models/LOF.py

"""
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 sklearn.neighbors import LocalOutlierFactor
from sklearn.utils.validation import check_array
from sklearn.utils.validation import check_is_fitted

from .base import BaseDetector
from .feature import Window
from ..utils.utility import invert_order
from ..utils.utility import zscore

# noinspection PyProtectedMember
class LOF(BaseDetector):
    """Wrapper of scikit-learn LOF Class with more functionalities.
    Unsupervised Outlier Detection using Local Outlier Factor (LOF).

    The anomaly score of each sample is called Local Outlier Factor.
    It measures the local deviation of density of a given sample with
    respect to its neighbors.
    It is local in that the anomaly score depends on how isolated the object
    is with respect to the surrounding neighborhood.
    More precisely, locality is given by k-nearest neighbors, whose distance
    is used to estimate the local density.
    By comparing the local density of a sample to the local densities of
    its neighbors, one can identify samples that have a substantially lower
    density than their neighbors. These are considered outliers.
    See :cite:`breunig2000lof` for details.

    Parameters
    ----------
    n_neighbors : int, optional (default=20)
        Number of neighbors to use by default for `kneighbors` queries.
        If n_neighbors is larger than the number of samples provided,
        all samples will be used.

    algorithm : {'auto', 'ball_tree', 'kd_tree', 'brute'}, optional
        Algorithm used to compute the nearest neighbors:

        - 'ball_tree' will use BallTree
        - 'kd_tree' will use KDTree
        - 'brute' will use a brute-force search.
        - 'auto' will attempt to decide the most appropriate algorithm
          based on the values passed to :meth:`fit` method.

        Note: fitting on sparse input will override the setting of
        this parameter, using brute force.

    leaf_size : int, optional (default=30)
        Leaf size passed to `BallTree` or `KDTree`. This can
        affect the speed of the construction and query, as well as the memory
        required to store the tree. The optimal value depends on the
        nature of the problem.

    metric : string or callable, default 'minkowski'
        metric used for the distance computation. Any metric from scikit-learn
        or scipy.spatial.distance can be used.

        If 'precomputed', the training input X is expected to be a distance
        matrix.

        If metric is a callable function, it is called on each
        pair of instances (rows) and the resulting value recorded. The callable
        should take two arrays as input and return one value indicating the
        distance between them. This works for Scipy's metrics, but is less
        efficient than passing the metric name as a string.

        Valid values for metric are:

        - from scikit-learn: ['cityblock', 'cosine', 'euclidean', 'l1', 'l2',
          'manhattan']

        - from scipy.spatial.distance: ['braycurtis', 'canberra', 'chebyshev',
          'correlation', 'dice', 'hamming', 'jaccard', 'kulsinski',
          'mahalanobis', 'matching', 'minkowski', 'rogerstanimoto',
          'russellrao', 'seuclidean', 'sokalmichener', 'sokalsneath',
          'sqeuclidean', 'yule']

        See the documentation for scipy.spatial.distance for details on these
        metrics:
        http://docs.scipy.org/doc/scipy/reference/spatial.distance.html

    p : integer, optional (default = 2)
        Parameter for the Minkowski metric from
        sklearn.metrics.pairwise.pairwise_distances. When p = 1, this is
        equivalent to using manhattan_distance (l1), and euclidean_distance
        (l2) for p = 2. For arbitrary p, minkowski_distance (l_p) is used.
        See http://scikit-learn.org/stable/modules/generated/sklearn.metrics.pairwise.pairwise_distances

    metric_params : dict, optional (default = None)
        Additional keyword arguments for the metric function.

    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. When fitting this is used to define the
        threshold on the decision function.

    n_jobs : int, optional (default = 1)
        The number of parallel jobs to run for neighbors search.
        If ``-1``, then the number of jobs is set to the number of CPU cores.
        Affects only kneighbors and kneighbors_graph methods.

    novelty : bool (default=False)
        By default, LocalOutlierFactor is only meant to be used for outlier
        detection (novelty=False). Set novelty to True if you want to use
        LocalOutlierFactor for novelty detection. In this case be aware that
        that you should only use predict, decision_function and score_samples
        on new unseen data and not on the training set.

    Attributes
    ----------
    n_neighbors_ : int
        The actual number of neighbors used for `kneighbors` queries.

    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_neighbors=20, algorithm='auto', leaf_size=30,
                 metric='minkowski', p=2, metric_params=None,
                 contamination=0.1, n_jobs=1, novelty=True, normalize=True):
        super(LOF, self).__init__(contamination=contamination)

        self.slidingWindow = slidingWindow
        self.sub = sub
        self.n_neighbors = n_neighbors
        self.algorithm = algorithm
        self.leaf_size = leaf_size
        self.metric = metric
        self.p = p
        self.metric_params = metric_params
        self.n_jobs = n_jobs
        self.novelty = novelty
        self.normalize = normalize

    # noinspection PyIncorrectDocstring
    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

        # print('self.slidingWindow: ', self.slidingWindow)

        # Converting time series data into matrix format
        X = Window(window = self.slidingWindow).convert(X)
        if self.normalize: 
            if n_features == 1:
                X = zscore(X, axis=0, ddof=0)
            else: 
                X = zscore(X, axis=1, ddof=1)
                
        # validate inputs X and y (optional)
        X = check_array(X)
        self._set_n_classes(y)

        self.detector_ = LocalOutlierFactor(n_neighbors=self.n_neighbors,
                                            algorithm=self.algorithm,
                                            leaf_size=self.leaf_size,
                                            metric=self.metric,
                                            p=self.p,
                                            metric_params=self.metric_params,
                                            contamination=self.contamination,
                                            n_jobs=self.n_jobs,
                                            novelty=self.novelty)
        self.detector_.fit(X=X, y=y)

        # Invert decision_scores_. Outliers comes with higher outlier scores
        self.decision_scores_ = invert_order(self.detector_.negative_outlier_factor_)

        # 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, ['decision_scores_', 'threshold_', 'labels_'])

        print('self.slidingWindow: ', self.slidingWindow)
        n_samples, n_features = X.shape
        # Converting time series data into matrix format
        X = Window(window = self.slidingWindow).convert(X)

        # Invert outlier scores. Outliers comes with higher outlier scores
        # noinspection PyProtectedMember
        try:
            decision_scores_ = invert_order(self.detector_._score_samples(X))
        except AttributeError:
            try:
                decision_scores_ = invert_order(self.detector_._decision_function(X))
            except AttributeError:
                decision_scores_ = invert_order(self.detector_.score_samples(X))

        # 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_

    @property
    def n_neighbors_(self):
        """The actual number of neighbors used for kneighbors queries.
        Decorator for scikit-learn LOF attributes.
        """
        return self.detector_.n_neighbors_