A Comprehensive and Scalable Python Library for Outlier Detection (Anomaly Detection)
Project description
Deployment & Documentation & Stats & License
Read Me First
Welcome to PyOD, a comprehensive but easy-to-use Python library for detecting anomalies in multivariate data. Whether you’re tackling a small-scale project or large datasets, PyOD offers a range of algorithms to suit your needs.
For time-series outlier detection, please use TODS.
For graph outlier detection, please use PyGOD.
Performance Comparison & Datasets: We have a 45-page, comprehensive anomaly detection benchmark paper. The fully open-sourced ADBench compares 30 anomaly detection algorithms on 57 benchmark datasets.
Learn more about anomaly detection at Anomaly Detection Resources
PyOD on Distributed Systems: you can also run PyOD on databricks.
About PyOD
PyOD, established in 2017, has become a go-to Python library for detecting anomalous/outlying objects in multivariate data. This exciting yet challenging field is commonly referred to as Outlier Detection or Anomaly Detection.
PyOD includes more than 50 detection algorithms, from classical LOF (SIGMOD 2000) to the cutting-edge ECOD and DIF (TKDE 2022 and 2023). Since 2017, PyOD has been successfully used in numerous academic research projects and commercial products with more than 22 million downloads. It is also well acknowledged by the machine learning community with various dedicated posts/tutorials, including Analytics Vidhya, KDnuggets, and Towards Data Science.
PyOD is featured for:
Unified, User-Friendly Interface across various algorithms.
Wide Range of Models, from classic techniques to the latest deep learning methods in PyTorch.
High Performance & Efficiency, leveraging numba and joblib for JIT compilation and parallel processing.
Fast Training & Prediction, achieved through the SUOD framework [50].
Outlier Detection with 5 Lines of Code:
# Example: Training an ECOD detector
from pyod.models.ecod import ECOD
clf = ECOD()
clf.fit(X_train)
y_train_scores = clf.decision_scores_ # Outlier scores for training data
y_test_scores = clf.decision_function(X_test) # Outlier scores for test data
Selecting the Right Algorithm: Unsure where to start? Consider these robust and interpretable options:
ECOD: Example of using ECOD for outlier detection
Isolation Forest: Example of using Isolation Forest for outlier detection
Alternatively, explore MetaOD for a data-driven approach.
Citing PyOD:
PyOD paper is published in Journal of Machine Learning Research (JMLR) (MLOSS track). If you use PyOD in a scientific publication, we would appreciate citations to the following paper:
@article{zhao2019pyod, author = {Zhao, Yue and Nasrullah, Zain and Li, Zheng}, title = {PyOD: A Python Toolbox for Scalable Outlier Detection}, journal = {Journal of Machine Learning Research}, year = {2019}, volume = {20}, number = {96}, pages = {1-7}, url = {http://jmlr.org/papers/v20/19-011.html} }
or:
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.
For a broader perspective on anomaly detection, see our NeurIPS papers ADBench: Anomaly Detection Benchmark Paper and ADGym: Design Choices for Deep Anomaly Detection:
@article{han2022adbench, title={Adbench: Anomaly detection benchmark}, author={Han, Songqiao and Hu, Xiyang and Huang, Hailiang and Jiang, Minqi and Zhao, Yue}, journal={Advances in Neural Information Processing Systems}, volume={35}, pages={32142--32159}, year={2022} } @article{jiang2023adgym, title={ADGym: Design Choices for Deep Anomaly Detection}, author={Jiang, Minqi and Hou, Chaochuan and Zheng, Ao and Han, Songqiao and Huang, Hailiang and Wen, Qingsong and Hu, Xiyang and Zhao, Yue}, journal={Advances in Neural Information Processing Systems}, volume={36}, year={2023} }
Table of Contents:
Installation
PyOD is designed for easy installation using either pip or conda. We recommend using the latest version of PyOD due to frequent updates and enhancements:
pip install pyod # normal install
pip install --upgrade pyod # or update if needed
conda install -c conda-forge pyod
Alternatively, you can clone and run the setup.py file:
git clone https://github.com/yzhao062/pyod.git
cd pyod
pip install .
