc
|
||||
|
||||
|
||||
def normalize_dict_exp(methods_acc_lag,methods_keys):
|
||||
key_metrics = [
|
||||
'VUS_ROC',
|
||||
'VUS_PR',
|
||||
'R_AUC_ROC',
|
||||
'R_AUC_PR',
|
||||
'AUC_ROC',
|
||||
'AUC_PR',
|
||||
'Rprecision',
|
||||
'Rrecall',
|
||||
'RF',
|
||||
'Precision',
|
||||
'Recall',
|
||||
'F',
|
||||
'Precision@k'
|
||||
][::-1]
|
||||
|
||||
norm_methods_acc_lag = {}
|
||||
for key in methods_keys:
|
||||
norm_methods_acc_lag[key] = {}
|
||||
for key_metric in key_metrics:
|
||||
ts = methods_acc_lag[key][key_metric]
|
||||
new_ts = list(np.array(ts) - np.mean(ts))
|
||||
norm_methods_acc_lag[key][key_metric] = new_ts
|
||||
return norm_methods_acc_lag
|
||||
|
||||
def group_dict(methods_acc_lag,methods_keys):
|
||||
key_metrics = [
|
||||
'VUS_ROC',
|
||||
'VUS_PR',
|
||||
'R_AUC_ROC',
|
||||
'R_AUC_PR',
|
||||
'AUC_ROC',
|
||||
'AUC_PR',
|
||||
'Rprecision',
|
||||
'Rrecall',
|
||||
'RF',
|
||||
'Precision',
|
||||
'Recall',
|
||||
'F',
|
||||
'Precision@k'
|
||||
][::-1]
|
||||
|
||||
norm_methods_acc_lag = {key:[] for key in key_metrics}
|
||||
for key in methods_keys:
|
||||
for key_metric in key_metrics:
|
||||
ts = list(methods_acc_lag[key][key_metric])
|
||||
new_ts = list(np.array(ts) - np.mean(ts))
|
||||
norm_methods_acc_lag[key_metric] += new_ts
|
||||
return norm_methods_acc_lag
|
||||
|
||||
|
||||
def generate_curve(label,score,slidingWindow):
|
||||
tpr_3d, fpr_3d, prec_3d, window_3d, avg_auc_3d, avg_ap_3d = metricor().RangeAUC_volume(labels_original=label, score=score, windowSize=1*slidingWindow)
|
||||
|
||||
X = np.array(tpr_3d).reshape(1,-1).ravel()
|
||||
X_ap = np.array(tpr_3d)[:,:-1].reshape(1,-1).ravel()
|
||||
Y = np.array(fpr_3d).reshape(1,-1).ravel()
|
||||
W = np.array(prec_3d).reshape(1,-1).ravel()
|
||||
Z = np.repeat(window_3d, len(tpr_3d[0]))
|
||||
Z_ap = np.repeat(window_3d, len(tpr_3d[0])-1)
|
||||
|
||||
return Y, Z, X, X_ap, W, Z_ap,avg_auc_3d, avg_ap_3d
|
||||
|
||||
def box_plot(data, edge_color, fill_color):
|
||||
bp = ax.boxplot(data, patch_artist=True)
|
||||
|
||||
for element in ['boxes', 'whiskers', 'fliers', 'means', 'medians', 'caps']:
|
||||
plt.setp(bp[element], color=edge_color)
|
||||
|
||||
for patch in bp['boxes']:
|
||||
patch.set(facecolor=fill_color)
|
||||
|
||||
return bp
|
||||
|
|
@ -0,0 +1,192 @@
|
|||
|
||||
import numpy as np
|
||||
import math
|
||||
import matplotlib.pyplot as plt
|
||||
from matplotlib import cm
|
||||
import pandas as pd
|
||||
from tqdm import tqdm as tqdm
|
||||
import time
|
||||
from sklearn.preprocessing import MinMaxScaler
|
||||
import random
|
||||
|
||||
|
||||
import os
|
||||
import sys
|
||||
module_path = os.path.abspath(os.path.join('../..'))
|
||||
if module_path not in sys.path:
|
||||
sys.path.append(module_path)
|
||||
|
||||
from deepod.metrics.vus.utils.slidingWindows import find_length
|
||||
from deepod.metrics.vus.utils.metrics import metricor
|
||||
|
||||
from deepod.metrics.vus.models.distance import Fourier
|
||||
from deepod.metrics.vus.models.feature import Window
|
||||
from deepod.metrics.vus.models.cnn import cnn
|
||||
from deepod.metrics.vus.models.AE_mlp2 import AE_MLP2
|
||||
from deepod.metrics.vus.models.lstm import lstm
|
||||
from deepod.metrics.vus.models.ocsvm import OCSVM
|
||||
from deepod.metrics.vus.models.poly import POLY
|
||||
from deepod.metrics.vus.models.pca import PCA
|
||||
from deepod.metrics.vus.models.norma import NORMA
|
||||
from deepod.metrics.vus.models.matrix_profile import MatrixProfile
|
||||
from deepod.metrics.vus.models.lof import LOF
|
||||
from deepod.metrics.vus.models.iforest import IForest
|
||||
|
||||
def find_section_length(label,length):
|
||||
best_i = None
|
||||
best_sum = None
|
||||
current_subseq = False
|
||||
for i in range(len(label)):
|
||||
changed = False
|
||||
if label[i] == 1:
|
||||
if current_subseq == False:
|
||||
current_subseq = True
|
||||
if best_i is None:
|
||||
changed = True
|
||||
best_i = i
|
||||
best_sum = np.sum(label[max(0,i-200):min(len(label),i+9800)])
|
||||
else:
|
||||
if np.sum(label[max(0,i-200):min(len(label),i+9800)]) < best_sum:
|
||||
changed = True
|
||||
best_i = i
|
||||
best_sum = np.sum(label[max(0,i-200):min(len(label),i+9800)])
|
||||
else:
|
||||
changed = False
|
||||
if changed:
|
||||
diff = i+9800 - len(label)
|
||||
|
||||
pos1 = max(0,i-200 - max(0,diff))
|
||||
pos2 = min(i+9800,len(label))
|
||||
else:
|
||||
current_subseq = False
|
||||
if best_i is not None:
|
||||
return best_i-pos1,(pos1,pos2)
|
||||
else:
|
||||
return None,None
|
||||
|
||||
def generate_data(filepath,init_pos,max_length):
|
||||
|
||||
df = pd.read_csv(filepath, header=None).to_numpy()
|
||||
name = filepath.split('/')[-1]
|
||||
#max_length = 30000
|
||||
data = df[init_pos:init_pos+max_length,0].astype(float)
|
||||
label = df[init_pos:init_pos+max_length,1]
|
||||
|
||||
pos_first_anom,pos = find_section_length(label,max_length)
|
||||
|
||||
data = df[pos[0]:pos[1],0].astype(float)
|
||||
label = df[pos[0]:pos[1],1]
|
||||
|
||||
slidingWindow = find_length(data)
|
||||
#slidingWindow = 70
|
||||
X_data = Window(window = slidingWindow).convert(data).to_numpy()
|
||||
|
||||
data_train = data[:int(0.1*len(data))]
|
||||
data_test = data
|
||||
|
||||
X_train = Window(window = slidingWindow).convert(data_train).to_numpy()
|
||||
X_test = Window(window = slidingWindow).convert(data_test).to_numpy()
|
||||
|
||||
return pos_first_anom,slidingWindow,data,X_data,data_train,data_test,X_train,X_test,label
|
||||
|
||||
def compute_score(methods,slidingWindow,data,X_data,data_train,data_test,X_train,X_test):
|
||||
|
||||
methods_scores = {}
|
||||
for method in methods:
|
||||
start_time = time.time()
|
||||
if method == 'IForest':
|
||||
clf = IForest(n_jobs=1)
|
||||
x = X_data
|
||||
clf.fit(x)
|
||||
score = clf.decision_scores_
|
||||
score = MinMaxScaler(feature_range=(0,1)).fit_transform(score.reshape(-1,1)).ravel()
|
||||
score = np.array([score[0]]*math.ceil((slidingWindow-1)/2) + list(score) + [score[-1]]*((slidingWindow-1)//2))
|
||||
|
||||
elif method == 'LOF':
|
||||
clf = LOF(n_neighbors=20, n_jobs=1)
|
||||
x = X_data
|
||||
clf.fit(x)
|
||||
score = clf.decision_scores_
|
||||
score = MinMaxScaler(feature_range=(0,1)).fit_transform(score.reshape(-1,1)).ravel()
|
||||
score = np.array([score[0]]*math.ceil((slidingWindow-1)/2) + list(score) + [score[-1]]*((slidingWindow-1)//2))
|
||||
|
||||
elif method == 'MatrixProfile':
|
||||
clf = MatrixProfile(window = slidingWindow)
|
||||
x = data
|
||||
clf.fit(x)
|
||||
score = clf.decision_scores_
|
||||
score = MinMaxScaler(feature_range=(0,1)).fit_transform(score.reshape(-1,1)).ravel()
|
||||
score = np.array([score[0]]*math.ceil((slidingWindow-1)/2) + list(score) + [score[-1]]*((slidingWindow-1)//2))
|
||||
|
||||
elif method == 'NormA':
|
||||
clf = NORMA(pattern_length = slidingWindow, nm_size=3*slidingWindow)
|
||||
x = data
|
||||
clf.fit(x)
|
||||
score = clf.decision_scores_
|
||||
score = MinMaxScaler(feature_range=(0,1)).fit_transform(score.reshape(-1,1)).ravel()
|
||||
score = np.array([score[0]]*((slidingWindow-1)//2) + list(score) + [score[-1]]*((slidingWindow-1)//2))
|
||||
|
||||
elif method == 'PCA':
|
||||
clf = PCA()
|
||||
x = X_data
|
||||
clf.fit(x)
|
||||
score = clf.decision_scores_
|
||||
score = MinMaxScaler(feature_range=(0,1)).fit_transform(score.reshape(-1,1)).ravel()
|
||||
score = np.array([score[0]]*math.ceil((slidingWindow-1)/2) + list(score) + [score[-1]]*((slidingWindow-1)//2))
|
||||
|
||||
elif method == 'POLY':
|
||||
clf = POLY(power=3, window = slidingWindow)
|
||||
x = data
|
||||
clf.fit(x)
|
||||
measure = Fourier()
|
||||
measure.detector = clf
|
||||
measure.set_param()
|
||||
clf.decision_function(measure=measure)
|
||||
score = clf.decision_scores_
|
||||
score = MinMaxScaler(feature_range=(0,1)).fit_transform(score.reshape(-1,1)).ravel()
|
||||
|
||||
elif method == 'OCSVM':
|
||||
X_train_ = MinMaxScaler(feature_range=(0,1)).fit_transform(X_train.T).T
|
||||
X_test_ = MinMaxScaler(feature_range=(0,1)).fit_transform(X_test.T).T
|
||||
clf = OCSVM(nu=0.05)
|
||||
clf.fit(X_train_, X_test_)
|
||||
score = clf.decision_scores_
|
||||
score = np.array([score[0]]*math.ceil((slidingWindow-1)/2) + list(score) + [score[-1]]*((slidingWindow-1)//2))
|
||||
score = MinMaxScaler(feature_range=(0,1)).fit_transform(score.reshape(-1,1)).ravel()
|
||||
|
||||
elif method == 'LSTM':
|
||||
clf = lstm(slidingwindow = slidingWindow, predict_time_steps=1, epochs = 50, patience = 5, verbose=0)
|
||||
clf.fit(data_train, data_test)
|
||||
measure = Fourier()
|
||||
measure.detector = clf
|
||||
measure.set_param()
|
||||
clf.decision_function(measure=measure)
|
||||
score = clf.decision_scores_
|
||||
score = MinMaxScaler(feature_range=(0,1)).fit_transform(score.reshape(-1,1)).ravel()
|
||||
|
||||
elif method == 'AE':
|
||||
clf = AE_MLP2(slidingWindow = slidingWindow, epochs=100, verbose=0)
|
||||
clf.fit(data_train, data_test)
|
||||
score = clf.decision_scores_
|
||||
score = MinMaxScaler(feature_range=(0,1)).fit_transform(score.reshape(-1,1)).ravel()
|
||||
|
||||
elif method == 'CNN':
|
||||
clf = cnn(slidingwindow = slidingWindow, predict_time_steps=1, epochs = 100, patience = 5, verbose=0)
|
||||
clf.fit(data_train, data_test)
|
||||
measure = Fourier()
|
||||
measure.detector = clf
|
||||
measure.set_param()
|
||||
clf.decision_function(measure=measure)
|
||||
