public void ChangePointDetectionWithSeasonality()
{
using (var env = new ConsoleEnvironment(conc: 1))
{
const int ChangeHistorySize = 10;
const int SeasonalitySize = 10;
const int NumberOfSeasonsInTraining = 5;
const int MaxTrainingSize = NumberOfSeasonsInTraining * SeasonalitySize;
List <Data> data = new List <Data>();
var dataView = env.CreateStreamingDataView(data);
var args = new SsaChangePointDetector.Arguments()
{
Confidence = 95,
Source = "Value",
Name = "Change",
ChangeHistoryLength = ChangeHistorySize,
TrainingWindowSize = MaxTrainingSize,
SeasonalWindowSize = SeasonalitySize
};
for (int j = 0; j < NumberOfSeasonsInTraining; j++)
{
for (int i = 0; i < SeasonalitySize; i++)
{
data.Add(new Data(i));
}
}
for (int i = 0; i < ChangeHistorySize; i++)
{
data.Add(new Data(i * 100));
}
// Train
var detector = new SsaChangePointEstimator(env, args).Fit(dataView);
// Transform
var output = detector.Transform(dataView);
// Get predictions
var enumerator = output.AsEnumerable <Prediction>(env, true).GetEnumerator();
Prediction row = null;
List <double> expectedValues = new List <double>()
{
0, -3.31410598754883, 0.5, 5.12000000000001E-08, 0, 1.5700820684432983, 5.2001145245395008E-07,
0.012414560443710681, 0, 1.2854313254356384, 0.28810801662678009, 0.02038940454467935, 0, -1.0950627326965332, 0.36663890634019225, 0.026956459625565483
};
int index = 0;
while (enumerator.MoveNext() && index < expectedValues.Count)
{
row = enumerator.Current;
Assert.Equal(expectedValues[index++], row.Change[0], precision: 7); // Alert
Assert.Equal(expectedValues[index++], row.Change[1], precision: 7); // Raw score
Assert.Equal(expectedValues[index++], row.Change[2], precision: 7); // P-Value score
Assert.Equal(expectedValues[index++], row.Change[3], precision: 7); // Martingale score
}
}
}
public void ChangePointDetectionWithSeasonality()
{
using (var env = new ConsoleEnvironment(conc: 1))
{
const int ChangeHistorySize = 2000;
const int SeasonalitySize = 1000;
const int NumberOfSeasonsInTraining = 5;
const int MaxTrainingSize = NumberOfSeasonsInTraining * SeasonalitySize;
List <Data> data = new List <Data>();
var dataView = env.CreateStreamingDataView(data);
var args = new SsaChangePointDetector.Arguments()
{
Confidence = 95,
Source = "Value",
Name = "Change",
ChangeHistoryLength = ChangeHistorySize,
Data = dataView,
TrainingWindowSize = MaxTrainingSize,
SeasonalWindowSize = SeasonalitySize
};
for (int j = 0; j < NumberOfSeasonsInTraining; j++)
{
for (int i = 0; i < SeasonalitySize; i++)
{
data.Add(new Data(i));
}
}
for (int i = 0; i < ChangeHistorySize; i++)
{
data.Add(new Data(i * 100));
}
var detector = TimeSeriesProcessing.SsaChangePointDetector(env, args);
var output = detector.Model.Apply(env, dataView);
var enumerator = output.AsEnumerable <Prediction>(env, true).GetEnumerator();
Prediction row = null;
List <double> expectedValues = new List <double>()
{
0, 0, 0.5, 0, 0, 1, 0.15865526383236372,
0, 0, 1.6069464981555939, 0.05652458872960725, 0, 0, 2.0183047652244568, 0.11021633531076747, 0
};
int index = 0;
while (enumerator.MoveNext() && index < expectedValues.Count)
{
row = enumerator.Current;
Assert.Equal(expectedValues[index++], row.Change[0], precision: 7);
Assert.Equal(expectedValues[index++], row.Change[1], precision: 7);
Assert.Equal(expectedValues[index++], row.Change[2], precision: 7);
Assert.Equal(expectedValues[index++], row.Change[3], precision: 7);
}
}
}
public IList <double> Execute(IList <double> source)
{
var count = source.Count;
if (count == 0)
{
return(new double[0]);
}
var res = new double[count];
var context = Context;
Contract.Assert(context != null);
var size = count / 2;
var data = source.Take(size).Select(PredictionData.MakePredictionData);
var ml = new MLContext();
var dataView = ml.Data.LoadFromEnumerable(data);
const string outputColumnName = "Prediction";
const string inputColumnName = "Value";
var args = new SsaChangePointDetector.Arguments()
{
Source = inputColumnName,
Name = outputColumnName,
Confidence = Confidence, // The confidence for spike detection in the range [0, 100]
ChangeHistoryLength = size / 4, // The length of the sliding window on p-values for computing the martingale score.
