anomaly_detection 0.1.3 → 0.1.4
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- checksums.yaml +4 -4
- data/CHANGELOG.md +4 -0
- data/README.md +2 -2
- data/ext/anomaly_detection/anomaly_detection.hpp +193 -2
- data/ext/anomaly_detection/dist.h +20 -10
- data/ext/anomaly_detection/ext.cpp +9 -3
- data/lib/anomaly_detection/version.rb +1 -1
- data/licenses/LICENSE-AnomalyDetection-cpp.txt +675 -0
- metadata +4 -4
- data/ext/anomaly_detection/anomaly_detection.cpp +0 -139
checksums.yaml
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metadata.gz:
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metadata.gz: c60bb6d75cb8523ecd0926f391d79413a1cb2eb131cd579fd381bb6683f82da3
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data.tar.gz: '01594d0f0a97ad8cbb7b0b50cb30894bd0d773d4db45b3158345567ce1732efb'
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metadata.gz: fe09cc140a5d6543f3b00983a754861f6a3a3a436f8a8afecc80d202f1112bb6ea180df794072ee4711c044508a559a015c885cfd61d2c5be9378fc7b6590d96
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data.tar.gz: 5616e6075888b4521355e6c0fb33f7a94361c971c7f58f9ae6a61e5d8529a3e1938deba10be22c24ec5849f1909f48cba07b97fd1e6ea8b47ae4f66626eb703e
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data/CHANGELOG.md
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data/README.md
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@@ -11,7 +11,7 @@ Learn [how it works](https://blog.twitter.com/engineering/en_us/a/2015/introduci
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Add this line to your application’s Gemfile:
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```ruby
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gem
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gem "anomaly_detection"
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```
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## Getting Started
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@@ -63,7 +63,7 @@ AnomalyDetection.detect(
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Add [Vega](https://github.com/ankane/vega) to your application’s Gemfile:
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```ruby
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gem
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gem "vega"
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```
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And use:
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/*!
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* AnomalyDetection.cpp v0.1.0
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* https://github.com/ankane/AnomalyDetection.cpp
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* GPL-3.0-or-later License
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*/
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#pragma once
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#include <
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#include <functional>
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#include <iostream>
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#include <iterator>
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#include <numeric>
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#include <vector>
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#include "dist.h"
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#include "stl.hpp"
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namespace anomaly_detection {
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enum Direction { Positive, Negative, Both };
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-
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float median_sorted(const std::vector<float>& sorted) {
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return (sorted[(sorted.size() - 1) / 2] + sorted[sorted.size() / 2]) / 2.0;
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}
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float median(const std::vector<float>& data) {
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std::vector<float> sorted(data);
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std::sort(sorted.begin(), sorted.end());
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return median_sorted(sorted);
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}
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float mad(const std::vector<float>& data, float med) {
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std::vector<float> res;
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res.reserve(data.size());
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for (auto v : data) {
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res.push_back(fabs(v - med));
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}
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std::sort(res.begin(), res.end());
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return 1.4826 * median_sorted(res);
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}
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std::vector<size_t> detect_anoms(const std::vector<float>& data, int num_obs_per_period, float k, float alpha, bool one_tail, bool upper_tail, bool verbose, std::function<void()> callback) {
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auto n = data.size();
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// Check to make sure we have at least two periods worth of data for anomaly context
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if (n < num_obs_per_period * 2) {
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throw std::invalid_argument("series must contain at least 2 periods");
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}
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// Handle NANs
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auto nan = std::count_if(data.begin(), data.end(), [](const auto& value) { return std::isnan(value); });
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if (nan > 0) {
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throw std::invalid_argument("series contains NANs");
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}
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// Decompose data. This returns a univarite remainder which will be used for anomaly detection. Optionally, we might NOT decompose.
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auto data_decomp = stl::params().robust(true).seasonal_length(data.size() * 10 + 1).fit(data, num_obs_per_period);
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auto seasonal = data_decomp.seasonal;
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std::vector<float> data2;
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data2.reserve(n);
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auto med = median(data);
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for (auto i = 0; i < n; i++) {
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data2.push_back(data[i] - seasonal[i] - med);
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}
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auto num_anoms = 0;
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auto max_outliers = (size_t) n * k;
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std::vector<size_t> anomalies;
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anomalies.reserve(max_outliers);
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// Sort data for fast median
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// Use stable sort for indexes for deterministic results
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std::vector<size_t> indexes(n);
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std::iota(indexes.begin(), indexes.end(), 0);
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std::stable_sort(indexes.begin(), indexes.end(), [&data2](size_t a, size_t b) { return data2[a] < data2[b]; });
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std::sort(data2.begin(), data2.end());
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// Compute test statistic until r=max_outliers values have been removed from the sample
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for (auto i = 1; i <= max_outliers; i++) {
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if (verbose) {
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std::cout << i << " / " << max_outliers << " completed" << std::endl;
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}
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// TODO Improve performance between loop iterations
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auto ma = median_sorted(data2);
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std::vector<float> ares;
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ares.reserve(data2.size());
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if (one_tail) {
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if (upper_tail) {
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for (auto v : data2) {
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ares.push_back(v - ma);
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}
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} else {
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for (auto v : data2) {
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ares.push_back(ma - v);
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}
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}
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} else {
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for (auto v : data2) {
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ares.push_back(fabs(v - ma));
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}
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}
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// Protect against constant time series
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auto data_sigma = mad(data2, ma);
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if (data_sigma == 0.0) {
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break;
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}
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auto iter = std::max_element(ares.begin(), ares.end());
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auto r_idx_i = std::distance(ares.begin(), iter);
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// Only need to take sigma of r for performance
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auto r = ares[r_idx_i] / data_sigma;
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anomalies.push_back(indexes[r_idx_i]);
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data2.erase(data2.begin() + r_idx_i);
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indexes.erase(indexes.begin() + r_idx_i);
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// Compute critical value
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float p;
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if (one_tail) {
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p = 1.0 - alpha / (n - i + 1);
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} else {
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p = 1.0 - alpha / (2.0 * (n - i + 1));
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}
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auto t = students_t_ppf(p, n - i - 1);
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auto lam = t * (n - i) / sqrt(((n - i - 1) + t * t) * (n - i + 1));
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if (r > lam) {
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num_anoms = i;
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}
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if (callback != nullptr) {
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callback();
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}
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}
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anomalies.resize(num_anoms);
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// Sort like R version
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std::sort(anomalies.begin(), anomalies.end());
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return anomalies;
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}
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class AnomalyDetectionResult {
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public:
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std::vector<size_t> anomalies;
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};
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class AnomalyDetectionParams {
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float alpha_ = 0.05;
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float max_anoms_ = 0.1;
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Direction direction_ = Direction::Both;
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bool verbose_ = false;
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std::function<void()> callback_ = nullptr;
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public:
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inline AnomalyDetectionParams alpha(float alpha) {
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this->alpha_ = alpha;
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return *this;
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};
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inline AnomalyDetectionParams max_anoms(float max_anoms) {
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this->max_anoms_ = max_anoms;
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return *this;
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};
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inline AnomalyDetectionParams direction(Direction direction) {
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this->direction_ = direction;
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return *this;
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};
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inline AnomalyDetectionParams verbose(bool verbose) {
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this->verbose_ = verbose;
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return *this;
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};
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inline AnomalyDetectionParams callback(std::function<void()> callback) {
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this->callback_ = callback;
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return *this;
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};
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AnomalyDetectionResult fit(const std::vector<float>& series, size_t period);
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};
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AnomalyDetectionParams params() {
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return AnomalyDetectionParams();
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}
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AnomalyDetectionResult AnomalyDetectionParams::fit(const std::vector<float>& series, size_t period) {
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bool one_tail = this->direction_ != Direction::Both;
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bool upper_tail = this->direction_ == Direction::Positive;
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auto res = AnomalyDetectionResult();
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res.anomalies = detect_anoms(series, period, this->max_anoms_, this->alpha_, one_tail, upper_tail, this->verbose_, this->callback_);
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return res;
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}
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}
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@@ -1,16 +1,26 @@
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/*!
