Unable to detect anomaly in data that appears anomalous

[nnoradie]

System information

• OS version/distro:
• .NET Version (eg., dotnet --info):
  

Issue

• What did you do?
  Attempted to detect anomalies on time series data

• What happened?
  No anomalies were detected
  
  

• What did you expect?
  An anomaly on either the 1st or 2nd data point

Source code / logs

no_anomalies_detected_data.zip

Sensitivity=100, SeasonalPeriodForAnomalyDetection=-1 (we set it to 0 when it is < 0), Threshold=0.1

Please paste or attach the code or logs or traces that would be helpful to diagnose the issue you are reporting.

[guinao]

` [Fact]
public void TestRunSrCnnAnomalyDetector()
{
var ml = new MLContext(1);
IDataView dataView;
List data = new List();

        var dataPath = @"PathToInputFile";
        var outputPath = @"PathToOutputFile";
        var valueColumnIndex = 1;

        // Load data from file into the dataView

        using StreamReader inputFile = new StreamReader(dataPath);
        var line = inputFile.ReadLine();
        while((line = inputFile.ReadLine()) != null)
        {
            var content = line.Split(",".ToCharArray());
            data.Add(new TimeSeriesDataDouble { Value=Double.Parse(content[valueColumnIndex]) });
        }
        dataView = ml.Data.LoadFromEnumerable<TimeSeriesDataDouble>(data);

        // Setup the detection arguments
        string outputColumnName = nameof(SrCnnAnomalyDetection.Prediction);
        string inputColumnName = nameof(TimeSeriesDataDouble.Value);

        // Do batch anomaly detection
        var options = new SrCnnEntireAnomalyDetectorOptions()
        {
            Threshold = 0.23,
            BatchSize = -1,
            Sensitivity = 53.0,
            DetectMode = SrCnnDetectMode.AnomalyAndMargin,
            Period = 0,
            DeseasonalityMode = SrCnnDeseasonalityMode.Stl
        };

        var outputDataView = ml.AnomalyDetection.DetectEntireAnomalyBySrCnn(dataView, outputColumnName, inputColumnName, options);

        // Getting the data of the newly created column as an IEnumerable of SrCnnAnomalyDetection.
        var predictionColumn = ml.Data.CreateEnumerable<SrCnnAnomalyDetection>(
            outputDataView, reuseRowObject: false);

        using StreamWriter file = new StreamWriter(outputPath, false);
        file.WriteLine("value,isAnomaly,anomalyScore,magnitude,expectedValue,boundaryUnits,upperBoundary,lowerBoundary");
        var k = 0;
        foreach (var prediction in predictionColumn)
        {
            file.WriteLine("{0},{1},{2},{3},{4},{5},{6},{7}", data[k].Value, 
                prediction.Prediction[0], prediction.Prediction[1], prediction.Prediction[2], prediction.Prediction[3], prediction.Prediction[4], prediction.Prediction[5], prediction.Prediction[6]);
            ++k;
        }
    }

`
Could you use this script to run the case and update the output here?

[nnoradie]