score = clf.decision_scores_
|
||||
score = MinMaxScaler(feature_range=(0,1)).fit_transform(score.reshape(-1,1)).ravel()
|
||||
|
||||
#end_time = time.time()
|
||||
#time_exec = end_time - start_time
|
||||
#print(method,"\t time: {}".format(time_exec))
|
||||
methods_scores[method] = score
|
||||
|
||||
return methods_scores
|
||||
|
||||
|
||||
|
||||
|
||||
|
|
@ -0,0 +1,11 @@
|
|||
from .utils.metrics import metricor
|
||||
from .analysis.robustness_eval import generate_curve
|
||||
|
||||
|
||||
def get_range_vus_roc(score, labels, slidingWindow):
|
||||
grader = metricor()
|
||||
R_AUC_ROC, R_AUC_PR, _, _, _ = grader.RangeAUC(labels=labels, score=score, window=slidingWindow, plot_ROC=True)
|
||||
_, _, _, _, _, _,VUS_ROC, VUS_PR = generate_curve(labels, score, 2*slidingWindow)
|
||||
metrics = {'R_AUC_ROC': R_AUC_ROC, 'R_AUC_PR': R_AUC_PR, 'VUS_ROC': VUS_ROC, 'VUS_PR': VUS_PR}
|
||||
|
||||
return metrics
|
||||
|
|
@ -0,0 +1,848 @@
|
|||
# -*- coding: utf-8 -*-
|
||||
"""Classes of distance measure for model type A
|
||||
"""
|
||||
|
||||
import numpy as np
|
||||
# import matplotlib.pyplot as plt
|
||||
# import random
|
||||
from arch import arch_model
|
||||
# import pandas as pd
|
||||
import math
|
||||
# import pmdarima as pm
|
||||
# from pmdarima import model_selection
|
||||
# import os
|
||||
# import dis
|
||||
# import statistics
|
||||
# from sklearn import metrics
|
||||
# import sklearn
|
||||
|
||||
|
||||
class Euclidean:
|
||||
""" The function class for Lp euclidean norm
|
||||
----------
|
||||
Power : int, optional (default=1)
|
||||
The power of the lp norm. For power = k, the measure is calculagted by |x - y|_k
|
||||
neighborhood : int, optional (default=max (100, 10*window size))
|
||||
The length of neighborhood to derivete the normalizing constant D which is based on
|
||||
the difference of maximum and minimum in the neighborhood minus window.
|
||||
window: int, optional (default = length of input data)
|
||||
The length of the subsequence to be compaired
|
||||
Attributes
|
||||
----------
|
||||
decision_scores_ : numpy array of shape (n_samples,)
|
||||
The outlier scores of the training data.
|
||||
The higher, the more abnormal. Outliers tend to have higher
|
||||
scores. This value is available once the detector is
|
||||
fitted.
|
||||
detector: Object classifier
|
||||
the anomaly detector that is used
|
||||
"""
|
||||
def __init__(self, power = 1, neighborhood = 100, window = 20, norm = False):
|
||||
self.power = power
|
||||
self.window = window
|
||||
self.neighborhood = neighborhood
|
||||
self.detector = None
|
||||
self.decision_scores_ = []
|
||||
self.norm = norm
|
||||
self.X_train = 2
|
||||
def measure(self, X, Y, index):
|
||||
"""Derive the decision score based on the given distance measure
|
||||
Parameters
|
||||
----------
|
||||
X : numpy array of shape (n_samples, )
|
||||
The real input samples subsequence.
|
||||
Y : numpy array of shape (n_samples, )
|
||||
The estimated input samples subsequence.
|
||||
Index : int
|
||||
the index of the starting point in the subsequence
|
||||
Returns
|
||||
-------
|
||||
score : float
|
||||
dissimiarity score between the two subsquence
|
||||
"""
|
||||
X_train = self.X_train
|
||||
X_train = self.detector.X_train_
|
||||
power = self.power
|
||||
|
||||
window = self.window
|
||||
neighborhood = self.neighborhood
|
||||
norm = self.norm
|
||||
data = X_train
|
||||
if norm == False:
|
||||
if X.shape[0] == 0:
|
||||
score = 0
|
||||
else:
|
||||
score = np.linalg.norm(X-Y, power)/(X.shape[0])
|
||||
self.decision_scores_.append((index, score))
|
||||
return score
|
||||
elif type(X_train) == int:
|
||||
print('Error! Detector is not fed to the object and X_train is not known')
|
||||
elif neighborhood != 'all':
|
||||
length = X.shape[0]
|
||||
neighbor = int(self.neighborhood/2)
|
||||
|
||||
if index + neighbor < self.n_train_ and index - neighbor > 0:
|
||||
region = np.concatenate((data[index - neighbor: index], data[index + window: index + neighbor] ))
|
||||
D = np.max(region) - np.min(region)
|
||||
elif index + neighbor >= self.n_train_ and index + window < self.n_train_:
|
||||
region = np.concatenate((data[self.n_train_ - neighborhood: index], data[index + window: self.n_train_] ))
|
||||
D = np.max(region) - np.min(region)
|
||||
elif index + window >= self.n_train_:
|
||||
region = data[self.n_train_ - neighborhood: index]
|
||||
D = np.max(region) - np.min(region)
|
||||
else:
|
||||
region = np.concatenate((data[0: index], data[index + window: index + neighborhood] ))
|
||||
D = np.max(region) - np.min(region)
|
||||
|
||||
score = np.linalg.norm(X-Y, power)/D/(X.shape[0]**power)
|
||||
self.decision_scores_.append((index, score))
|
||||
return score
|
||||
def set_param(self):
|
||||
if self.detector != None:
|
||||
self.window = self.detector.window
|
||||
self.neighborhood = self.detector.neighborhood
|
||||
self.n_train_ = self.detector.n_train_
|
||||
self.X_train = self.detector.X_train_
|
||||
else:
|
||||
print('Error! Detector is not fed to the object and X_train is not known')
|
||||
return self
|
||||
|
||||
|
||||
class Mahalanobis:
|
||||
""" The function class for Mahalanobis measure
|
||||
----------
|
||||
Probability : boolean, optional (default=False)
|
||||
Whether to derive the anomoly score by the probability that such point occurs
|
||||
neighborhood : int, optional (default=max (100, 10*window size))
|
||||
The length of neighborhood to derivete the normalizing constant D which is based on
|
||||
the difference of maximum and minimum in the neighborhood minus window.
|
||||
Attributes
|
||||
----------
|
||||
decision_scores_ : numpy array of shape (n_samples,)
|
||||
The outlier scores of the training data.
|
||||
The higher, the more abnormal. Outliers tend to have higher
|
||||
scores. This value is available once the detector is
|
||||
fitted.
|
||||
detector: Object classifier
|
||||
the anomaly detector that is used
|
||||
"""
|
||||
def __init__(self, probability = False):
|
||||
self.probability = probability
|
||||
self.detector = None
|
||||
self.decision_scores_ = []
|
||||
self.mu = 0
|
||||
|
||||
def set_param(self):
|
||||
'''update the parameters with the detector that is used
|
||||
'''
|
||||
|
||||
self.n_initial_ = self.detector.n_initial_
|
||||
self.estimation = self.detector.estimation
|
||||
self.X_train = self.detector.X_train_
|
||||
self.window = self.detector.window
|
||||
window = self.window
|
||||
resid = self.X_train - self.estimation
|
||||
number = max(100, self.window)
|
||||
self.residual = np.zeros((window, number))
|
||||
for i in range(number):
|
||||
self.residual[:, i] = resid[self.n_initial_+i:self.n_initial_+i+window]
|
||||
self.mu = np.zeros(number)
|
||||
self.cov = np.cov(self.residual, rowvar=1)
|
||||
if self.window == 1:
|
||||
self.cov = (np.sum(np.square(self.residual))/(number - 1))**0.5
|
||||
return self
|
||||
def norm_pdf_multivariate(self, x):
|
||||
'''multivarite normal density function
|
||||
'''
|
||||
try:
|
||||
mu = self.mu
|
||||
except:
|
||||
mu = np.zeros(x.shape[0])
|
||||
sigma = self.cov
|
||||
size = x.shape[0]
|
||||
if size == len(mu) and (size, size) == sigma.shape:
|
||||
det = np.linalg.det(sigma)
|
||||
if det == 0:
|
||||
raise NameError("The covariance matrix can't be singular")
|
||||
|
||||
norm_const = 1.0/ ( math.pow((2*math.pi),float(size)/2) * math.pow(det,1.0/2) )
|
||||
x_mu = np.matrix(x - mu)
|
||||
inv = np.linalg.inv(sigma)
|
||||
result = math.pow(math.e, -0.5 * (x_mu * inv * x_mu.T))
|
||||
return norm_const * result
|
||||
else:
|
||||
raise NameError("The dimensions of the input don't match")
|
||||
def normpdf(self, x):
|
||||
'''univariate normal
|
||||
'''
|
||||
mean = 0
|
||||
sd = np.asscalar(self.cov)
|
||||
var = float(sd)**2
|
||||
denom = (2*math.pi*var)**.5
|
||||
num = math.exp(-(float(x)-float(mean))**2/(2*var))
|
||||
return num/denom
|
||||
|
||||
def measure(self, X, Y, index):
|
||||
"""Derive the decision score based on the given distance measure
|
||||
Parameters
|
||||
----------
|
||||
X : numpy array of shape (n_samples, )
|
||||
The real input samples subsequence.
|
||||
Y : numpy array of shape (n_samples, )
|
||||
The estimated input samples subsequence.
|
||||
Index : int
|
||||
the index of the starting point in the subsequence
|
||||
Returns
|
||||
-------
|
||||
score : float
|
||||
dissimiarity score between the two subsquence
|
||||
"""
|
||||
mu = np.zeros(self.detector.window)
|
||||
cov = self.cov
|
||||
if self.probability == False:
|
||||
|
||||
if X.shape[0] == mu.shape[0]:
|
||||
score = np.matmul(np.matmul((X-Y-mu).T, cov), (X-Y-mu))/(X.shape[0])
|
||||
self.decision_scores_.append((index, score))
|
||||
return score
|
||||
else:
|
||||
return (X-Y).T.dot(X-Y)
|
||||
|
||||
else:
|
||||
if len(X) > 1:
|
||||
prob = self.norm_pdf_multivariate(X-Y)
|
||||
elif len(X) == 1:
|
||||
X = np.asscalar(X)
|
||||
Y = np.asscalar(Y)
|
||||
prob = self.normpdf(X-Y)
|
||||
else:
|
||||
prob = 1
|
||||
score = 1 - prob
|
||||
score = max(score, 0)
|
||||
self.decision_scores_.append((index, score))
|
||||
return score
|
||||
|
||||
|
||||
class Garch:
|
||||
""" The function class for garch measure
|
||||
----------
|
||||
p, q : int, optional (default=1, 1)
|
||||
The order of the garch model to be fitted on the residual
|
||||
mean : string, optional (default='zero' )
|
||||
The forecast conditional mean.
