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For decades, data scientists have been forced into an opaque and wasteful question-first data science workflow by black-box, question-oriented AI/ML. We're changing that.

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Improve your data with model-based anomaly detection

Learn how to find outliers, anomalies, and hidden errors to protect you and your customers, and keep data quality high

Baxter Eaves
2022-05-13
[data science, anomaly detection, ai]
Image: 'Lysmata amboinensis in Tropicarium-Oceanarium Budapest' from Wikipedia user Хомелка

Bad and badly-behaved data is the scourge of the data scientist — bad data produce bad information, which produces bad models — but unfortunately it is the norm. Thus, the data science workflow always begins with Exploratory Data Analysis (EDA): let's describe the data. What are the min and max values? What are the quantiles? What data are missing? Do we have many outliers? But EDA doesn't catch everything. Often we find broken data via broken or poorly performing models, or via failure in production. The hope is that every time a data scientist works with a dataset, the data set improves a little, but still, bad data can lurk for years.

Here, we'll explore different anomaly and error detection methodologies based on distances and model-building, and show how we can find and explain anomalies with just a few lines of code.

The data

We'll be looking at the Union of Concerned Scientists satellite dataset. Each row of the dataset is an earth-orbiting satellite. The features include orbital characteristics like apogee (the high point of an orbit) and period (the time it takes to complete an orbit), and logistical features like launch vehicle and launch site. There are a mixture of categorical and continuous variables and a lot of the data are missing. In fact, every satellite has at least one feature missing, and some of the features have more than half their values missing. And, since we're talking about values on the scale of space, we can have an extreme range of data for some features interspersed with important clusters of data that occupy only a tiny interval on that range. In short: the data are challenging.

Let's hunt down anomalies.

We'll start by looking for anomalies in the Period_minutes variable, which is the time in minutes it takes for a satellite to complete an orbit. Here is what the data look like:

Distribution of Period_minutes

Above: Histogram of Period_minutes. Y-axis is log scaled.

There are three main clusters of periods corresponding to standard orbit classes: Low Earth Orbits (LEO) are around 100 minutes, Medium Earth Orbits (MEO) are around 680 minutes, and geosynchronous (GEO) orbits are around 1436 minutes. Beyond that there are higher orbits, elliptical orbits, and satellites sitting in LaGrange points that barely orbit at all.

Anomalies as things that are dissimilar

One may conceptualize anomaly in terms of (dis)similarity. If most data are similar to each other, anomalies are those that are dissimilar. To actualize this definition, we'll need to determine two things: how to determine how similar or dissimilar data are, and the reference point. We'll discuss two options for building anomaly detection using dissimilarity.

Anomalies as extreme values or outliers

An outlier is a type of anomaly. It is a value that is anomalous because it is extreme. The reference point for an outlier is usually the mean of the data, and the measure of dissimilarity is distance away from the mean. It is then up to the practitioner to determine how much distance from the mean is 'extreme'. Often a value is considered an outlier if it is more than three standard deviations away from the mean. This is of course a distance-based outlier definition, which would not work for categorical values, which do not often permit a straightforward distance metric. Categorical variables aside, this is easy enough to compute. In our data we can do something like this

import pandas as pd

# read in the data using pandas
df = pd.read_csv('satellites.csv', index_col=0)

# pull just the period and drop missing values
period = df.Period_minutes.dropna()

mean = period.mean()   # mean
sigma = period.std()   # standard deviation
low = mean - 3 * sigma
high = mean + 3 * sigma

Low is -1917.88 and high is 3319.99. There is already a problem. Do you see it? Low is very much negative. Orbital period can never be negative. So, using the three sigma outlier definition completely fails to capture low-valued outliers. Zero is only 0.804 standard deviations away from the mean, which is hardly far. This is happening because the 3-sigma outlier method relies on the data being close to normally-distributed. Irrespective of this very strong requirement, this method of distance from the mean is used often in practice on data that clearly violate normality.

