Anomaly Detection and Change Point Detection - Reproduced¶
by Frank Jung
Anomalies are patterns in the data that do not conform to a well-defined notion of normal behavior.
Techniques used to detection anomalies typically require training before using on new data.
Here we will reproduce the results from Oana Niculaescu's article in XRDS, Applying Data Science for Anomaly and Change Point Detection.
This article was generated using a Jupyter Notebook. The notebook is available here.
Detecting Changes¶
The CUSUM algorithm is used to test for anomalies. This requires two parameters: threshold and drift. But, how do you choose values for these parameters? Gustafsson (2000) provides this recipe:
- Start with a very large threshold.
- Choose drift to one half of the expected change, or adjust drift such that
g = 0more than 50% of the time. - Then set the threshold so the required number of false alarms (this can be done automatically) or delay for detection is obtained.
- If faster detection is sought, try to decrease drift.
- If fewer false alarms are wanted, try to increase drift.
- If there is a subset of the change times that does not make sense, try to increase drift.
The article by Niculaescu did not provide the source for the CUSUM algorithm used. However, I believe it may have been this one from Marcos Duarte.
We will use that implementation of the CUSUM algorithm to detect changes in data.
A Python Implementation of the CUSUM Algorithm¶
Load dependencies and report versions:
import sys
print("Python version:", sys.version, "on platform:", sys.platform)
import pandas as pd
print("pandas version:", pd.__version__)
import numpy as np
print("NumPy version:", np.__version__)
import sklearn
print("scikit-learn version:", sklearn.__version__)
Declare CUSUM algorithm by Duarte:
from __future__ import division, print_function
import numpy as np
"""
Source: http://nbviewer.jupyter.org/github/demotu/BMC/blob/master/notebooks/DetectCUSUM.ipynb
"""
"""Cumulative sum algorithm (CUSUM) to detect abrupt changes in data."""
__author__ = 'Marcos Duarte, https://github.com/demotu/BMC'
__version__ = "1.0.4"
__license__ = "MIT"
def detect_cusum(x, threshold=1, drift=0, ending=False, show=True, ax=None):
"""Cumulative sum algorithm (CUSUM) to detect abrupt changes in data.
Parameters
----------
x : 1D array_like
data.
threshold : positive number, optional (default = 1)
amplitude threshold for the change in the data.
drift : positive number, optional (default = 0)
drift term that prevents any change in the absence of change.
ending : bool, optional (default = False)
True (1) to estimate when the change ends; False (0) otherwise.
show : bool, optional (default = True)
True (1) plots data in matplotlib figure, False (0) don't plot.
ax : a matplotlib.axes.Axes instance, optional (default = None).
Returns
-------
ta : 1D array_like [indi, indf], int
alarm time (index of when the change was detected).
tai : 1D array_like, int
index of when the change started.
taf : 1D array_like, int
index of when the change ended (if `ending` is True).
amp : 1D array_like, float
amplitude of changes (if `ending` is True).
Notes
-----
Tuning of the CUSUM algorithm according to Gustafsson (2000)[1]_:
Start with a very large `threshold`.
Choose `drift` to one half of the expected change, or adjust `drift` such
that `g` = 0 more than 50% of the time.
Then set the `threshold` so the required number of false alarms (this can
be done automatically) or delay for detection is obtained.
If faster detection is sought, try to decrease `drift`.
If fewer false alarms are wanted, try to increase `drift`.
If there is a subset of the change times that does not make sense,
try to increase `drift`.
Note that by default repeated sequential changes, i.e., changes that have
the same beginning (`tai`) are not deleted because the changes were
detected by the alarm (`ta`) at different instants. This is how the
classical CUSUM algorithm operates.
If you want to delete the repeated sequential changes and keep only the
beginning of the first sequential change, set the parameter `ending` to
True. In this case, the index of the ending of the change (`taf`) and the
amplitude of the change (or of the total amplitude for a repeated
sequential change) are calculated and only the first change of the repeated
sequential changes is kept. In this case, it is likely that `ta`, `tai`,
and `taf` will have less values than when `ending` was set to False.
See this IPython Notebook [2]_.
References
----------
.. [1] Gustafsson (2000) Adaptive Filtering and Change Detection.
.. [2] hhttp://nbviewer.ipython.org/github/demotu/BMC/blob/master/notebooks/DetectCUSUM.ipynb
Examples
--------
>>> from detect_cusum import detect_cusum
>>> x = np.random.randn(300)/5
>>> x[100:200] += np.arange(0, 4, 4/100)
>>> ta, tai, taf, amp = detect_cusum(x, 2, .02, True, True)
>>> x = np.random.randn(300)
>>> x[100:200] += 6
>>> detect_cusum(x, 4, 1.5, True, True)
>>> x = 2*np.sin(2*np.pi*np.arange(0, 3, .01))
>>> ta, tai, taf, amp = detect_cusum(x, 1, .05, True, True)
"""
x = np.atleast_1d(x).astype('float64')
gp, gn = np.zeros(x.size), np.zeros(x.size)
ta, tai, taf = np.array([[], [], []], dtype=int)
tap, tan = 0, 0
amp = np.array([])
# find changes (online form)
for i in range(1, x.size):
s = x[i] - x[i-1]
gp[i] = gp[i-1] + s - drift # cumulative sum for + change
gn[i] = gn[i-1] - s - drift # cumulative sum for - change
if gp[i] < 0:
gp[i], tap = 0, i
if gn[i] < 0:
gn[i], tan = 0, i
if gp[i] > threshold or gn[i] > threshold: # change detected!
