import torch
from dtaianomaly.anomaly_detection._BaseDetector import Supervision
from dtaianomaly.anomaly_detection._BaseNeuralDetector import (
COMPILE_MODE_TYPE,
LOSS_TYPE,
OPTIMIZER_TYPE,
)
from dtaianomaly.anomaly_detection._BaseNeuralForecastingDetector import (
ERROR_METRIC_TYPE,
BaseNeuralForecastingDetector,
)
from dtaianomaly.type_validation import BoolAttribute, FloatAttribute, IntegerAttribute
from dtaianomaly.windowing import WINDOW_SIZE_TYPE
__all__ = ["LongShortTermMemoryNetwork"]
[docs]
class LongShortTermMemoryNetwork(BaseNeuralForecastingDetector):
"""
Use an LSTM to detect anomalies :cite:`malhotra2015long`.
The Long-Short Term Memory (LSTM) anomaly detector combines a decoder
with LSTM layers with a liner layer to forecast the time series, given
a subsequence. The anomalies are then detected by measuring the deviation
between the forecasted values and the actual observations. The LSTM-
decoder reads each subsequence sequentially, and constructs a hidden
representation at each time point. The hidden representation at each
time step is based on the observations at that time step, but also
on the hidden state at the previous step. The LSTM units include
learnable gates, which guide the information flow to avoid issues
with gradients as faced in RNN networks. Once the complete sequence
is processed, the output is fed to a linear layer, which will forecast
the data.
The architecture of the LSTM consists of 2 blocks: (1) an LSTM-decoder
consisting of one or more LST-layers with multiple LSTM-units, and (2)
a single linear layer.
Parameters
----------
window_size : int or str
The window size to use for extracting sliding windows from the time series. This
value will be passed to :py:meth:`~dtaianomaly.anomaly_detection.compute_window_size`.
error_metric : {"mean-absolute-error", "mean-squared-error"}, default="mean-absolute-error"
The error measure between the reconstructed window and the original window.
forecast_length : int default=1
The number of time steps the neural network must forecast.
hidden_units : int, default=8
The number of hidden unit in each LSTM layer.
num_lstm_layers : int, default=1
The number of LSTM layers in the LSTM-block.
bias : bool, default=True
Whether to use bias weights in each layer of the LSTM block.
dropout_rate : float in interval [0, 1[, default=0.0
The dropout rate to put on each layer in the LSTM block.
stride : int, default=1
The stride, i.e., the step size for extracting sliding windows from the time series.
standard_scaling : bool, default=True
Whether to standard scale each window independently, before feeding it to the network.
batch_size : int, default=32
The size of the batches to feed to the network.
data_loader_kwargs : dictionary, default=None
Additional kwargs to be passed to the data loader.
For more information, see: https://docs.pytorch.org/docs/stable/data.html.
optimizer : {"adam", "sgd"} or callable default="adam"
The optimizer to use for learning the weights. If "adam" is given,
then the torch.optim.Adam optimizer will be used. If "sgd" is given,
then the torch.optim.SGD optimizer will be used. Otherwise, a callable
should be given, which takes as input the network parameters, and then
creates an optimizer.
learning_rate : float, default=1e-3
The learning rate to use for training the network. Has no effect
if optimize is a callable.
compile_model : bool, default=False
Whether the network architecture should be compiled or not before
training the weights.
For more information, see: https://docs.pytorch.org/docs/stable/generated/torch.compile.html.
compile_mode : {"default", "reduce-overhead", "max-autotune", "max-autotune-no-cudagraphs"}, default="default"
Method to compile the architecture.
For more information, see: https://docs.pytorch.org/docs/stable/generated/torch.compile.html.
n_epochs : int, default=10
The number of epochs for which the neural network should be trained.
loss_function : {"mse", "l1", "huber} or torch.nn.Module, default="mse"
The loss function to use for updating the weights. Valid options are:
- ``'mse'``: Use the Mean Squared Error loss.
- ``'l1'``: Use the L1-loss or the mean absolute error.
- ``'huber'``: Use the huber loss, which smoothly combines the MSE-loss with the L1-loss.
- ``torch.nn.Module``: a custom torch module to use for the loss function.
device : str, default="cpu"
The device on which te neural network should be trained.