Required Dependencies:
Python 3.8 or higher
joblib
matplotlib
numpy>=1.19
numba>=0.51
scipy>=1.5.1
scikit_learn>=0.22.0
Optional Dependencies (see details below):
combo (optional, required for models/combination.py and FeatureBagging)
pytorch (optional, required for AutoEncoder, and other deep learning models)
suod (optional, required for running SUOD model)
xgboost (optional, required for XGBOD)
pythresh (optional, required for thresholding)
API Cheatsheet & Reference
The full API Reference is available at PyOD Documentation. Below is a quick cheatsheet for all detectors:
fit(X): Fit the detector. The parameter y is ignored in unsupervised methods.
decision_function(X): Predict raw anomaly scores for X using the fitted detector.
predict(X): Determine whether a sample is an outlier or not as binary labels using the fitted detector.
predict_proba(X): Estimate the probability of a sample being an outlier using the fitted detector.
predict_confidence(X): Assess the model’s confidence on a per-sample basis (applicable in predict and predict_proba) [35].
Key Attributes of a fitted model:
decision_scores_: Outlier scores of the training data. Higher scores typically indicate more abnormal behavior. Outliers usually have higher scores.
labels_: Binary labels of the training data, where 0 indicates inliers and 1 indicates outliers/anomalies.
ADBench Benchmark and Datasets
We just released a 45-page, the most comprehensive ADBench: Anomaly Detection Benchmark [15]. The fully open-sourced ADBench compares 30 anomaly detection algorithms on 57 benchmark datasets.
The organization of ADBench is provided below:
For a simpler visualization, we make the comparison of selected models via compare_all_models.py.
Model Save & Load
PyOD takes a similar approach of sklearn regarding model persistence. See model persistence for clarification.
In short, we recommend to use joblib or pickle for saving and loading PyOD models. See “examples/save_load_model_example.py” for an example. In short, it is simple as below:
from joblib import dump, load
# save the model
dump(clf, 'clf.joblib')
# load the model
clf = load('clf.joblib')
It is known that there are challenges in saving neural network models. Check #328 and #88 for temporary workaround.
Fast Train with SUOD
Fast training and prediction: it is possible to train and predict with a large number of detection models in PyOD by leveraging SUOD framework [50]. See SUOD Paper and SUOD example.
from pyod.models.suod import SUOD
# initialized a group of outlier detectors for acceleration
detector_list = [LOF(n_neighbors=15), LOF(n_neighbors=20),
LOF(n_neighbors=25), LOF(n_neighbors=35),
COPOD(), IForest(n_estimators=100),
IForest(n_estimators=200)]
# decide the number of parallel process, and the combination method
# then clf can be used as any outlier detection model
clf = SUOD(base_estimators=detector_list, n_jobs=2, combination='average',
verbose=False)
Thresholding Outlier Scores
A more data-based approach can be taken when setting the contamination level. By using a thresholding method, guessing an arbitrary value can be replaced with tested techniques for separating inliers and outliers. Refer to PyThresh for a more in-depth look at thresholding.
from pyod.models.knn import KNN
from pyod.models.thresholds import FILTER
# Set the outlier detection and thresholding methods
clf = KNN(contamination=FILTER())
See supported thresholding methods in thresholding.