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* dist.h v0.1.
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* dist.h v0.1.1
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* https://github.com/ankane/dist.h
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* Unlicense OR MIT License
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*/
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#pragma once
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#define _USE_MATH_DEFINES
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#include <assert.h>
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#include <math.h>
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#ifdef M_E
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#define DIST_E M_E
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#else
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#define DIST_E 2.71828182845904523536
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#endif
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#ifdef M_PI
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#define DIST_PI M_PI
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#else
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#define DIST_PI 3.14159265358979323846
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#endif
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// Winitzki, S. (2008).
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// A handy approximation for the error function and its inverse.
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// https://drive.google.com/file/d/0B2Mt7luZYBrwZlctV3A3eF82VGM/view?resourcekey=0-UQpPhwZgzP0sF4LHBDlLtg
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@@ -21,7 +31,7 @@ double erf(double x) {
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double a = 0.14;
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double x2 = x * x;
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return sign * sqrt(1.0 - exp(-x2 * (4.0 /
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return sign * sqrt(1.0 - exp(-x2 * (4.0 / DIST_PI + a * x2) / (1.0 + a * x2)));
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}
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// Winitzki, S. (2008).
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double a = 0.147;
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double ln = log(1.0 - x * x);
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double f1 = 2.0 / (
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double f1 = 2.0 / (DIST_PI * a);
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double f2 = ln / 2.0;
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double f3 = f1 + f2;
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double f4 = 1.0 / a * ln;
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@@ -43,7 +53,7 @@ double inverse_erf(double x) {
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double normal_pdf(double x, double mean, double std_dev) {
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double var = std_dev * std_dev;
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return (1.0 / (var * sqrt(2.0 *
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return (1.0 / (var * sqrt(2.0 * DIST_PI))) * pow(DIST_E, -0.5 * pow((x - mean) / var, 2));
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}
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double normal_cdf(double x, double mean, double std_dev) {
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@@ -59,7 +69,7 @@ double normal_ppf(double p, double mean, double std_dev) {
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double students_t_pdf(double x, unsigned int n) {
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assert(n >= 1);
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return tgamma((n + 1.0) / 2.0) / (sqrt(n *
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return tgamma((n + 1.0) / 2.0) / (sqrt(n * DIST_PI) * tgamma(n / 2.0)) * pow(1.0 + x * x / n, -(n + 1.0) / 2.0);
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}
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// Hill, G. W. (1970).
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@@ -104,7 +114,7 @@ double students_t_cdf(double x, unsigned int n) {
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n -= 2;
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}
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}
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a = n == 0 ? a / sqrt(b) : (atan(y) + a / b) * (2.0 /
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a = n == 0 ? a / sqrt(b) : (atan(y) + a / b) * (2.0 / DIST_PI);
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return start + sign * (z - a) / 2;
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}
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rb_mAnomalyDetection
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.define_singleton_function(
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[](std::vector<float>
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[](std::vector<float> series, int period, float k, float alpha, const std::string& direction, bool verbose) {
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Direction dir;
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}
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auto res = anomaly_detection::
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.max_anoms(k)
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.alpha(alpha)
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.direction(dir)
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.fit(series, period);
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for (auto v : res) {
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GNU GENERAL PUBLIC LICENSE
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Version 3, 29 June 2007
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Copyright (C) 2007 Free Software Foundation, Inc. <http://fsf.org/>
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Everyone is permitted to copy and distribute verbatim copies
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of this license document, but changing it is not allowed.
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Preamble
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The GNU General Public License is a free, copyleft license for
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software and other kinds of works.
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The licenses for most software and other practical works are designed
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to take away your freedom to share and change the works. By contrast,
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the GNU General Public License is intended to guarantee your freedom to
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share and change all versions of a program--to make sure it remains free
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software for all its users. We, the Free Software Foundation, use the
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GNU General Public License for most of our software; it applies also to
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any other work released this way by its authors. You can apply it to
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your programs, too.
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When we speak of free software, we are referring to freedom, not
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price. Our General Public Licenses are designed to make sure that you
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have the freedom to distribute copies of free software (and charge for
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them if you wish), that you receive source code or can get it if you
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want it, that you can change the software or use pieces of it in new
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free programs, and that you know you can do these things.
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To protect your rights, we need to prevent others from denying you
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these rights or asking you to surrender the rights. Therefore, you have
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certain responsibilities if you distribute copies of the software, or if
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you modify it: responsibilities to respect the freedom of others.
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For example, if you distribute copies of such a program, whether
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gratis or for a fee, you must pass on to the recipients the same
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freedoms that you received. You must make sure that they, too, receive
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or can get the source code. And you must show them these terms so they
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know their rights.
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Developers that use the GNU GPL protect your rights with two steps:
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(1) assert copyright on the software, and (2) offer you this License
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giving you legal permission to copy, distribute and/or modify it.
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For the developers' and authors' protection, the GPL clearly explains
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that there is no warranty for this free software. For both users' and
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authors' sake, the GPL requires that modified versions be marked as
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changed, so that their problems will not be attributed erroneously to
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authors of previous versions.
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Some devices are designed to deny users access to install or run
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modified versions of the software inside them, although the manufacturer
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can do so. This is fundamentally incompatible with the aim of
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protecting users' freedom to change the software. The systematic
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pattern of such abuse occurs in the area of products for individuals to
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use, which is precisely where it is most unacceptable. Therefore, we
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have designed this version of the GPL to prohibit the practice for those
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products. If such problems arise substantially in other domains, we
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stand ready to extend this provision to those domains in future versions
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of the GPL, as needed to protect the freedom of users.
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States should not allow patents to restrict development and use of
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software on general-purpose computers, but in those that do, we wish to
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avoid the special danger that patents applied to a free program could
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make it effectively proprietary. To prevent this, the GPL assures that
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patents cannot be used to render the program non-free.
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The precise terms and conditions for copying, distribution and
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modification follow.