For more information, see: https://docs.pytorch.org/docs/stable/tensor_attributes.html#torch-device.
seed : int, default=None
The seed used for training the model. This seed will update the torch
and numpy seed at the beginning of the fit method.
Attributes
----------
window_size_ : int
The effectively used window size for this anomaly detector.
optimizer_ : torch.optim.Optimizer
The optimizer used for learning the weights of the network.
neural_network_ : torch.nn.Module
The PyTorch network architecture.
See Also
--------
BaseNeuralForecastingDetector: Use a neural network to forecast the time
series, and detect anomalies by measuring the difference with the
actual observations.
Examples
--------
>>> from dtaianomaly.anomaly_detection import LongShortTermMemoryNetwork
>>> from dtaianomaly.data import demonstration_time_series
>>> x, y = demonstration_time_series()
>>> lstm = LongShortTermMemoryNetwork(10, seed=0).fit(x)
>>> lstm.decision_function(x) # doctest: +ELLIPSIS, +NORMALIZE_WHITESPACE, +SKIP
array([0.354334 , 0.354334 , 0.28025536, ..., 0.61675562, 0.90525854,
0.39284754]...)
"""
hidden_units: int
num_lstm_layers: int
bias: bool
dropout_rate: float
attribute_validation = {
"hidden_units": IntegerAttribute(minimum=1),
"num_lstm_layers": IntegerAttribute(minimum=1),
"bias": BoolAttribute(),
"dropout_rate": FloatAttribute(0.0, 1.0, inclusive_maximum=False),
}
def __init__(
self,
window_size: WINDOW_SIZE_TYPE,
error_metric: ERROR_METRIC_TYPE = "mean-absolute-error",
forecast_length: int = 1,
hidden_units: int = 8,
num_lstm_layers: int = 1,
bias: bool = True,
dropout_rate: float = 0.0,
stride: int = 1,
standard_scaling: bool = True,
batch_size: int = 32,
data_loader_kwargs: dict[str, any] = None,
optimizer: OPTIMIZER_TYPE = "adam",
learning_rate: float = 1e-3,
compile_model: bool = False,
compile_mode: COMPILE_MODE_TYPE = "default",
n_epochs: int = 10,
loss_function: LOSS_TYPE = "mse",
device: str = "cpu",
seed: int = None,
):
super().__init__(
window_size=window_size,
supervision=Supervision.SEMI_SUPERVISED,
error_metric=error_metric,
forecast_length=forecast_length,
stride=stride,
standard_scaling=standard_scaling,
batch_size=batch_size,
data_loader_kwargs=data_loader_kwargs,
optimizer=optimizer,
learning_rate=learning_rate,
compile_model=compile_model,
compile_mode=compile_mode,
n_epochs=n_epochs,
loss_function=loss_function,
device=device,
seed=seed,
)
self.hidden_units = hidden_units
self.num_lstm_layers = num_lstm_layers
self.bias = bias
self.dropout_rate = dropout_rate
def _build_architecture(self, n_attributes: int) -> torch.nn.Module:
return _LSTM(
n_attributes=n_attributes,
lstm=torch.nn.LSTM(
input_size=n_attributes,
hidden_size=self.hidden_units * self.forecast_length,
num_layers=self.num_lstm_layers,
bias=self.bias,
batch_first=True,
dropout=self.dropout_rate,
),
linear=torch.nn.Linear(
in_features=self.window_size_
* self.hidden_units
* self.forecast_length,
out_features=n_attributes * self.forecast_length,
),
)
class _LSTM(torch.nn.Module):
n_attributes: int
lstm: torch.nn.LSTM
flatten: torch.nn.Flatten
linear: torch.nn.Module
def __init__(self, n_attributes: int, lstm: torch.nn.LSTM, linear: torch.nn.Linear):
super().__init__()
self.n_attributes = n_attributes
self.lstm = lstm
self.flatten = torch.nn.Flatten(start_dim=1)
self.linear = linear
def forward(self, x: torch.Tensor) -> torch.Tensor:
x = x.view(x.shape[0], -1, self.n_attributes)
x, _ = self.lstm(x)
x = self.flatten(x)
x = self.linear(x)
return x