|
||||
vol: string, optional (default = 'garch')
|
||||
he forecast conditional variance.
|
||||
Attributes
|
||||
----------
|
||||
decision_scores_ : numpy array of shape (n_samples,)
|
||||
The outlier scores of the training data.
|
||||
The higher, the more abnormal. Outliers tend to have higher
|
||||
scores. This value is available once the detector is
|
||||
fitted.
|
||||
detector: Object classifier
|
||||
the anomaly detector that is used
|
||||
"""
|
||||
def __init__(self, p = 1, q = 1, mean = 'zero', vol = 'garch'):
|
||||
self.p = p
|
||||
self.q = q
|
||||
self.vol = vol
|
||||
self.mean = mean
|
||||
self.decision_scores_ = []
|
||||
|
||||
def set_param(self):
|
||||
'''update the parameters with the detector that is used
|
||||
'''
|
||||
q = self.q
|
||||
p=self.p
|
||||
mean = self.mean
|
||||
vol = self.vol
|
||||
if self.detector != None:
|
||||
self.n_initial_ = self.detector.n_initial_
|
||||
self.estimation = self.detector.estimation
|
||||
self.X_train = self.detector.X_train_
|
||||
self.window = self.detector.window
|
||||
window = self.window
|
||||
resid = 10 * (self.X_train - self.estimation)
|
||||
model = arch_model(resid, mean=mean, vol=vol, p=p, q=q)
|
||||
model_fit = model.fit(disp='off')
|
||||
self.votility = model_fit.conditional_volatility/10
|
||||
else:
|
||||
print('Error! Detector not fed to the measure')
|
||||
return self
|
||||
|
||||
def measure(self, X, Y, index):
|
||||
"""Derive the decision score based on the given distance measure
|
||||
Parameters
|
||||
----------
|
||||
X : numpy array of shape (n_samples, )
|
||||
The real input samples subsequence.
|
||||
Y : numpy array of shape (n_samples, )
|
||||
The estimated input samples subsequence.
|
||||
Index : int
|
||||
the index of the starting point in the subsequence
|
||||
Returns
|
||||
-------
|
||||
score : float
|
||||
dissimiarity score between the two subsquences
|
||||
"""
|
||||
X = np.array(X)
|
||||
Y = np.array(Y)
|
||||
length = len(X)
|
||||
score = 0
|
||||
if length != 0:
|
||||
for i in range(length):
|
||||
sigma = self.votility[index + i]
|
||||
if sigma != 0:
|
||||
score += abs(X[i]-Y[i])/sigma
|
||||
|
||||
score = score/length
|
||||
return score
|
||||
|
||||
|
||||
class SSA_DISTANCE:
|
||||
""" The function class for SSA measure
|
||||
good for contextual anomolies
|
||||
----------
|
||||
method : string, optional (default='linear' )
|
||||
The method to fit the line and derives the SSA score
|
||||
e: float, optional (default = 1)
|
||||
The upper bound to start new line search for linear method
|
||||
Attributes
|
||||
----------
|
||||
decision_scores_ : numpy array of shape (n_samples,)
|
||||
The outlier scores of the training data.
|
||||
The higher, the more abnormal. Outliers tend to have higher
|
||||
scores. This value is available once the detector is
|
||||
fitted.
|
||||
detector: Object classifier
|
||||
the anomaly detector that is used
|
||||
"""
|
||||
def __init__(self, method ='linear', e = 1):
|
||||
self.method = method
|
||||
self.decision_scores_ = []
|
||||
self.e = e
|
||||
def Linearization(self, X2):
|
||||
"""Obtain the linearized curve.
|
||||
Parameters
|
||||
----------
|
||||
X2 : numpy array of shape (n, )
|
||||
the time series curve to be fitted
|
||||
e: float, integer, or numpy array
|
||||
weights to obtain the
|
||||
Returns
|
||||
-------
|
||||
fit: parameters for the fitted linear curve
|
||||
"""
|
||||
e = self.e
|
||||
i = 0
|
||||
fit = {}
|
||||
fit['index'] = []
|
||||
fit['rep'] = []
|
||||
while i < len(X2):
|
||||
fit['index'].append(i)
|
||||
try:
|
||||
fit['Y'+str(i)]= X2[i]
|
||||
except:
|
||||
print(X2.shape, X2)
|
||||
fit['rep'].append(np.array([i, X2[i]]))
|
||||
if i+1 >= len(X2):
|
||||
break
|
||||
k = X2[i+1]-X2[i]
|
||||
b = -i*(X2[i+1]-X2[i])+X2[i]
|
||||
fit['reg' +str(i)]= np.array([k, b])
|
||||
i += 2
|
||||
if i >= len(X2):
|
||||
break
|
||||
d = np.abs(X2[i]- (k * i+b))
|
||||
while d < e:
|
||||
i +=1
|
||||
if i >= len(X2):
|
||||
break
|
||||
d = np.abs(X2[i]- (k * i+b))
|
||||
return fit
|
||||
def set_param(self):
|
||||
'''update the parameters with the detector that is used.
|
||||
Since the SSA measure doens't need the attributes of detector
|
||||
or characteristics of X_train, the process is omitted.
|
||||
'''
|
||||
|
||||
return self
|
||||
|
||||
def measure(self, X2, X3, start_index):
|
||||
"""Obtain the SSA similarity score.
|
||||
Parameters
|
||||
----------
|
||||
X2 : numpy array of shape (n, )
|
||||
the reference timeseries
|
||||
X3 : numpy array of shape (n, )
|
||||
the tested timeseries
|
||||
e: float, integer, or numpy array
|
||||
weights to obtain the
|
||||
Returns
|
||||
-------
|
||||
score: float, the higher the more dissimilar are the two curves
|
||||
"""
|
||||
#linearization of data X2 and X3
|
||||
X2 = np.array(X2)
|
||||
X3 = np.array(X3)
|
||||
e = self.e
|
||||
fit = self.Linearization(X2)
|
||||
fit2 = self.Linearization(X3)
|
||||
|
||||
#line alinement
|
||||
Index = []
|
||||
test_list = fit['index'] + fit2['index']
|
||||
[Index.append(x) for x in test_list if x not in Index]
|
||||
Y = 0
|
||||
|
||||
#Similarity Computation
|
||||
for i in Index:
|
||||
if i in fit['index'] and i in fit2['index']:
|
||||
Y += abs(fit['Y'+str(i)]-fit2['Y'+str(i)])
|
||||
|
||||
elif i in fit['index']:
|
||||
J = np.max(np.where(np.array(fit2['index']) < i ))
|
||||
index = fit2['index'][J]
|
||||
k = fit2['reg'+str(index)][0]
|
||||
b = fit2['reg'+str(index)][1]
|
||||
value = abs(k * i + b - fit['Y'+str(i)])
|
||||
Y += value
|
||||
elif i in fit2['index']:
|
||||
J = np.max(np.where(np.array(fit['index']) < i ))
|
||||
index = fit['index'][J]
|
||||
k = fit['reg'+str(index)][0]
|
||||
b = fit['reg'+str(index)][1]
|
||||
value = abs(k * i + b - fit2['Y'+str(i)])
|
||||
Y += value
|
||||
if len(Index) != 0:
|
||||
score = Y/len(Index)
|
||||
else:
|
||||
score = 0
|
||||
self.decision_scores_.append((start_index, score))
|
||||
if len(X2) == 1:
|
||||
print('Error! SSA measure doesn\'t apply to singleton' )
|
||||
else:
|
||||
return score
|
||||
|
||||
|
||||
class Fourier:
|
||||
""" The function class for Fourier measure
|
||||
good for contextual anomolies
|
||||
----------
|
||||
power: int, optional (default = 2)
|
||||
Lp norm for dissimiarlity measure considered
|
||||
Attributes
|
||||
----------
|
||||
decision_scores_ : numpy array of shape (n_samples,)
|
||||
The outlier scores of the training data.
|
||||
The higher, the more abnormal. Outliers tend to have higher
|
||||
scores. This value is available once the detector is
|
||||
fitted.
|
||||
detector: Object classifier
|
||||
the anomaly detector that is used
|
||||
"""
|
||||
def __init__(self, power = 2):
|
||||
self.decision_scores_ = []
|
||||
self.power = power
|
||||
def set_param(self):
|
||||
'''update the parameters with the detector that is used
|
||||
since the FFT measure doens't need the attributes of detector
|
||||
or characteristics of X_train, the process is omitted.
|
||||
'''
|
||||
|
||||
return self
|
||||
|
||||
def measure(self, X2, X3, start_index):
|
||||
"""Obtain the SSA similarity score.
|
||||
Parameters
|
||||
----------
|
||||
X2 : numpy array of shape (n, )
|
||||
the reference timeseries
|
||||
X3 : numpy array of shape (n, )
|
||||
the tested timeseries
|
||||
index: int,
|
||||
current index for the subseqeuence that is being measured
|
||||
Returns
|
||||
-------
|
||||
score: float, the higher the more dissimilar are the two curves
|
||||
"""
|
||||
|
||||
power = self.power
|
||||
X2 = np.array(X2)
|
||||
X3 = np.array(X3)
|
||||
if len(X2) == 0:
|
||||
score = 0
|
||||
else:
|
||||
X2 = np.fft.fft(X2);
|
||||
X3 = np.fft.fft(X3)
|
||||
score = np.linalg.norm(X2 - X3, ord = power)/len(X3)
|
||||
self.decision_scores_.append((start_index, score))
|
||||
return score
|
||||
|
||||
|
||||
class DTW:
|
||||
""" The function class for dynamic time warping measure
|
||||
|
||||
----------
|
||||
method : string, optional (default='L2' )
|
||||
The distance measure to derive DTW.
|
||||
Avaliable "L2", "L1", and custom
|
||||
Attributes
|
||||
----------
|
||||
decision_scores_ : numpy array of shape (n_samples,)
|
||||
The outlier scores of the training data.
|
||||
The higher, the more abnormal. Outliers tend to have higher
|
||||
scores. This value is available once the detector is
|
||||
fitted.
|
||||
detector: Object classifier
|
||||
the anomaly detector that is used
|
||||
"""
|
||||
def __init__(self, method = 'L2'):
|
||||
self.decision_scores_ = []
|
||||
if type(method) == str:
|
||||
if method == 'L1':
|
||||
distance = lambda x, y: abs(x-y)
|
||||
elif method == 'L2':
|
||||
distance = lambda x, y: (x-y)**2
|
||||
else:
|
||||
distance = method
|
||||
self.distance = distance
|
||||
def set_param(self):
|
||||
'''update the parameters with the detector that is used
|
||||
since the FFT measure doens't need the attributes of detector
|
||||
or characteristics of X_train, the process is omitted.
|
||||
'''
|
||||
|
||||
return self
|
||||
|
||||
def measure(self, X1, X2, start_index):
|
||||
"""Obtain the SSA similarity score.