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TERMS AND CONDITIONS
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0. Definitions.
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"This License" refers to version 3 of the GNU General Public License.
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"Copyright" also means copyright-like laws that apply to other kinds of
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works, such as semiconductor masks.
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"The Program" refers to any copyrightable work licensed under this
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License. Each licensee is addressed as "you". "Licensees" and
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"recipients" may be individuals or organizations.
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To "modify" a work means to copy from or adapt all or part of the work
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in a fashion requiring copyright permission, other than the making of an
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exact copy. The resulting work is called a "modified version" of the
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earlier work or a work "based on" the earlier work.
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A "covered work" means either the unmodified Program or a work based
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on the Program.
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To "propagate" a work means to do anything with it that, without
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permission, would make you directly or secondarily liable for
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infringement under applicable copyright law, except executing it on a
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computer or modifying a private copy. Propagation includes copying,
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distribution (with or without modification), making available to the
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public, and in some countries other activities as well.
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To "convey" a work means any kind of propagation that enables other
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parties to make or receive copies. Mere interaction with a user through
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a computer network, with no transfer of a copy, is not conveying.
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An interactive user interface displays "Appropriate Legal Notices"
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to the extent that it includes a convenient and prominently visible
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feature that (1) displays an appropriate copyright notice, and (2)
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tells the user that there is no warranty for the work (except to the
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extent that warranties are provided), that licensees may convey the
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work under this License, and how to view a copy of this License. If
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the interface presents a list of user commands or options, such as a
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menu, a prominent item in the list meets this criterion.
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1. Source Code.
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The "source code" for a work means the preferred form of the work
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for making modifications to it. "Object code" means any non-source
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form of a work.
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A "Standard Interface" means an interface that either is an official
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standard defined by a recognized standards body, or, in the case of
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interfaces specified for a particular programming language, one that
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is widely used among developers working in that language.
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The "System Libraries" of an executable work include anything, other
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than the work as a whole, that (a) is included in the normal form of
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packaging a Major Component, but which is not part of that Major
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Component, and (b) serves only to enable use of the work with that
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Major Component, or to implement a Standard Interface for which an
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implementation is available to the public in source code form. A
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"Major Component", in this context, means a major essential component
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(kernel, window system, and so on) of the specific operating system
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(if any) on which the executable work runs, or a compiler used to
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produce the work, or an object code interpreter used to run it.
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The "Corresponding Source" for a work in object code form means all
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the source code needed to generate, install, and (for an executable
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work) run the object code and to modify the work, including scripts to
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control those activities. However, it does not include the work's
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System Libraries, or general-purpose tools or generally available free
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programs which are used unmodified in performing those activities but
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which are not part of the work. For example, Corresponding Source
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includes interface definition files associated with source files for
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the work, and the source code for shared libraries and dynamically
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linked subprograms that the work is specifically designed to require,
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such as by intimate data communication or control flow between those
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subprograms and other parts of the work.
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The Corresponding Source need not include anything that users
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can regenerate automatically from other parts of the Corresponding
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Source.
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The Corresponding Source for a work in source code form is that
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same work.
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2. Basic Permissions.
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All rights granted under this License are granted for the term of
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copyright on the Program, and are irrevocable provided the stated
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conditions are met. This License explicitly affirms your unlimited
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permission to run the unmodified Program. The output from running a
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covered work is covered by this License only if the output, given its
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content, constitutes a covered work. This License acknowledges your
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rights of fair use or other equivalent, as provided by copyright law.
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You may make, run and propagate covered works that you do not
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convey, without conditions so long as your license otherwise remains
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in force. You may convey covered works to others for the sole purpose
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of having them make modifications exclusively for you, or provide you
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with facilities for running those works, provided that you comply with
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the terms of this License in conveying all material for which you do
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not control copyright. Those thus making or running the covered works
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for you must do so exclusively on your behalf, under your direction
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and control, on terms that prohibit them from making any copies of
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your copyrighted material outside their relationship with you.
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Conveying under any other circumstances is permitted solely under
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the conditions stated below. Sublicensing is not allowed; section 10
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makes it unnecessary.
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3. Protecting Users' Legal Rights From Anti-Circumvention Law.
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No covered work shall be deemed part of an effective technological
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measure under any applicable law fulfilling obligations under article
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11 of the WIPO copyright treaty adopted on 20 December 1996, or
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similar laws prohibiting or restricting circumvention of such
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measures.
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When you convey a covered work, you waive any legal power to forbid
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circumvention of technological measures to the extent such circumvention
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is effected by exercising rights under this License with respect to
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the covered work, and you disclaim any intention to limit operation or
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modification of the work as a means of enforcing, against the work's
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users, your or third parties' legal rights to forbid circumvention of
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technological measures.
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4. Conveying Verbatim Copies.
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You may convey verbatim copies of the Program's source code as you
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receive it, in any medium, provided that you conspicuously and
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appropriately publish on each copy an appropriate copyright notice;
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keep intact all notices stating that this License and any
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non-permissive terms added in accord with section 7 apply to the code;
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keep intact all notices of the absence of any warranty; and give all
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recipients a copy of this License along with the Program.
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You may charge any price or no price for each copy that you convey,
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and you may offer support or warranty protection for a fee.
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5. Conveying Modified Source Versions.
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You may convey a work based on the Program, or the modifications to
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produce it from the Program, in the form of source code under the
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terms of section 4, provided that you also meet all of these conditions:
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b) The work must carry prominent notices stating that it is
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released under this License and any conditions added under section
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7. This requirement modifies the requirement in section 4 to
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"keep intact all notices".
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c) You must license the entire work, as a whole, under this
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License to anyone who comes into possession of a copy. This
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License will therefore apply, along with any applicable section 7
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additional terms, to the whole of the work, and all its parts,
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regardless of how they are packaged. This License gives no
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permission to license the work in any other way, but it does not
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invalidate such permission if you have separately received it.
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d) If the work has interactive user interfaces, each must display
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Appropriate Legal Notices; however, if the Program has interactive
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interfaces that do not display Appropriate Legal Notices, your
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work need not make them do so.
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in or on a volume of a storage or distribution medium, is called an
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"aggregate" if the compilation and its resulting copyright are not
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used to limit the access or legal rights of the compilation's users
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beyond what the individual works permit. Inclusion of a covered work
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in an aggregate does not cause this License to apply to the other
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parts of the aggregate.
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6. Conveying Non-Source Forms.
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You may convey a covered work in object code form under the terms
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of sections 4 and 5, provided that you also convey the
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machine-readable Corresponding Source under the terms of this License,
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in one of these ways:
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Corresponding Source fixed on a durable physical medium
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customarily used for software interchange.
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long as you offer spare parts or customer support for that product
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model, to give anyone who possesses the object code either (1) a
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copy of the Corresponding Source for all the software in the
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product that is covered by this License, on a durable physical
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medium customarily used for software interchange, for a price no
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more than your reasonable cost of physically performing this
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conveying of source, or (2) access to copy the
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Corresponding Source from a network server at no charge.
