anomalyDetector.py

from torch.autograd import Variable
import torch
import numpy as np
import time

def fit_norm_distribution_param(args, model, train_dataset, channel_idx=0):
    predictions = []
    organized = []
    errors = []
    with torch.no_grad():
        # Turn on evaluation mode which disables dropout.
        model.eval()
        pasthidden = model.init_hidden(1)
        for t in range(len(train_dataset)):
            out, hidden = model.forward(train_dataset[t].unsqueeze(0), pasthidden)
            predictions.append([])
            organized.append([])
            errors.append([])
            predictions[t].append(out.data.cpu()[0][0][channel_idx])
            pasthidden = model.repackage_hidden(hidden)
            for prediction_step in range(1,args.prediction_window_size):
                out, hidden = model.forward(out, hidden)
                predictions[t].append(out.data.cpu()[0][0][channel_idx])

            if t >= args.prediction_window_size:
                for step in range(args.prediction_window_size):
                    organized[t].append(predictions[step+t-args.prediction_window_size][args.prediction_window_size-1-step])
                organized[t]= torch.FloatTensor(organized[t]).to(args.device)
                errors[t] = organized[t] - train_dataset[t][0][channel_idx]
                errors[t] = errors[t].unsqueeze(0)

    errors_tensor = torch.cat(errors[args.prediction_window_size:],dim=0)
    mean = errors_tensor.mean(dim=0)
    cov = errors_tensor.t().mm(errors_tensor)/errors_tensor.size(0) - mean.unsqueeze(1).mm(mean.unsqueeze(0))
    # cov: positive-semidefinite and symmetric.

    return mean, cov


def anomalyScore(args, model, dataset, mean, cov, optimizer, criterion, online=True, channel_idx=0, score_predictor=None):
    predictions = []
    rearranged = []
    errors = []
    hiddens = []
    predicted_scores = []
    start = time.time()
    
    #with torch.no_grad():
    with torch.enable_grad() if online else torch.no_grad:
        model.train() if online else model.eval()
        
        pasthidden = model.init_hidden(1)

        for t in range(len(dataset)):
            optimizer.zero_grad()
            out, hidden = model.forward(dataset[t].unsqueeze(0), pasthidden)
            if online:
                if(t==len(dataset)-1):
                    loss = criterion(out, dataset[t].unsqueeze(0))
                else:
                    loss = criterion(out, dataset[t+1].unsqueeze(0))
                loss.backward()
                optimizer.step()
            

            predictions.append([])
            rearranged.append([])
            errors.append([])
            hiddens.append(model.extract_hidden(hidden))
            if score_predictor is not None:
                predicted_scores.append(score_predictor.predict(model.extract_hidden(hidden).numpy()))

            predictions[t].append(out.data.cpu()[0][0][channel_idx])
            pasthidden = model.repackage_hidden(hidden)
            for prediction_step in range(1, args.prediction_window_size):
                out, hidden = model.forward(out, hidden)
                predictions[t].append(out.data.cpu()[0][0][channel_idx])

            if t >= args.prediction_window_size:
                for step in range(args.prediction_window_size):
                    rearranged[t].append(
                        predictions[step + t - args.prediction_window_size][args.prediction_window_size - 1 - step])
                rearranged[t] =torch.FloatTensor(rearranged[t]).to(args.device).unsqueeze(0)
                errors[t] = rearranged[t] - dataset[t][0][channel_idx]
            else:
                rearranged[t] = torch.zeros(1,args.prediction_window_size).to(args.device)
                errors[t] = torch.zeros(1, args.prediction_window_size).to(args.device)

    predicted_scores = np.array(predicted_scores)
    scores = []
    for error in errors:
        mult1 = error-mean.unsqueeze(0) # [ 1 * prediction_window_size ]
        mult2 = torch.inverse(cov) # [ prediction_window_size * prediction_window_size ]
        mult3 = mult1.t() # [ prediction_window_size * 1 ]
        score = torch.mm(mult1,torch.mm(mult2,mult3))
        scores.append(score[0][0])
    
    scores = torch.stack(scores)
    rearranged = torch.cat(rearranged,dim=0)
    errors = torch.cat(errors,dim=0)
    
    exectime = time.time() - start
    print('execution time: ' + str(exectime))
    return scores, rearranged, errors, hiddens, predicted_scores, exectime


def get_precision_recall(args, score, label, num_samples, beta=1.0, sampling='log', predicted_score=None):
    '''
    :param args:
    :param score: anomaly scores
    :param label: anomaly labels
    :param num_samples: the number of threshold samples
    :param beta:
    :param scale:
    :return:
    '''
    if predicted_score is not None:
        score = score - torch.FloatTensor(predicted_score).squeeze().to(args.device)

    maximum = score.max()
    if sampling=='log':
        # Sample thresholds logarithmically
        # The sampled thresholds are logarithmically spaced between: math:`10 ^ {start}` and: math:`10 ^ {end}`.
        th = torch.logspace(0, torch.log10(torch.tensor(maximum)), num_samples).to(args.device)
    else:
        # Sample thresholds equally
        # The sampled thresholds are equally spaced points between: attr:`start` and: attr:`end`
        th = torch.linspace(0, maximum, num_samples).to(args.device)

    precision = []
    recall = []

    for i in range(len(th)):
        anomaly = (score > th[i]).float()
        idx = anomaly * 2 + label
        tn = (idx == 0.0).sum().item()  # tn
        fn = (idx == 1.0).sum().item()  # fn
        fp = (idx == 2.0).sum().item()  # fp
        tp = (idx == 3.0).sum().item()  # tp

        p = tp / (tp + fp + 1e-7)
        r = tp / (tp + fn + 1e-7)

        if p != 0 and r != 0:
            precision.append(p)
            recall.append(r)

    precision = torch.FloatTensor(precision)
    recall = torch.FloatTensor(recall)

    f1 = (1 + beta ** 2) * (precision * recall).div(beta ** 2 * precision + recall + 1e-7)

    return precision, recall, f1