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import math
from typing import Optional
import apache_beam as beam
from apache_beam.ml.anomaly.base import AnomalyDetector
from apache_beam.ml.anomaly.specifiable import specifiable
from apache_beam.ml.anomaly.thresholds import FixedThreshold
from apache_beam.ml.anomaly.univariate.base import EPSILON
from apache_beam.ml.anomaly.univariate.mad import MadTracker
# pylint: disable=line-too-long
[docs]
@specifiable
class RobustZScore(AnomalyDetector):
"""Robust Z-Score anomaly detector.
This class implements an detection algorithm based on Robust Z-Score (also
known as Modified Z-Score), which is a robust alternative to the traditional
Z-score [#]_. It uses the median and Median Absolute Deviation (MAD) to
compute a score that is less sensitive to outliers.
The score is calculated as: `|0.6745 * (value - median) / MAD|`
Important:
In the streaming setting, we use the online version of median and MAD in the
calculation. Therefore, the score computed here does not exactly match its
batch counterpart.
This implementation is adapted from the implementation within PySAD [#]_:
https://github.com/selimfirat/pysad/blob/master/pysad/models/median_absolute_deviation.py
The batch version can be seen at PyOD [#]_:
https://github.com/yzhao062/pyod/blob/master/pyod/models/mad.py
Args:
mad_tracker: Optional `MadTracker` instance. If None, a default `MadTracker`
is created.
threshold_criterion: threshold_criterion: Optional `ThresholdFn` to apply on
the score. Defaults to `FixedThreshold(3)` due to the commonly used
3-sigma rule.
**kwargs: Additional keyword arguments.
.. [#] Hoaglin, David C.. (2013). Volume 16: How to Detect and Handle Outliers.
.. [#] Yilmaz, Selim & Kozat, Suleyman. (2020). PySAD: A Streaming Anomaly Detection Framework in Python. 10.48550/arXiv.2009.02572.
.. [#] Zhao, Y., Nasrullah, Z. and Li, Z.. (2019). PyOD: A Python Toolbox for Scalable Outlier Detection. Journal of machine learning research (JMLR), 20(96), pp.1-7.
"""
# pylint: enable=line-too-long
SCALE_FACTOR = 0.6745
def __init__(self, mad_tracker: Optional[MadTracker] = None, **kwargs):
if "threshold_criterion" not in kwargs:
kwargs["threshold_criterion"] = FixedThreshold(3)
super().__init__(**kwargs)
self._mad_tracker = mad_tracker or MadTracker()
[docs]
def learn_one(self, x: beam.Row) -> None:
"""Updates the `MadTracker` with a new data point.
Args:
x: A `beam.Row` containing a single numerical value.
"""
if len(x.__dict__) != 1:
raise ValueError(
"RobustZScore.learn_one expected univariate input, but got %s",
str(x))
v = next(iter(x))
self._mad_tracker.push(v)
[docs]
def score_one(self, x: beam.Row) -> Optional[float]:
"""Scores a data point using the Robust Z-Score.
Args:
x: A `beam.Row` containing a single numerical value.
Returns:
float | None: The Robust Z-Score.
"""
if len(x.__dict__) != 1:
raise ValueError(
"RobustZScore.score_one expected univariate input, but got %s",
str(x))
v = next(iter(x))
if v is None or math.isnan(v):
return None
median = self._mad_tracker.get_median()
mad = self._mad_tracker.get()
# not enough data points to compute median or median absolute deviation
if math.isnan(mad) or math.isnan(median):
return float('NaN')
if abs(mad) < EPSILON:
return 0.0
return abs(RobustZScore.SCALE_FACTOR * (v - median) / mad)