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c) Convey individual copies of the object code with a copy of the
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written offer to provide the Corresponding Source. This
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alternative is allowed only occasionally and noncommercially, and
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only if you received the object code with such an offer, in accord
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with subsection 6b.
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d) Convey the object code by offering access from a designated
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place (gratis or for a charge), and offer equivalent access to the
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Corresponding Source in the same way through the same place at no
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further charge. You need not require recipients to copy the
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Corresponding Source along with the object code. If the place to
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copy the object code is a network server, the Corresponding Source
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may be on a different server (operated by you or a third party)
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that supports equivalent copying facilities, provided you maintain
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clear directions next to the object code saying where to find the
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Corresponding Source. Regardless of what server hosts the
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Corresponding Source, you remain obligated to ensure that it is
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available for as long as needed to satisfy these requirements.
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e) Convey the object code using peer-to-peer transmission, provided
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you inform other peers where the object code and Corresponding
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Source of the work are being offered to the general public at no
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charge under subsection 6d.
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A separable portion of the object code, whose source code is excluded
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from the Corresponding Source as a System Library, need not be
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included in conveying the object code work.
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A "User Product" is either (1) a "consumer product", which means any
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tangible personal property which is normally used for personal, family,
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or household purposes, or (2) anything designed or sold for incorporation
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into a dwelling. In determining whether a product is a consumer product,
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doubtful cases shall be resolved in favor of coverage. For a particular
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product received by a particular user, "normally used" refers to a
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typical or common use of that class of product, regardless of the status
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of the particular user or of the way in which the particular user
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actually uses, or expects or is expected to use, the product. A product
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is a consumer product regardless of whether the product has substantial
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commercial, industrial or non-consumer uses, unless such uses represent
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the only significant mode of use of the product.
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"Installation Information" for a User Product means any methods,
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procedures, authorization keys, or other information required to install
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and execute modified versions of a covered work in that User Product from
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a modified version of its Corresponding Source. The information must
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suffice to ensure that the continued functioning of the modified object
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code is in no case prevented or interfered with solely because
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modification has been made.
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If you convey an object code work under this section in, or with, or
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specifically for use in, a User Product, and the conveying occurs as
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part of a transaction in which the right of possession and use of the
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User Product is transferred to the recipient in perpetuity or for a
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fixed term (regardless of how the transaction is characterized), the
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Corresponding Source conveyed under this section must be accompanied
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by the Installation Information. But this requirement does not apply
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if neither you nor any third party retains the ability to install
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modified object code on the User Product (for example, the work has
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been installed in ROM).
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The requirement to provide Installation Information does not include a
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requirement to continue to provide support service, warranty, or updates
|
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for a work that has been modified or installed by the recipient, or for
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the User Product in which it has been modified or installed. Access to a
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network may be denied when the modification itself materially and
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adversely affects the operation of the network or violates the rules and
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protocols for communication across the network.
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Corresponding Source conveyed, and Installation Information provided,
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in accord with this section must be in a format that is publicly
|
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documented (and with an implementation available to the public in
|
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source code form), and must require no special password or key for
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unpacking, reading or copying.
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7. Additional Terms.
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"Additional permissions" are terms that supplement the terms of this
|
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+
License by making exceptions from one or more of its conditions.
|
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+
Additional permissions that are applicable to the entire Program shall
|
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+
be treated as though they were included in this License, to the extent
|
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349
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+
that they are valid under applicable law. If additional permissions
|
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350
|
+
apply only to part of the Program, that part may be used separately
|
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+
under those permissions, but the entire Program remains governed by
|
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352
|
+
this License without regard to the additional permissions.
|
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353
|
+
|
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354
|
+
When you convey a copy of a covered work, you may at your option
|
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355
|
+
remove any additional permissions from that copy, or from any part of
|
|
356
|
+
it. (Additional permissions may be written to require their own
|
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357
|
+
removal in certain cases when you modify the work.) You may place
|
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+
additional permissions on material, added by you to a covered work,
|
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359
|
+
for which you have or can give appropriate copyright permission.
|
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360
|
+
|
|
361
|
+
Notwithstanding any other provision of this License, for material you
|
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362
|
+
add to a covered work, you may (if authorized by the copyright holders of
|
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363
|
+
that material) supplement the terms of this License with terms:
|
|
364
|
+
|
|
365
|
+
a) Disclaiming warranty or limiting liability differently from the
|
|
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|
+
terms of sections 15 and 16 of this License; or
|
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367
|
+
|
|
368
|
+
b) Requiring preservation of specified reasonable legal notices or
|
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369
|
+
author attributions in that material or in the Appropriate Legal
|
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370
|
+
Notices displayed by works containing it; or
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|
+
|
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+
c) Prohibiting misrepresentation of the origin of that material, or
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+
requiring that modified versions of such material be marked in
|
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|
+
reasonable ways as different from the original version; or
|
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|
+
|
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|
+
d) Limiting the use for publicity purposes of names of licensors or
|
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377
|
+
authors of the material; or
|
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378
|
+
|
|
379
|
+
e) Declining to grant rights under trademark law for use of some
|
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|
+
trade names, trademarks, or service marks; or
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381
|
+
|
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382
|
+
f) Requiring indemnification of licensors and authors of that
|
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|
+
material by anyone who conveys the material (or modified versions of
|
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384
|
+
it) with contractual assumptions of liability to the recipient, for
|
|
385
|
+
any liability that these contractual assumptions directly impose on
|
|
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|
+
those licensors and authors.
|
|
387
|
+
|
|
388
|
+
All other non-permissive additional terms are considered "further
|
|
389
|
+
restrictions" within the meaning of section 10. If the Program as you
|
|
390
|
+
received it, or any part of it, contains a notice stating that it is
|
|
391
|
+
governed by this License along with a term that is a further
|
|
392
|
+
restriction, you may remove that term. If a license document contains
|
|
393
|
+
a further restriction but permits relicensing or conveying under this
|
|
394
|
+
License, you may add to a covered work material governed by the terms
|
|
395
|
+
of that license document, provided that the further restriction does
|
|
396
|
+
not survive such relicensing or conveying.
|
|
397
|
+
|
|
398
|
+
If you add terms to a covered work in accord with this section, you
|
|
399
|
+
must place, in the relevant source files, a statement of the
|
|
400
|
+
additional terms that apply to those files, or a notice indicating
|
|
401
|
+
where to find the applicable terms.
|
|
402
|
+
|
|
403
|
+
Additional terms, permissive or non-permissive, may be stated in the
|
|
404
|
+
form of a separately written license, or stated as exceptions;
|
|
405
|
+
the above requirements apply either way.
|
|
406
|
+
|
|
407
|
+
8. Termination.
|
|
408
|
+
|
|
409
|
+
You may not propagate or modify a covered work except as expressly
|
|
410
|
+
provided under this License. Any attempt otherwise to propagate or
|
|
411
|
+
modify it is void, and will automatically terminate your rights under
|
|
412
|
+
this License (including any patent licenses granted under the third
|
|
413
|
+
paragraph of section 11).