TrainingWindowSize = size / 2, // The number of points from the beginning of the sequence used for training.
SeasonalWindowSize = size / 8, // An upper bound on the largest relevant seasonality in the input time - series."
};
// Train the change point detector.
ITransformer model = new SsaChangePointEstimator(ml, args).Fit(dataView);
// Create a prediction engine from the model for feeding new data.
var engine = model.CreateTimeSeriesPredictionFunction <PredictionData, ChangePointPrediction>(ml);
for (var i = size; i < count; i++)
{
var prediction = engine.Predict(PredictionData.MakePredictionData(source[i]));
res[i] = prediction.Prediction[OutputNumber];
}
return(res);
}
// This example creates a time series (list of Data with the i-th element corresponding to the i-th time slot).
// SsaChangePointDetector is applied then to identify points where data distribution changed.
// SsaChangePointDetector differs from IidChangePointDetector in that it can account for temporal seasonality
// in the data.
public static void SsaChangePointDetectorTransform()
{
// Create a new ML context, for ML.NET operations. It can be used for exception tracking and logging,
// as well as the source of randomness.
var ml = new MLContext();
// Generate sample series data with a recurring pattern and then a change in trend
const int SeasonalitySize = 5;
const int TrainingSeasons = 3;
const int TrainingSize = SeasonalitySize * TrainingSeasons;
var data = new List <SsaChangePointData>();
for (int i = 0; i < TrainingSeasons; i++)
{
for (int j = 0; j < SeasonalitySize; j++)
{
data.Add(new SsaChangePointData(j));
}
}
// This is a change point
for (int i = 0; i < SeasonalitySize; i++)
{
data.Add(new SsaChangePointData(i * 100));
}
// Convert data to IDataView.
var dataView = ml.CreateStreamingDataView(data);
// Setup SsaChangePointDetector arguments
var inputColumnName = nameof(SsaChangePointData.Value);
var outputColumnName = nameof(ChangePointPrediction.Prediction);
var args = new SsaChangePointDetector.Arguments()
{
Source = inputColumnName,
Name = outputColumnName,
Confidence = 95, // The confidence for spike detection in the range [0, 100]
ChangeHistoryLength = 8, // The length of the window for detecting a change in trend; shorter windows are more sensitive to spikes.
TrainingWindowSize = TrainingSize, // The number of points from the beginning of the sequence used for training.
SeasonalWindowSize = SeasonalitySize + 1 // An upper bound on the largest relevant seasonality in the input time series."
};
// The transformed data.
var transformedData = new SsaChangePointEstimator(ml, args).Fit(dataView).Transform(dataView);
// Getting the data of the newly created column as an IEnumerable of ChangePointPrediction.
var predictionColumn = transformedData.AsEnumerable <ChangePointPrediction>(ml, reuseRowObject: false);
Console.WriteLine($"{outputColumnName} column obtained post-transformation.");
Console.WriteLine("Data\tAlert\tScore\tP-Value\tMartingale value");
int k = 0;
foreach (var prediction in predictionColumn)
{
Console.WriteLine("{0}\t{1}\t{2:0.00}\t{3:0.00}\t{4:0.00}", data[k++].Value, prediction.Prediction[0], prediction.Prediction[1], prediction.Prediction[2], prediction.Prediction[3]);
}
Console.WriteLine("");
// Prediction column obtained post-transformation.
