add new algorithm ae1svm

examples/ae1svm_example.py

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+# -*- coding: utf-8 -*-
+"""Example of using AE1SVM for outlier detection (pytorch)
+"""
+# Author: Zhuo Xiao
+
+from __future__ import division, print_function
+
+import os
+import sys
+
+# temporary solution for relative imports in case pyod is not installed
+# if pyod is installed, no need to use the following line
+sys.path.append(
+    os.path.abspath(os.path.join(os.path.dirname("__file__"), '..')))
+
+from pyod.models.ae1svm import AE1SVM
+from pyod.utils.data import generate_data
+from pyod.utils.data import evaluate_print
+
+
+if __name__ == "__main__":
+    contamination = 0.1  # percentage of outliers
+    n_train = 20000  # number of training points
+    n_test = 2000  # number of testing points
+    n_features = 300  # number of features
+
+    # Generate sample data
+    X_train, X_test, y_train, y_test = \
+        generate_data(n_train=n_train,
+                      n_test=n_test,
+                      n_features=n_features,
+                      contamination=contamination,
+                      random_state=42)
+
+    # train AE1SVM detector
+    clf_name = 'AE1SVM'
+    clf = AE1SVM(epochs=10)
+    clf.fit(X_train)
+
+    # get the prediction labels and outlier scores of the training data
+    y_train_pred = clf.labels_  # binary labels (0: inliers, 1: outliers)
+    y_train_scores = clf.decision_scores_  # raw outlier scores
+
+    # get the prediction on the test data
+    y_test_pred = clf.predict(X_test)  # outlier labels (0 or 1)
+    y_test_scores = clf.decision_function(X_test)  # outlier scores
+
+    # evaluate and print the results
+    print("\nOn Training Data:")
+    evaluate_print(clf_name, y_train, y_train_scores)
+    print("\nOn Test Data:")
+    evaluate_print(clf_name, y_test, y_test_scores)