ta = np.append(ta, i) # alarm index
tai = np.append(tai, tap if gp[i] > threshold else tan) # start
gp[i], gn[i] = 0, 0 # reset alarm
# THE CLASSICAL CUSUM ALGORITHM ENDS HERE
# estimation of when the change ends (offline form)
if tai.size and ending:
_, tai2, _, _ = detect_cusum(x[::-1], threshold, drift, show=False)
taf = x.size - tai2[::-1] - 1
# eliminate repeated changes, changes that have the same beginning
tai, ind = np.unique(tai, return_index=True)
ta = ta[ind]
# taf = np.unique(taf, return_index=False) # corect later
if tai.size != taf.size:
if tai.size < taf.size:
taf = taf[[np.argmax(taf >= i) for i in ta]]
else:
ind = [np.argmax(i >= ta[::-1])-1 for i in taf]
ta = ta[ind]
tai = tai[ind]
# delete intercalated changes (the ending of the change is after
# the beginning of the next change)
ind = taf[:-1] - tai[1:] > 0
if ind.any():
ta = ta[~np.append(False, ind)]
tai = tai[~np.append(False, ind)]
taf = taf[~np.append(ind, False)]
# amplitude of changes
amp = x[taf] - x[tai]
if show:
_plot(x, threshold, drift, ending, ax, ta, tai, taf, gp, gn)
return ta, tai, taf, amp
def _plot(x, threshold, drift, ending, ax, ta, tai, taf, gp, gn):
"""Plot results of the detect_cusum function, see its help."""
try:
import matplotlib.pyplot as plt
except ImportError:
print('matplotlib is not available.')
else:
if ax is None:
_, (ax1, ax2) = plt.subplots(2, 1, figsize=(8, 6))
t = range(x.size)
ax1.plot(t, x, 'b-', lw=2)
if len(ta):
ax1.plot(tai, x[tai], '>', mfc='g', mec='g', ms=10,
label='Start')
if ending:
ax1.plot(taf, x[taf], '<', mfc='g', mec='g', ms=10,
label='Ending')
ax1.plot(ta, x[ta], 'o', mfc='r', mec='r', mew=1, ms=5,
label='Alarm')
ax1.legend(loc='best', framealpha=.5, numpoints=1)
ax1.set_xlim(-.01*x.size, x.size*1.01-1)
ax1.set_xlabel('Data #', fontsize=14)
ax1.set_ylabel('Amplitude', fontsize=14)
ymin, ymax = x[np.isfinite(x)].min(), x[np.isfinite(x)].max()
yrange = ymax - ymin if ymax > ymin else 1
ax1.set_ylim(ymin - 0.1*yrange, ymax + 0.1*yrange)
ax1.set_title('Time series and detected changes ' +
'(threshold= %.3g, drift= %.3g): N changes = %d'
% (threshold, drift, len(tai)))
ax2.plot(t, gp, 'y-', label='+')
ax2.plot(t, gn, 'm-', label='-')
ax2.set_xlim(-.01*x.size, x.size*1.01-1)
ax2.set_xlabel('Data #', fontsize=14)
ax2.set_ylim(-0.01*threshold, 1.1*threshold)
ax2.axhline(threshold, color='r')
ax1.set_ylabel('Amplitude', fontsize=14)
ax2.set_title('Time series of the cumulative sums of ' +
'positive and negative changes')
ax2.legend(loc='best', framealpha=.5, numpoints=1)
plt.tight_layout()
plt.show()
x = np.random.randn(300)
x[100:200] += 6
detect_cusum(x, threshold=3.0, drift=1.0, ending=True, show=True)
After trial and error, a reasonable threshold (3.0) and drift (1.0) were found.
Processing Latency and Throughput Data¶
The following sections will be a re-construction of the Niculaescu's results.
# load csv from github
url = "https://raw.githubusercontent.com/elf11/XRDS/master/tr_server_data.csv"
# throughput and latency measured in milliseconds
server_csv = pd.read_csv(url, header = 0, names = ["throughput", "latency"])
server = pd.DataFrame(server_csv)
print("Server data sample contains %d rows and %d columns." % server.shape)
Plot Data¶
Plot data to visualise outliers:
server.plot.scatter(x = "throughput", y = "latency", c = "purple")
Next we will attempt to identify outliers in this data. To do that we need to choose appropriate values for threshold and drift.
Trial 1¶
Test latency, where we ignore our previous advice and start low with:
- threshold = 1
- drift = 0.1
trial1 = detect_cusum(server.latency[250:300], threshold=1, drift=0.1, ending=True, show=True)
Here the test is too sensitive.
trial2 = detect_cusum(server.latency[250:300], threshold=4, drift=1.0, ending=True, show=True)
Here the threshold and drift seem to be optimal.
Validate¶
Now that we have a good threshold and drift, lets validate itagainst the full data set.
validate = detect_cusum(server.latency, threshold=4, drift=1.0, ending=True, show=True)
References¶
Oana Niculaescu. 2018. Applying data science for anomaly and change point detection. XRDS 25, 1 (October 2018), 70-73. DOI: https://doi.org/10.1145/3265925
Data from https://github.com/elf11/XRDS/blob/master/tr_server_data.csv
Eleazar Eskin. 2000. Anomaly Detection over Noisy Data using Learned Probability Distributions. In Proceedings of the Seventeenth International Conference on Machine Learning (ICML '00), Pat Langley (Ed.). Morgan Kaufmann Publishers Inc., San Francisco, CA, USA, 255-262. (PDF)
Cumulative Sum control chart: https://en.wikipedia.org/wiki/CUSUM
Detection of changes using the Cumulative Sum (CUSUM): http://nbviewer.jupyter.org/github/demotu/BMC/blob/master/notebooks/DetectCUSUM.ipynb
Adaptive Filtering and Change Detection by Fredrik Gustafsson (2000): https://eden.dei.uc.pt/~tbohnert/math/ap-cp.pdf
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