nips nips2012 nips2012-223 knowledge-graph by maker-knowledge-mining

223 nips-2012-Multi-criteria Anomaly Detection using Pareto Depth Analysis


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Author: Ko-jen Hsiao, Kevin Xu, Jeff Calder, Alfred O. Hero

Abstract: We consider the problem of identifying patterns in a data set that exhibit anomalous behavior, often referred to as anomaly detection. In most anomaly detection algorithms, the dissimilarity between data samples is calculated by a single criterion, such as Euclidean distance. However, in many cases there may not exist a single dissimilarity measure that captures all possible anomalous patterns. In such a case, multiple criteria can be defined, and one can test for anomalies by scalarizing the multiple criteria using a linear combination of them. If the importance of the different criteria are not known in advance, the algorithm may need to be executed multiple times with different choices of weights in the linear combination. In this paper, we introduce a novel non-parametric multi-criteria anomaly detection method using Pareto depth analysis (PDA). PDA uses the concept of Pareto optimality to detect anomalies under multiple criteria without having to run an algorithm multiple times with different choices of weights. The proposed PDA approach scales linearly in the number of criteria and is provably better than linear combinations of the criteria. 1

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Summary: the most important sentenses genereted by tfidf model

sentIndex sentText sentNum sentScore

1 edu Abstract We consider the problem of identifying patterns in a data set that exhibit anomalous behavior, often referred to as anomaly detection. [sent-4, score-0.504]

2 In most anomaly detection algorithms, the dissimilarity between data samples is calculated by a single criterion, such as Euclidean distance. [sent-5, score-0.608]

3 However, in many cases there may not exist a single dissimilarity measure that captures all possible anomalous patterns. [sent-6, score-0.228]

4 In such a case, multiple criteria can be defined, and one can test for anomalies by scalarizing the multiple criteria using a linear combination of them. [sent-7, score-0.321]

5 In this paper, we introduce a novel non-parametric multi-criteria anomaly detection method using Pareto depth analysis (PDA). [sent-9, score-0.533]

6 PDA uses the concept of Pareto optimality to detect anomalies under multiple criteria without having to run an algorithm multiple times with different choices of weights. [sent-10, score-0.25]

7 Many methods for anomaly detection have been developed using both parametric and non-parametric approaches. [sent-13, score-0.485]

8 For complex high-dimensional data, multiple dissimilarity measures corresponding to different criteria may be required to detect certain types of anomalies. [sent-15, score-0.227]

9 Multiple criteria, such as dissimilarity in object speeds or trajectory shapes, can be used to detect a greater range of anomalies than any single criterion. [sent-17, score-0.203]

10 In order to perform anomaly detection using these multiple criteria, one could first combine the dissimilarities using a linear combination. [sent-18, score-0.573]

11 Furthermore, when the weights are changed, the anomaly detection algorithm needs to be re-executed using the new weights. [sent-21, score-0.514]

12 In this paper we propose a novel non-parametric multi-criteria anomaly detection approach using Pareto depth analysis (PDA). [sent-22, score-0.533]

13 Hence, PDA is able to detect anomalies under multiple combinations of the criteria without explicitly forming these combinations. [sent-27, score-0.215]

14 Center: Dyads for the training samples (black dots) along with first 20 Pareto fronts (green lines) under two criteria: |∆x| and |∆y|. [sent-29, score-0.311]

15 The Pareto fronts induce a partial ordering on the set of dyads. [sent-30, score-0.265]

16 Dyads associated with the test sample marked by the red circle concentrate around shallow fronts (near the lower left of the figure). [sent-31, score-0.331]

17 The PDA approach involves creating dyads corresponding to dissimilarities between pairs of data samples under all of the dissimilarity measures. [sent-33, score-0.586]

18 The first Pareto front (depth one) is the set of non-dominated dyads. [sent-35, score-0.178]

19 The second Pareto front (depth two) is obtained by removing these non-dominated dyads, i. [sent-36, score-0.178]

20 peeling off the first front, and recomputing the first Pareto front of those remaining. [sent-38, score-0.178]