|
||||
Parameters
|
||||
----------
|
||||
X1 : numpy array of shape (n, )
|
||||
the reference timeseries
|
||||
X2 : numpy array of shape (n, )
|
||||
the tested timeseries
|
||||
index: int,
|
||||
current index for the subseqeuence that is being measured
|
||||
Returns
|
||||
-------
|
||||
score: float, the higher the more dissimilar are the two curves
|
||||
"""
|
||||
distance = self.distance
|
||||
X1 = np.array(X1)
|
||||
X2 = np.array(X2)
|
||||
|
||||
value = 1
|
||||
if len(X1)==0:
|
||||
value =0
|
||||
X1= np.zeros(5)
|
||||
X2 = X1
|
||||
M = np.zeros((len(X1), len(X2)))
|
||||
for index_i in range(len(X1)):
|
||||
for index_j in range(len(X1) - index_i):
|
||||
L = []
|
||||
i = index_i
|
||||
j = index_i + index_j
|
||||
D = distance(X1[i], X2[j])
|
||||
try:
|
||||
L.append(M[i-1, j-1])
|
||||
except:
|
||||
L.append(np.inf)
|
||||
try:
|
||||
L.append(M[i, j-1])
|
||||
except:
|
||||
L.append(np.inf)
|
||||
try:
|
||||
L.append(M[i-1, j])
|
||||
except:
|
||||
L.append(np.inf)
|
||||
D += min(L)
|
||||
M[i,j] = D
|
||||
if i !=j:
|
||||
L = []
|
||||
j = index_i
|
||||
i = index_i + index_j
|
||||
D = distance(X1[i], X2[j])
|
||||
try:
|
||||
L.append(M[i-1, j-1])
|
||||
except:
|
||||
L.append(np.inf)
|
||||
try:
|
||||
L.append(M[i, j-1])
|
||||
except:
|
||||
L.append(np.inf)
|
||||
try:
|
||||
L.append(M[i-1, j])
|
||||
except:
|
||||
L.append(np.inf)
|
||||
D += min(L)
|
||||
M[i,j] = D
|
||||
|
||||
score = M[len(X1)-1, len(X1)-1]/len(X1)
|
||||
if value == 0:
|
||||
score = 0
|
||||
self.decision_scores_.append((start_index, score))
|
||||
return score
|
||||
|
||||
|
||||
class EDRS:
|
||||
""" The function class for edit distance on real sequences
|
||||
|
||||
----------
|
||||
method : string, optional (default='L2' )
|
||||
The distance measure to derive DTW.
|
||||
Avaliable "L2", "L1", and custom
|
||||
ep: float, optiona (default = 0.1)
|
||||
the threshold value to decide Di_j
|
||||
vot : boolean, optional (default = False)
|
||||
whether to adapt a chaging votilities estimaed by garch
|
||||
for ep at different windows.
|
||||
Attributes
|
||||
----------
|
||||
decision_scores_ : numpy array of shape (n_samples,)
|
||||
The outlier scores of the training data.
|
||||
The higher, the more abnormal. Outliers tend to have higher
|
||||
scores. This value is available once the detector is
|
||||
fitted.
|
||||
detector: Object classifier
|
||||
the anomaly detector that is used
|
||||
"""
|
||||
def __init__(self, method = 'L1', ep = False, vol = False):
|
||||
self.decision_scores_ = []
|
||||
if type(method) == str:
|
||||
if method == 'L1':
|
||||
distance = lambda x, y: abs(x-y)
|
||||
else:
|
||||
distance = method
|
||||
self.distance = distance
|
||||
self.ep = ep
|
||||
self.vot = vol
|
||||
def set_param(self):
|
||||
'''update the ep based on the votalitiy of the model
|
||||
'''
|
||||
estimation = np.array(self.detector.estimation )
|
||||
initial = self.detector.n_initial_
|
||||
X = np.array(self.detector.X_train_)
|
||||
self.initial = initial
|
||||
residual = estimation[initial:] - X[initial:]
|
||||
number = len(residual)
|
||||
#var = (np.sum(np.square(residual))/(number - 1))**0.5
|
||||
vot = self.vot
|
||||
if vot == False:
|
||||
var = np.var(residual)
|
||||
else:
|
||||
model = arch_model(10 * residual, mean='Constant', vol='garch', p=1, q=1)
|
||||
model_fit = model.fit(disp='off')
|
||||
var = model_fit.conditional_volatility/10
|
||||
|
||||
if self.ep == False:
|
||||
self.ep = 3 * (np.sum(np.square(residual))/(len(residual) - 1))**0.5
|
||||
else:
|
||||
self.ep = self.ep
|
||||
|
||||
|
||||
return self
|
||||
|
||||
def measure(self, X1, X2, start_index):
|
||||
"""Obtain the SSA similarity score.
|
||||
Parameters
|
||||
----------
|
||||
X1 : numpy array of shape (n, )
|
||||
the reference timeseries
|
||||
X2 : numpy array of shape (n, )
|
||||
the tested timeseries
|
||||
index: int,
|
||||
current index for the subseqeuence that is being measured
|
||||
Returns
|
||||
-------
|
||||
score: float, the higher the more dissimilar are the two curves
|
||||
"""
|
||||
distance = self.distance
|
||||
X1 = np.array(X1)
|
||||
X2 = np.array(X2)
|
||||
vot = self.vot
|
||||
|
||||
if vot == False:
|
||||
ep = self.ep
|
||||
else:
|
||||
try:
|
||||
ep = self.ep[start_index - self.initial]
|
||||
except:
|
||||
#sometime start_index is the length of the number
|
||||
ep = 0
|
||||
value = 1
|
||||
if len(X1)==0:
|
||||
value =0
|
||||
X1= np.zeros(5)
|
||||
X2 = X1
|
||||
M = np.zeros((len(X1), len(X2)))
|
||||
M[:, 0] = np.arange(len(X1))
|
||||
M[0, :] = np.arange(len(X1))
|
||||
for index_i in range(1, len(X1)):
|
||||
for index_j in range(len(X1) - index_i):
|
||||
|
||||
L = []
|
||||
i = index_i
|
||||
j = index_i + index_j
|
||||
D = distance(X1[i], X2[j])
|
||||
if D < ep:
|
||||
M[i, j]= M[i-1, j-1]
|
||||
else:
|
||||
try:
|
||||
L.append(M[i-1, j-1])
|
||||
except:
|
||||
L.append(np.inf)
|
||||
try:
|
||||
L.append(M[i, j-1])
|
||||
except:
|
||||
L.append(np.inf)
|
||||
try:
|
||||
L.append(M[i-1, j])
|
||||
except:
|
||||
L.append(np.inf)
|
||||
M[i,j] = 1 + min(L)
|
||||
if i !=j:
|
||||
L = []
|
||||
j = index_i
|
||||
i = index_i + index_j
|
||||
D = distance(X1[i], X2[j])
|
||||
if D < ep:
|
||||
M[i, j]= M[i-1, j-1]
|
||||
else:
|
||||
try:
|
||||
L.append(M[i-1, j-1])
|
||||
except:
|
||||
L.append(np.inf)
|
||||
try:
|
||||
L.append(M[i, j-1])
|
||||
except:
|
||||
L.append(np.inf)
|
||||
try:
|
||||
L.append(M[i-1, j])
|
||||
except:
|
||||
L.append(np.inf)
|
||||
M[i,j] = 1 + min(L)
|
||||
|
||||
score = M[len(X1)-1, len(X1)-1]/len(X1)
|
||||
if value == 0:
|
||||
score = 0
|
||||
self.decision_scores_.append((start_index, score))
|
||||
return score
|
||||
|
||||
class TWED:
|
||||
""" Function class for Time-warped edit distance(TWED) measure
|
||||
|
||||
----------
|
||||
method : string, optional (default='L2' )
|
||||
The distance measure to derive DTW.
|
||||
Avaliable "L2", "L1", and custom
|
||||
gamma: float, optiona (default = 0.1)
|
||||
mismatch penalty
|
||||
v : float, optional (default = False)
|
||||
stifness parameter
|
||||
Attributes
|
||||
----------
|
||||
decision_scores_ : numpy array of shape (n_samples,)
|
||||
The outlier scores of the training data.
|
||||
The higher, the more abnormal. Outliers tend to have higher
|
||||
scores. This value is available once the detector is
|
||||
fitted.
|
||||
detector: Object classifier
|
||||
the anomaly detector that is used
|
||||
"""
|
||||
def __init__(self, gamma = 0.1, v = 0.1):
|
||||
self.decision_scores_ = []
|
||||
|
||||
self.gamma = gamma
|
||||
self.v = v
|
||||
def set_param(self):
|
||||
'''No need'''
|
||||
return self
|
||||
|
||||
def measure(self, A, B, start_index):
|
||||
"""Obtain the SSA similarity score.
|
||||
Parameters
|
||||
----------
|
||||
X1 : numpy array of shape (n, )
|
||||
the reference timeseries
|
||||
X2 : numpy array of shape (n, )
|
||||
the tested timeseries
|
||||
index: int,
|
||||
current index for the subseqeuence that is being measured
|
||||
Returns
|
||||
-------
|
||||
score: float, the higher the more dissimilar are the two curves
|
||||
"""
|
||||
#code modifed from wikipedia
|
||||
Dlp = lambda x,y: abs(x-y)
|
||||
timeSB = np.arange(1,len(B)+1)
|
||||
timeSA = np.arange(1,len(A)+1)