|
|
414
|
+
|
|
415
|
+
However, if you cease all violation of this License, then your
|
|
416
|
+
license from a particular copyright holder is reinstated (a)
|
|
417
|
+
provisionally, unless and until the copyright holder explicitly and
|
|
418
|
+
finally terminates your license, and (b) permanently, if the copyright
|
|
419
|
+
holder fails to notify you of the violation by some reasonable means
|
|
420
|
+
prior to 60 days after the cessation.
|
|
421
|
+
|
|
422
|
+
Moreover, your license from a particular copyright holder is
|
|
423
|
+
reinstated permanently if the copyright holder notifies you of the
|
|
424
|
+
violation by some reasonable means, this is the first time you have
|
|
425
|
+
received notice of violation of this License (for any work) from that
|
|
426
|
+
copyright holder, and you cure the violation prior to 30 days after
|
|
427
|
+
your receipt of the notice.
|
|
428
|
+
|
|
429
|
+
Termination of your rights under this section does not terminate the
|
|
430
|
+
licenses of parties who have received copies or rights from you under
|
|
431
|
+
this License. If your rights have been terminated and not permanently
|
|
432
|
+
reinstated, you do not qualify to receive new licenses for the same
|
|
433
|
+
material under section 10.
|
|
434
|
+
|
|
435
|
+
9. Acceptance Not Required for Having Copies.
|
|
436
|
+
|
|
437
|
+
You are not required to accept this License in order to receive or
|
|
438
|
+
run a copy of the Program. Ancillary propagation of a covered work
|
|
439
|
+
occurring solely as a consequence of using peer-to-peer transmission
|
|
440
|
+
to receive a copy likewise does not require acceptance. However,
|
|
441
|
+
nothing other than this License grants you permission to propagate or
|
|
442
|
+
modify any covered work. These actions infringe copyright if you do
|
|
443
|
+
not accept this License. Therefore, by modifying or propagating a
|
|
444
|
+
covered work, you indicate your acceptance of this License to do so.
|
|
445
|
+
|
|
446
|
+
10. Automatic Licensing of Downstream Recipients.
|
|
447
|
+
|
|
448
|
+
Each time you convey a covered work, the recipient automatically
|
|
449
|
+
receives a license from the original licensors, to run, modify and
|
|
450
|
+
propagate that work, subject to this License. You are not responsible
|
|
451
|
+
for enforcing compliance by third parties with this License.
|
|
452
|
+
|
|
453
|
+
An "entity transaction" is a transaction transferring control of an
|
|
454
|
+
organization, or substantially all assets of one, or subdividing an
|
|
455
|
+
organization, or merging organizations. If propagation of a covered
|
|
456
|
+
work results from an entity transaction, each party to that
|
|
457
|
+
transaction who receives a copy of the work also receives whatever
|
|
458
|
+
licenses to the work the party's predecessor in interest had or could
|
|
459
|
+
give under the previous paragraph, plus a right to possession of the
|
|
460
|
+
Corresponding Source of the work from the predecessor in interest, if
|
|
461
|
+
the predecessor has it or can get it with reasonable efforts.
|
|
462
|
+
|
|
463
|
+
You may not impose any further restrictions on the exercise of the
|
|
464
|
+
rights granted or affirmed under this License. For example, you may
|
|
465
|
+
not impose a license fee, royalty, or other charge for exercise of
|
|
466
|
+
rights granted under this License, and you may not initiate litigation
|
|
467
|
+
(including a cross-claim or counterclaim in a lawsuit) alleging that
|
|
468
|
+
any patent claim is infringed by making, using, selling, offering for
|
|
469
|
+
sale, or importing the Program or any portion of it.
|
|
470
|
+
|
|
471
|
+
11. Patents.
|
|
472
|
+
|
|
473
|
+
A "contributor" is a copyright holder who authorizes use under this
|
|
474
|
+
License of the Program or a work on which the Program is based. The
|
|
475
|
+
work thus licensed is called the contributor's "contributor version".
|
|
476
|
+
|
|
477
|
+
A contributor's "essential patent claims" are all patent claims
|
|
478
|
+
owned or controlled by the contributor, whether already acquired or
|
|
479
|
+
hereafter acquired, that would be infringed by some manner, permitted
|
|
480
|
+
by this License, of making, using, or selling its contributor version,
|
|
481
|
+
but do not include claims that would be infringed only as a
|
|
482
|
+
consequence of further modification of the contributor version. For
|
|
483
|
+
purposes of this definition, "control" includes the right to grant
|
|
484
|
+
patent sublicenses in a manner consistent with the requirements of
|
|
485
|
+
this License.
|
|
486
|
+
|
|
487
|
+
Each contributor grants you a non-exclusive, worldwide, royalty-free
|
|
488
|
+
patent license under the contributor's essential patent claims, to
|
|
489
|
+
make, use, sell, offer for sale, import and otherwise run, modify and
|
|
490
|
+
propagate the contents of its contributor version.
|
|
491
|
+
|
|
492
|
+
In the following three paragraphs, a "patent license" is any express
|
|
493
|
+
agreement or commitment, however denominated, not to enforce a patent
|
|
494
|
+
(such as an express permission to practice a patent or covenant not to
|
|
495
|
+
sue for patent infringement). To "grant" such a patent license to a
|
|
496
|
+
party means to make such an agreement or commitment not to enforce a
|
|
497
|
+
patent against the party.
|
|
498
|
+
|
|
499
|
+
If you convey a covered work, knowingly relying on a patent license,
|
|
500
|
+
and the Corresponding Source of the work is not available for anyone
|
|
501
|
+
to copy, free of charge and under the terms of this License, through a
|
|
502
|
+
publicly available network server or other readily accessible means,
|
|
503
|
+
then you must either (1) cause the Corresponding Source to be so
|
|
504
|
+
available, or (2) arrange to deprive yourself of the benefit of the
|
|
505
|
+
patent license for this particular work, or (3) arrange, in a manner
|
|
506
|
+
consistent with the requirements of this License, to extend the patent
|
|
507
|
+
license to downstream recipients. "Knowingly relying" means you have
|
|
508
|
+
actual knowledge that, but for the patent license, your conveying the
|
|
509
|
+
covered work in a country, or your recipient's use of the covered work
|
|
510
|
+
in a country, would infringe one or more identifiable patents in that
|
|
511
|
+
country that you have reason to believe are valid.
|
|
512
|
+
|
|
513
|
+
If, pursuant to or in connection with a single transaction or
|
|
514
|
+
arrangement, you convey, or propagate by procuring conveyance of, a
|
|
515
|
+
covered work, and grant a patent license to some of the parties
|
|
516
|
+
receiving the covered work authorizing them to use, propagate, modify
|
|
517
|
+
or convey a specific copy of the covered work, then the patent license
|
|
518
|
+
you grant is automatically extended to all recipients of the covered
|
|
519
|
+
work and works based on it.
