kde.py

# -*- coding: utf-8 -*-
"""
Python script for outlier detection based on Kernel Density Estimation.

Copyright (C) 2021 by Akira TAMAMORI

Permission is hereby granted, free of charge, to any person obtaining
a copy of this software and associated documentation files (the
"Software"), to deal in the Software without restriction, including
without limitation the rights to use, copy, modify, merge, publish,
distribute, sublicense, and/or sell copies of the Software, and to
permit persons to whom the Software is furnished to do so, subject to
the following conditions:

The above copyright notice and this permission notice shall be
included in all copies or substantial portions of the Software.

THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND,
EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF
MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND
NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT HOLDERS BE
LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY, WHETHER IN AN ACTION
OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN CONNECTION
WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE.
"""

from __future__ import division, print_function

from warnings import warn

from pyod.models.base import BaseDetector
from pyod.utils.utility import invert_order
from sklearn.neighbors import KernelDensity
from sklearn.utils import check_array
from sklearn.utils.validation import check_is_fitted


class KDE(BaseDetector):
    """KDE class for outlier detection.
    For an observation, its negative log probabilitiy density could be viewed
    as the outlying score.

    Parameters
    ----------
    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.

    bandwidth : float, optional (default=1.0)
        The bandwidth of the kernel.

    algorithm : {'auto', 'ball_tree', 'kd_tree'}, optional
        Algorithm used to compute the kernel density estimator:

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

    leaf_size : int, optional (default = 30)
        Leaf size passed to BallTree. 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 to use for distance computation. Any metric from scikit-learn
        or scipy.spatial.distance can be used.

        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.

        Distance matrices are not supported.

        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.

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

    Attributes
    ----------
    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, contamination=0.1, bandwidth=1.0, algorithm='auto',
                 leaf_size=30, metric='minkowski', metric_params=None):
        super().__init__(contamination=contamination)
        self.bandwidth = bandwidth
        self.algorithm = algorithm
        self.leaf_size = leaf_size
        self.metric = metric
        self.metric_params = metric_params

        if self.algorithm != 'auto' and self.algorithm != 'ball_tree':
            warn('algorithm parameter is deprecated and will be removed '
                 'in version 0.7.6. By default, ball_tree will be used.',
                 FutureWarning)

        self.kde_ = KernelDensity(
            bandwidth=self.bandwidth,
            algorithm=self.algorithm,
            leaf_size=self.leaf_size,
            metric=self.metric,
            metric_params=self.metric_params)

        self.decision_scores_ = None

    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.
        """

        # validate inputs X and y (optional)
        X = check_array(X)
        self._set_n_classes(y)

        self.kde_.fit(X)

        # invert decision_scores_. Outliers comes with higher outlier scores.
        self.decision_scores_ = invert_order(self.kde_.score_samples(X))
        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_'])

        X = check_array(X)

        # invert outlier scores. Outliers comes with higher outlier scores.
        return invert_order(self.kde_.score_samples(X))