pyod/models/ae1svm.py

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+# -*- coding: utf-8 -*-
+"""Using AE-1SVM with Outlier Detection (PyTorch)
+    Source: https://arxiv.org/pdf/1804.04888
+"""
+# Author: Zhuo Xiao
+
+from __future__ import division, print_function
+
+import numpy as np
+import torch
+from sklearn.utils import check_array
+from sklearn.utils.validation import check_is_fitted
+from torch import nn
+
+from .base import BaseDetector
+from ..utils.stat_models import pairwise_distances_no_broadcast
+from ..utils.torch_utility import get_activation_by_name
+
+
+class PyODDataset(torch.utils.data.Dataset):
+    """PyOD Dataset class for PyTorch Dataloader"""
+
+    def __init__(self, X, y=None, mean=None, std=None):
+        super(PyODDataset, self).__init__()
+        self.X = X
+        self.mean = mean
+        self.std = std
+
+    def __len__(self):
+        return self.X.shape[0]
+
+    def __getitem__(self, idx):
+        sample = self.X[idx, :]
+        if self.mean is not None and self.std is not None:
+            sample = (sample - self.mean) / self.std
+        return torch.from_numpy(sample), idx
+
+
+class InnerAE1SVM(nn.Module):
+    def __init__(self, n_features, encoding_dim, rff_dim, sigma=1.0, hidden_neurons=(128, 64),
+                 dropout_rate=0.2, batch_norm=True, hidden_activation='relu'):
+        super(InnerAE1SVM, self).__init__()
+
+        self.encoder = nn.Sequential()
+        self.decoder = nn.Sequential()
+        self.rff = RandomFourierFeatures(encoding_dim, rff_dim, sigma)
+        self.svm_weights = nn.Parameter(torch.randn(rff_dim))
+        self.svm_bias = nn.Parameter(torch.randn(1))
+
+        activation = get_activation_by_name(hidden_activation)
+        layers_neurons_encoder = [n_features, *hidden_neurons, encoding_dim]
+
+        for idx in range(len(layers_neurons_encoder) - 1):
+            self.encoder.add_module(f"linear{idx}", nn.Linear(layers_neurons_encoder[idx], layers_neurons_encoder[idx + 1]))
+            if batch_norm:
+                self.encoder.add_module(f"batch_norm{idx}", nn.BatchNorm1d(layers_neurons_encoder[idx + 1]))
+            self.encoder.add_module(f"activation{idx}", activation)
+            self.encoder.add_module(f"dropout{idx}", nn.Dropout(dropout_rate))
+
+        layers_neurons_decoder = layers_neurons_encoder[::-1]
+
+        for idx in range(len(layers_neurons_decoder) - 1):
+            self.decoder.add_module(f"linear{idx}", nn.Linear(layers_neurons_decoder[idx], layers_neurons_decoder[idx + 1]))
+            if batch_norm and idx < len(layers_neurons_decoder) - 2:
+                self.decoder.add_module(f"batch_norm{idx}", nn.BatchNorm1d(layers_neurons_decoder[idx + 1]))
+            self.decoder.add_module(f"activation{idx}", activation)
+            if idx < len(layers_neurons_decoder) - 2:
+                self.decoder.add_module(f"dropout{idx}", nn.Dropout(dropout_rate))
+
+    def forward(self, x):
+        x = self.encoder(x)
+        rff_features = self.rff(x)
+        x = self.decoder(x)
+        return x, rff_features
+
+    def svm_decision_function(self, rff_features):
+        return torch.matmul(rff_features, self.svm_weights) + self.svm_bias
+
+
+class RandomFourierFeatures(nn.Module):
+    def __init__(self, input_dim, output_dim, sigma=1.0):
+        super(RandomFourierFeatures, self).__init__()
+        self.weights = nn.Parameter(torch.randn(input_dim, output_dim) * sigma)
+        self.bias = nn.Parameter(torch.randn(output_dim) * 2 * np.pi)
+
+    def forward(self, x):
+        x = torch.matmul(x, self.weights) + self.bias
+        return torch.cos(x)
+
+
+class AE1SVM(BaseDetector):
+    """Auto Encoder with One-class SVM for anomaly detection."""
+
+    def __init__(self, hidden_neurons=None, hidden_activation='relu',
+                 batch_norm=True, learning_rate=1e-3, epochs=100, batch_size=32,
+                 dropout_rate=0.2, weight_decay=1e-5, preprocessing=True,
+                 loss_fn=None, contamination=0.1, device=None, alpha=1.0, sigma=1.0, nu=0.1, kernel_approx_features=1000):
+        super(AE1SVM, self).__init__(contamination=contamination)
+
+        self.model = None
+        self.decision_scores_ = None
+        self.std = None
+        self.mean = None
+        self.hidden_neurons = hidden_neurons
+        self.hidden_activation = hidden_activation
+        self.batch_norm = batch_norm
+        self.learning_rate = learning_rate
+        self.epochs = epochs
+        self.batch_size = batch_size
+        self.dropout_rate = dropout_rate
+        self.weight_decay = weight_decay
+        self.preprocessing = preprocessing
+        self.loss_fn = loss_fn or torch.nn.MSELoss()
+        self.device = device or torch.device("cuda:0" if torch.cuda.is_available() else "cpu")
+        self.hidden_neurons = hidden_neurons or [64, 32]
+        self.alpha = alpha
+        self.sigma = sigma
+        self.nu = nu
+        self.kernel_approx_features = kernel_approx_features
+
+    def fit(self, X, y=None):
+        X = check_array(X)
+        self._set_n_classes(y)
+
+        n_samples, n_features = X.shape
+        if self.preprocessing:
+            self.mean, self.std = np.mean(X, axis=0), np.std(X, axis=0)
+            train_set = PyODDataset(X=X, mean=self.mean, std=self.std)
+        else:
+            train_set = PyODDataset(X=X)
+
+        train_loader = torch.utils.data.DataLoader(train_set, batch_size=self.batch_size, shuffle=True)
+        self.model = InnerAE1SVM(n_features=n_features, encoding_dim=32, rff_dim=self.kernel_approx_features, sigma=self.sigma,
+                                 hidden_neurons=self.hidden_neurons, dropout_rate=self.dropout_rate,
+                                 batch_norm=self.batch_norm, hidden_activation=self.hidden_activation)
+        self.model = self.model.to(self.device)
+        self._train_autoencoder(train_loader)
+
+        self.model.load_state_dict(self.best_model_dict)
+        self.decision_scores_ = self.decision_function(X)
+        self._process_decision_scores()
+        return self
+
+    def _train_autoencoder(self, train_loader):
+        optimizer = torch.optim.Adam(self.model.parameters(), lr=self.learning_rate, weight_decay=self.weight_decay)
+        self.best_loss = float('inf')
+        self.best_model_dict = None
+
+        for epoch in range(self.epochs):
+            overall_loss = []
+            for data, data_idx in train_loader:
+                data = data.to(self.device).float()
+                reconstructions, rff_features = self.model(data)
+                recon_loss = self.loss_fn(data, reconstructions)
+                svm_scores = self.model.svm_decision_function(rff_features)
+                svm_loss = torch.mean(torch.clamp(1 - svm_scores, min=0))
+
+                loss = self.alpha * recon_loss + svm_loss
+                self.model.zero_grad()
+                loss.backward()
+                optimizer.step()
+                overall_loss.append(loss.item())
+            print(f'Epoch {epoch + 1}/{self.epochs}, Loss: {np.mean(overall_loss)}')
+
+            if np.mean(overall_loss) < self.best_loss:
+                self.best_loss = np.mean(overall_loss)
+                self.best_model_dict = self.model.state_dict()
+
+    def decision_function(self, X):
+        check_is_fitted(self, ['model', 'best_model_dict'])
+        X = check_array(X)
+        dataset = PyODDataset(X=X, mean=self.mean, std=self.std) if self.preprocessing else PyODDataset(X=X)
+        dataloader = torch.utils.data.DataLoader(dataset, batch_size=self.batch_size, shuffle=False)
+        self.model.eval()
+
+        outlier_scores = np.zeros([X.shape[0], ])
+        with torch.no_grad():
+            for data, data_idx in dataloader:
+                data = data.to(self.device).float()
+                reconstructions, rff_features = self.model(data)
+                scores = pairwise_distances_no_broadcast(data.cpu().numpy(), reconstructions.cpu().numpy())
+                outlier_scores[data_idx] = scores
+        return outlier_scores