Regardless, let's write the code and see what which data are the farthest from the mean.

outlier = pd.DataFrame({
    'period': period,
    'distance': ((period - mean).abs() / sigma), # n sigmas away from mean
})

outlier \
    .sort_values(by='distance', ascending=False) \
    .head(20)
perioddistance
Wind (International Solar-Terrestrial Program)19700.521.7639
Integral (INTErnational Gamma-Ray Astrophysics Laboratory)4032.863.8166
Chandra X-Ray Observatory (CXO)3808.923.56007
Tango (part of Cluster quartet, Cluster 2 FM8)34423.13977
Rumba (part of Cluster quartet, Cluster 2 FM5)3431.13.12728
Samba (part of Cluster quartet, Cluster 2 FM7)3430.283.12634
Salsa (part of Cluster quartet, Cluster 2 FM6)3418.23.1125
XMM Newton (High Throughput X-ray Spectroscopy Mission)2872.152.487
Geotail (Geomagnetic Tail Laboratory)2474.832.03187
THEMIS E (Time History of Events and Macroscale Interactions during Substorms)1875.531.34537
THEMIS A (Time History of Events and Macroscale Interactions during Substorms)1868.981.33787
THEMIS D (Time History of Events and Macroscale Interactions during Substorms)1867.911.33664
Express-AM441446.570.853994
AEHF-1 (Advanced Extremely High Frequency satellite-1, USA 214)1446.360.853753
Apstar 71440.310.846823
Badr 5 (Arabsat 5B)1439.760.846193
SES-31439.410.845792
Intelsat New Dawn1439.150.845494
Advanced Orion 4 (NRO L-26, USA 202)1438.80.845093
Astra 1M1438.20.844406

Basically, it's the values sorted in descending order, which is no good. We're starting to see normalish geosynchronous orbital periods to sneak in. And, because we've just used a distance as a proxy for anomalousness, we can't actually be sure that those values are indeed anomalous.

We need a better way to define anomalies.

Anomlies as values that are dissimilar to what we would predict

Perhaps it is more robust to define an anomaly thusly:

An anomaly is something that deviates from our expectation

This turns out to be a definition in terms of prediction. The predicted value is where we would expect the value to be (our reference point), and we will measure deviation in terms of distance. We can use any model we like to make the reference prediction, but here we'll use Redpoll.

To upload our data, learn a (Bayesian) model describing the data, and deploy our model to a web service, we need four lines of code:

import redpoll as rp

rp.upload('satellites.csv', name='satellites')
rp.fit('satellites')

# Creates a web service giving us access to the model and
# returns a client into the web service
c = rp.deploy('satellites')

Now we can compute prediction-based anomaly. In code:

# collect the predictions and true values
preds = []
truths = []
ixs = []

# iterate through each row in the dataframe
for ix, row in df.iterrows():
    # Convert the pandas.Series row into a dict 'given' for
    # Redpoll to build a conditional distribution
    given = row.dropna().to_dict()
    truth = given.pop('Period_minutes', None)

    # if we don't know the truth, we can't compute a
    # deviation. skip
    if truth is None:
        continue

    # Predict period given the rest of the data in the row.
    # do not compute uncertainty
    pred = c.predict(
        'Period_minutes',
        given=given,
        uncertainty_type=None
    )

    truths.append(truth)
    preds.append(pred)
    ixs.append(ix)

df_pred = pd.DataFrame({
    'Period_minutes': truths,
    'pred': preds,
}, index=ixs)

# absolute deviation
deviation = (df_pred.Period_minutes - df_pred.pred).abs()
df_pred['deviation'] = deviation

# take the items with the most deviation form the prediction
df_pred \
    .sort_values(by=['deviation'], ascending=False) \
    .head(10)
Period_minutespreddeviation
Wind (International Solar-Terrestrial Program)19700.52730.1816970.3
Spektr-R/RadioAstron0.221709.21708.98
SDS III-6 (Satellite Data System) NRO L-27, Gryphon, USA 227)14.361436.171421.81
SDS III-7 (Satellite Data System) NRO L-38, Drake, USA 236)23.941436.151412.21
Advanced Orion 6 (NRO L-15, USA 237)23.941436.11412.16
DSP 20 (USA 149) (Defense Support Program)142.081436.151294.07
Interstellar Boundary EXplorer (IBEX)0.22992.416992.196
Integral (INTErnational Gamma-Ray Astrophysics Laboratory)4032.863377.03655.826
Geotail (Geomagnetic Tail Laboratory)2474.831959.37515.459
XMM Newton (High Throughput X-ray Spectroscopy Mission)2872.153377.03504.884

Rendered:

Data farthest from predicted values

Above: Data farthest from the predicted values (red) overlaid on the histogram of Period_minutes. Y-axis is log scaled.

