Nicolas Goix – Evaluation of unsupervised Anomaly Detection algorithms

When sufficient labeled data are available, classical criteria based on ROC or PR curves can be used to compare the performance of unsupervised anomaly detection algorithms. However, in many situations, few or no data are labeled. This calls for alternative criteria one can compute on non-labeled data. In [ICML 2016 workshop paper], two criteria that do not require labels are empirically shown to discriminate accurately (w.r.t. ROC or PR based criteria) between algorithms. These criteria are based on existing Excess-Mass (EM) and Mass-Volume (MV) curves, which generally cannot be well estimated in large dimension. A methodology based on feature sub-sampling and aggregating is also described and tested, extending the use of these criteria to high-dimensional datasets and solving major drawbacks inherent to standard EM and MV curves.

The associated code is available here.