21 In this way, each dyad is assigned to a Pareto front at some depth (see Fig. [sent-40, score-0.359]

22 Nominal and anomalous samples are located near different Pareto front depths; thus computing the front depths of the dyads corresponding to a test sample can discriminate between nominal and anomalous samples. [sent-42, score-1.23]

23 Under assumptions that the multi-criteria dyads can be modeled as a realizations from a smooth K-dimensional density we provide a mathematical analysis of the behavior of the first Pareto front. [sent-44, score-0.408]

24 Furthermore, this theoretical prediction is experimentally validated by comparing PDA to several state-of-the-art anomaly detection algorithms in two experiments involving both synthetic and real data sets. [sent-46, score-0.497]

25 In Section 3 we provide an introduction to Pareto fronts and present a theoretical analysis of the properties of the first Pareto front. [sent-49, score-0.265]

26 Section 4 relates Pareto fronts to the multi-criteria anomaly detection problem, which leads to the PDA anomaly detection algorithm. [sent-50, score-1.235]

27 These methods typically formulate machine learning problems as multi-objective optimization problems where finding even the first Pareto front is quite difficult. [sent-53, score-0.178]

28 These methods differ from our use of Pareto optimality because we consider multiple Pareto fronts created from a finite set of items, so we do not need to employ sophisticated methods in order to find these fronts. [sent-54, score-0.313]

29 Hero and Fleury [4] introduced a method for gene ranking using Pareto fronts that is related to our approach. [sent-55, score-0.265]

30 The method ranks genes, in order of interest to a biologist, by creating Pareto fronts of the data samples, i. [sent-56, score-0.265]

31 In this paper, we consider Pareto fronts of dyads, which correspond to dissimilarities between pairs of data samples rather than the samples themselves, and use the distribution of dyads in Pareto fronts to perform multi-criteria anomaly detection rather than ranking. [sent-59, score-1.534]

32 A similar area is that of multiple kernel learning [8], which is typically applied to supervised learning problems, unlike the unsupervised anomaly detection setting we consider. [sent-66, score-0.506]

33 Finally, many other anomaly detection methods have previously been proposed. [sent-67, score-0.485]

34 [2] both provide extensive surveys of different anomaly detection methods and applications. [sent-69, score-0.497]

35 Byers and Raftery [9] proposed to use the distance between a sample and its kth-nearest neighbor as the anomaly score for the sample; similarly, Angiulli and Pizzuti [10] and Eskin et al. [sent-71, score-0.42]

36 [12] used an anomaly score based on the local density of the k nearest neighbors of a sample. [sent-74, score-0.461]

37 Hero [13] and Sricharan and Hero [14] introduced non-parametric adaptive anomaly detection methods using geometric entropy minimization, based on random k-point minimal spanning trees and bipartite k-nearest neighbor (k-NN) graphs, respectively. [sent-75, score-0.485]

38 Zhao and Saligrama [15] proposed an anomaly detection algorithm k-LPE using local p-value estimation (LPE) based on a k-NN graph. [sent-76, score-0.485]

39 These k-NN anomaly detection schemes only depend on the data through the pairs of data points (dyads) that define the edges in the k-NN graphs. [sent-77, score-0.511]

40 All of the aforementioned methods are designed for single-criteria anomaly detection. [sent-78, score-0.371]

41 In the multicriteria setting, the single-criteria algorithms must be executed multiple times with different weights, unlike the PDA anomaly detection algorithm that we propose in Section 4. [sent-79, score-0.526]

42 Different choices of (nonnegative) weights in the linear combination could result in different minimizers; a set of items that are minimizers under some linear combination can then be created by using a grid search over the weights, for example. [sent-94, score-0.181]

43 The second Pareto front can be constructed by finding items that are not strictly dominated by any of the remaining items, which are members of the set S \ F1 . [sent-101, score-0.251]

44 More generally, define the ith Pareto front by   i−1 Fi = Pareto front of the set S \  Fj  . [sent-102, score-0.356]

45 j=1 For convenience, we say that a Pareto front Fi is deeper than Fj if i > j. [sent-103, score-0.194]