|
||||
nu = self.v
|
||||
_lambda = self.gamma
|
||||
# Reference :
|
||||
# Marteau, P.; F. (2009). "Time Warp Edit Distance with Stiffness Adjustment for Time Series Matching".
|
||||
# IEEE Transactions on Pattern Analysis and Machine Intelligence. 31 (2): 306–318. arXiv:cs/0703033
|
||||
# http://people.irisa.fr/Pierre-Francois.Marteau/
|
||||
|
||||
# Check if input arguments
|
||||
if len(A) != len(timeSA):
|
||||
print("The length of A is not equal length of timeSA")
|
||||
return None, None
|
||||
|
||||
if len(B) != len(timeSB):
|
||||
print("The length of B is not equal length of timeSB")
|
||||
return None, None
|
||||
|
||||
if nu < 0:
|
||||
print("nu is negative")
|
||||
return None, None
|
||||
|
||||
# Add padding
|
||||
A = np.array([0] + list(A))
|
||||
timeSA = np.array([0] + list(timeSA))
|
||||
B = np.array([0] + list(B))
|
||||
timeSB = np.array([0] + list(timeSB))
|
||||
|
||||
n = len(A)
|
||||
m = len(B)
|
||||
# Dynamical programming
|
||||
DP = np.zeros((n, m))
|
||||
|
||||
# Initialize DP Matrix and set first row and column to infinity
|
||||
DP[0, :] = np.inf
|
||||
DP[:, 0] = np.inf
|
||||
DP[0, 0] = 0
|
||||
|
||||
# Compute minimal cost
|
||||
for i in range(1, n):
|
||||
for j in range(1, m):
|
||||
# Calculate and save cost of various operations
|
||||
C = np.ones((3, 1)) * np.inf
|
||||
# Deletion in A
|
||||
C[0] = (
|
||||
DP[i - 1, j]
|
||||
+ Dlp(A[i - 1], A[i])
|
||||
+ nu * (timeSA[i] - timeSA[i - 1])
|
||||
+ _lambda
|
||||
)
|
||||
# Deletion in B
|
||||
C[1] = (
|
||||
DP[i, j - 1]
|
||||
+ Dlp(B[j - 1], B[j])
|
||||
+ nu * (timeSB[j] - timeSB[j - 1])
|
||||
+ _lambda
|
||||
)
|
||||
# Keep data points in both time series
|
||||
C[2] = (
|
||||
DP[i - 1, j - 1]
|
||||
+ Dlp(A[i], B[j])
|
||||
+ Dlp(A[i - 1], B[j - 1])
|
||||
+ nu * (abs(timeSA[i] - timeSB[j]) + abs(timeSA[i - 1] - timeSB[j - 1]))
|
||||
)
|
||||
# Choose the operation with the minimal cost and update DP Matrix
|
||||
DP[i, j] = np.min(C)
|
||||
distance = DP[n - 1, m - 1]
|
||||
self.M = DP
|
||||
self.decision_scores_.append((start_index, distance))
|
||||
return distance
|
||||
|
|
@ -0,0 +1,359 @@
|
|||
# -*- coding: utf-8 -*-
|
||||
"""Classes of feature mapping for model type B
|
||||
"""
|
||||
|
||||
import numpy as np
|
||||
# import matplotlib.pyplot as plt
|
||||
# import random
|
||||
# from arch import arch_model
|
||||
import pandas as pd
|
||||
import math
|
||||
# import pmdarima as pm
|
||||
# from pmdarima import model_selection
|
||||
# import os
|
||||
# import dis
|
||||
# import statistics
|
||||
# from sklearn import metrics
|
||||
# import sklearn
|
||||
from tsfresh import extract_features
|
||||
|
||||
from statsmodels.tsa.seasonal import seasonal_decompose
|
||||
|
||||
# import itertools
|
||||
# import functools
|
||||
import warnings
|
||||
from builtins import range
|
||||
# from collections import defaultdict
|
||||
|
||||
|
||||
from numpy.linalg import LinAlgError
|
||||
# from scipy.signal import cwt, find_peaks_cwt, ricker, welch
|
||||
# from scipy.stats import linregress
|
||||
# from statsmodels.tools.sm_exceptions import MissingDataError
|
||||
|
||||
with warnings.catch_warnings():
|
||||
# Ignore warnings of the patsy package
|
||||
warnings.simplefilter("ignore", DeprecationWarning)
|
||||
|
||||
from statsmodels.tsa.ar_model import AR
|
||||
# from statsmodels.tsa.stattools import acf, adfuller, pacf
|
||||
|
||||
from hurst import compute_Hc
|
||||
|
||||
class Window:
|
||||
""" The class for rolling window feature mapping.
|
||||
The mapping converts the original timeseries X into a matrix.
|
||||
The matrix consists of rows of sliding windows of original X.
|
||||
"""
|
||||
|
||||
def __init__(self, window = 100):
|
||||
self.window = window
|
||||
self.detector = None
|
||||
def convert(self, X):
|
||||
n = self.window
|
||||
X = pd.Series(X)
|
||||
L = []
|
||||
if n == 0:
|
||||
df = X
|
||||
else:
|
||||
for i in range(n):
|
||||
L.append(X.shift(i))
|
||||
df = pd.concat(L, axis = 1)
|
||||
df = df.iloc[n-1:]
|
||||
return df
|
||||
|
||||
class tf_Stat:
|
||||
'''statisitc feature extraction using the tf_feature package.
|
||||
It calculates 763 features in total so it might be over complicated for some models.
|
||||
Recommend to use for methods like Isolation Forest which randomly picks a feature
|
||||
and then perform the classification. To use for other distance-based model like KNN,
|
||||
LOF, CBLOF, etc, first train to pass a function that give weights to individual features so that
|
||||
inconsequential features won't cloud the important ones (mean, variance, kurtosis, etc).
|
||||
|
||||
'''
|
||||
def __init__(self, window = 100, step = 25):
|
||||
self.window = window
|
||||
self.step = step
|
||||
self.detector = None
|
||||
def convert(self, X):
|
||||
window = self.window
|
||||
step = self.step
|
||||
pos = math.ceil(window/2)
|
||||
#step <= window
|
||||
|
||||
length = X.shape[0]
|
||||
|
||||
Xd = pd.DataFrame(X)
|
||||
Xd.columns = pd.Index(['x'], dtype='object')
|
||||
Xd['id'] = 1
|
||||
Xd['time'] = Xd.index
|
||||
|
||||
test = np.array(extract_features(Xd.iloc[0+pos-math.ceil(window/2):0+pos + math.floor(window/2)], column_id="id", column_sort="time", column_kind=None, column_value=None).fillna(0))
|
||||
M = np.zeros((length - window, test.shape[1]+1 ))
|
||||
|
||||
|
||||
i = 0
|
||||
while i + window <= M.shape[0]:
|
||||
M[i:i+step, 0]= X[pos + i: pos + i + step]
|
||||
vector = np.array(extract_features(Xd.iloc[i+pos-math.ceil(window/2):i+pos + math.floor(window/2)], column_id="id", column_sort="time", column_kind=None, column_value=None).fillna(0))
|
||||
|
||||
M[i:i+step, 1:] = vector
|
||||
i+= step
|
||||
num = M.shape[0]
|
||||
if i < num:
|
||||
M[i: num, 0]= X[pos + i: pos + num]
|
||||
M[i: num, 1:] = np.array(extract_features(Xd.iloc[i+pos-math.ceil(window/2):], column_id="id", column_sort="time", column_kind=None, column_value=None).fillna(0))
|
||||
return M
|
||||
|
||||
class Stat:
|
||||
'''statisitc feature extraction.
|
||||
Features include [mean, variance, skewness, kurtosis, autocorrelation, maximum,
|
||||
minimum, entropy, seasonality, hurst component, AR coef]
|
||||
|
||||
'''
|
||||
def __init__(self, window = 100, data_step = 10, param = [{"coeff": 0, "k": 5}], lag = 1, freq = 720):
|
||||
self.window = window
|
||||
self.data_step = data_step
|
||||
self.detector = None
|
||||
self.param = param
|
||||
self.lag = lag
|
||||
self.freq =freq
|
||||
if data_step > int(window/2):
|
||||
raise ValueError('value step shoudm\'t be greater than half of the window')
|
||||
|
||||
|
||||
def convert(self, X):
|
||||
freq = self.freq
|
||||
n = self.window
|
||||
data_step = self.data_step
|
||||
X = pd.Series(X)
|
||||
L = []
|
||||
if n == 0:
|
||||
df = X
|
||||
raise ValueError('window lenght is set to zero')
|
||||
else:
|
||||
for i in range(n):
|
||||
L.append(X.shift(i))
|
||||
df = pd.concat(L, axis = 1)
|
||||
df = df.iloc[n:]
|
||||
df2 = pd.concat(L[:data_step], axis = 1)
|
||||
|
||||
|
||||
|
||||
df = df.reset_index()
|
||||
#value
|
||||
x0 = df2[math.ceil(n/2) : - math.floor(n/2)].reset_index()
|
||||
#mean
|
||||
x1 = (df.mean(axis=1))
|
||||
#variance
|
||||
x2 = df.var(axis=1)
|
||||
#AR-coef
|
||||
self.ar_function = lambda x: self.ar_coefficient(x)
|
||||
x3 = df.apply(self.ar_function, axis =1, result_type='expand' )
|
||||
#autocorrelation
|
||||
self.auto_function = lambda x: self.autocorrelation(x)
|
||||
x4 = df.apply(self.auto_function, axis =1, result_type='expand' )
|
||||
#kurtosis
|
||||
x5 = (df.kurtosis(axis=1))
|
||||
#skewness
|
||||
x6 = (df.skew(axis=1))
|
||||
#maximum
|
||||
x7 = (df.max(axis=1))
|
||||
#minimum
|
||||
x8 = (df.min(axis=1))
|
||||
#entropy
|
||||
self.entropy_function = lambda x: self.sample_entropy(x)
|
||||
x9 = df.apply(self.entropy_function, axis =1, result_type='expand')
|
||||
|
||||
#seasonality
|
||||
result = seasonal_decompose(X, model='additive', freq = freq, extrapolate_trend='freq')
|
||||
#seasonal
|
||||
x10 = pd.Series(np.array(result.seasonal[math.ceil(n/2) : - math.floor(n/2)]))
|
||||
#trend
|
||||
x11 = pd.Series(np.array(result.trend[math.ceil(n/2) : - math.floor(n/2)]))
|
||||
#resid
|
||||
x12 = pd.Series(np.array(result.resid[math.ceil(n/2) : - math.floor(n/2)]))
|
||||
|
||||
#Hurst component
|
||||
self.hurst_function = lambda x: self.hurst_f(x)
|
||||
x13 = df.apply(self.hurst_function, axis =1, result_type='expand')
|
||||
|
||||
L = [x0, x1,x2,x3,x4,x5,x6,x7,x8,x9,x10,x11,x12, x13]
|
||||
M = pd.concat(L, axis = 1)
|
||||
M = M.drop(columns=['index'])
|
||||
|
||||
return M
|
||||
def ar_coefficient(self, x):
|
||||
"""
|
||||
This feature calculator fits the unconditional maximum likelihood
|
||||
of an autoregressive AR(k) process.
|
||||
The k parameter is the maximum lag of the process
|
||||
|
||||
.. math::
|
||||
|
||||
X_{t}=\\varphi_0 +\\sum _{{i=1}}^{k}\\varphi_{i}X_{{t-i}}+\\varepsilon_{t}
|
||||
|
||||
For the configurations from param which should contain the maxlag "k" and such an AR process is calculated. Then
|
||||
the coefficients :math:`\\varphi_{i}` whose index :math:`i` contained from "coeff" are returned.
|
||||
|
||||
:param x: the time series to calculate the feature of
|
||||
:type x: numpy.ndarray
|
||||
:param param: contains dictionaries {"coeff": x, "k": y} with x,y int
|
||||
:type param: list
|
||||
:return x: the different feature values
|
||||
:return type: pandas.Series
|
||||
"""
|
||||
calculated_ar_params = {}
|
||||
param = self.param
|
||||
x_as_list = list(x)
|
||||
|
||||
res = {}
|
||||
|
||||
for parameter_combination in param:
|
||||
k = parameter_combination["k"]
|
||||
p = parameter_combination["coeff"]
|
||||
|
||||
column_name = "coeff_{}__k_{}".format(p, k)
|
||||
|
||||
if k not in calculated_ar_params:
|
||||
try:
|
||||
calculated_AR = AR(x_as_list)
|
||||
calculated_ar_params[k] = calculated_AR.fit(maxlag=k, solver="mle").params
|
||||
except (LinAlgError, ValueError):
|
||||
calculated_ar_params[k] = [np.NaN] * k
|
||||
|
||||
mod = calculated_ar_params[k]
|
||||
|
||||
if p <= k:
|
||||
try:
|
||||
res[column_name] = mod[p]
|
||||
except IndexError:
|
||||
res[column_name] = 0
|
||||
else:
|
||||
res[column_name] = np.NaN
|
||||
|
||||
L = [(key, value) for key, value in res.items()]
|
||||
L0 = []
|
||||
for item in L:
|
||||
L0.append(item[1])
|
||||
return L0
|
||||
|
||||
def autocorrelation(self, x):
|
||||
"""
|
||||
Calculates the autocorrelation of the specified lag, according to the formula [1]
|
||||
|
||||
.. math::
|
||||
|
||||
\\frac{1}{(n-l)\\sigma^{2}} \\sum_{t=1}^{n-l}(X_{t}-\\mu )(X_{t+l}-\\mu)
|
||||
|
||||
where :math:`n` is the length of the time series :math:`X_i`, :math:`\\sigma^2` its variance and :math:`\\mu` its
|
||||
mean. `l` denotes the lag.