Wind, the most extreme value, is still most anomalous under this definition. Then we see a bunch of low values rather than high values. We see some 0.22 minute orbits, which are un-physical and probably data entry errors. But then it gets more subtle. SDS III-6 is listed as having a 14.36 minute orbit, but is expected to have a 1436 minute orbit. This looks like a decimal error. Then SDS II-7 and RNO L-15 have 23.94-minute orbits, but are again expected to have 1436-minute orbits because they're geosynchronous satellites. This looks like a units error — the user entered the data in hours rather than minutes.

As useful as it is, this definition of anomaly suffers from the requirement of a distance metric. This means that anomalies on the edge of narrow modes are less likely to be detected than anomalies on the edges of wide modes. Let's try to free ourselves from distance with model-based anomaly.

(Bayesian) model-based anomaly

The only way we're going to be able to develop tools to convincingly explain anomalies is by using a (Bayesian) model-based definition of anomalousness. Explanation requires understanding how variables interact; we formalize these interactions with a model. The caveat is that, whereas before we just needed a distance metric, now we need a Bayesian model of the whole data process. One might be inclined to think this a great deal more difficult, but it's really not if we're using Redpoll because building Bayesian models is what Redpoll does.

We've actually already built and deployed a Bayesian model. All that is left to do is to define anomalousness in terms of probabilities (or likelihoods) and extract those probabilities from Redpoll.

Anomalies as unlikely observations

If an anomaly is something that is unlikely, let's just define it that way.

An anomaly is an unlikely value

We have access to likelihoods via Redpoll. But what we're interested in is the un-likelihood of a value in a particular position in the data table. Redpoll has a query just for that:

surp_period = c.surprisal('Period_minutes')

Surprisal is the negative log likelihood of a value in a particular cell (at row \(r\) and column \(c\)) in the table.

$$ s(x) = -\log p(x | r, c) $$

Executing the surprisal method as above computes the surprisal of every non-missing value in the column. Let's look at the top 20 most surprising values.

surp_period \
    .sort_values(by=['surprisal'], ascending=False) \
    .head(20)
Period_minutessurprisal
Wind (International Solar-Terrestrial Program)19700.513.8845
Spektr-R/RadioAstron0.229.5232
Interstellar Boundary EXplorer (IBEX)0.229.49467
Integral (INTErnational Gamma-Ray Astrophysics Laboratory)4032.869.18249
Geotail (Geomagnetic Tail Laboratory)2474.839.1438
Chandra X-Ray Observatory (CXO)3808.928.92203
XMM Newton (High Throughput X-ray Spectroscopy Mission)2872.158.91011
Tango (part of Cluster quartet, Cluster 2 FM8)34428.34124
Rumba (part of Cluster quartet, Cluster 2 FM5)3431.18.31092
Samba (part of Cluster quartet, Cluster 2 FM7)3430.288.30876
Salsa (part of Cluster quartet, Cluster 2 FM6)3418.28.2791
THEMIS E (Time History of Events and Macroscale Interactions during Substorms)1875.538.05719
THEMIS A (Time History of Events and Macroscale Interactions during Substorms)1868.988.05622
THEMIS D (Time History of Events and Macroscale Interactions during Substorms)1867.918.0562
Sirius 1 (SD Radio 1)1418.57.88695
Sirius 3 (SD Radio 3)994.837.84157
Sirius 2 (SD Radio 2)1148.437.7877
Akebono (EXOS-D)150.47.27144
AEHF-3 (Advanced Extremely High Frequency satellite-3, USA 246)1306.297.24799
AEHF-2 (Advanced Extremely High Frequency satellite-2, USA 235)1306.297.24799

Rendered:

Data with the highest surprisal

Above: Data with the highest surprisal (red) overlaid on the histogram of Period_minutes. Y-axis is log scaled.