|
|
520
|
+
|
|
521
|
+
A patent license is "discriminatory" if it does not include within
|
|
522
|
+
the scope of its coverage, prohibits the exercise of, or is
|
|
523
|
+
conditioned on the non-exercise of one or more of the rights that are
|
|
524
|
+
specifically granted under this License. You may not convey a covered
|
|
525
|
+
work if you are a party to an arrangement with a third party that is
|
|
526
|
+
in the business of distributing software, under which you make payment
|
|
527
|
+
to the third party based on the extent of your activity of conveying
|
|
528
|
+
the work, and under which the third party grants, to any of the
|
|
529
|
+
parties who would receive the covered work from you, a discriminatory
|
|
530
|
+
patent license (a) in connection with copies of the covered work
|
|
531
|
+
conveyed by you (or copies made from those copies), or (b) primarily
|
|
532
|
+
for and in connection with specific products or compilations that
|
|
533
|
+
contain the covered work, unless you entered into that arrangement,
|
|
534
|
+
or that patent license was granted, prior to 28 March 2007.
|
|
535
|
+
|
|
536
|
+
Nothing in this License shall be construed as excluding or limiting
|
|
537
|
+
any implied license or other defenses to infringement that may
|
|
538
|
+
otherwise be available to you under applicable patent law.
|
|
539
|
+
|
|
540
|
+
12. No Surrender of Others' Freedom.
|
|
541
|
+
|
|
542
|
+
If conditions are imposed on you (whether by court order, agreement or
|
|
543
|
+
otherwise) that contradict the conditions of this License, they do not
|
|
544
|
+
excuse you from the conditions of this License. If you cannot convey a
|
|
545
|
+
covered work so as to satisfy simultaneously your obligations under this
|
|
546
|
+
License and any other pertinent obligations, then as a consequence you may
|
|
547
|
+
not convey it at all. For example, if you agree to terms that obligate you
|
|
548
|
+
to collect a royalty for further conveying from those to whom you convey
|
|
549
|
+
the Program, the only way you could satisfy both those terms and this
|
|
550
|
+
License would be to refrain entirely from conveying the Program.
|
|
551
|
+
|
|
552
|
+
13. Use with the GNU Affero General Public License.
|
|
553
|
+
|
|
554
|
+
Notwithstanding any other provision of this License, you have
|
|
555
|
+
permission to link or combine any covered work with a work licensed
|
|
556
|
+
under version 3 of the GNU Affero General Public License into a single
|
|
557
|
+
combined work, and to convey the resulting work. The terms of this
|
|
558
|
+
License will continue to apply to the part which is the covered work,
|
|
559
|
+
but the special requirements of the GNU Affero General Public License,
|
|
560
|
+
section 13, concerning interaction through a network will apply to the
|
|
561
|
+
combination as such.
|
|
562
|
+
|
|
563
|
+
14. Revised Versions of this License.
|
|
564
|
+
|
|
565
|
+
The Free Software Foundation may publish revised and/or new versions of
|
|
566
|
+
the GNU General Public License from time to time. Such new versions will
|
|
567
|
+
be similar in spirit to the present version, but may differ in detail to
|
|
568
|
+
address new problems or concerns.
|
|
569
|
+
|
|
570
|
+
Each version is given a distinguishing version number. If the
|
|
571
|
+
Program specifies that a certain numbered version of the GNU General
|
|
572
|
+
Public License "or any later version" applies to it, you have the
|
|
573
|
+
option of following the terms and conditions either of that numbered
|
|
574
|
+
version or of any later version published by the Free Software
|
|
575
|
+
Foundation. If the Program does not specify a version number of the
|
|
576
|
+
GNU General Public License, you may choose any version ever published
|
|
577
|
+
by the Free Software Foundation.
|
|
578
|
+
|
|
579
|
+
If the Program specifies that a proxy can decide which future
|
|
580
|
+
versions of the GNU General Public License can be used, that proxy's
|
|
581
|
+
public statement of acceptance of a version permanently authorizes you
|
|
582
|
+
to choose that version for the Program.
|
|
583
|
+
|
|
584
|
+
Later license versions may give you additional or different
|
|
585
|
+
permissions. However, no additional obligations are imposed on any
|
|
586
|
+
author or copyright holder as a result of your choosing to follow a
|
|
587
|
+
later version.
|
|
588
|
+
|
|
589
|
+
15. Disclaimer of Warranty.
|
|
590
|
+
|
|
591
|
+
THERE IS NO WARRANTY FOR THE PROGRAM, TO THE EXTENT PERMITTED BY
|
|
592
|
+
APPLICABLE LAW. EXCEPT WHEN OTHERWISE STATED IN WRITING THE COPYRIGHT
|
|
593
|
+
HOLDERS AND/OR OTHER PARTIES PROVIDE THE PROGRAM "AS IS" WITHOUT WARRANTY
|
|
594
|
+
OF ANY KIND, EITHER EXPRESSED OR IMPLIED, INCLUDING, BUT NOT LIMITED TO,
|
|
595
|
+
THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR
|
|
596
|
+
PURPOSE. THE ENTIRE RISK AS TO THE QUALITY AND PERFORMANCE OF THE PROGRAM
|
|
597
|
+
IS WITH YOU. SHOULD THE PROGRAM PROVE DEFECTIVE, YOU ASSUME THE COST OF
|
|
598
|
+
ALL NECESSARY SERVICING, REPAIR OR CORRECTION.
|
|
599
|
+
|
|
600
|
+
16. Limitation of Liability.
|
|
601
|
+
|
|
602
|
+
IN NO EVENT UNLESS REQUIRED BY APPLICABLE LAW OR AGREED TO IN WRITING
|
|
603
|
+
WILL ANY COPYRIGHT HOLDER, OR ANY OTHER PARTY WHO MODIFIES AND/OR CONVEYS
|
|
604
|
+
THE PROGRAM AS PERMITTED ABOVE, BE LIABLE TO YOU FOR DAMAGES, INCLUDING ANY
|
|
605
|
+
GENERAL, SPECIAL, INCIDENTAL OR CONSEQUENTIAL DAMAGES ARISING OUT OF THE
|
|
606
|
+
USE OR INABILITY TO USE THE PROGRAM (INCLUDING BUT NOT LIMITED TO LOSS OF
|
|
607
|
+
DATA OR DATA BEING RENDERED INACCURATE OR LOSSES SUSTAINED BY YOU OR THIRD
|
|
608
|
+
PARTIES OR A FAILURE OF THE PROGRAM TO OPERATE WITH ANY OTHER PROGRAMS),
|
|
609
|
+
EVEN IF SUCH HOLDER OR OTHER PARTY HAS BEEN ADVISED OF THE POSSIBILITY OF
|
|
610
|
+
SUCH DAMAGES.
|
|
611
|
+
|
|
612
|
+
17. Interpretation of Sections 15 and 16.
|
|
613
|
+
|
|
614
|
+
If the disclaimer of warranty and limitation of liability provided
|
|
615
|
+
above cannot be given local legal effect according to their terms,
|
|
616
|
+
reviewing courts shall apply local law that most closely approximates
|
|
617
|
+
an absolute waiver of all civil liability in connection with the
|
|
618
|
+
Program, unless a warranty or assumption of liability accompanies a
|
|
619
|
+
copy of the Program in return for a fee.