46 1 Mathematical properties of Pareto fronts The distribution of the number of points on the first Pareto front was first studied by BarndorffNielsen and Sobel in their seminal work [17]. [sent-105, score-0.469]

47 We will be concerned here with properties of the first Pareto front that are relevant to the PDA anomaly detection algorithm and thus have not yet been considered in the literature. [sent-107, score-0.663]

48 For a measurable set A ⊂ Rd , we denote by FA the points on the first Pareto front of Y1 , . [sent-115, score-0.204]

49 + + Although this is a common motivation for Pareto methods, there are, to the best of our knowledge, no results in the literature regarding how many points on the Pareto front are missed by scalarization. [sent-130, score-0.204]

50 In the context of this paper, if some Pareto-optimal points are not identified, then the anomaly score (defined in section 4. [sent-138, score-0.428]

51 Hence the size of F \ L is a measure of how much the anomaly score is inflated and the degree to which Pareto methods will outperform linear scalarization. [sent-140, score-0.414]

52 4 Figure 2: Left: Non-convexities in the Pareto front induced by the geometry of the domain Ω (Theorem 1). [sent-189, score-0.198]

53 4 Multi-criteria anomaly detection Assume that a training set XN = {X1 , . [sent-205, score-0.503]

54 Given a test sample X, the objective of anomaly detection is to declare X to be an anomaly if X is significantly different from samples in XN . [sent-209, score-0.934]

55 Denote the dissimilarity between Xi and Xj computed using the measure corresponding to the lth criterion by dl (i, j). [sent-212, score-0.18]

56 For convenience, denote the set of all dyads by D and the space of all 2 dyads RK by D. [sent-225, score-0.816]

57 By the definition of strict dominance in Section 3, a dyad Dij strictly dominates + another dyad Di∗ j ∗ if dl (i, j) ≤ dl (i∗ , j ∗ ) for all l ∈ {1, . [sent-226, score-0.396]

58 The first Pareto front F1 corresponds to the set of dyads from D that are not strictly dominated by any other dyads from D. [sent-230, score-1.034]

59 The second Pareto front F2 corresponds to the set of dyads from D \ F1 that are not strictly dominated by any other dyads from D \ F1 , and so on, as defined in Section 3. [sent-231, score-1.034]

60 Recall that we refer to Fi as a deeper front than Fj if i > j. [sent-232, score-0.194]

61 1 Pareto fronts of dyads For each sample Xn , there are N − 1 dyads corresponding to its connections with the other N − 1 samples. [sent-234, score-1.099]

62 Define the set of N − 1 dyads associated with Xn by Dn . [sent-235, score-0.408]

63 If most dyads in Dn are located at shallow Pareto fronts, then the dissimilarities between Xn and the other N − 1 samples are small under some combination of the criteria. [sent-236, score-0.549]

64 This is the basic idea of the proposed multi-criteria anomaly detection method using PDA. [sent-238, score-0.485]

65 , FM of the dyads from the training set, where the total number of fronts M is the required number of fronts such that each dyad is a member of a front. [sent-242, score-1.089]

66 When a test sample X is obtained, we create new dyads corresponding to connections between X and training samples, as illustrated in Figure 1. [sent-243, score-0.478]

67 Similar to many other anomaly detection methods, we connect each test sample to its k nearest neighbors. [sent-244, score-0.558]

68 We create s = i=1 ki new dyads, which we denote by the set 5 Algorithm 1 PDA anomaly detection algorithm. [sent-246, score-0.528]

69 Training phase: 1: for l = 1 → K do 2: Calculate pairwise dissimilarities dl (i, j) between all training samples Xi and Xj 3: Create dyads Dij = [d1 (i, j), . [sent-247, score-0.557]

70 In other words, we create a dyad between X and Xj if Xj new is among the ki nearest neighbors1 of X in any criterion i. [sent-254, score-0.25]

71 2 Anomaly detection using depths of dyads In k-NN based anomaly detection algorithms such as those mentioned in Section 2, the anomaly score is a function of the k nearest neighbors to a test sample. [sent-262, score-1.519]