// Data Alert Score P-Value Martingale value
// 0 0 - 2.53 0.50 0.00
// 1 0 - 0.01 0.01 0.00
// 2 0 0.76 0.14 0.00
// 3 0 0.69 0.28 0.00
// 4 0 1.44 0.18 0.00
// 0 0 - 1.84 0.17 0.00
// 1 0 0.22 0.44 0.00
// 2 0 0.20 0.45 0.00
// 3 0 0.16 0.47 0.00
// 4 0 1.33 0.18 0.00
// 0 0 - 1.79 0.07 0.00
// 1 0 0.16 0.50 0.00
// 2 0 0.09 0.50 0.00
// 3 0 0.08 0.45 0.00
// 4 0 1.31 0.12 0.00
// 0 0 - 1.79 0.07 0.00
// 100 1 99.16 0.00 4031.94 <-- alert is on, predicted changepoint
// 200 0 185.23 0.00 731260.87
// 300 0 270.40 0.01 3578470.47
// 400 0 357.11 0.03 45298370.86
}
// This example shows change point detection as above, but demonstrates how to train a model
// that can run predictions on streaming data, and how to persist the trained model and then re-load it.
public static void SsaChangePointDetectorPrediction()
{
// Create a new ML context, for ML.NET operations. It can be used for exception tracking and logging,
// as well as the source of randomness.
var ml = new MLContext();
// Generate sample series data with a recurring pattern
const int SeasonalitySize = 5;
const int TrainingSeasons = 3;
const int TrainingSize = SeasonalitySize * TrainingSeasons;
var data = new List <SsaChangePointData>();
for (int i = 0; i < TrainingSeasons; i++)
{
for (int j = 0; j < SeasonalitySize; j++)
{
data.Add(new SsaChangePointData(j));
}
}
// Convert data to IDataView.
var dataView = ml.CreateStreamingDataView(data);
// Setup SsaChangePointDetector arguments
var inputColumnName = nameof(SsaChangePointData.Value);
var outputColumnName = nameof(ChangePointPrediction.Prediction);
var args = new SsaChangePointDetector.Arguments()
{
Source = inputColumnName,
Name = outputColumnName,
Confidence = 95, // The confidence for spike detection in the range [0, 100]
ChangeHistoryLength = 8, // The length of the window for detecting a change in trend; shorter windows are more sensitive to spikes.
TrainingWindowSize = TrainingSize, // The number of points from the beginning of the sequence used for training.
SeasonalWindowSize = SeasonalitySize + 1 // An upper bound on the largest relevant seasonality in the input time series."
};
// Train the change point detector.
ITransformer model = new SsaChangePointEstimator(ml, args).Fit(dataView);
// Create a prediction engine from the model for feeding new data.
var engine = model.CreateTimeSeriesPredictionFunction <SsaChangePointData, ChangePointPrediction>(ml);
// Start streaming new data points with no change point to the prediction engine.
Console.WriteLine($"Output from ChangePoint predictions on new data:");
Console.WriteLine("Data\tAlert\tScore\tP-Value\tMartingale value");
ChangePointPrediction prediction = null;
for (int i = 0; i < 5; i++)
{
var value = i;
prediction = engine.Predict(new SsaChangePointData(value));
Console.WriteLine("{0}\t{1}\t{2:0.00}\t{3:0.00}\t{4:0.00}", value, prediction.Prediction[0], prediction.Prediction[1], prediction.Prediction[2], prediction.Prediction[3]);
}
// Now stream data points that reflect a change in trend.
for (int i = 0; i < 5; i++)
{
var value = (i + 1) * 100;
prediction = engine.Predict(new SsaChangePointData(value));
Console.WriteLine("{0}\t{1}\t{2:0.00}\t{3:0.00}\t{4:0.00}", value, prediction.Prediction[0], prediction.Prediction[1], prediction.Prediction[2], prediction.Prediction[3]);
}
// Now we demonstrate saving and loading the model.
// Save the model that exists within the prediction engine.