pyod/test/test_ae1svm.py

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+# -*- coding: utf-8 -*-
+"""Test AE1SVM for outlier detection (pytorch)
+"""
+from __future__ import division, print_function
+
+import os
+import sys
+import unittest
+
+from numpy.testing import assert_equal, assert_raises
+from sklearn.base import clone
+from sklearn.metrics import roc_auc_score
+
+# temporary solution for relative imports in case pyod is not installed
+# if pyod is installed, no need to use the following line
+sys.path.append(os.path.abspath(os.path.join(os.path.dirname(__file__), '..')))
+
+from pyod.models.ae1svm import AE1SVM
+from pyod.utils.data import generate_data
+
+
+class TestAE1SVM(unittest.TestCase):
+
+    def setUp(self):
+        self.n_train = 6000
+        self.n_test = 1000
+        self.n_features = 300
+        self.contamination = 0.1
+        self.roc_floor = 0.8
+
+        self.X_train, self.X_test, self.y_train, self.y_test = generate_data(
+            n_train=self.n_train, n_test=self.n_test,
+            n_features=self.n_features, contamination=self.contamination,
+            random_state=42)
+
+        self.clf = AE1SVM(epochs=5, contamination=self.contamination)
+        self.clf.fit(self.X_train)
+
+    def test_parameters(self):
+        assert hasattr(self.clf, 'decision_scores_') and self.clf.decision_scores_ is not None
+        assert hasattr(self.clf, 'labels_') and self.clf.labels_ is not None
+        assert hasattr(self.clf, 'threshold_') and self.clf.threshold_ is not None
+        assert hasattr(self.clf, '_mu') and self.clf._mu is not None
+        assert hasattr(self.clf, '_sigma') and self.clf._sigma is not None
+        assert hasattr(self.clf, 'model') and self.clf.model is not None
+
+    def test_train_scores(self):
+        assert_equal(len(self.clf.decision_scores_), self.X_train.shape[0])
+
+    def test_prediction_scores(self):
+        pred_scores = self.clf.decision_function(self.X_test)
+
+        # check score shapes
+        assert_equal(pred_scores.shape[0], self.X_test.shape[0])
+
+        # check performance
+        assert roc_auc_score(self.y_test, pred_scores) >= self.roc_floor
+
+    def test_prediction_labels(self):
+        pred_labels = self.clf.predict(self.X_test)
+        assert_equal(pred_labels.shape, self.y_test.shape)
+
+    def test_prediction_proba(self):
+        pred_proba = self.clf.predict_proba(self.X_test)
+        assert pred_proba.min() >= 0
+        assert pred_proba.max() <= 1
+
+    def test_prediction_proba_linear(self):
+        pred_proba = self.clf.predict_proba(self.X_test, method='linear')
+        assert pred_proba.min() >= 0
+        assert pred_proba.max() <= 1
+
+    def test_prediction_proba_unify(self):
+        pred_proba = self.clf.predict_proba(self.X_test, method='unify')
+        assert pred_proba.min() >= 0
+        assert pred_proba.max() <= 1
+
+    def test_prediction_proba_parameter(self):
+        with assert_raises(ValueError):
+            self.clf.predict_proba(self.X_test, method='something')
+
+    def test_prediction_labels_confidence(self):
+        pred_labels, confidence = self.clf.predict(self.X_test, return_confidence=True)
+        assert_equal(pred_labels.shape, self.y_test.shape)
+        assert_equal(confidence.shape, self.y_test.shape)
+        assert confidence.min() >= 0
+        assert confidence.max() <= 1
+
+    def test_prediction_proba_linear_confidence(self):
+        pred_proba, confidence = self.clf.predict_proba(self.X_test, method='linear', return_confidence=True)
+        assert pred_proba.min() >= 0
+        assert pred_proba.max() <= 1
+        assert_equal(confidence.shape, self.y_test.shape)
+        assert confidence.min() >= 0
+        assert confidence.max() <= 1
+
+    def test_fit_predict(self):
+        pred_labels = self.clf.fit_predict(self.X_train)
+        assert_equal(pred_labels.shape, self.y_train.shape)
+
+    def test_fit_predict_score(self):
+        self.clf.fit_predict_score(self.X_test, self.y_test)
+        self.clf.fit_predict_score(self.X_test, self.y_test, scoring='roc_auc_score')
+        self.clf.fit_predict_score(self.X_test, self.y_test, scoring='prc_n_score')
+        with assert_raises(NotImplementedError):
+            self.clf.fit_predict_score(self.X_test, self.y_test, scoring='something')
+
+    def test_model_clone(self):
+        # for deep models this may not apply
+        clone_clf = clone(self.clf)
+
+    def tearDown(self):
+        pass
+
+
+if __name__ == '__main__':
+    unittest.main()