arXivDaily arXiv每日学术速递 周一至周五更新
arXiv 1904.04573stat.MLcs.LG
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功能隔离森林

Functional Isolation Forest

LTCI, Télécom Paris, Institut Polytechnique de Paris(巴黎综合理工学院电信巴黎(LTCI))

Guillaume Staerman, Pavlo Mozharovskyi, Stephan Clémençon, Florence d'Alché-Buc

摘要:

为了监测复杂基础设施(例如飞机、运输或能源网络)的行为,部署高速传感器以准连续时间捕获通常未标记的多变量数据,以快速检测可能危及感兴趣系统的平稳操作的异常的发生。对如此庞大的功能性数据进行统计分析,提出了许多具有挑战性的方法问题。本文的主要目标是扩展流行的隔离森林(IF)的异常检测方法,最初致力于有限维观测,功能数据。主要的困难在于各种各样的拓扑结构,可能配备一个空间的功能和各种各样的模式,可能表征异常曲线。我们解决的问题(随机)分裂的功能空间以灵活的方式,以逐步隔离任何轨迹从其他人,算法的效率的关键因素。除了详细描述的算法,计算复杂性和稳定性问题进行了调查的长度。从评分函数测量异常程度的观察所提供的建议的IF算法的变体,功能统计深度函数的定义和讨论,以及一个多变量的功能扩展。数值实验提供了强有力的经验证据的准确性提出的扩展。

英文摘要:

For the purpose of monitoring the behavior of complex infrastructures (e.g. aircrafts, transport or energy networks), high-rate sensors are deployed to capture multivariate data, generally unlabeled, in quasi continuous-time to detect quickly the occurrence of anomalies that may jeopardize the smooth operation of the system of interest. The statistical analysis of such massive data of functional nature raises many challenging methodological questions. The primary goal of this paper is to extend the popular Isolation Forest (IF) approach to Anomaly Detection, originally dedicated to finite dimensional observations, to functional data. The major difficulty lies in the wide variety of topological structures that may equip a space of functions and the great variety of patterns that may characterize abnormal curves. We address the issue of (randomly) splitting the functional space in a flexible manner in order to isolate progressively any trajectory from the others, a key ingredient to the efficiency of the algorithm. Beyond a detailed description of the algorithm, computational complexity and stability issues are investigated at length. From the scoring function measuring the degree of abnormality of an observation provided by the proposed variant of the IF algorithm, a Functional Statistical Depth function is defined and discussed as well as a multivariate functional extension. Numerical experiments provide strong empirical evidence of the accuracy of the extension proposed.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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