|
|
620
|
+
|
|
621
|
+
END OF TERMS AND CONDITIONS
|
|
622
|
+
|
|
623
|
+
How to Apply These Terms to Your New Programs
|
|
624
|
+
|
|
625
|
+
If you develop a new program, and you want it to be of the greatest
|
|
626
|
+
possible use to the public, the best way to achieve this is to make it
|
|
627
|
+
free software which everyone can redistribute and change under these terms.
|
|
628
|
+
|
|
629
|
+
To do so, attach the following notices to the program. It is safest
|
|
630
|
+
to attach them to the start of each source file to most effectively
|
|
631
|
+
state the exclusion of warranty; and each file should have at least
|
|
632
|
+
the "copyright" line and a pointer to where the full notice is found.
|
|
633
|
+
|
|
634
|
+
{one line to give the program's name and a brief idea of what it does.}
|
|
635
|
+
Copyright (C) {year} {name of author}
|
|
636
|
+
|
|
637
|
+
This program is free software: you can redistribute it and/or modify
|
|
638
|
+
it under the terms of the GNU General Public License as published by
|
|
639
|
+
the Free Software Foundation, either version 3 of the License, or
|
|
640
|
+
(at your option) any later version.
|
|
641
|
+
|
|
642
|
+
This program is distributed in the hope that it will be useful,
|
|
643
|
+
but WITHOUT ANY WARRANTY; without even the implied warranty of
|
|
644
|
+
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
|
|
645
|
+
GNU General Public License for more details.
|
|
646
|
+
|
|
647
|
+
You should have received a copy of the GNU General Public License
|
|
648
|
+
along with this program. If not, see <http://www.gnu.org/licenses/>.
|
|
649
|
+
|
|
650
|
+
Also add information on how to contact you by electronic and paper mail.
|
|
651
|
+
|
|
652
|
+
If the program does terminal interaction, make it output a short
|
|
653
|
+
notice like this when it starts in an interactive mode:
|
|
654
|
+
|
|
655
|
+
{project} Copyright (C) {year} {fullname}
|
|
656
|
+
This program comes with ABSOLUTELY NO WARRANTY; for details type `show w'.
|
|
657
|
+
This is free software, and you are welcome to redistribute it
|
|
658
|
+
under certain conditions; type `show c' for details.
|
|
659
|
+
|
|
660
|
+
The hypothetical commands `show w' and `show c' should show the appropriate
|
|
661
|
+
parts of the General Public License. Of course, your program's commands
|
|
662
|
+
might be different; for a GUI interface, you would use an "about box".
|
|
663
|
+
|
|
664
|
+
You should also get your employer (if you work as a programmer) or school,
|
|
665
|
+
if any, to sign a "copyright disclaimer" for the program, if necessary.
|
|
666
|
+
For more information on this, and how to apply and follow the GNU GPL, see
|
|
667
|
+
<http://www.gnu.org/licenses/>.
|
|
668
|
+
|
|
669
|
+
The GNU General Public License does not permit incorporating your program
|
|
670
|
+
into proprietary programs. If your program is a subroutine library, you
|
|
671
|
+
may consider it more useful to permit linking proprietary applications with
|
|
672
|
+
the library. If this is what you want to do, use the GNU Lesser General
|
|
673
|
+
Public License instead of this License. But first, please read
|
|
674
|
+
<http://www.gnu.org/philosophy/why-not-lgpl.html>.
|
|
675
|
+
|
metadata
CHANGED
|
@@ -1,14 +1,14 @@
|
|
|
1
1
|
--- !ruby/object:Gem::Specification
|
|
2
2
|
name: anomaly_detection
|
|
3
3
|
version: !ruby/object:Gem::Version
|
|
4
|
-
version: 0.1.
|
|
4
|
+
version: 0.1.4
|
|
5
5
|
platform: ruby
|
|
6
6
|
authors:
|
|
7
7
|
- Andrew Kane
|
|
8
8
|
autorequire:
|
|
9
9
|
bindir: bin
|
|
10
10
|
cert_chain: []
|
|
11
|
-
date: 2022-
|
|
11
|
+
date: 2022-03-19 00:00:00.000000000 Z
|
|
12
12
|
dependencies:
|
|
13
13
|
- !ruby/object:Gem::Dependency
|
|
14
14
|
name: rice
|
|
@@ -35,7 +35,6 @@ files:
|
|
|
35
35
|
- LICENSE.txt
|
|
36
36
|
- NOTICE.txt
|
|
37
37
|
- README.md
|
|
38
|
-
- ext/anomaly_detection/anomaly_detection.cpp
|
|
39
38
|
- ext/anomaly_detection/anomaly_detection.hpp
|
|
40
39
|
- ext/anomaly_detection/dist.h
|
|
41
40
|
- ext/anomaly_detection/ext.cpp
|
|
@@ -43,6 +42,7 @@ files:
|
|
|
43
42
|
- ext/anomaly_detection/stl.hpp
|
|
44
43
|
- lib/anomaly_detection.rb
|
|
45
44
|
- lib/anomaly_detection/version.rb
|
|
45
|
+
- licenses/LICENSE-AnomalyDetection-cpp.txt
|
|
46
46
|
- licenses/LICENSE-MIT-dist-h.txt
|
|
47
47
|
- licenses/LICENSE-MIT-stl-cpp.txt
|
|
48
48
|
- licenses/UNLICENSE-dist-h.txt
|
|
@@ -66,7 +66,7 @@ required_rubygems_version: !ruby/object:Gem::Requirement
|
|
|
66
66
|
- !ruby/object:Gem::Version
|
|
67
67
|
version: '0'
|
|
68
68
|
requirements: []
|
|
69
|
-
rubygems_version: 3.
