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session-2-anomalies/6_Spectral.py

+
+# load libraries 
+import numpy as np
+from sklearn.decomposition import PCA
+from sklearn.metrics import accuracy_score,f1_score,roc_auc_score
+
+# load data set 
+data = np.loadtxt('crimerate_binary.csv', delimiter=',')
+[n,p] = data.shape
+
+# split data into a training set and a testing set
+size_train = int(0.75*n) # we use first 75% data for training, the rest for testing
+sample_train = data[0:size_train,0:-1]
+label_train = data[0:size_train,-1]
+sample_test = data[size_train:,0:-1]
+label_test = data[size_train:,-1]
+
+# ------------------------------------
+# Spectral-based anomaly detection 
+# tutorial slides, page 95 - 100
+# ------------------------------------
+
+# step 1. choose number of PC components and construct a PCA model 
+num_component = 2
+model = PCA(n_components=num_component) 
+
+# step 2. estimate PCA model using ONLY NORMAL examples 
+model.fit(sample_train[label_train==0,:])
+# the following code trains the model using both normal and abnormal examples
+# model.fit(sample_train)
+
+# step 3. use the PCA model to project testing exampels onto low dimensional feature space 
+sample_test_pca = model.transform(sample_test)
+
+# step 4. reconstruct testing examples from the low dimensional space back to the original space 
+sample_test_recovered = model.inverse_transform(sample_test_pca)
+
+# step 5. compute reconstruction error and treat them as anomalous score 
+dif = np.subtract(sample_test, sample_test_recovered)
+adscore = np.sum(dif**2,axis=1)**(1/2)
+# evaluate AUC score 
+auc_score = roc_auc_score(label_test, adscore)
+# to get detection error and f1-score, we need to threshold anomalous score 
+# the range of adscore is [0.6, 3]
+threshold = 1.5
+adscore[adscore <= threshold] = 0
+adscore[adscore > threshold] = 1
+# evaluate detection error and f1-score 
+# now evaluate error and f1-score 
+err = 1 - accuracy_score(label_test,adscore) 
+f1score = f1_score(label_test,adscore) 
+
+# step 4. print results 
+print('\nSpectral-based Approach (PCA)')
+print('Detection Error = %.4f' % err)
+print('F1 Score = %.4f' % f1score)
+print('AUC Score = %.4f' % auc_score)
+
+
+# -----------
+# Assignment 
+# -----------
+# 1. train PCA model using both normal and abnormal examples (replace line 28 with line 30), what do you observe? 
+# 2. play with different number of PC components (line 24), what do you observe? 
+# 3. play with different thresholds (line 45), what do you observe? 
+
+