Implemented Algorithms
PyOD toolkit consists of four major functional groups:
(i) Individual Detection Algorithms :
Type |
Abbr |
Algorithm |
Year |
Ref |
---|---|---|---|---|
Probabilistic |
ECOD |
Unsupervised Outlier Detection Using Empirical Cumulative Distribution Functions |
2022 |
|
Probabilistic |
ABOD |
Angle-Based Outlier Detection |
2008 |
|
Probabilistic |
FastABOD |
Fast Angle-Based Outlier Detection using approximation |
2008 |
|
Probabilistic |
COPOD |
COPOD: Copula-Based Outlier Detection |
2020 |
|
Probabilistic |
MAD |
Median Absolute Deviation (MAD) |
1993 |
|
Probabilistic |
SOS |
Stochastic Outlier Selection |
2012 |
|
Probabilistic |
QMCD |
Quasi-Monte Carlo Discrepancy outlier detection |
2001 |
|
Probabilistic |
KDE |
Outlier Detection with Kernel Density Functions |
2007 |
|
Probabilistic |
Sampling |
Rapid distance-based outlier detection via sampling |
2013 |
|
Probabilistic |
GMM |
Probabilistic Mixture Modeling for Outlier Analysis |
[1] [Ch.2] |
|
Linear Model |
PCA |
Principal Component Analysis (the sum of weighted projected distances to the eigenvector hyperplanes) |
2003 |
|
Linear Model |
KPCA |
Kernel Principal Component Analysis |
2007 |
|
Linear Model |
MCD |
Minimum Covariance Determinant (use the mahalanobis distances as the outlier scores) |
1999 |
|
Linear Model |
CD |
Use Cook’s distance for outlier detection |
1977 |
|
Linear Model |
OCSVM |
One-Class Support Vector Machines |
2001 |
|
Linear Model |
LMDD |
Deviation-based Outlier Detection (LMDD) |
1996 |
|
Proximity-Based |
LOF |
Local Outlier Factor |
2000 |
|
Proximity-Based |
COF |
Connectivity-Based Outlier Factor |
2002 |
|
Proximity-Based |
(Incremental) COF |
Memory Efficient Connectivity-Based Outlier Factor (slower but reduce storage complexity) |
2002 |
|
Proximity-Based |
CBLOF |
Clustering-Based Local Outlier Factor |
2003 |
|
Proximity-Based |
LOCI |
LOCI: Fast outlier detection using the local correlation integral |
2003 |
|
Proximity-Based |
HBOS |
Histogram-based Outlier Score |
2012 |
|
Proximity-Based |
kNN |
k Nearest Neighbors (use the distance to the kth nearest neighbor as the outlier score) |
2000 |
|
Proximity-Based |
AvgKNN |
Average kNN (use the average distance to k nearest neighbors as the outlier score) |
2002 |
|
Proximity-Based |
MedKNN |
Median kNN (use the median distance to k nearest neighbors as the outlier score) |
2002 |
|
Proximity-Based |
SOD |
Subspace Outlier Detection |
2009 |
|
Proximity-Based |
ROD |
Rotation-based Outlier Detection |
2020 |
|
Outlier Ensembles |
IForest |
Isolation Forest |
2008 |
|
Outlier Ensembles |
INNE |
Isolation-based Anomaly Detection Using Nearest-Neighbor Ensembles |
2018 |
|
Outlier Ensembles |
DIF |
Deep Isolation Forest for Anomaly Detection |
2023 |
|
Outlier Ensembles |
FB |
Feature Bagging |
2005 |
|
Outlier Ensembles |
LSCP |
LSCP: Locally Selective Combination of Parallel Outlier Ensembles |
2019 |
|
Outlier Ensembles |
XGBOD |
Extreme Boosting Based Outlier Detection (Supervised) |
2018 |
|
Outlier Ensembles |
LODA |
Lightweight On-line Detector of Anomalies |
2016 |
|
Outlier Ensembles |
SUOD |
SUOD: Accelerating Large-scale Unsupervised Heterogeneous Outlier Detection (Acceleration) |
2021 |
|
Neural Networks |
AutoEncoder |
Fully connected AutoEncoder (use reconstruction error as the outlier score) |
[1] [Ch.3] |
|
Neural Networks |
VAE |
Variational AutoEncoder (use reconstruction error as the outlier score) |
2013 |
|
Neural Networks |
Beta-VAE |
Variational AutoEncoder (all customized loss term by varying gamma and capacity) |
2018 |
|
Neural Networks |
SO_GAAL |
Single-Objective Generative Adversarial Active Learning |
2019 |
|
Neural Networks |
MO_GAAL |
Multiple-Objective Generative Adversarial Active Learning |
2019 |
|
Neural Networks |
DeepSVDD |
Deep One-Class Classification |
2018 |
|
Neural Networks |
AnoGAN |
Anomaly Detection with Generative Adversarial Networks |
2017 |
|
Neural Networks |
ALAD |
Adversarially learned anomaly detection |
2018 |
|
Neural Networks |
AE1SVM |
Autoencoder-based One-class Support Vector Machine |
2019 |
|
Neural Networks |
DevNet |
