""" This function is adapted from [pyod] by [yzhao062] Original source: [https://github.com/yzhao062/pyod] """ from __future__ import division from __future__ import print_function import numpy as np import math from numba import njit from sklearn.utils import check_array from sklearn.utils.validation import check_is_fitted from .feature import Window from .base import BaseDetector from ..utils.utility import check_parameter, get_optimal_n_bins, invert_order from ..utils.utility import zscore class HBOS(BaseDetector): """Histogram- based outlier detection (HBOS) is an efficient unsupervised method. It assumes the feature independence and calculates the degree of outlyingness by building histograms. See :cite:`goldstein2012histogram` for details. Two versions of HBOS are supported: - Static number of bins: uses a static number of bins for all features. - Automatic number of bins: every feature uses a number of bins deemed to be optimal according to the Birge-Rozenblac method (:cite:`birge2006many`). Parameters ---------- n_bins : int or string, optional (default=10) The number of bins. "auto" uses the birge-rozenblac method for automatic selection of the optimal number of bins for each feature. alpha : float in (0, 1), optional (default=0.1) The regularizer for preventing overflow. tol : float in (0, 1), optional (default=0.5) The parameter to decide the flexibility while dealing the samples falling outside the bins. contamination : float in (0., 0.5), optional (default=0.1) The amount of contamination of the data set, i.e. the proportion of outliers in the data set. Used when fitting to define the threshold on the decision function. Attributes ---------- bin_edges_ : numpy array of shape (n_bins + 1, n_features ) The edges of the bins. hist_ : numpy array of shape (n_bins, n_features) The density of each histogram. 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. threshold_ : float The threshold is based on ``contamination``. It is the ``n_samples * contamination`` most abnormal samples in ``decision_scores_``. The threshold is calculated for generating binary outlier labels. labels_ : int, either 0 or 1 The binary labels of the training data. 0 stands for inliers and 1 for outliers/anomalies. It is generated by applying ``threshold_`` on ``decision_scores_``. """ def __init__(self, slidingWindow=100, sub=True, n_bins=10, alpha=0.1, tol=0.5, contamination=0.1, normalize=True): super(HBOS, self).__init__(contamination=contamination) self.slidingWindow = slidingWindow self.sub = sub self.n_bins = n_bins self.alpha = alpha self.tol = tol self.normalize = normalize check_parameter(alpha, 0, 1, param_name='alpha') check_parameter(tol, 0, 1, param_name='tol') def fit(self, X, y=None): """Fit detector. y is ignored in unsupervised methods. Parameters ---------- X : numpy array of shape (n_samples, n_features) The input samples. y : Ignored Not used, present for API consistency by convention. Returns ------- self : object Fitted estimator. """ n_samples, n_features = X.shape # Converting time series data into matrix format X = Window(window = self.slidingWindow).convert(X) if self.normalize: X = zscore(X, axis=1, ddof=1) # validate inputs X and y (optional) X = check_array(X) self._set_n_classes(y) _, n_features = X.shape[0], X.shape[1] if isinstance(self.n_bins, str) and self.n_bins.lower() == "auto": # Uses the birge rozenblac method for automatic histogram size per feature self.hist_ = [] self.bin_edges_ = [] # build the histograms for all dimensions for i in range(n_features): n_bins = get_optimal_n_bins(X[:, i]) hist, bin_edges = np.histogram(X[:, i], bins=n_bins, density=True) self.hist_.append(hist) self.bin_edges_.append(bin_edges) # the sum of (width * height) should equal to 1 assert (np.isclose(1, np.sum( hist * np.diff(bin_edges)), atol=0.1)) outlier_scores = _calculate_outlier_scores_auto(X, self.bin_edges_, self.hist_, self.alpha, self.tol) elif check_parameter(self.n_bins, low=2, high=np.inf): self.hist_ = np.zeros([self.n_bins, n_features]) self.bin_edges_ = np.zeros([self.n_bins + 1, n_features]) # build the histograms for all dimensions for i in range(n_features): self.hist_[:, i], self.bin_edges_[:, i] = \ np.histogram(X[:, i], bins=self.n_bins, density=True) # the sum of (width * height) should equal to 1 # assert (np.isclose(1, np.sum( # self.hist_[:, i] * np.diff(self.bin_edges_[:, i])), # atol=0.1)) outlier_scores = _calculate_outlier_scores(X, self.bin_edges_, self.hist_, self.n_bins, self.alpha, self.tol) # invert decision_scores_. Outliers comes with higher outlier scores self.decision_scores_ = invert_order(np.sum(outlier_scores, axis=1)) # padded decision_scores_ if self.decision_scores_.shape[0] < n_samples: self.decision_scores_ = np.array([self.decision_scores_[0]]*math.ceil((self.slidingWindow-1)/2) + list(self.decision_scores_) + [self.decision_scores_[-1]]*((self.slidingWindow-1)//2)) self._process_decision_scores() return self def decision_function(self, X): """Predict raw anomaly score of X using the fitted detector. The anomaly score of an input sample is computed based on different detector algorithms. For consistency, outliers are assigned with larger anomaly scores. Parameters ---------- X : numpy array of shape (n_samples, n_features) The training input samples. Sparse matrices are accepted only if they are supported by the base estimator. Returns ------- anomaly_scores : numpy array of shape (n_samples,) The anomaly score of the input samples. """ check_is_fitted(self, ['hist_', 'bin_edges_']) n_samples, n_features = X.shape # Converting time series data into matrix format X = Window(window = self.slidingWindow).convert(X) if self.normalize: X = zscore(X, axis=1, ddof=1) X = check_array(X) if isinstance(self.n_bins, str) and self.n_bins.lower() == "auto": outlier_scores = _calculate_outlier_scores_auto(X, self.bin_edges_, self.hist_, self.alpha, self.tol) elif check_parameter(self.n_bins, low=2, high=np.inf): outlier_scores = _calculate_outlier_scores(X, self.bin_edges_, self.hist_, self.n_bins, self.alpha, self.tol) # invert outlier scores. Outliers comes with higher outlier scores decision_scores_ = invert_order(np.sum(outlier_scores, axis=1)) # padded decision_scores_ if decision_scores_.shape[0] < n_samples: decision_scores_ = np.array([decision_scores_[0]]*math.ceil((self.slidingWindow-1)/2) + list(decision_scores_) + [decision_scores_[-1]]*((self.slidingWindow-1)//2)) return decision_scores_ # @njit #due to variable size of histograms, can no longer naively use numba for jit def _calculate_outlier_scores_auto(X, bin_edges, hist, alpha, tol): # pragma: no cover """The internal function to calculate the outlier scores based on the bins and histograms constructed with the training data. The program is optimized through numba. It is excluded from coverage test for eliminating the redundancy. Parameters ---------- X : numpy array of shape (n_samples, n_features The input samples. bin_edges : list of length n_features containing numpy arrays The edges of the bins. hist : =list of length n_features containing numpy arrays The density of each histogram. alpha : float in (0, 1) The regularizer for preventing overflow. tol : float in (0, 1) The parameter to decide the flexibility while dealing the samples falling outside the bins. Returns ------- outlier_scores : numpy array of shape (n_samples, n_features) Outlier scores on all features (dimensions). """ n_samples, n_features = X.shape[0], X.shape[1] outlier_scores = np.zeros(shape=(n_samples, n_features)) for i in range(n_features): # Find the indices of the bins to which each value belongs. # See documentation for np.digitize since it is tricky # >>> x = np.array([0.2, 6.4, 3.0, 1.6, -1, 100, 10]) # >>> bins = np.array([0.0, 1.0, 2.5, 4.0, 10.0]) # >>> np.digitize(x, bins, right=True) # array([1, 4, 3, 2, 0, 5, 4], dtype=int64) bin_inds = np.digitize(X[:, i], bin_edges[i], right=True) # Calculate the outlying scores on dimension i # Add a regularizer for preventing overflow out_score_i = np.log2(hist[i] + alpha) optimal_n_bins = get_optimal_n_bins(X[:, i]) for j in range(n_samples): # If the sample does not belong to any bins # bin_ind == 0 (fall outside since it is too small) if bin_inds[j] == 0: dist = bin_edges[i][0] - X[j, i] bin_width = bin_edges[i][1] - bin_edges[i][0] # If it is only slightly lower than the smallest bin edge # assign it to bin 1 if dist <= bin_width * tol: outlier_scores[j, i] = out_score_i[0] else: outlier_scores[j, i] = np.min(out_score_i) # If the sample does not belong to any bins # bin_ind == optimal_n_bins+1 (fall outside since it is too large) elif bin_inds[j] == optimal_n_bins + 1: dist = X[j, i] - bin_edges[i][-1] bin_width = bin_edges[i][-1] - bin_edges[i][-2] # If it is only slightly larger than the largest bin edge # assign it to the last bin if dist <= bin_width * tol: outlier_scores[j, i] = out_score_i[optimal_n_bins - 1] else: outlier_scores[j, i] = np.min(out_score_i) else: outlier_scores[j, i] = out_score_i[bin_inds[j] - 1] return outlier_scores @njit def _calculate_outlier_scores(X, bin_edges, hist, n_bins, alpha, tol): # pragma: no cover """The internal function to calculate the outlier scores based on the bins and histograms constructed with the training data. The program is optimized through numba. It is excluded from coverage test for eliminating the redundancy. Parameters ---------- X : numpy array of shape (n_samples, n_features) The input samples. bin_edges : numpy array of shape (n_bins + 1, n_features ) The edges of the bins. hist : numpy array of shape (n_bins, n_features) The density of each histogram. n_bins : int The number of bins. alpha : float in (0, 1) The regularizer for preventing overflow. tol : float in (0, 1) The parameter to decide the flexibility while dealing the samples falling outside the bins. Returns ------- outlier_scores : numpy array of shape (n_samples, n_features) Outlier scores on all features (dimensions). """ n_samples, n_features = X.shape[0], X.shape[1] outlier_scores = np.zeros(shape=(n_samples, n_features)) for i in range(n_features): # Find the indices of the bins to which each value belongs. # See documentation for np.digitize since it is tricky # >>> x = np.array([0.2, 6.4, 3.0, 1.6, -1, 100, 10]) # >>> bins = np.array([0.0, 1.0, 2.5, 4.0, 10.0]) # >>> np.digitize(x, bins, right=True) # array([1, 4, 3, 2, 0, 5, 4], dtype=int64) bin_inds = np.digitize(X[:, i], bin_edges[:, i], right=True) # Calculate the outlying scores on dimension i # Add a regularizer for preventing overflow out_score_i = np.log2(hist[:, i] + alpha) for j in range(n_samples): # If the sample does not belong to any bins # bin_ind == 0 (fall outside since it is too small) if bin_inds[j] == 0: dist = bin_edges[0, i] - X[j, i] bin_width = bin_edges[1, i] - bin_edges[0, i] # If it is only slightly lower than the smallest bin edge # assign it to bin 1 if dist <= bin_width * tol: outlier_scores[j, i] = out_score_i[0] else: outlier_scores[j, i] = np.min(out_score_i) # If the sample does not belong to any bins # bin_ind == n_bins+1 (fall outside since it is too large) elif bin_inds[j] == n_bins + 1: dist = X[j, i] - bin_edges[-1, i] bin_width = bin_edges[-1, i] - bin_edges[-2, i] # If it is only slightly larger than the largest bin edge # assign it to the last bin if dist <= bin_width * tol: outlier_scores[j, i] = out_score_i[n_bins - 1] else: outlier_scores[j, i] = np.min(out_score_i) else: outlier_scores[j, i] = out_score_i[bin_inds[j] - 1] return outlier_scores