72 With multiple criteria, one could define an anomaly score by scalarization. [sent-263, score-0.423]

73 From the probabilistic properties of Pareto fronts discussed in Section 3. [sent-264, score-0.265]

74 This motivates us to develop a multi-criteria anomaly score using Pareto fronts. [sent-266, score-0.402]

75 We start with the observation from Figure 1 that dyads corresponding to a nominal test sample are typically located near shallower fronts than dyads corresponding to an anomalous test sample. [sent-267, score-1.371]

76 Each test sample is new associated with s new dyads, where the ith dyad Di has depth ei . [sent-268, score-0.254]

77 For each test sample X, we define the anomaly score v(X) to be the mean of the ei ’s, which corresponds to the average depth of the s dyads associated with X. [sent-269, score-0.931]

78 Thus the anomaly score can be easily computed and compared to the decision threshold σ using the test v(X) = 1 s s ei i=1 H1 σ. [sent-270, score-0.457]

79 H0 Pseudocode for the PDA anomaly detector is shown in Algorithm 1. [sent-271, score-0.371]

80 Both the training time and the 1 If a training sample is one of the ki nearest neighbors in multiple criteria, then multiple copies of the dyad corresponding to the connection between the test sample and the training sample are created. [sent-273, score-0.387]

81 dyads as well, and it is supported by experimental results presented in Section 2 of the supplementary material. [sent-282, score-0.408]

82 To handle multiple criteria, other anomaly detection methods, such as the ones mentioned in Section 2, need to be re-executed multiple times using different (non-negative) linear combinations of the K criteria. [sent-316, score-0.568]

83 5 Experiments We compare the PDA method with four other nearest neighbor-based single-criterion anomaly detection algorithms mentioned in Section 2. [sent-320, score-0.522]

84 For these methods, we use linear combinations of the criteria with different weights selected by grid search to compare performance with PDA. [sent-321, score-0.184]

85 The anomalous samples are located just outside of this hypercube. [sent-325, score-0.184]

86 Each class differs from the nominal distribution in one of the four dimensions; the distribution in the anomalous dimension is uniform on [1, 1. [sent-327, score-0.197]

87 We draw 300 training samples from the nominal distribution followed by 100 test samples from a mixture of the nominal and anomalous distributions with a 0. [sent-329, score-0.353]

88 If the criteria are combined using linear combinations, the combined dissimilarity measure reduces to weighted squared Euclidean distance. [sent-332, score-0.196]

89 Right: A subset of the dyads for the training samples along with the first 100 Pareto fronts. [sent-368, score-0.454]

90 The fronts are highly non-convex, partially explaining the superior performance of PDA. [sent-369, score-0.265]

91 We use two criteria for computing the dissimilarity between trajectories. [sent-370, score-0.184]

92 For a more detailed comparison, the ROC curve for PDA and the attainable region for k-LPE (the region between the ROC curves corresponding to weights resulting in the best and worst AUCs) is shown in Figure 3 along with the first 100 Pareto fronts for PDA. [sent-383, score-0.327]

93 6 Conclusion In this paper we proposed a new multi-criteria anomaly detection method. [sent-386, score-0.485]

94 The proposed method uses Pareto depth analysis to compute the anomaly score of a test sample by examining the Pareto front depths of dyads corresponding to the test sample. [sent-387, score-1.123]

95 Dyads corresponding to an anomalous sample tended to be located at deeper fronts compared to dyads corresponding to a nominal sample. [sent-388, score-0.927]

96 Instead of choosing a specific weighting or performing a grid search on the weights for different dissimilarity measures, the proposed method can efficiently detect anomalies in a manner that scales linearly in the number of criteria. [sent-389, score-0.237]

97 We also thank Daniel DeWoskin for suggesting a fast algorithm for computing Pareto fronts in two criteria. [sent-393, score-0.265]

98 A geometric framework for unsupervised anomaly detection: Detecting intrusions in unlabeled data. [sent-458, score-0.371]

99 Geometric entropy minimization (GEM) for anomaly detection and localization. [sent-474, score-0.485]

100 Anomaly detection with score functions based on nearest neighbor graphs. [sent-485, score-0.182]


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