1
$\begingroup$

I'm struggling with understanding the concept of splitting data for unsupervised anomaly/outlier detection. You can find all approaches here. I found some papers and implementations that didn't split the data in their analysis or evaluate their algorithm:

I also found some other implementations of the splitted data in their analysis:

The questions are:

  • Why should I split or not split my datasets when I apply unsupervised anomaly/outlier detection?
  • What is the advantage or disadvantage of both approaches?
  • The result(accuracy: AUC or AP, FP) of detection should be the same whether I split the data (e.g., 70%train-30%test) or un-cut data?

Generally, Unsupervised outlier detection algorithms (e.g. IsolationForest, HBOS) predict outliers based on their outlier scores over unlabeled data. Suppose I split the data (e.g., 70%train-30%test including startify, there is still somehow a possibility of neglecting/missing the possible outliers exist the trainset, while the model results reflect based on test-set observations at the end of the day (there is no guaranty). On the other hand, it might be the case that the final evaluation would not be fair. please see this post

In my case, I want to apply some algorithms on famous outlier detection datasets/benchmark without labels/target column and although the labels are there BUT not for being used, a bit confusing, it is more to validate & plotting purposes the approaches afterwards to compare different detection models with my own built algorithm. Please see the Pythonic code after dopping the labels exist in name_target:

X, y = df.loc[:, df.columns!= name_target], df[name_target]
seed = 120
test_size = 0.3
X_train, X_test, y_train, y_test = train_test_split(X, y, 
                                                    test_size=test_size,
                                                    random_state=seed,
                                                    stratify=y)
$\endgroup$

1 Answer 1

1
$\begingroup$

The splitting of datasets is used to give an estimate of generalized performance, and is used for predictive models - models that are designed to take new datapoints and output new predictions for them. Predictive models can be made using supervised learning (most common for classification and regression), unsupervised learning (common for anomaly detection) or combinations of unsupervised and supervised learning (semi-supervised, self-supervised etc).

So, whenever you are making a predictive model - use train/validation/test splits. And also note that even if applying unsupervised learning, it is extremely useful to have labeled validation and test sets - because the labels are key to most meaningful performance metrics.

Note: Sometimes unsupervised learning methods are used for models which are not designed to be predictive models. Common example are (a) clustering when used for example for Explorative Data Analysis, or (outlier detection when used for cleaning a particular dataset. In these cases we only care how the models work on a given dataset, and not on new data - and the dataset splitting is not needed.

$\endgroup$
4
  • $\begingroup$ Thanks for your input. I think last note is my case nevertheless, if I split the dataset using proper startify it should not make a problem. May I ask if you have some reference/book regarding your last note in case I used I can address this approach? $\endgroup$
    – Mario
    May 7, 2022 at 18:09
  • $\begingroup$ Why do you think that the last paragraph is the case? And if so, why do you still want to split the dataset? $\endgroup$
    – Jon Nordby
    May 8, 2022 at 8:58
  • $\begingroup$ Let's say I want to apply some outlier detection modules over routine Outlier Detection DataSets (ODDS). Since there is no concept of new observation and just seeing the performance/power of outlier detections to find anomalies, it seems there is no need to split and remove part of the observations, which is close to your last point/paragraph. Tbh, I don't see any problem with breaking data. Still, one of my colleagues finds it useless in this context of Anomaly detection in the cybersecurity domain, while another colleague confirms the data split. Any idea? $\endgroup$
    – Mario
    May 9, 2022 at 9:26
  • 1
    $\begingroup$ To estimate performance on new/unseen data (when deployed), you need to have some held-out data that is unseen for your validation/test sets. $\endgroup$
    – Jon Nordby
    Jan 1, 2023 at 19:42

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge you have read our privacy policy.

Not the answer you're looking for? Browse other questions tagged or ask your own question.