Here's the output I got. Looks like no anomalies were detected

value,isAnomaly,anomalyScore,magnitude,expectedValue,boundaryUnits,upperBoundary,lowerBoundary
181.944,0,0,0.522966128746679,177.443091674641,103.145815789474,363.105560095693,-8.21937674641117
37.176,0,0,0.745155271671293,41.731366507177,104.393815789474,229.640234928229,-146.177501913875
57.14,0,0,0.136707235856698,52.5301753110048,105.641815789474,242.685443732057,-137.625093110047
67.128,0,0,0.0850154360612621,71.7922828708134,106.889815789474,264.193951291866,-120.609385550239
72.12,0,0,0.0591133826385268,67.9172361171339,108.137815789474,262.565304538186,-126.730832303918
77.112,0,0,0.0404630444656698,76.9609900863512,108.386815789474,272.057258507403,-118.135278334701
82.104,0,0,0.0176426322801254,84.9100212024565,108.635815789474,280.454489623509,-110.634447218596
83.1,0,0,0.0407285436916503,79.703903546285,108.635815789474,275.248371967337,-115.840564874767
87.09,0,0,0.0240877864738463,89.4251290248719,110.630815789474,288.560597445924,-109.71033939618
92.088,0,0,0.00958621604240923,91.5221811402331,113.090815789474,295.085649561285,-112.041287280819
92.01,0,0,0.0441215707348716,91.1346791375452,113.129815789474,294.768347558597,-112.498989283507
97.08,0,0,0.0295952132892941,98.36993909615,115.625815789474,306.496407517202,-109.756529324902
102.072,0,0,0.0163203092514839,101.501352193267,118.121815789474,314.120620614319,-111.117916227785
107.05,0,0,0.02164138229226,106.231499044153,120.610815789474,323.330967465205,-110.8679693769
107.06,0,0,0.0592867107998528,109.168240468027,120.615815789474,326.27670888908,-107.940227953025
117.048,0,0,0.0295676779099656,114.440282315818,125.609815789474,340.53795073687,-111.657386105234
122.04,0,0,0.0331004407058219,124.071088970008,128.105815789474,354.661557391061,-106.519379451044
132.024,0,0,0.0312363029168756,131.400139994489,133.097815789474,370.976208415541,-108.175928426564
147,0,0,0.0775118579077661,146.038275536252,140.585815789474,399.092743957304,-107.016192884801
151.82,0,0,0.0598045713810684,153.80015468422,142.945815789474,411.102623105272,-103.502313736832
151.992,0,0,0.0454796096199837,150.042847907984,142.995815789474,407.435316329036,-107.349620513068
151.72,0,0,0.0345565564469605,152.604906834188,143.055815789474,410.10537525524,-104.895561586864
151.94,0,0,0.0165437153609649,152.633578289076,143.081815789474,410.180846710128,-104.913690131976
156.969,0,0,0.0514029138377458,154.972039905732,145.545815789474,416.954508326785,-107.01042851532
156.984,0,0,0.0371400702625073,159.317415743382,145.570315789474,421.343984164434,-102.70915267767
156.92,0,0,0.0265062296857799,155.473270112141,145.577815789474,417.513338533193,-106.566798308911
161.976,0,0,0.0563217473605611,161.643982420086,148.055815789474,428.144450841138,-104.856486000966
161.94,0,0,0.0288975265968351,164.137459420599,148.070815789474,430.664927841652,-102.390009000453
161.97,0,0,0.0193578473815232,158.75933018877,148.073815789474,425.292198609822,-107.773538232282
166.968,0,0,0.0251727532424213,169.69585533932,150.569815789474,440.721523760372,-101.329813081732
176.952,0,0,0.0678386468339108,176.220076509857,155.561815789474,456.231344930909,-103.791191911195
181.94,0,0,0.0515876270252644,179.855132041855,158.055815789474,464.355600462907,-104.645336379197
186.936,0,0,0.0302207536901738,191.475152683818,159.304815789474,478.22382110487,-95.2735157372339
201.91,0,0,0.134792954830084,196.508096906239,160.553815789474,485.504965327291,-92.4887715148131
201.912,0,0,0.0794219555743357,205.810422687736,164.294815789474,501.541091108788,-89.9202457333166
201.9,0,0,0.056394182910596,201.839752928706,168.035815789474,504.304221349759,-100.624715492346
206.904,0,0,0.0624443233190773,201.683491536713,168.038315789474,504.152459957765,-100.785476884339
216.88,0,0,0.152018791404235,224.212690143541,168.040815789474,526.686158564593,-78.2607782775114

[guinao]

The root cause lies in the SR score function, which is
score = abs(mag - ave_mag) / ave_mag.

For the first point, ave_mag = mag, then
score_0 = (mag_0 - mag_0) / mag_0 = 0

For the second point, ave_mag = (mag_0 + mag_1) / 2, then
score_1 = (mag_1 - (mag_0 + mag_1) / 2) / ((mag_0 + mag_1) / 2) = abs(mag_1 - mag_0) / (mag_0 + mag_1) < 1.

So both two can not ever become anomaly points.

We proposed the solution to use the ave_mag of first full window to replace the avg_mag of first W points, where W is the score window size.