We see a lot of extreme values in the very most surprisng values. Again, the most surprising period belongs to the satellite with the longest period; then we have two low-extreme values. Spektr and IBEX have 0.22 minute orbits, which put them moving at about 1% the speed of light, which is probably a data entry error since even a low-earth satellite takes about 100 minutes to orbit. Toward the bottom, we see some mid-range values: the THEMIS satellites have 1800-minute orbits, and the AEHF satellites have 1300 minute orbits. These orbit times are just a little too high or too low to be perfectly geosynchronous, which puts them in a low-likelihood region between orbit classes.

While this is a ton better than using standard deviations or encoding a bunch of heuristics, we're still missing something. What about really tricky anomalies: anomalies that hide in the nominal values, anomalies that cannot be recognized or explained on first sight — contextual anomalies?

Contextual anomalies or: anomalies as things that we would not expect to be unlikely

A contextual anomaly is an anomaly that has a completely nominal value that doesn't make sense given its other values. How the heck do we find these? We change the definition of anomaly again:

An anomaly is a value that we do not expect to be unlikely

Now here is where Redpoll really shines. Redpoll doesn't just emit one joint distribution over the whole dataset, it gives you access to any conditional distribution or baseline distribution (e.g. if \( p(x, y) \) is the joint distribution of x and y, and \(p(x|y)\) is the conditional distribution of x given y, then \(p(x)\) is the baseline distribution of x).

The baseline likelihood \(p(period)\) tells us how likely a period is at baseline — ignoring all other variables. So, to get at those tricky anomalies hiding in the brush of the high-likelihood regions, we can scale the surprisal by the negative baseline likelihood, which has the effect of down-weighting surprisal in regions with low baseline likelihood.

$$ \hat{s}(x) = \frac{s(x)}{-\log p(x)} $$

Note that \(-\log p(x)\) is different from the surprisal, \(-\log p(x | r, c) \), because the latter implicitly carries along with it the information in the rest of the columns in the row.

In Redpoll, scaled surprisal is trivially computed:

logp_period = c.logp(surp_period.Period_minutes)  # log p(x)
surp_period['scaled'] = surp_period.surprisal / -logp_period

And taking the top 20

surp_period \
    .sort_values(by=['scaled'], ascending=False) \
    .head(20)
Period_minutessurprisalscaled
Intelsat 9031436.166.603041.59428
Intelsat 9021436.16.535671.57804
Mercury 2 (Advanced Vortex 2, USA 118)1436.125.482011.32363
Sirius 1 (SD Radio 1)1418.57.886951.32083
JCSat 4A (JCSAT 6, Japan Communications Satellite 6)1435.525.21711.25906
QZS-1 (Quazi-Zenith Satellite System, Michibiki)14365.136231.24014
Compass G-7 (Beidou IGSO-2)1436.124.984031.20339
Compass G-10 (Beidou ISGO-5)1436.084.983831.20335
Compass G-8 (Beidou IGSO-3)1435.934.983081.20313
Compass G-5 (Beidou IGSO-1)1435.824.982541.20292
Compass G-9 (Beidou ISGO-4)1435.14.979151.20039
INSAT 4CR (Indian National Satellite)1436.114.908791.18523
IRNSS-1A (Indian Regional Navigation Satellite System)14364.908231.18509
TianLian 2 (TL-1-02, CTDRS)1436.14.803611.15983
SDO (Solar Dynamics Observatory)1436.034.718321.13924
Keyhole 7 (NRO L65, Advanced KH-11, Improved Crystal, USA 245)97.254.518191.05612
Keyhole 4 (Advanced KH-11, Advanced Keyhole, Improved Crystal, EIS-2, 8X Enhanced Imaging System, NROL 14, USA 161)97.134.518731.05575
Keyhole 6 (NRO L49, Advanced KH-11, KH-12-6, Improved Crystal, USA 224)974.519341.05532
Keyhole 5 (Advanced KH-11, KH-12-5, Improved Crystal, EIS-3, USA 186)974.519341.05532
Lacrosse/Onyx 4 (Lacrosse-4, USA 152)97.214.201310.9819

Rendered:

Data with the highest scaled surprisal

Above: Data with the highest scaled surprisal (red) overlaid on the histogram of Period_minutes. Y-axis is log scaled.

