Anomaly Detection

An advantage of using a neural technique compared to a standard clustering technique is that neural techniques can handle non-numeric data by encoding that data. Anomaly detection, also called outlier detection, is the process of finding rare items in a dataset. Examples include finding fraudulent login events and fake news items. Take a look at the demo program in Figure 1. The demo examines a 1,000-item subset of the well-known MNIST (modified National Institute of Standards and Technology) dataset.

In the earliest days of big data, collection was the top priority. Business leaders needed to find innovative ways to collect as much information about customers and operations as possible. Now that this goal has been accomplished, a new problem has arisen. There is enough data available to optimize user experience, network performance, business operations, and more, however, between 60 and 73 percent of that data never gets put to good use. There is an overwhelming amount of different metrics and systems to track, making it increasingly difficult to evaluate business patterns and, more importantly, deviations.

Note: This post is part of a broader work for predicting stock prices. The outcome (identified anomaly) is a feature (input) in a LSTM model (within a GAN architecture)- link to the post. Options valuation is a very difficult task. To begin with, it entails using a lot of data points (some are listed below) and some of them are quite subjective (such as the implied volatility -- see below) and difficult to calculate precisely. As an example let us check the calculation for the call's Theta -- θ: Another example of how difficult options pricing is, is the Black-Scholes formula which is used for calculating the options prices themselves.

Azure Stream Analytics is a fully managed serverless offering on Azure. With the new Anomaly Detection functions in Stream Analytics, the whole complexity associated with building and training custom machine learning (ML) models is reduced to a simple function call resulting in lower costs, faster time to value, and lower latencies.

Built-in machine learning (ML) models for anomaly detection in Azure Stream Analytics significantly reduces the complexity and costs associated with building and training machine learning models. This feature is now available for public preview worldwide both in the cloud and on IoT Edge. Azure Stream Analytics is a fully managed serverless PaaS offering on Azure that enables customers to analyze and process fast moving streams of data, and deliver real-time insights for mission critical scenarios. Developers can use a simple SQL language (extensible to include custom code) to author and deploy powerful analytics processing logic that can scale-up and scale-out to deliver insights with milli-second latencies. Many customers use Azure Stream Analytics to continuously monitor massive amounts of fast-moving streams of data in order to detect issues that do not conform to expected patterns and prevent catastrophic losses.

In this part of the assignment, we will implement an anomaly detection algorithm using the Gaussian model to detect anomalous behavior in a 2D dataset first and then a high-dimensional dataset. Multivariate Gaussian Distribution is an optional lecture in the course and the code to compute the probability density is given to us. However, in order for me to proceed on with the assignment, I need to write the multivariateGaussian function from scratch. Some of the interesting functions we had utilized here are from numpy linear algebra class. The official documentation can be found here.

Correlated anomaly detection (CAD) from streaming data is a type of group anomaly detection and an essential task in useful real-time data mining applications like botnet detection, financial event detection, industrial process monitor, etc. The primary approach for this type of detection in previous researches is based on principal score (PS) of divided batches or sliding windows by computing top eigenvalues of the correlation matrix, e.g. the Lanczos algorithm. However, this paper brings up the phenomenon of principal score degeneration for large data set, and then mathematically and practically prove current PS-based methods are likely to fail for CAD on large-scale streaming data even if the number of correlated anomalies grows with the data size at a reasonable rate; in reality, anomalies tend to be the minority of the data, and this issue can be more serious. We propose a framework with two novel randomized algorithms rPS and gPS for better detection of correlated anomalies from large streaming data of various correlation strength. The experiment shows high and balanced recall and estimated accuracy of our framework for anomaly detection from a large server log data set and a U.S. stock daily price data set in comparison to direct principal score evaluation and some other recent group anomaly detection algorithms. Moreover, our techniques significantly improve the computation efficiency and scalability for principal score calculation.

When a person drives, there are many things that are quickly noticed and then ignored. What gains attention are those things that might be a danger. A pedestrian who might walk out into the road, a light turning yellow, an adjacent car drifting into the same lane, all of those need special attention. The same thing is true in the world of business computing. For instance, a sudden increase in sales is great, but the company needs to track that anomalous increase back to its cause in order to identify and replicate the reason.

In this article, I will introduce a couple of different techniques and applications of machine learning and statistical analysis, and then show how to apply these approaches to solve a specific use case for anomaly detection and condition monitoring. These are all terms you have probably heard or read about before. However, behind all of these buzz words, the main goal is the use of technology and data to increase productivity and efficiency. The connectivity and flow of information and data between devices and sensors allows for an abundance of available data. The key enabler is then being able to use these vast amounts of available data and actually extract useful information, making it possible to reduce costs, optimize capacity, and keep downtime to a minimum.

Given samples from a distribution, anomaly detection is the problem of determining if a given point lies in a low-density region. This paper concerns calibrated anomaly detection, which is the practically relevant extension where we additionally wish to produce a confidence score for a point being anomalous. Building on a classification framework for standard anomaly detection, we show how minimisation of a suitable proper loss produces density estimates only for anomalous instances. These are shown to naturally relate to the pinball loss, which provides implicit quantile control. Finally, leveraging a result from point processes, we show how to efficiently optimise a special case of the objective with kernelised scores. Our framework is shown to incorporate a close relative of the one-class SVM as a special case.