[guinao]

The output after the fix is attached below. with parameters

            var options = new SrCnnEntireAnomalyDetectorOptions()
            {
                Threshold = 0.20,
                BatchSize = -1,
                Sensitivity = 99.0,
                DetectMode = SrCnnDetectMode.AnomalyAndMargin,
                Period = 0,
                DeseasonalityMode = SrCnnDeseasonalityMode.Stl
            };

value | isAnomaly | anomalyScore | magnitude | expectedValue | boundaryUnits | upperBoundary | lowerBoundary
181.944 | 1 | 0.075261 | 0.522966 | 187.8224 | 104.8348 | 187.8538 | 187.7909
37.176 | 1 | 0.402395 | 0.745155 | 123.0586 | 106.0828 | 123.0905 | 123.0268
57.14 | 0 | 0 | 0.136707 | 61.82353 | 107.3308 | 61.85573 | 61.79133
67.128 | 0 | 0 | 0.085015 | 62.39002 | 108.5788 | 62.42259 | 62.35744
72.12 | 0 | 0 | 0.059113 | 75.75983 | 109.8268 | 75.79277 | 75.72688
77.112 | 0 | 0 | 0.040463 | 75.72429 | 110.0758 | 75.75731 | 75.69127
82.104 | 0 | 0 | 0.017643 | 81.58817 | 110.3248 | 81.62127 | 81.55507
83.1 | 0 | 0 | 0.040729 | 84.67297 | 110.3248 | 84.70607 | 84.63988
87.09 | 0 | 0 | 0.024088 | 85.50223 | 112.3198 | 85.53592 | 85.46853
92.088 | 0 | 0 | 0.009586 | 92.8119 | 114.7798 | 92.84633 | 92.77746
92.01 | 0 | 0 | 0.044122 | 92.58165 | 114.8188 | 92.61609 | 92.5472
97.08 | 0 | 0 | 0.029595 | 95.33322 | 117.3148 | 95.36842 | 95.29803
102.072 | 0 | 0 | 0.01632 | 104.4254 | 119.8108 | 104.4613 | 104.3895
107.05 | 0 | 0 | 0.021641 | 104.8445 | 122.2998 | 104.8812 | 104.8078
107.06 | 0 | 0 | 0.059287 | 108.4873 | 122.3048 | 108.524 | 108.4506
117.048 | 0 | 0 | 0.029568 | 116.6705 | 127.2988 | 116.7087 | 116.6323
122.04 | 0 | 0 | 0.0331 | 121.5268 | 129.7948 | 121.5658 | 121.4879
132.024 | 0 | 0 | 0.031236 | 132.9459 | 134.7868 | 132.9864 | 132.9055
147 | 0 | 0 | 0.077512 | 146.2425 | 142.2748 | 146.2852 | 146.1998
151.82 | 0 | 0 | 0.059805 | 151.9991 | 144.6348 | 152.0425 | 151.9557
151.992 | 0 | 0 | 0.04548 | 152.4825 | 144.6848 | 152.5259 | 152.4391
151.72 | 0 | 0 | 0.034557 | 150.8038 | 144.7448 | 150.8473 | 150.7604
151.94 | 0 | 0 | 0.016544 | 152.8378 | 144.7708 | 152.8813 | 152.7944
156.969 | 0 | 0 | 0.051403 | 156.5178 | 147.2348 | 156.562 | 156.4736
156.984 | 0 | 0 | 0.03714 | 156.7732 | 147.2593 | 156.8173 | 156.729
156.92 | 0 | 0 | 0.026506 | 157.7035 | 147.2668 | 157.7477 | 157.6593
161.976 | 0 | 0 | 0.056322 | 160.963 | 149.7448 | 161.0079 | 160.9181
161.94 | 0 | 0 | 0.028898 | 162.7505 | 149.7598 | 162.7954 | 162.7055
161.97 | 0 | 0 | 0.019358 | 161.6834 | 149.7628 | 161.7283 | 161.6384
166.968 | 0 | 0 | 0.025173 | 166.6591 | 152.2588 | 166.7048 | 166.6135
176.952 | 0 | 0 | 0.067839 | 177.667 | 157.2508 | 177.7142 | 177.6199
181.94 | 0 | 0 | 0.051588 | 181.1448 | 159.7448 | 181.1928 | 181.0969
186.936 | 0 | 0 | 0.030221 | 187.5522 | 160.9938 | 187.6005 | 187.504
201.91 | 0 | 0 | 0.134793 | 201.4772 | 162.2428 | 201.5258 | 201.4285
201.912 | 0 | 0 | 0.079422 | 202.4886 | 165.9838 | 202.5384 | 202.4388
201.9 | 0 | 0 | 0.056394 | 200.6031 | 169.7248 | 200.654 | 200.5521
206.904 | 0 | 0 | 0.062444 | 209.5261 | 169.7273 | 209.577 | 209.4752
216.88 | 0 | 0 | 0.152019 | 212.5762 | 169.7298 | 212.6271 | 212.5252

[antoniovs1029]

It seems this got fixed in #5502 . Thanks @guinao for fixing it!