|
|
69
|
+
rubygems_version: 3.3.7
|
|
70
70
|
signing_key:
|
|
71
71
|
specification_version: 4
|
|
72
72
|
summary: Time series anomaly detection for Ruby
|
|
@@ -1,139 +0,0 @@
|
|
|
1
|
-
#include <functional>
|
|
2
|
-
#include <iostream>
|
|
3
|
-
#include <iterator>
|
|
4
|
-
#include <numeric>
|
|
5
|
-
#include <string>
|
|
6
|
-
#include <vector>
|
|
7
|
-
|
|
8
|
-
#include "anomaly_detection.hpp"
|
|
9
|
-
#include "dist.h"
|
|
10
|
-
#include "stl.hpp"
|
|
11
|
-
|
|
12
|
-
namespace anomaly_detection {
|
|
13
|
-
|
|
14
|
-
float median(const std::vector<float>& sorted) {
|
|
15
|
-
return (sorted[(sorted.size() - 1) / 2] + sorted[sorted.size() / 2]) / 2.0;
|
|
16
|
-
}
|
|
17
|
-
|
|
18
|
-
float mad(const std::vector<float>& data, float med) {
|
|
19
|
-
std::vector<float> res;
|
|
20
|
-
res.reserve(data.size());
|
|
21
|
-
for (auto v : data) {
|
|
22
|
-
res.push_back(fabs(v - med));
|
|
23
|
-
}
|
|
24
|
-
std::sort(res.begin(), res.end());
|
|
25
|
-
return 1.4826 * median(res);
|
|
26
|
-
}
|
|
27
|
-
|
|
28
|
-
std::vector<size_t> detect_anoms(const std::vector<float>& data, int num_obs_per_period, float k, float alpha, bool one_tail, bool upper_tail, bool verbose, std::function<void()> check_for_interrupts) {
|
|
29
|
-
auto n = data.size();
|
|
30
|
-
|
|
31
|
-
// Check to make sure we have at least two periods worth of data for anomaly context
|
|
32
|
-
if (n < num_obs_per_period * 2) {
|
|
33
|
-
throw std::invalid_argument("series must contain at least 2 periods");
|
|
34
|
-
}
|
|
35
|
-
|
|
36
|
-
// Handle NANs
|
|
37
|
-
auto nan = std::count_if(data.begin(), data.end(), [](const auto& value) { return std::isnan(value); });
|
|
38
|
-
if (nan > 0) {
|
|
39
|
-
throw std::invalid_argument("series contains NANs");
|
|
40
|
-
}
|
|
41
|
-
|
|
42
|
-
// Decompose data. This returns a univarite remainder which will be used for anomaly detection. Optionally, we might NOT decompose.
|
|
43
|
-
auto seasonal_length = n * 10 + 1;
|
|
44
|
-
auto data_decomp = stl::params().robust(true).seasonal_length(seasonal_length).fit(data, num_obs_per_period);
|
|
45
|
-
|
|
46
|
-
auto seasonal = data_decomp.seasonal;
|
|
47
|
-
auto med = median(data);
|
|
48
|
-
std::vector<float> data2;
|
|
49
|
-
data2.reserve(n);
|
|
50
|
-
for (auto i = 0; i < n; i++) {
|
|
51
|
-
data2.push_back(data[i] - seasonal[i] - med);
|
|
52
|
-
}
|
|
53
|
-
|
|
54
|
-
std::vector<size_t> r_idx;
|
|
55
|
-
auto num_anoms = 0;
|
|
56
|
-
auto max_outliers = (size_t) n * k;
|
|
57
|
-
|
|
58
|
-
// Sort data for fast median
|
|
59
|
-
// Use stable sort for indexes for deterministic results
|
|
60
|
-
std::vector<size_t> indexes(n);
|
|
61
|
-
std::iota(indexes.begin(), indexes.end(), 0);
|
|
62
|
-
std::stable_sort(indexes.begin(), indexes.end(), [&data2](size_t a, size_t b) { return data2[a] < data2[b]; });
|
|
63
|
-
std::sort(data2.begin(), data2.end());
|
|
64
|
-
|
|
65
|
-
// Compute test statistic until r=max_outliers values have been removed from the sample
|
|
66
|
-
for (auto i = 1; i <= max_outliers; i++) {
|
|
67
|
-
check_for_interrupts();
|
|
68
|
-
|
|
69
|
-
if (verbose) {
|
|
70
|
-
std::cout << i << " / " << max_outliers << " completed" << std::endl;
|
|
71
|
-
}
|
|
72
|
-
|
|
73
|
-
// TODO Improve performance between loop iterations
|
|
74
|
-
auto ma = median(data2);
|
|
75
|
-
std::vector<float> ares;
|
|
76
|
-
ares.reserve(data2.size());
|
|
77
|
-
if (one_tail) {
|
|
78
|
-
if (upper_tail) {
|
|
79
|
-
for (auto v : data2) {
|
|
80
|
-
ares.push_back(v - ma);
|
|
81
|
-
}
|
|
82
|
-
} else {
|
|
83
|
-
for (auto v : data2) {
|
|
84
|
-
ares.push_back(ma - v);
|
|
85
|
-
}
|
|
86
|
-
}
|
|
87
|
-
} else {
|
|
88
|
-
for (auto v : data2) {
|
|
89
|
-
ares.push_back(fabs(v - ma));
|
|
90
|
-
}
|
|
91
|
-
}
|
|
92
|
-
|
|
93
|
-
// Protect against constant time series
|
|
94
|
-
auto data_sigma = mad(data2, ma);
|
|
95
|
-
if (data_sigma == 0.0) {
|
|
96
|
-
break;
|
|
97
|
-
}
|
|
98
|
-
|
|
99
|
-
auto iter = std::max_element(ares.begin(), ares.end());
|
|
100
|
-
auto r_idx_i = std::distance(ares.begin(), iter);
|
|
101
|
-
|
|
102
|
-
// Only need to take sigma of r for performance
|
|
103
|
-
auto r = ares[r_idx_i] / data_sigma;
|
|
104
|
-
|
|
105
|
-
r_idx.push_back(indexes[r_idx_i]);
|
|
106
|
-
data2.erase(data2.begin() + r_idx_i);
|
|
107
|
-
indexes.erase(indexes.begin() + r_idx_i);
|
|
108
|
-
|
|
109
|
-
// Compute critical value
|
|
110
|
-
float p;
|
|
111
|
-
if (one_tail) {
|
|
112
|
-
p = 1.0 - alpha / (n - i + 1);
|
|
113
|
-
} else {
|
|
114
|
-
p = 1.0 - alpha / (2.0 * (n - i + 1));
|
|
115
|
-
}
|
|
116
|
-
|
|
117
|
-
auto t = students_t_ppf(p, n - i - 1);
|
|
118
|
-
auto lam = t * (n - i) / sqrt(((n - i - 1) + powf(t, 2.0)) * (n - i + 1));
|
|
119
|
-
|
|
120
|
-
if (r > lam) {
|
|
121
|
-
num_anoms = i;
|
|
122
|
-
}
|
|
123
|
-
}
|
|
124
|
-
|
|
125
|
-
std::vector<size_t> anomalies(r_idx.begin(), r_idx.begin() + num_anoms);
|
|
126
|
-
|
|
127
|
-
// Sort like R version
|
|
128
|
-
std::sort(anomalies.begin(), anomalies.end());
|
|
129
|
-
|
|
130
|
-
return anomalies;
|
|
131
|
-
}
|
|
132
|
-
|
|
133
|
-
std::vector<size_t> anomalies(const std::vector<float>& x, int period, float k, float alpha, Direction direction, bool verbose, std::function<void()> check_for_interrupts) {
|
|
134
|
-
bool one_tail = direction != Direction::Both;
|
|
135
|
-
bool upper_tail = direction == Direction::Positive;
|
|
136
|
-
return detect_anoms(x, period, k, alpha, one_tail, upper_tail, verbose, check_for_interrupts);
|
|
137
|
-
}
|
|
138
|
-
|
|
139
|
-
}
|