That is more interesting. We have a bunch of periods in the 1436 minutes range, which is a bog-standard geosynchronous orbit. Ok, great. Redpoll flagged Intelsat 903 as having an anomalous period, but because this is a contextual anomaly, we can't tell why it's anomalous from looking at it. What do we do? We can ask Redpoll to tell us why.

We'll use Redpoll to compute the negative log likelihood of Intelsat 3's period while progressively dropping the features that contribute the most to surprisal. We do this using rp.analysis.held_out_neglog, which returns

from redpoll import analysis

# get the row corresponding to the satellite in question and
# convert it to a dict of given conditions to create
# conditional probability distributions
row = df.loc['Intelsat 903', :]
given = row.dropna().to_dict()

# extract the target value
obs = given.pop('Period_minutes')

# analyze the surprisal as a function of dropping predictors
ks, ss = analysis.held_out_neglogp(
    c, 
    pd.Series([obs], name='Period_minutes'),
    given
)

Plotting ss (surprisal) as a function of ks (dropped key) gives us this:

Explaining the surprisal

When we predict period with all features in, surprisal is about 6.6. Then we drop Apogee, and the surprisal stays about 6.6. Then we drop both apogee and eccentricity, which causes the surprisal to plummet. So, it looks like apogee and eccentricity are responsible for the anomalousness. Note: That uptick in surprisal on the right, after all features have been dropped, is a return to ignorance — predicting given no inputs (weird to think about), which is the baseline distribution. The baseline distribution, \(p(period)\) is flatter on average which makes the average surprisal higher.

Let's take a look at the whole row of data for Intelsat 903.

c.get_row('Intelsat 903')
Intelsat 903
Country_of_OperatorUSA
UsersCommercial
PurposeCommunications
Class_of_OrbitGEO
Perigee_km35773.0
Apogee_km358802.0
Eccentricity0.7930699999999999
Period_minutes1436.16
Launch_Mass_kg4723.0
Dry_Mass_kg1972.0
Power_watts8600.0
Date_of_Launch37345.0
Expected_Lifetime13.0
Country_of_ContractorUSA
Launch_SiteGuiana Space Center
Launch_VehicleAriane 44L
Source_Used_for_Orbital_DataJM/12_08
longitude_radians_of_geo-0.603011257
Inclination_radians0.000349066

It's a geosynchronous satellite alright. But look: the Apogee is an order of magnitude greater than the Perigee. This doesn't make sense because the period is normal. Something is wrong. Looking up the satellite's details, it looks like the apogee was entered incorrectly and either the eccentricity was completely fabricated or, more likely, a spreadsheet formula was used to calculate eccentricity from apogee and perigee.

Why wasn't this caught when we defined anomalousness as deviation from the prediction? Let's plot the predictive likelihood as a function of the predictors that were dropped. This is the same plot as above, but we see the entire predictive likelihood rather than just the surprisal.

analysis.combined_hold_out_plot(
    c, 'Period_minutes', given, ks, (0, 1600), 
    obs=obs, slant=1.0, offset=3, xlabel='Period_minutes'
)

Explaining the surprisal

Each row of the plot is a likelihood and the red dot is the observed value. The predicted value is the high point on the likelihood. So, it looks like we didn't detect this period as deviating from the prediction because it doesn't deviate from the prediction. Redpoll predicts correctly even with the messed up apogee and eccentricity because the rest of the data strongly indicate a geosynchronous satellite, and a geosynchronous satellites has a 1436-minute orbit. However, the messed up apogee and eccentricity do cause Redpoll to be more uncertain, which manifests as increased variance in the predictive distribution. More variance means the likelihood is flatter; and the flatter the likelihood, the higher average surprisal it has.

Categorical anomalies (for fun)

And just because we can, let's find anomalies in the categorical Class_of_Orbit variable using scaled surprisal.

column = 'Class_of_Orbit'
surp_class = c.surprisal(column)
logp = c.logp(c.get_column(column).dropna())
surp_class['scaled'] = surp_class.surprisal / -logp

