Anomaly detection has many applications ranging from bank-fraud detection and cyber-threat detection to equipment maintenance and health monitoring. However, choosing a suitable algorithm for a given application remains a challenging design decision, often informed by the literature on anomaly detection algorithms. We extensively reviewed twelve of the most popular unsupervised anomaly detection methods. We observed that, so far, they have been compared using inconsistent protocols - the choice of the class of interest or the positive class, the split of training and test data, and the choice of hyperparameters - leading to ambiguous evaluations. This observation led us to define a coherent evaluation protocol which we then used to produce an updated and more precise picture of the relative performance of the twelve methods on five widely used tabular datasets. While our evaluation cannot pinpoint a method that outperforms all the others on all datasets, it identifies those that stand out and revise misconceived knowledge about their relative performances.
翻译:异常检测有许多应用,从银行欺诈检测和网络威胁检测到设备维护及健康监测等,然而,为特定应用选择合适的算法仍是一项具有挑战性的设计决定,通常参考异常检测算法的文献。我们广泛审查了12种最受欢迎、不受监督的异常检测方法。我们观察到,迄今为止,它们使用不一致的规程进行了比较,这些规程包括利益等级或正值等级的选择、培训和测试数据的分割以及超参数的选择,从而导致模糊的评估。这一观察导致我们确定了一种连贯的评估规程,我们随后用它来对五套广泛使用的表格数据集的十二种方法的相对性能进行更新和更加精确的描述。虽然我们的评估无法确定一种在所有数据集上超越所有其他方法的方法,但它找出了那些显露出来的方法,并修正了对其相对性能的错误认识。