GitHub user cestella opened a pull request:
https://github.com/apache/metron/pull/870
METRON-1364: Add an implementation of Robust PCA outlier detection
## Contributor Comments
With short circuiting in Stellar, we have the opportunity to delve into
more computationally intensive outlier detection techniques. Generally these
would be executed only if simpler outlier detection techniques indicated an
outlier (e.g. statistical outlier tests).
As the first one of these supported, I'd suggest a Robust PCA based
technique similar to Netflix's Surus. See
https://medium.com/netflix-techblog/rad-outlier-detection-on-big-data-d6b0494371cc
and
https://metamarkets.com/2012/algorithmic-trendspotting-the-meaning-of-interesting/
for more detail.
It should be noted that there are some caveats with this approach around
sparsity and orderedness.
Regarding sparsity,this outlier detection algorithm presumes dense output,
which is not the case for data spanning profiles (e.g. the profiler does not
write out data every period if no data was seen). To deal with this, I am
suggesting a modification to the profiler to allow PROFILE_GET to return a
default value. That will be done in a separate JIRA.
Regarding well-orderedness, this is an outlier detector for time series
data, so it is sensitive to order to a certain extent. Given its computational
intensity, it is likely to be used with a sample of the data to shrink the size
of the data. To that end, uniform sampling is not sensible here, but rather a
biased sample for recency. Without this, you may get poor results from this
outlier detector. This sampler should be done in a separate JIRA, but I will
ensure the infrastructure to add it is contributed in METRON-1350.
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You can merge this pull request into a Git repository by running:
$ git pull https://github.com/cestella/incubator-metron RAD_outlier
Alternatively you can review and apply these changes as the patch at:
https://github.com/apache/metron/pull/870.patch
To close this pull request, make a commit to your master/trunk branch
with (at least) the following in the commit message:
This closes #870
----
commit 767725385fc1057321c5e7542864a3b0afdd9ae9
Author: cstella <[email protected]>
Date: 2017-12-13T21:38:29Z
RAD infrastructure.
commit 36b395b5307cdaabc1b3b989046017c1bf1e7e52
Author: cstella <[email protected]>
Date: 2017-12-15T18:54:52Z
Initial commit for RAD
commit 5bfce65da838062c360f4793241469fddde69021
Author: cstella <[email protected]>
Date: 2017-12-15T21:28:26Z
Updating docs and tests.
----
---
