pypi: https://pypi.org/project/msda/
Related Blog: https://towardsdatascience.com/explainable-ai-xai-design-for-unsupervised-deep-anomaly-detector-6bd1275ed3fc
Related Blog: https://ajay-arunachalam08.medium.com/multidimensional-multi-sensor-time-series-data-analysis-framework-5c497d8d106b
MSDA is a prototype for unsupervised feature selection and/or unsupervised deep convolutional neural network & lstm autoencoders based real-time anomaly detection from high-dimensional heterogeneous/homogeneous time series multi-sensor data. It also includes a module of Explainable AI for the built time-series anomaly predictor.
Intuitive representation of the unsupervised feature selection is as shown below.
Intuitive representation of the unsupervised real-time point anomalies detection is as shown below.
From local explanations to global understanding with explainable AI for trees - motivation from here - https://www.nature.com/articles/s42256-019-0138-9
, Image credits - https://github.com/slundberg/shap
MSDA is an open source low-code Multi-Sensor Data Analysis library in Python that aims to reduce the hypothesis to insights cycle time in a time-series multi-sensor data analysis & experiments. It enables users to perform end-to-end proof-of-concept experiments quickly and efficiently. The module identifies events in the multidimensional time series by capturing the variation and trend to establish relationship aimed towards identifying the correlated features helping in feature selection from raw sensor signals. Also, it provides a provision to precisely detect the anomalies in real-time streaming data an unsupervised deep convolutional neural network & also a lstm autoencoders based detectors are designed to run on GPU/CPU. Finally, a game theoretic approach is used to explain the output of the built anomaly detector model.
The package includes:-
- Time series analysis.
- The variation of each sensor column wrt time (increasing, decreasing, equal).
- How each column values varies wrt other column, and the maximum variation ratio between each column wrt other column.
- Relationship establishment with trend array to identify most appropriate sensor.
- User can select window length and then check average value and standard deviation across each window for each sensor column.
- It provides count of growth/decay value for each sensor column values above or below a threshold value.
- Feature Engineering a) Features involving trend of values across various aggregation windows: change and rate of change in average, std. deviation across window. b) Ratio of changes, growth rate with std. deviation. c) Change over time. d) Rate of change over time. e) Growth or decay. f) Rate of growth or decay. g) Count of values above or below a threshold value.
- ** Unsupervised deep time-series anomaly detector. **
- ** Game theoretic approach to explain the time-series data model. **
MSDA is simple, easy to use and low-code.
** Deep Convolutional Neural Network **
inspiration from this IEEE paper - https://ieeexplore.ieee.org/document/8581424
** LSTM Autoencoder **
inspiration from here - https://www.nature.com/articles/s41598-019-55320-6
- Explainable Forecasting.
- ACF/PACF Analysis.
- Detection of False Trading Strategies Using Deep Unsupervised/Reinforcement Learning Methods.
- Optimization of the Trading Strategies (Long & Short Term) to maximize profit decision making.
- 3D Distribution Maps for MOX gas sensor signals.
The easiest way to install msda is using pip.
pip install msda$ git clone https://github.com/ajayarunachalam/msda
$ cd msda
$ python setup.py install
!pip install msda
Follow the rest as demonstrated in the demo example for Unsupervised Feature Selection [here] -- https://github.com/ajayarunachalam/msda/blob/main/demo.ipynb
Follow the rest as demonstrated in the demo example for Unsupervised Deep Anomaly Detectors & Time series predictor as Explainable AI [here] -- https://github.com/ajayarunachalam/msda/blob/main/demo1_v1.ipynb
Most of the dependencies are installed automatically. But, if not installed when you install MSDA, then these dependencies must be installed as shown below.
pip install pandas
pip install numpy
pip install matplotlib
pip install datetime
pip install statistics
pip install torch
pip install seaborn
pip install sklearn
pip install scipy
pip install shap
pip install keras
pip install ipywidgetsInstallation is only supported on 64-bit version of Python. Tested on numpy version '1.18.3', pandas <= '1.0.5', torch == 1.4.0, keras == 2.0.8, seaborn = '0.9.0', shap = '0.39.0', ipywidgets == 7.5.1
- Example Unsupervised Feature Selection Demo Notebook : https://github.com/ajayarunachalam/msda/blob/main/demo.ipynb
- Example Unsupervised Anomaly Detector & Explainable AI Demo Notebook : https://github.com/ajayarunachalam/msda/blob/main/demo1_v1.ipynb
MSDA is an open source library that anybody can use. In our view, the ideal target audience of MSDA is:
- Researchers for quick poc testing.
- Experienced Data Scientists who want to increase productivity.
- Citizen Data Scientists who prefer a low code solution.
- Students of Data Science.
- Data Science Professionals and Consultants involved in building Proof of Concept projects.
Copyright 2021 Ajay Arunachalam ajay.arunachalam08@gmail.com
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The above copyright notice and this permission notice shall be included in all copies or substantial portions of the Software.
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