# top 20
surp_class \
    .sort_values(by=['surprisal'], ascending=False) \
    .head(20)
Class_of_Orbitsurprisalscaled
Intelsat 903GEO0.9785561.01506
Hisaki (Sprint A, Spectroscopic Planet Observatory for Recognition of Interaction of Atmosphere)Elliptical2.913950.854537
Radio-ROSTO (RS-15, Radio Sputnik 15, Russian Defence, Sports and Technical Organization - ROSTO)MEO1.955370.717365
e-st@rElliptical2.257120.661918
Cassiope (CAScade SmallSat and Ionospheric Polar Explorer)Elliptical2.257120.661918
Intelsat 902GEO0.5904360.612462
DSP 20 (USA 149) (Defense Support Program)GEO0.2516570.261045
Keyhole 6 (NRO L49, Advanced KH-11, KH-12-6, Improved Crystal, USA 224)LEO0.1516510.231985
Keyhole 7 (NRO L65, Advanced KH-11, Improved Crystal, USA 245)LEO0.1516510.231985
Keyhole 4 (Advanced KH-11, Advanced Keyhole, Improved Crystal, EIS-2, 8X Enhanced Imaging System, NROL 14, USA 161)LEO0.1516510.231985
Keyhole 5 (Advanced KH-11, KH-12-5, Improved Crystal, EIS-3, USA 186)LEO0.1516510.231985
SDS III-6 (Satellite Data System) NRO L-27, Gryphon, USA 227)GEO0.2126930.220628
SDS III-7 (Satellite Data System) NRO L-38, Drake, USA 236)GEO0.2126930.220628
Advanced Orion 6 (NRO L-15, USA 237)GEO0.2126930.220628
CUSat-1 (Cornell University Satellite 1)LEO0.1243740.190258
STSat-2CLEO0.1243740.190258
DANDE (Drag and Atmospheric Neutral Density Explorer)LEO0.1243740.190258
XaTcobeoLEO0.1243740.190258
MaSat 1 (Magyar Satellite/Oscar 72)LEO0.1243740.190258
International Space Station (ISS [first element Zarya])LEO0.1113460.170328

Intelsat 903 is right up there again. And here is the explanation:

Explaining Class_of_Orbit anomaly

Same explanation — Apogee and Eccentricity — just with different numbers, since the variable we're looking at is different.

For QA/QC

Using these techniques, we can flag every entry in the dataset. Here, we'll compute scaled surprisal for every cell. Because the magnitude of surprisal is dependent on the underlying distirbution of the features, the surprisal values are not interpretable across columns, so we'll scaled each column's surprisal to [0, 1] so that they can be interpreted more similarly.

all_surp = dict()

# compute scaled surprisal for every column
for col in c.columns:
    surp = c.surprisal(col)
    surp['scaled'] = surp.surprisal / -c.logp(surp[col])
    all_surp[col] = surp

# Create a dataframe of the scaled surprisal values
df_surp = pd.DataFrame(
    dict([(col, surp.scaled) for (col, surp) in all_surp.items()])
)

# scale every column to [0, 1]
scaled = df_surp - df_surp.min()

# plot a heatmap
sns.heatmap(scaled/scaled.max(), cmap=custom_cmap)

The full dataset colored by scaled surprisal

Above: A heatmap of the scaled surprisal (scaled to [0, 1]) for each cell. High-surprisal values are red/pink. Missing data are white. Due to the number of data, only a subset of row labels are shown, though every datum is represented in the heatmap.

Here is our high-level view of the anaomalousness of the data. This allow us to quickly identify values that could use another look.

Wrap up

The more representative our data is of the truth, the more likely we are to be able to create a model that captures something close to the truth. But real-world data most often are not well-behaved.

Every dataset has anomalies, and most datasets have errors. Hunting them down can be a pain, and we often do not discover them via QA/QC and EDA; we discover them the same way we discover software bugs: something breaks (hopefully not in prod).

Distance-based anomaly methods are simple to implement, but only work with continuous data, can miss a lot, and don't provide a way to distinguish between expected and unexpected anomalies. Model-based anomaly is far more robust, far more sensitive, and works on all types of data; the difficulty is that we need a Bayesian model.

With Redpoll, we can build and deploy a Bayesian model and detect anomalies with just a few lines of code, ensuring higher quality data, and allowing data scientists to spend far less time fixing data and more time building highly-effective models.

P.S. In a future post I'll show how we can compute the anomalousness of hypothetical or counterfactual, which will allow us to block bad data from making it into a dataset, and to detect and explain data drift.

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