|
||||
|
||||
.. rubric:: References
|
||||
|
||||
[1] https://en.wikipedia.org/wiki/Autocorrelation#Estimation
|
||||
|
||||
:param x: the time series to calculate the feature of
|
||||
:type x: numpy.ndarray
|
||||
:param lag: the lag
|
||||
:type lag: int
|
||||
:return: the value of this feature
|
||||
:return type: float
|
||||
"""
|
||||
lag = self.lag
|
||||
# This is important: If a series is passed, the product below is calculated
|
||||
# based on the index, which corresponds to squaring the series.
|
||||
if isinstance(x, pd.Series):
|
||||
x = x.values
|
||||
if len(x) < lag:
|
||||
return np.nan
|
||||
# Slice the relevant subseries based on the lag
|
||||
y1 = x[:(len(x) - lag)]
|
||||
y2 = x[lag:]
|
||||
# Subtract the mean of the whole series x
|
||||
x_mean = np.mean(x)
|
||||
# The result is sometimes referred to as "covariation"
|
||||
sum_product = np.sum((y1 - x_mean) * (y2 - x_mean))
|
||||
# Return the normalized unbiased covariance
|
||||
v = np.var(x)
|
||||
if np.isclose(v, 0):
|
||||
return np.NaN
|
||||
else:
|
||||
return sum_product / ((len(x) - lag) * v)
|
||||
def _into_subchunks(self, x, subchunk_length, every_n=1):
|
||||
"""
|
||||
Split the time series x into subwindows of length "subchunk_length", starting every "every_n".
|
||||
|
||||
For example, the input data if [0, 1, 2, 3, 4, 5, 6] will be turned into a matrix
|
||||
|
||||
0 2 4
|
||||
1 3 5
|
||||
2 4 6
|
||||
|
||||
with the settings subchunk_length = 3 and every_n = 2
|
||||
"""
|
||||
len_x = len(x)
|
||||
|
||||
assert subchunk_length > 1
|
||||
assert every_n > 0
|
||||
|
||||
# how often can we shift a window of size subchunk_length over the input?
|
||||
num_shifts = (len_x - subchunk_length) // every_n + 1
|
||||
shift_starts = every_n * np.arange(num_shifts)
|
||||
indices = np.arange(subchunk_length)
|
||||
|
||||
indexer = np.expand_dims(indices, axis=0) + np.expand_dims(shift_starts, axis=1)
|
||||
return np.asarray(x)[indexer]
|
||||
def sample_entropy(self, x):
|
||||
"""
|
||||
Calculate and return sample entropy of x.
|
||||
|
||||
.. rubric:: References
|
||||
|
||||
| [1] http://en.wikipedia.org/wiki/Sample_Entropy
|
||||
| [2] https://www.ncbi.nlm.nih.gov/pubmed/10843903?dopt=Abstract
|
||||
|
||||
:param x: the time series to calculate the feature of
|
||||
:type x: numpy.ndarray
|
||||
|
||||
:return: the value of this feature
|
||||
:return type: float
|
||||
"""
|
||||
x = np.array(x)
|
||||
|
||||
# if one of the values is NaN, we can not compute anything meaningful
|
||||
if np.isnan(x).any():
|
||||
return np.nan
|
||||
|
||||
m = 2 # common value for m, according to wikipedia...
|
||||
tolerance = 0.2 * np.std(x) # 0.2 is a common value for r, according to wikipedia...
|
||||
|
||||
# Split time series and save all templates of length m
|
||||
# Basically we turn [1, 2, 3, 4] into [1, 2], [2, 3], [3, 4]
|
||||
xm = self._into_subchunks(x, m)
|
||||
|
||||
# Now calculate the maximum distance between each of those pairs
|
||||
# np.abs(xmi - xm).max(axis=1)
|
||||
# and check how many are below the tolerance.
|
||||
# For speed reasons, we are not doing this in a nested for loop,
|
||||
# but with numpy magic.
|
||||
# Example:
|
||||
# if x = [1, 2, 3]
|
||||
# then xm = [[1, 2], [2, 3]]
|
||||
# so we will substract xm from [1, 2] => [[0, 0], [-1, -1]]
|
||||
# and from [2, 3] => [[1, 1], [0, 0]]
|
||||
# taking the abs and max gives us:
|
||||
# [0, 1] and [1, 0]
|
||||
# as the diagonal elements are always 0, we substract 1.
|
||||
B = np.sum([np.sum(np.abs(xmi - xm).max(axis=1) <= tolerance) - 1 for xmi in xm])
|
||||
|
||||
# Similar for computing A
|
||||
xmp1 = self._into_subchunks(x, m + 1)
|
||||
|
||||
A = np.sum([np.sum(np.abs(xmi - xmp1).max(axis=1) <= tolerance) - 1 for xmi in xmp1])
|
||||
|
||||
# Return SampEn
|
||||
return -np.log(A / B)
|
||||
def hurst_f(self, x):
|
||||
H,c, M = compute_Hc(x)
|
||||
return [H, c]
|
||||
|
|
@ -0,0 +1,440 @@
|
|||
from sklearn import metrics
|
||||
import numpy as np
|
||||
import math
|
||||
# import matplotlib.pyplot as plt
|
||||
|
||||
class metricor:
|
||||
def __init__(self, a = 1, probability = True, bias = 'flat', ):
|
||||
self.a = a
|
||||
self.probability = probability
|
||||
self.bias = bias
|
||||
|
||||
def detect_model(self, model, label, contamination = 0.1, window = 100, is_A = False, is_threshold = True):
|
||||
if is_threshold:
|
||||
score = self.scale_threshold(model.decision_scores_, model._mu, model._sigma)
|
||||
else:
|
||||
score = self.scale_contamination(model.decision_scores_, contamination = contamination)
|
||||
if is_A is False:
|
||||
scoreX = np.zeros(len(score)+window)
|
||||
scoreX[math.ceil(window/2): len(score)+window - math.floor(window/2)] = score
|
||||
else:
|
||||
scoreX = score
|
||||
|
||||
self.score_=scoreX
|
||||
L = self.metric(label, scoreX)
|
||||
return L
|
||||
|
||||
|
||||
def labels_conv(self, preds):
|
||||
'''return indices of predicted anomaly
|
||||
'''
|
||||
|
||||
# p = np.zeros(len(preds))
|
||||
index = np.where(preds >= 0.5)
|
||||
return index[0]
|
||||
|
||||
def labels_conv_binary(self, preds):
|
||||
'''return predicted label
|
||||
'''
|
||||
p = np.zeros(len(preds))
|
||||
index = np.where(preds >= 0.5)
|
||||
p[index[0]] = 1
|
||||
return p
|
||||
|
||||
|
||||
def w(self, AnomalyRange, p):
|
||||
MyValue = 0
|
||||
MaxValue = 0
|
||||
start = AnomalyRange[0]
|
||||
AnomalyLength = AnomalyRange[1] - AnomalyRange[0] + 1
|
||||
for i in range(start, start +AnomalyLength):
|
||||
bi = self.b(i, AnomalyLength)
|
||||
MaxValue += bi
|
||||
if i in p:
|
||||
MyValue += bi
|
||||
return MyValue/MaxValue
|
||||
|
||||
def Cardinality_factor(self, Anomolyrange, Prange):
|
||||
score = 0
|
||||
start = Anomolyrange[0]
|
||||
end = Anomolyrange[1]
|
||||
for i in Prange:
|
||||
if i[0] >= start and i[0] <= end:
|
||||
score +=1
|
||||
elif start >= i[0] and start <= i[1]:
|
||||
score += 1
|
||||
elif end >= i[0] and end <= i[1]:
|
||||
score += 1
|
||||
elif start >= i[0] and end <= i[1]:
|
||||
score += 1
|
||||
if score == 0:
|
||||
return 0
|
||||
else:
|
||||
return 1/score
|
||||
|
||||
def b(self, i, length):
|
||||
bias = self.bias
|
||||
if bias == 'flat':
|
||||
return 1
|
||||
elif bias == 'front-end bias':
|
||||
return length - i + 1
|
||||
elif bias == 'back-end bias':
|
||||
return i
|
||||
else:
|
||||
if i <= length/2:
|
||||
return i
|
||||
else:
|
||||
return length - i + 1
|
||||
|
||||
|
||||
def scale_threshold(self, score, score_mu, score_sigma):
|
||||
return (score >= (score_mu + 3*score_sigma)).astype(int)
|
||||
|
||||
|
||||
def metric_new(self, label, score, plot_ROC=False, alpha=0.2,coeff=3):
|
||||
'''input:
|
||||
Real labels and anomaly score in prediction
|
||||
|
||||
output:
|
||||
AUC,
|
||||
Precision,
|
||||
Recall,
|
||||
F-score,
|
||||
Range-precision,
|
||||
Range-recall,
|
||||
Range-Fscore,
|
||||
Precison@k,
|
||||
|
||||
k is chosen to be # of outliers in real labels
|
||||
'''
|
||||
if np.sum(label) == 0:
|
||||
print('All labels are 0. Label must have groud truth value for calculating AUC score.')
|
||||
return None
|
||||
|
||||
if np.isnan(score).any() or score is None:
|
||||
print('Score must not be none.')
