Created
November 4, 2016 08:44
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from __future__ import print_function | |
import os | |
import numpy as np | |
from keras.layers import RepeatVector | |
from keras.layers.core import Dropout | |
from keras.layers.recurrent import LSTM | |
from keras.models import Sequential | |
from keras.models import load_model | |
np.random.seed(123) | |
def prepare_sequences(x_train, window_length, random_indices): | |
full_sequence = x_train.flatten() | |
windows = [] | |
outliers = [] | |
for window_start in range(0, len(full_sequence) - window_length + 1): | |
window_end = window_start + window_length | |
window_range = range(window_start, window_end) | |
window = list(full_sequence[window_range]) | |
contain_outlier = len(set(window_range).intersection(set(random_indices))) > 0 | |
outliers.append(contain_outlier) | |
windows.append(window) | |
return np.expand_dims(np.array(windows), axis=2), outliers | |
def get_signal(size, outliers_size=0.01): | |
sig = np.expand_dims(np.random.normal(loc=0, scale=1, size=(size, 1)), axis=1) | |
if outliers_size < 1: # percentage. | |
outliers_size = int(size * outliers_size) | |
random_indices = np.random.choice(range(size), size=outliers_size, replace=False) | |
sig[random_indices] = np.random.randint(6, 9, 1)[0] | |
return sig, random_indices | |
def tp_fn_fp_tn(total, expected, actual): | |
tp = len(set(expected).intersection(set(actual))) | |
fn = len(set(expected) - set(actual)) | |
fp = len(set(actual) - set(expected)) | |
tn = len((total - set(expected)).intersection(total - set(actual))) | |
return tp, fn, fp, tn | |
def main(): | |
window_length = 10 | |
select_only_last_state = False | |
model_file = 'model.h5' | |
hidden_dim = 16 | |
# no outliers. | |
signal_train, _ = get_signal(100000, outliers_size=0) | |
x_train, _ = prepare_sequences(signal_train, window_length, []) | |
# 1 percent are outliers. | |
signal_test, random_indices = get_signal(100000, outliers_size=0.01) | |
x_test, contain_outliers = prepare_sequences(signal_test, window_length, random_indices) | |
outlier_indices = np.where(contain_outliers)[0] | |
if os.path.isfile(model_file): | |
m = load_model(model_file) | |
else: | |
m = Sequential() | |
if select_only_last_state: | |
m.add(LSTM(hidden_dim, input_shape=(window_length, 1), return_sequences=False)) | |
m.add(RepeatVector(window_length)) | |
else: | |
m.add(LSTM(hidden_dim, input_shape=(window_length, 1), return_sequences=True)) | |
m.add(Dropout(p=0.1)) | |
m.add(LSTM(1, return_sequences=True, activation='linear')) | |
m.compile(loss='mse', optimizer='adam') | |
m.fit(x_train, x_train, batch_size=64, nb_epoch=5, validation_data=(x_test, x_test)) | |
m.save(model_file) | |
pred_x_test = m.predict(x_test) | |
mae_of_predictions = np.squeeze(np.max(np.square(pred_x_test - x_test), axis=1)) | |
mae_threshold = np.mean(mae_of_predictions) + np.std(mae_of_predictions) # can use a running mean instead. | |
actual = np.where(mae_of_predictions > mae_threshold)[0] | |
tp, fn, fp, tn = tp_fn_fp_tn(set(range(len(pred_x_test))), outlier_indices, actual) | |
precision = float(tp) / (tp + fp) | |
hit_rate = float(tp) / (tp + fn) | |
accuracy = float(tp + tn) / (tp + tn + fp + fn) | |
print('precision = {}, hit_rate = {}, accuracy = {}'.format(precision, hit_rate, accuracy)) | |
if __name__ == '__main__': | |
main() |
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