Source code for

k-means Scorer

`k`-means Scorer implementing `k`-means clustering [1]_.

.. [1]

from typing import Sequence

import numpy as np
from numpy.lib.stride_tricks import sliding_window_view
from sklearn.cluster import KMeans

from import FittableAnomalyScorer
from darts.logging import raise_if_not
from darts.timeseries import TimeSeries

[docs]class KMeansScorer(FittableAnomalyScorer): def __init__( self, window: int = 1, k: int = 8, component_wise: bool = False, diff_fn="abs_diff", **kwargs, ) -> None: """ When calling ``fit(series)``, a moving window is applied, which results in a set of vectors of size `W`, where `W` is the window size. The `k`-means model is trained on these vectors. The ``score(series)`` function applies the same moving window and returns the distance to the closest of the `k` centroids for each vector of size `W`. Alternatively, the scorer has the functions ``fit_from_prediction()`` and ``score_from_prediction()``. Both require two series (actual and prediction), and compute a "difference" series by applying the function ``diff_fn`` (default: absolute difference). The resulting series is then passed to the functions ``fit()`` and ``score()``, respectively. `component_wise` is a boolean parameter indicating how the model should behave with multivariate inputs series. If set to True, the model will treat each component independently by fitting a different `k`-means model for each dimension. If set to False, the model concatenates the dimensions in each windows of length `W` and computes the score using only one underlying `k`-means model. **Training with** ``fit()``: The input can be a series (univariate or multivariate) or multiple series. The series will be sliced into equal size subsequences. The subsequence will be of size `W` * `D`, with: * `W` being the size of the window given as a parameter `window` * `D` being the dimension of the series (`D` = 1 if univariate or if `component_wise` is set to True) For a series of length `N`, (`N` - `W` + 1)/W subsequences will be generated. If a list of series is given of length L, each series will be partitioned into subsequences, and the results will be concatenated into an array of length L * number of subsequences of each series. The `k`-means model will be fitted on the generated subsequences. The model will find `k` clusters in the vector space of dimension equal to the length of the subsequences (`D` * `W`). If `component_wise` is set to True, the algorithm will be applied to each dimension independently. For each dimension, a `k`-means model will be trained. **Computing score with** ``score()``: The input can be a series (univariate or multivariate) or a sequence of series. The given series must have the same dimension `D` as the data used to train the `k`-means model. For each series, if the series is multivariate of dimension `D`: * if `component_wise` is set to False: it returns a univariate series (dimension=1). It represents the anomaly score of the entire series in the considered window at each timestamp. * if `component_wise` is set to True: it returns a multivariate series of dimension `D`. Each dimension represents the anomaly score of the corresponding component of the input. If the series is univariate, it returns a univariate series regardless of the parameter `component_wise`. A window of size `W` is rolled on the series with a stride equal to 1. It is the same size window `W` used during the training phase. Each value in the score series thus represents how anomalous the sample of the `W` previous values is. Parameters ---------- window Size of the window used to create the subsequences of the series. k The number of clusters to form as well as the number of centroids to generate by the KMeans model. diff_fn Optionally, reduction function to use if two series are given. It will transform the two series into one. This allows the KMeansScorer to apply KMeans on the original series or on its residuals (difference between the prediction and the original series). Must be one of "abs_diff" and "diff" (defined in ``_diff_series()``). Default: "abs_diff" component_wise Boolean value indicating if the score needs to be computed for each component independently (True) or by concatenating the component in the considered window to compute one score (False). Default: False kwargs Additional keyword arguments passed to the internal scikit-learn KMeans model(s). """ raise_if_not( type(component_wise) is bool, # noqa: E721 f"Parameter `component_wise` must be Boolean, found type: {type(component_wise)}.", ) self.component_wise = component_wise self.kmeans_kwargs = kwargs self.kmeans_kwargs["n_clusters"] = k # stop warning about default value of "n_init" changing from 10 to "auto" in sklearn 1.4 if "n_init" not in self.kmeans_kwargs: self.kmeans_kwargs["n_init"] = 10 super().__init__( univariate_scorer=(not component_wise), window=window, diff_fn=diff_fn ) def __str__(self): return "k-means Scorer" def _fit_core( self, list_series: Sequence[TimeSeries], ): list_np_series = [series.all_values(copy=False) for series in list_series] if not self.component_wise: self.model = KMeans(**self.kmeans_kwargs) np.concatenate( [ sliding_window_view(ar, window_shape=self.window, axis=0) .transpose(0, 3, 1, 2) .reshape(-1, self.window * len(ar[0])) for ar in list_np_series ], axis=0, ) ) else: models = [] for component_idx in range(self.width_trained_on): model = KMeans(**self.kmeans_kwargs) np.concatenate( [ sliding_window_view( ar[:, component_idx], window_shape=self.window, axis=0 ) .transpose(0, 2, 1) .reshape(-1, self.window) for ar in list_np_series ], axis=0, ) ) models.append(model) self.models = models def _score_core(self, series: TimeSeries) -> TimeSeries: raise_if_not( self.width_trained_on == series.width, "Input must have the same number of components as the data used for" + " training the KMeans model, found number of components equal to" + f" {series.width} and expected {self.width_trained_on}.", ) np_series = series.all_values(copy=False) np_anomaly_score = [] if not self.component_wise: # return distance to the clostest centroid np_anomaly_score.append( self.model.transform( sliding_window_view(np_series, window_shape=self.window, axis=0) .transpose(0, 3, 1, 2) .reshape(-1, self.window * series.width) ).min(axis=1) ) # only return the closest distance out of the k ones (k centroids) else: for component_idx in range(self.width_trained_on): score = ( self.models[component_idx] .transform( sliding_window_view( np_series[:, component_idx], window_shape=self.window, axis=0, ) .transpose(0, 2, 1) .reshape(-1, self.window) ) .min(axis=1) ) np_anomaly_score.append(score) return TimeSeries.from_times_and_values( series.time_index[self.window - 1 :], list(zip(*np_anomaly_score)) )