// The engine has been updating this model with every new data point.
var modelPath = "model.zip";
engine.CheckPoint(ml, modelPath);
// Load the model.
using (var file = File.OpenRead(modelPath))
model = TransformerChain.LoadFrom(ml, file);
// We must create a new prediction engine from the persisted model.
engine = model.CreateTimeSeriesPredictionFunction <SsaChangePointData, ChangePointPrediction>(ml);
// Run predictions on the loaded model.
for (int i = 0; i < 5; i++)
{
var value = (i + 1) * 100;
prediction = engine.Predict(new SsaChangePointData(value));
Console.WriteLine("{0}\t{1}\t{2:0.00}\t{3:0.00}\t{4:0.00}", value, prediction.Prediction[0], prediction.Prediction[1], prediction.Prediction[2], prediction.Prediction[3]);
}
// Output from ChangePoint predictions on new data:
// Data Alert Score P-Value Martingale value
// 0 0 - 1.01 0.50 0.00
// 1 0 - 0.24 0.22 0.00
// 2 0 - 0.31 0.30 0.00
// 3 0 0.44 0.01 0.00
// 4 0 2.16 0.00 0.24
// 100 0 86.23 0.00 2076098.24
// 200 0 171.38 0.00 809668524.21
// 300 1 256.83 0.01 22130423541.93 <-- alert is on, note that delay is expected
// 400 0 326.55 0.04 241162710263.29
// 500 0 364.82 0.08 597660527041.45 <-- saved to disk
// 100 0 - 58.58 0.15 1096021098844.34 <-- loaded from disk and running new predictions
// 200 0 - 41.24 0.20 97579154688.98
// 300 0 - 30.61 0.24 95319753.87
// 400 0 58.87 0.38 14.24
// 500 0 219.28 0.36 0.05
}
// This example creates a time series (list of Data with the i-th element corresponding to the i-th time slot).
// SsaChangePointDetector is applied then to identify points where data distribution changed.
public static void SsaChangePointDetectorTransform()
{
// Create a new ML context, for ML.NET operations. It can be used for exception tracking and logging,
// as well as the source of randomness.
var ml = new MLContext();
// Generate sample series data with a change
const int size = 16;
var data = new List <Data>(size);
for (int i = 0; i < size / 2; i++)
{
data.Add(new Data(5));
}
// This is a change point
for (int i = 0; i < size / 2; i++)
{
data.Add(new Data(7));
}
// Convert data to IDataView.
var dataView = ml.CreateStreamingDataView(data);
// Setup IidSpikeDetector arguments
string outputColumnName = "Prediction";
string inputColumnName = "Value";
var args = new SsaChangePointDetector.Arguments()
{
Source = inputColumnName,
Name = outputColumnName,
Confidence = 95, // The confidence for spike detection in the range [0, 100]
ChangeHistoryLength = size / 4, // The length of the sliding window on p-values for computing the martingale score.
TrainingWindowSize = size / 2, // The number of points from the beginning of the sequence used for training.
SeasonalWindowSize = size / 8, // An upper bound on the largest relevant seasonality in the input time - series."
};
// The transformed data.
var transformedData = new SsaChangePointEstimator(ml, args).Fit(dataView).Transform(dataView);
// Getting the data of the newly created column as an IEnumerable of ChangePointPrediction.
var predictionColumn = transformedData.AsEnumerable <ChangePointPrediction>(ml, reuseRowObject: false);
Console.WriteLine($"{outputColumnName} column obtained post-transformation.");
Console.WriteLine("Data\tAlert\tScore\tP-Value\tMartingale value");
int k = 0;
foreach (var prediction in predictionColumn)
{
Console.WriteLine("{0}\t{1}\t{2:0.00}\t{3:0.00}\t{4:0.00}", data[k++].Value, prediction.Prediction[0], prediction.Prediction[1], prediction.Prediction[2], prediction.Prediction[3]);
}
Console.WriteLine("");
// Prediction column obtained post-transformation.
// Data Alert Score P-Value Martingale value
// 5 0 0.00 0.50 0.00
// 5 0 0.00 0.50 0.00
// 5 0 0.00 0.50 0.00
// 5 0 0.00 0.50 0.00
// 5 0 0.00 0.50 0.00
// 5 0 0.00 0.50 0.00
// 5 0 0.00 0.50 0.00
// 5 0 0.00 0.50 0.00
// 7 1 2.00 0.00 10298.67 <-- alert is on, predicted changepoint
// 7 0 1.00 0.31 15741.58
// 7 0 0.00 0.28 26487.48
// 7 0 0.00 0.28 44569.02
// 7 0 0.00 0.28 0.01
// 7 0 0.00 0.38 0.01
// 7 0 0.00 0.50 0.00
// 7 0 0.00 0.50 0.00
}