Deep Anomaly Detection with Deviation Networks |
2019 |
|
Graph-based |
R-Graph |
Outlier detection by R-graph |
2017 |
|
Graph-based |
LUNAR |
LUNAR: Unifying Local Outlier Detection Methods via Graph Neural Networks |
2022 |
(ii) Outlier Ensembles & Outlier Detector Combination Frameworks:
Type |
Abbr |
Algorithm |
Year |
Ref |
---|---|---|---|---|
Outlier Ensembles |
FB |
Feature Bagging |
2005 |
|
Outlier Ensembles |
LSCP |
LSCP: Locally Selective Combination of Parallel Outlier Ensembles |
2019 |
|
Outlier Ensembles |
XGBOD |
Extreme Boosting Based Outlier Detection (Supervised) |
2018 |
|
Outlier Ensembles |
LODA |
Lightweight On-line Detector of Anomalies |
2016 |
|
Outlier Ensembles |
SUOD |
SUOD: Accelerating Large-scale Unsupervised Heterogeneous Outlier Detection (Acceleration) |
2021 |
|
Outlier Ensembles |
INNE |
Isolation-based Anomaly Detection Using Nearest-Neighbor Ensembles |
2018 |
|
Combination |
Average |
Simple combination by averaging the scores |
2015 |
|
Combination |
Weighted Average |
Simple combination by averaging the scores with detector weights |
2015 |
|
Combination |
Maximization |
Simple combination by taking the maximum scores |
2015 |
|
Combination |
AOM |
Average of Maximum |
2015 |
|
Combination |
MOA |
Maximization of Average |
2015 |
|
Combination |
Median |
Simple combination by taking the median of the scores |
2015 |
|
Combination |
majority Vote |
Simple combination by taking the majority vote of the labels (weights can be used) |
2015 |
(iii) Utility Functions:
Type |
Name |
Function |
Documentation |
---|---|---|---|
Data |
generate_data |
Synthesized data generation; normal data is generated by a multivariate Gaussian and outliers are generated by a uniform distribution |
|
Data |
generate_data_clusters |
Synthesized data generation in clusters; more complex data patterns can be created with multiple clusters |
|
Stat |
wpearsonr |
Calculate the weighted Pearson correlation of two samples |
|
Utility |
get_label_n |
Turn raw outlier scores into binary labels by assign 1 to top n outlier scores |
|
Utility |
precision_n_scores |
calculate precision @ rank n |
Quick Start for Outlier Detection
PyOD has been well acknowledged by the machine learning community with a few featured posts and tutorials.
Analytics Vidhya: An Awesome Tutorial to Learn Outlier Detection in Python using PyOD Library
KDnuggets: Intuitive Visualization of Outlier Detection Methods, An Overview of Outlier Detection Methods from PyOD
Towards Data Science: Anomaly Detection for Dummies
“examples/knn_example.py” demonstrates the basic API of using kNN detector. It is noted that the API across all other algorithms are consistent/similar.
More detailed instructions for running examples can be found in examples directory.
Initialize a kNN detector, fit the model, and make the prediction.
from pyod.models.knn import KNN # kNN detector # train kNN detector clf_name = 'KNN' clf = KNN() clf.fit(X_train) # get the prediction label and outlier scores of the training data y_train_pred = clf.labels_ # binary labels (0: inliers, 1: outliers) y_train_scores = clf.decision_scores_ # raw outlier scores # get the prediction on the test data y_test_pred = clf.predict(X_test) # outlier labels (0 or 1) y_test_scores = clf.decision_function(X_test) # outlier scores # it is possible to get the prediction confidence as well y_test_pred, y_test_pred_confidence = clf.predict(X_test, return_confidence=True) # outlier labels (0 or 1) and confidence in the range of [0,1]
Evaluate the prediction by ROC and Precision @ Rank n (p@n).
from pyod.utils.data import evaluate_print # evaluate and print the results print("\nOn Training Data:") evaluate_print(clf_name, y_train, y_train_scores) print("\nOn Test Data:") evaluate_print(clf_name, y_test, y_test_scores)
See a sample output & visualization.
On Training Data: KNN ROC:1.0, precision @ rank n:1.0 On Test Data: KNN ROC:0.9989, precision @ rank n:0.9
visualize(clf_name, X_train, y_train, X_test, y_test, y_train_pred, y_test_pred, show_figure=True, save_figure=False)
Visualization (knn_figure):
Reference
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