|
||||
return None
|
||||
|
||||
#area under curve
|
||||
auc = metrics.roc_auc_score(label, score)
|
||||
# plor ROC curve
|
||||
if plot_ROC:
|
||||
fpr, tpr, thresholds = metrics.roc_curve(label, score)
|
||||
# display = metrics.RocCurveDisplay(fpr=fpr, tpr=tpr, roc_auc=auc)
|
||||
# display.plot()
|
||||
|
||||
#precision, recall, F
|
||||
|
||||
preds = score > (np.mean(score)+coeff*np.std(score))
|
||||
if np.sum(preds) == 0:
|
||||
preds = score > (np.mean(score)+2*np.std(score))
|
||||
if np.sum(preds) == 0:
|
||||
preds = score > (np.mean(score)+1*np.std(score))
|
||||
Precision, Recall, F, Support = metrics.precision_recall_fscore_support(label, preds, zero_division=0)
|
||||
precision = Precision[1]
|
||||
recall = Recall[1]
|
||||
f = F[1]
|
||||
|
||||
#range anomaly
|
||||
Rrecall, ExistenceReward, OverlapReward = self.range_recall_new(label, preds, alpha)
|
||||
Rprecision = self.range_recall_new(preds, label, 0)[0]
|
||||
|
||||
if Rprecision + Rrecall==0:
|
||||
Rf=0
|
||||
else:
|
||||
Rf = 2 * Rrecall * Rprecision / (Rprecision + Rrecall)
|
||||
|
||||
# top-k
|
||||
k = int(np.sum(label))
|
||||
threshold = np.percentile(score, 100 * (1-k/len(label)))
|
||||
|
||||
# precision_at_k = metrics.top_k_accuracy_score(label, score, k)
|
||||
p_at_k = np.where(preds > threshold)[0]
|
||||
TP_at_k = sum(label[p_at_k])
|
||||
precision_at_k = TP_at_k/k
|
||||
|
||||
L = [auc, precision, recall, f, Rrecall, ExistenceReward, OverlapReward, Rprecision, Rf, precision_at_k]
|
||||
if plot_ROC:
|
||||
return L, fpr, tpr
|
||||
return L
|
||||
|
||||
def metric_PR(self, label, score):
|
||||
precision, recall, thresholds = metrics.precision_recall_curve(label, score)
|
||||
# plt.figure()
|
||||
# disp = metrics.PrecisionRecallDisplay(precision=precision, recall=recall)
|
||||
# disp.plot()
|
||||
AP = metrics.auc(recall, precision)
|
||||
#AP = metrics.average_precision_score(label, score)
|
||||
return precision, recall, AP
|
||||
|
||||
def range_recall_new(self, labels, preds, alpha):
|
||||
|
||||
|
||||
p = np.where(preds == 1)[0] # positions of predicted label==1
|
||||
range_pred = self.range_convers_new(preds)
|
||||
range_label = self.range_convers_new(labels)
|
||||
|
||||
Nr = len(range_label) # total # of real anomaly segments
|
||||
|
||||
ExistenceReward = self.existence_reward(range_label, p)
|
||||
|
||||
|
||||
OverlapReward = 0
|
||||
for i in range_label:
|
||||
OverlapReward += self.w(i, p) * self.Cardinality_factor(i, range_pred)
|
||||
|
||||
|
||||
score = alpha * ExistenceReward + (1-alpha) * OverlapReward
|
||||
if Nr != 0:
|
||||
return score/Nr, ExistenceReward/Nr, OverlapReward/Nr
|
||||
else:
|
||||
return 0,0,0
|
||||
|
||||
def range_convers_new(self, label):
|
||||
'''
|
||||
input: arrays of binary values
|
||||
output: list of ordered pair [[a0,b0], [a1,b1]... ] of the inputs
|
||||
'''
|
||||
L = []
|
||||
i = 0
|
||||
j = 0
|
||||
while j < len(label):
|
||||
# print(i)
|
||||
while label[i] == 0:
|
||||
i+=1
|
||||
if i >= len(label):
|
||||
break
|
||||
j = i+1
|
||||
# print('j'+str(j))
|
||||
if j >= len(label):
|
||||
if j==len(label):
|
||||
L.append((i,j-1))
|
||||
|
||||
break
|
||||
while label[j] != 0:
|
||||
j+=1
|
||||
if j >= len(label):
|
||||
L.append((i,j-1))
|
||||
break
|
||||
if j >= len(label):
|
||||
break
|
||||
L.append((i, j-1))
|
||||
i = j
|
||||
return L
|
||||
|
||||
def existence_reward(self, labels, preds):
|
||||
'''
|
||||
labels: list of ordered pair
|
||||
preds predicted data
|
||||
'''
|
||||
|
||||
score = 0
|
||||
for i in labels:
|
||||
if np.sum(np.multiply(preds <= i[1], preds >= i[0])) > 0:
|
||||
score += 1
|
||||
return score
|
||||
|
||||
def num_nonzero_segments(self, x):
|
||||
count=0
|
||||
if x[0]>0:
|
||||
count+=1
|
||||
for i in range(1, len(x)):
|
||||
if x[i]>0 and x[i-1]==0:
|
||||
count+=1
|
||||
return count
|
||||
|
||||
def extend_postive_range(self, x, window=5):
|
||||
label = x.copy().astype(float)
|
||||
L = self.range_convers_new(label) # index of non-zero segments
|
||||
length = len(label)
|
||||
for k in range(len(L)):
|
||||
s = L[k][0]
|
||||
e = L[k][1]
|
||||
|
||||
|
||||
x1 = np.arange(e,min(e+window//2,length))
|
||||
label[x1] += np.sqrt(1 - (x1-e)/(window))
|
||||
|
||||
x2 = np.arange(max(s-window//2,0),s)
|
||||
label[x2] += np.sqrt(1 - (s-x2)/(window))
|
||||
|
||||
label = np.minimum(np.ones(length), label)
|
||||
return label
|
||||
|
||||
def extend_postive_range_individual(self, x, percentage=0.2):
|
||||
label = x.copy().astype(float)
|
||||
L = self.range_convers_new(label) # index of non-zero segments
|
||||
length = len(label)
|
||||
for k in range(len(L)):
|
||||
s = L[k][0]
|
||||
e = L[k][1]
|
||||
|
||||
l0 = int((e-s+1)*percentage)
|
||||
|
||||
x1 = np.arange(e,min(e+l0,length))
|
||||
label[x1] += np.sqrt(1 - (x1-e)/(2*l0))
|
||||
|
||||
x2 = np.arange(max(s-l0,0),s)
|
||||
label[x2] += np.sqrt(1 - (s-x2)/(2*l0))
|
||||
|
||||
label = np.minimum(np.ones(length), label)
|
||||
return label
|
||||
|
||||
def TPR_FPR_RangeAUC(self, labels, pred, P, L):
|
||||
product = labels * pred
|
||||
|
||||
TP = np.sum(product)
|
||||
|
||||
# recall = min(TP/P,1)
|
||||
P_new = (P+np.sum(labels))/2 # so TPR is neither large nor small
|
||||
# P_new = np.sum(labels)
|
||||
recall = min(TP/P_new,1)
|
||||
# recall = TP/np.sum(labels)
|
||||
# print('recall '+str(recall))
|
||||
|
||||
|
||||
existence = 0
|
||||
for seg in L:
|
||||
if np.sum(product[seg[0]:(seg[1]+1)])>0:
|
||||
existence += 1
|
||||
|
||||
existence_ratio = existence/len(L)
|
||||
# print(existence_ratio)
|
||||
|
||||
# TPR_RangeAUC = np.sqrt(recall*existence_ratio)
|
||||
# print(existence_ratio)
|
||||
TPR_RangeAUC = recall*existence_ratio
|
||||
|
||||
FP = np.sum(pred) - TP
|
||||
# TN = np.sum((1-pred) * (1-labels))
|
||||
|
||||
# FPR_RangeAUC = FP/(FP+TN)
|
||||
N_new = len(labels) - P_new
|
||||
FPR_RangeAUC = FP/N_new
|
||||
|
||||
Precision_RangeAUC = TP/np.sum(pred)
|
||||
|
||||
return TPR_RangeAUC, FPR_RangeAUC, Precision_RangeAUC
|
||||
|
||||
def RangeAUC(self, labels, score, window=0, percentage=0, plot_ROC=False, AUC_type='window'):
|
||||
# AUC_type='window'/'percentage'
|
||||
score_sorted = -np.sort(-score)
|
||||
|
||||
P = np.sum(labels)
|
||||
# print(np.sum(labels))
|
||||
if AUC_type=='window':
|
||||
labels = self.extend_postive_range(labels, window=window)
|
||||
else:
|
||||
labels = self.extend_postive_range_individual(labels, percentage=percentage)
|
||||
|
||||
# print(np.sum(labels))
|
||||
L = self.range_convers_new(labels)
|
||||
TPR_list = [0]
|
||||
FPR_list = [0]
|
||||
Precision_list = [1]
|
||||
|
||||
for i in np.linspace(0, len(score)-1, 250).astype(int):
|
||||
threshold = score_sorted[i]
|
||||
# print('thre='+str(threshold))
|
||||
pred = score>= threshold
|
||||
TPR, FPR, Precision = self.TPR_FPR_RangeAUC(labels, pred, P,L)
|
||||
|
||||
TPR_list.append(TPR)
|
||||
FPR_list.append(FPR)
|
||||
Precision_list.append(Precision)
|
||||
|
||||
TPR_list.append(1)
|
||||
FPR_list.append(1) # otherwise, range-AUC will stop earlier than (1,1)
|
||||
|
||||
tpr = np.array(TPR_list)
|
||||
fpr = np.array(FPR_list)
|
||||
prec = np.array(Precision_list)
|
||||
|
||||
width = fpr[1:] - fpr[:-1]
|
||||
height = (tpr[1:] + tpr[:-1])/2
|
||||
AUC_range = np.sum(width*height)
|
||||
|
||||
width_PR = tpr[1:-1] - tpr[:-2]
|
||||
height_PR = (prec[1:] + prec[:-1])/2
|
||||
AP_range = np.sum(width_PR*height_PR)
|
||||
|
||||
if plot_ROC:
|
||||
return AUC_range, AP_range, fpr, tpr, prec
|
||||
|
||||
return AUC_range
|
||||
|
||||
|
||||
# TPR_FPR_window
|
||||
def RangeAUC_volume(self, labels_original, score, windowSize):
|
||||
score_sorted = -np.sort(-score)
|
||||
|
||||
tpr_3d=[]
|
||||
fpr_3d=[]
|
||||
prec_3d=[]
|
||||
|
||||
auc_3d=[]
|
||||
ap_3d=[]
|
||||
|
||||
window_3d = np.arange(0, windowSize+1, 1)
|
||||
P = np.sum(labels_original)
|
||||
|
||||
for window in window_3d:
|
||||
labels = self.extend_postive_range(labels_original, window)
|
||||
|
||||
# print(np.sum(labels))
|
||||
L = self.range_convers_new(labels)
|
||||
TPR_list = [0]
|
||||
FPR_list = [0]
|
||||
Precision_list = [1]
|
||||
|
||||
for i in np.linspace(0, len(score)-1, 250).astype(int):
|
||||
threshold = score_sorted[i]
|
||||
# print('thre='+str(threshold))
|
||||
pred = score>= threshold
|
||||
TPR, FPR, Precision = self.TPR_FPR_RangeAUC(labels, pred, P,L)
|
||||
|
||||
TPR_list.append(TPR)
|
||||
FPR_list.append(FPR)
|
||||
Precision_list.append(Precision)
|
||||
|
||||
TPR_list.append(1)
|
||||
FPR_list.append(1) # otherwise, range-AUC will stop earlier than (1,1)
|
||||
|
||||
|
||||
tpr = np.array(TPR_list)
|
||||
fpr = np.array(FPR_list)
|
||||
prec = np.array(Precision_list)
|
||||
|
||||
tpr_3d.append(tpr)
|
||||
fpr_3d.append(fpr)
|
||||
prec_3d.append(prec)
|
||||
|
||||
width = fpr[1:] - fpr[:-1]
|
||||
height = (tpr[1:] + tpr[:-1])/2
|
||||
AUC_range = np.sum(width*height)
|
||||
auc_3d.append(AUC_range)
|
||||
|
||||
width_PR = tpr[1:-1] - tpr[:-2]
|
||||
height_PR = (prec[1:] + prec[:-1])/2
|
||||
AP_range = np.sum(width_PR*height_PR)
|
||||
ap_3d.append(AP_range)
|
||||
|
||||
|
||||
return tpr_3d, fpr_3d, prec_3d, window_3d, sum(auc_3d)/len(window_3d), sum(ap_3d)/len(window_3d)
|
||||
|
||||
|
||||
|
||||
|
||||
def generate_curve(label,score,slidingWindow):
|
||||
tpr_3d, fpr_3d, prec_3d, window_3d, avg_auc_3d, avg_ap_3d = metricor().RangeAUC_volume(labels_original=label, score=score, windowSize=1*slidingWindow)
|
||||
|
||||
X = np.array(tpr_3d).reshape(1,-1).ravel()
|
||||
X_ap = np.array(tpr_3d)[:,:-1].reshape(1,-1).ravel()
|
||||
Y = np.array(fpr_3d).reshape(1,-1).ravel()
|
||||
W = np.array(prec_3d).reshape(1,-1).ravel()
|
||||
Z = np.repeat(window_3d, len(tpr_3d[0]))
|
||||
Z_ap = np.repeat(window_3d, len(tpr_3d[0])-1)
|
||||
|
||||
return Y, Z, X, X_ap, W, Z_ap,avg_auc_3d, avg_ap_3d
|
||||
|
||||
|
||||
|
|
@ -0,0 +1,24 @@
|
|||
from statsmodels.tsa.stattools import acf
|
||||
from scipy.signal import argrelextrema
|
||||
import numpy as np
|
||||
|
||||
import matplotlib.patches as mpatches
|
||||
import matplotlib.pyplot as plt
|
||||
# determine sliding window (period) based on ACF
|
||||
def find_length(data):
|
||||
if len(data.shape)>1:
|
||||
return 0
|
||||
data = data[:min(20000, len(data))]
|
||||
|
||||
base = 3
|
||||
auto_corr = acf(data, nlags=400, fft=True)[base:]
|
||||
|
||||
|
||||
local_max = argrelextrema(auto_corr, np.greater)[0]
|
||||
try:
|
||||
max_local_max = np.argmax([auto_corr[lcm] for lcm in local_max])
|
||||
if local_max[max_local_max]<3 or local_max[max_local_max]>300:
|
||||
return 125
|
||||
return local_max[max_local_max]+base
|
||||
except:
