Unsupervised Model Selection for Time-series Anomaly Detection

Anomaly detection in time-series has a wide range of practical applications. While numerous anomaly detection methods have been proposed in the literature, a recent survey concluded that no single method is the most accurate across various datasets. To make matters worse, anomaly labels are scarce and rarely available in practice. The practical problem of selecting the most accurate model for a given dataset without labels has received little attention in the literature. This paper answers this question i.e. Given an unlabeled dataset and a set of candidate anomaly detectors, how can we select the most accurate model? To this end, we identify three classes of surrogate (unsupervised) metrics, namely, prediction error, model centrality, and performance on injected synthetic anomalies, and show that some metrics are highly correlated with standard supervised anomaly detection performance metrics such as the $F_1$ score, but to varying degrees. We formulate metric combination with multiple imperfect surrogate metrics as a robust rank aggregation problem. We then provide theoretical justification behind the proposed approach. Large-scale experiments on multiple real-world datasets demonstrate that our proposed unsupervised approach is as effective as selecting the most accurate model based on partially labeled data.Comment: Accepted at International Conference on Learning Representations (ICLR) 2023 with a notable-top-25% recommendation. Reviewer, AC and author discussion available at https://openreview.net/forum?id=gOZ_pKANaP

Cost-Quality Trade-Offs in One-Class Active Learning

Active learning is a paradigm to involve users in a machine learning process. The core idea of active learning is to ask a user to annotate a specific observation to improve the classification performance. One important application of active learning is detecting outliers, i.e., unusual observations that deviate from the regular ones in a data set. Applying active learning for outlier detection in practice requires to design a system that consists of several components: the data, the classifier that discerns between inliers and outliers, the query strategy that selects the observations for feedback collection, and an oracle, e.g., the human expert that annotates the queries. Each of these components and their interplay influences the classification quality. Naturally, there are cost budgets limiting certain parts of the system, e.g., the number of queries one can ask a human. Thus, to configure efficient active learning systems, one must decide on several trade-offs between costs and quality. The existing literature on active learning systems does not provide an overview nor a formal description of the cost-quality trade-offs of active learning. All this makes the configuration of efficient active learning systems in practice difficult. In this thesis, we study different cost-quality trade-offs that are pivotal for configuring an active learning system for outlier detection. We first provide an overview of the costs of an active learning system. Then, we analyze three important trade-offs and propose ways to model and quantify them. In our first contribution, we study how one can reduce classification training costs by training only on a sample of the data set. We formalize the sampling trade-off between classifier training costs and resulting quality as an optimization problem and propose an efficient algorithm to solve it. Compared to the existing sampling methods in literature, our approach guarantees that a classifier trained on our sample makes the same predictions as if trained on the complete data set. We can therefore reduce the classification training costs without a loss of classification quality. In our second contribution, we investigate how selecting multiple queries allows trading off costs against quality. So-called batch queries reduce classifier training costs because the system only updates the classifier once for each batch. But the annotation of a batch may give redundant information, which reduces the achievable quality with a fixed query budget. We are the first to consider batch queries for outlier detection, a generalization of the more common case to query sequentially. We formalize batch active learning and propose several strategies to construct batches by modeling the expected utility of a batch. In our third contribution, we propose query synthesis for outlier detection. Query synthesis allows to artificially generate queries at any point in the data space without being restricted by a pool of query candidates. We propose a framework to efficiently synthesize queries and develop a novel query strategy to improve the generalization of a classifier beyond a biased data set with active learning. For all contributions, we derive recommendations for the cost-quality trade-offs from formal investigations and empirical studies to facilitate the configuration of robust and efficient active learning systems for outlier detection

In-Network Outlier Detection in Wireless Sensor Networks

To address the problem of unsupervised outlier detection in wireless sensor networks, we develop an approach that (1) is flexible with respect to the outlier definition, (2) computes the result in-network to reduce both bandwidth and energy usage,(3) only uses single hop communication thus permitting very simple node failure detection and message reliability assurance mechanisms (e.g., carrier-sense), and (4) seamlessly accommodates dynamic updates to data. We examine performance using simulation with real sensor data streams. Our results demonstrate that our approach is accurate and imposes a reasonable communication load and level of power consumption.Comment: Extended version of a paper appearing in the Int'l Conference on Distributed Computing Systems 200

Cost-Sensitive Learning-based Methods for Imbalanced Classification Problems with Applications

Analysis and predictive modeling of massive datasets is an extremely significant problem that arises in many practical applications. The task of predictive modeling becomes even more challenging when data are imperfect or uncertain. The real data are frequently affected by outliers, uncertain labels, and uneven distribution of classes (imbalanced data). Such uncertainties create bias and make predictive modeling an even more difficult task. In the present work, we introduce a cost-sensitive learning method (CSL) to deal with the classification of imperfect data. Typically, most traditional approaches for classification demonstrate poor performance in an environment with imperfect data. We propose the use of CSL with Support Vector Machine, which is a well-known data mining algorithm. The results reveal that the proposed algorithm produces more accurate classifiers and is more robust with respect to imperfect data. Furthermore, we explore the best performance measures to tackle imperfect data along with addressing real problems in quality control and business analytics

Hybrid Open-set Segmentation with Synthetic Negative Data

Open-set segmentation is often conceived by complementing closed-set classification with anomaly detection. Existing dense anomaly detectors operate either through generative modelling of regular training data or by discriminating with respect to negative training data. These two approaches optimize different objectives and therefore exhibit different failure modes. Consequently, we propose the first dense hybrid anomaly score that fuses generative and discriminative cues. The proposed score can be efficiently implemented by upgrading any semantic segmentation model with translation-equivariant estimates of data likelihood and dataset posterior. Our design is a remarkably good fit for efficient inference on large images due to negligible computational overhead over the closed-set baseline. The resulting dense hybrid open-set models require negative training images that can be sampled either from an auxiliary negative dataset or from a jointly trained generative model. We evaluate our contributions on benchmarks for dense anomaly detection and open-set segmentation of traffic scenes. The experiments reveal strong open-set performance in spite of negligible computational overhead

On the role of pre and post-processing in environmental data mining

The quality of discovered knowledge is highly depending on data quality. Unfortunately real data use to contain noise, uncertainty, errors, redundancies or even irrelevant information. The more complex is the reality to be analyzed, the higher the risk of getting low quality data. Knowledge Discovery from Databases (KDD) offers a global framework to prepare data in the right form to perform correct analyses. On the other hand, the quality of decisions taken upon KDD results, depend not only on the quality of the results themselves, but on the capacity of the system to communicate those results in an understandable form. Environmental systems are particularly complex and environmental users particularly require clarity in their results. In this paper some details about how this can be achieved are provided. The role of the pre and post processing in the whole process of Knowledge Discovery in environmental systems is discussed