|
||||
return 125
|
||||
|
|
@ -1,3 +1,6 @@
|
|||
# Revised by Yiyuan Yang on 2023/10/28
|
||||
# There are some differences between the original code and the revised code.
|
||||
|
||||
import torch
|
||||
import torch.nn as nn
|
||||
import torch.nn.functional as F
|
||||
|
|
@ -17,10 +20,10 @@ def my_kl_loss(p, q):
|
|||
|
||||
|
||||
class DCdetector(BaseDeepAD):
|
||||
def __init__(self, seq_len=100, stride=1, lr=0.0001, epochs=5, batch_size=128,
|
||||
def __init__(self, seq_len=100, stride=1, lr=0.0001, epochs=3, batch_size=256,
|
||||
epoch_steps=20, prt_steps=1, device='cuda',
|
||||
n_heads=1, d_model=256, e_layers=3, patch_size=None,
|
||||
verbose=2, random_state=42):
|
||||
verbose=2, random_state=42, threshold_ = 1):
|
||||
super(DCdetector, self).__init__(
|
||||
model_name='DCdetector', data_type='ts', epochs=epochs, batch_size=batch_size, lr=lr,
|
||||
seq_len=seq_len, stride=stride,
|
||||
|
|
@ -34,8 +37,8 @@ class DCdetector(BaseDeepAD):
|
|||
self.n_heads = n_heads
|
||||
self.d_model = d_model
|
||||
self.e_layers = e_layers
|
||||
self.threshold = threshold_
|
||||
self.criterion = nn.MSELoss()
|
||||
|
||||
return
|
||||
|
||||
def fit(self, X, y=None):
|
||||
|
|
@ -55,27 +58,25 @@ class DCdetector(BaseDeepAD):
|
|||
self.model.train()
|
||||
for e in range(self.epochs):
|
||||
loss = self.training(dataloader)
|
||||
print(f'Epoch {e + 1},\t L1 = {loss}')
|
||||
print(f'Epoch {e + 1}')
|
||||
|
||||
self.decision_scores_ = self.decision_function(X)
|
||||
self.labels_ = self._process_decision_scores()
|
||||
|
||||
return
|
||||
|
||||
def decision_function(self, X, return_rep=False):
|
||||
seqs = get_sub_seqs(X, seq_len=self.seq_len, stride=1)
|
||||
dataloader = DataLoader(seqs, batch_size=self.batch_size,
|
||||
shuffle=False, drop_last=False)
|
||||
shuffle=False, drop_last=True)
|
||||
|
||||
self.model.eval()
|
||||
loss, _ = self.inference(dataloader) # (n,d)
|
||||
loss_final = np.mean(loss, axis=1) # (n,)
|
||||
|
||||
padding_list = np.zeros([X.shape[0]-loss.shape[0], loss.shape[1]])
|
||||
loss_pad = np.concatenate([padding_list, loss], axis=0)
|
||||
loss_final_pad = np.hstack([0 * np.ones(X.shape[0] - loss_final.shape[0]), loss_final])
|
||||
|
||||
return loss_final_pad
|
||||
|
||||
|
||||
def training(self, dataloader):
|
||||
loss_list = []
|
||||
|
||||
|
|
@ -121,7 +122,84 @@ class DCdetector(BaseDeepAD):
|
|||
return np.average(loss_list)
|
||||
|
||||
def inference(self, dataloader):
|
||||
temperature = 50
|
||||
|
||||
temperature = 10 #hyperparameter need to be tuned
|
||||
attens_energy = []
|
||||
preds = []
|
||||
|
||||
for input_data in dataloader: # test_set
|
||||
input = input_data.float().to(self.device)
|
||||
series, prior = self.model(input)
|
||||
series_loss = 0.0
|
||||
prior_loss = 0.0
|
||||
for u in range(len(prior)):
|
||||
if u == 0:
|
||||
series_loss = my_kl_loss(series[u], (
|
||||
prior[u] / torch.unsqueeze(torch.sum(prior[u], dim=-1), dim=-1).repeat(1, 1, 1,
|
||||
self.seq_len)).detach()) * temperature
|
||||
prior_loss = my_kl_loss(
|
||||
(prior[u] / torch.unsqueeze(torch.sum(prior[u], dim=-1), dim=-1).repeat(1, 1, 1,
|
||||
self.seq_len)),
|
||||
series[u].detach()) * temperature
|
||||
else:
|
||||
series_loss += my_kl_loss(series[u], (
|
||||
prior[u] / torch.unsqueeze(torch.sum(prior[u], dim=-1), dim=-1).repeat(1, 1, 1,
|
||||
self.seq_len)).detach()) * temperature
|
||||
prior_loss += my_kl_loss(
|
||||
(prior[u] / torch.unsqueeze(torch.sum(prior[u], dim=-1), dim=-1).repeat(1, 1, 1,
|
||||
self.seq_len)),
|
||||
series[u].detach()) * temperature
|
||||
|
||||
metric = torch.softmax((-series_loss - prior_loss), dim=-1)
|
||||
cri = metric.detach().cpu().numpy()
|
||||
attens_energy.append(cri)
|
||||
attens_energy = np.concatenate(attens_energy, axis=0) # anomaly scores
|
||||
test_energy = np.array(attens_energy) # anomaly scores
|
||||
|
||||
return test_energy, preds # (n,d)
|
||||
|
||||
|
||||
|
||||
def predict(self, X, return_confidence=True):
|
||||
|
||||
seqs = get_sub_seqs(X, seq_len=self.seq_len, stride=1)
|
||||
dataloader = DataLoader(seqs, batch_size=self.batch_size,
|
||||
shuffle=False, drop_last=True)
|
||||
|
||||
attens_energy = []
|
||||
for input_data in dataloader: # threhold
|
||||
input = input_data.float().to(self.device)
|
||||
series, prior = self.model(input)
|
||||
series_loss = 0.0
|
||||
prior_loss = 0.0
|
||||
for u in range(len(prior)):
|
||||
if u == 0:
|
||||
series_loss = my_kl_loss(series[u], (
|
||||
prior[u] / torch.unsqueeze(torch.sum(prior[u], dim=-1), dim=-1).repeat(1, 1, 1,
|
||||
self.seq_len)).detach())
|
||||
prior_loss = my_kl_loss(
|
||||
(prior[u] / torch.unsqueeze(torch.sum(prior[u], dim=-1), dim=-1).repeat(1, 1, 1,
|
||||
self.seq_len)),
|
||||
series[u].detach())
|
||||
else:
|
||||
series_loss += my_kl_loss(series[u], (
|
||||
prior[u] / torch.unsqueeze(torch.sum(prior[u], dim=-1), dim=-1).repeat(1, 1, 1,
|
||||
self.seq_len)).detach())
|
||||
prior_loss += my_kl_loss(
|
||||
(prior[u] / torch.unsqueeze(torch.sum(prior[u], dim=-1), dim=-1).repeat(1, 1, 1,
|
||||
self.seq_len)),
|
||||
series[u].detach())
|
||||
|
||||
metric = torch.softmax((-series_loss - prior_loss), dim=-1)
|
||||
cri = metric.detach().cpu().numpy()
|
||||
attens_energy.append(cri)
|
||||
|
||||
attens_energy = np.concatenate(attens_energy, axis=0).reshape(-1)
|
||||
test_energy = np.array(attens_energy)
|
||||
thresh = np.percentile(test_energy, 100 - self.threshold) #hyperparameter need to be tuned
|
||||
print('Threshold:', thresh)
|
||||
|
||||
temperature = 10 #hyperparameter need to be tuned
|
||||
attens_energy = []
|
||||
preds = []
|
||||
|
||||
|
|
@ -154,7 +232,19 @@ class DCdetector(BaseDeepAD):
|
|||
attens_energy = np.concatenate(attens_energy, axis=0) # anomaly scores
|
||||
test_energy = np.array(attens_energy) # anomaly scores
|
||||
|
||||
return test_energy, preds # (n,d)
|
||||
preds = (test_energy > thresh).astype(int)
|
||||
|
||||
|
||||
loss_final = np.mean(test_energy, axis=1) # (n,)
|
||||
loss_final_pad = np.hstack([0 * np.ones(X.shape[0] - loss_final.shape[0]), loss_final])
|
||||
preds_final = np.mean(preds, axis=1) # (n,)
|
||||
preds_final_pad = np.hstack([0 * np.ones(X.shape[0] - preds_final.shape[0]), preds_final])
|
||||
|
||||
if return_confidence:
|
||||
return loss_final_pad, preds_final_pad
|
||||
else:
|
||||
return preds_final_pad
|
||||
|
||||
|
||||
def training_forward(self, batch_x, net, criterion):
|
||||
"""define forward step in training"""
|
||||
|
|
@ -173,6 +263,11 @@ class DCdetector(BaseDeepAD):
|
|||
return
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
# Proposed Model
|
||||
|
||||
class Encoder(nn.Module):
|
||||
|
|
|
|||
|
|
@ -32,8 +32,8 @@ class TestDCdetector(unittest.TestCase):
|
|||
self.yts_test = y
|
||||
|
||||
device = 'cuda' if torch.cuda.is_available() else 'cpu'
|
||||
self.clf = DCdetector(seq_len=100, stride=1, epochs=2,
|
||||
batch_size=32, lr=1e-4, patch_size=[1,2,5],
|
||||
self.clf = DCdetector(seq_len=90, stride=1, epochs=2,
|
||||
batch_size=32, lr=1e-4, patch_size=[5],
|
||||
device=device, random_state=42)
|
||||
self.clf.fit(self.Xts_train)
|
||||
|
||||
|
|
@ -53,7 +53,7 @@ class TestDCdetector(unittest.TestCase):
|
|||
assert_equal(pred_scores.shape[0], self.Xts_test.shape[0])
|
||||
|
||||
def test_prediction_labels(self):
|
||||
pred_labels = self.clf.predict(self.Xts_test)
|
||||
pred_labels = self.clf.predict(self.Xts_test, return_confidence=False)
|
||||
assert_equal(pred_labels.shape, self.yts_test.shape)
|
||||
|
||||
# def test_prediction_proba(self):
|
||||
|
|
|
|||
Loading…
Reference in New Issue