feat: Multivariate threshold using Mahalanobis distance

Signed-off-by: Avik Basu <[email protected]>

numalogic/config/factory.py

@@ -63,12 +63,14 @@ class PostprocessFactory(_ObjectFactory):
 class ThresholdFactory(_ObjectFactory):
     """Factory class to create threshold instances."""
 
-    from numalogic.models.threshold import StdDevThreshold, StaticThreshold, SigmoidThreshold
+    from numalogic.models.threshold import \
+        StdDevThreshold, MahalanobisThreshold, StaticThreshold, SigmoidThreshold
 
     _CLS_MAP: ClassVar[dict] = {
         "StdDevThreshold": StdDevThreshold,
         "StaticThreshold": StaticThreshold,
         "SigmoidThreshold": SigmoidThreshold,
+        "MahalanobisThreshold": MahalanobisThreshold,
     }
 
 

numalogic/models/threshold/__init__.py

@@ -1,4 +1,5 @@
 from numalogic.models.threshold._std import StdDevThreshold
+from numalogic.models.threshold._mahalanobis import MahalanobisThreshold
 from numalogic.models.threshold._static import StaticThreshold, SigmoidThreshold
 
-__all__ = ["StdDevThreshold", "StaticThreshold", "SigmoidThreshold"]
+__all__ = ["StdDevThreshold", "StaticThreshold", "SigmoidThreshold", "MahalanobisThreshold"]

numalogic/models/threshold/_mahalanobis.py

@@ -0,0 +1,145 @@
+from typing import Final
+
+import numpy as np
+import numpy.typing as npt
+
+from numalogic.base import BaseThresholdModel
+from typing_extensions import Self
+
+from numalogic.tools.exceptions import ModelInitializationError
+
+_INLIER: Final[int] = 0
+_OUTLIER: Final[int] = 1
+
+
+class MahalanobisThreshold(BaseThresholdModel):
+    """
+    Multivariate threshold estimator using Mahalanobis distance.
+
+    The maximum outlier probability is used to calculate the k value
+    using Chebyshev's inequality. This basically means that the
+    probability of values lying outside the interval
+    (mean - k * std, mean + k * std) is not more than max_outlier_prob.
+    A value of 0.1 means that 90% of the values lie within the interval and
+    10% of the values lie outside the interval.
+
+    The threshold is calculated as the
+    mean of Mahalanobis distance plus k times the standard deviation
+    of Mahalanobis distance.
+
+    Args:
+    ----
+        max_outlier_prob: maximum outlier probability (default: 0.1)
+
+    Raises
+    ------
+        ValueError: if max_outlier_prob is not in range (0, 1)
+    """
+
+    def __init__(self, max_outlier_prob: float = 0.1):
+        if not 0.0 < max_outlier_prob < 1.0:
+            raise ValueError("max_outlier_prob should be in range (0, 1)")
+        self._k = self._chebyshev_k(max_outlier_prob)
+        self._distr_mean = None
+        self._cov_inv = None
+        self._md_thresh = None
+        self._is_fitted = False
+
+    @property
+    def threshold(self):
+        """Returns the threshold value."""
+        return self._md_thresh
+
+    @property
+    def std_factor(self):
+        """Returns the k value calculated using Chebyshev's inequality."""
+        return self._k
+
+    @staticmethod
+    def _chebyshev_k(p: float) -> float:
+        """Calculate the k value using Chebyshev's inequality."""
+        return np.reciprocal(np.sqrt(p))
+
+    def fit(self, x: npt.NDArray[float]) -> Self:
+        """
+        Fit the estimator on the training set.
+
+        Args:
+        ----
+            x: training data
+
+        Returns
+        -------
+            self
+        """
+        self._distr_mean = np.mean(x, axis=0)
+        cov = np.cov(x, rowvar=False)
+        self._cov_inv = np.linalg.inv(cov)
+        mahal_dist = self.mahalanobis(x)
+        self._md_thresh = np.mean(mahal_dist) + self._k * np.std(mahal_dist)
+        self._is_fitted = True
+        return self
+
+    def mahalanobis(self, x: npt.NDArray[float]) -> npt.NDArray[float]:
+        """
+        Calculate the Mahalanobis distance.
+
+        Args:
+        ----
+            x: input data
+
+        Returns
+        -------
+            Mahalanobis distance vector
+        """
+        x_distance = x - self._distr_mean
+        mahal_grid = x_distance @ self._cov_inv @ x_distance.T
+        return np.sqrt(np.diagonal(mahal_grid))
+
+    def predict(self, x: npt.NDArray[float]) -> npt.NDArray[int]:
+        """
+        Returns an integer array of same shape as input.
+        0 denotes inlier, 1 denotes outlier.
+
+        Args:
+        ----
+            x: input data
+
+        Returns
+        -------
+            Integer Array of 0s and 1s
+
+        Raises
+        ------
+            RuntimeError: if the model is not fitted yet
+        """
+        if not self._is_fitted:
+            raise ModelInitializationError("Model not fitted yet.")
+        md = self.mahalanobis(x)
+        y_hat = np.zeros_like(x)
+        y_hat[md < self._md_thresh] = _INLIER
+        y_hat[md >= self._md_thresh] = _OUTLIER
+        return y_hat
+
+    def score_samples(self, x: npt.NDArray[float]) -> npt.NDArray[float]:
+        """
+        Returns the outlier score for each sample.
+
+        Score is calculated as the ratio of Mahalanobis distance to threshold.
+        A score greater than 1.0 means that the sample is an outlier.
+
+        Args:
+        ----
+            x: input data
+
+        Returns
+        -------
+            Outlier score for each sample
+
+        Raises
+        ------
+            RuntimeError: if the model is not fitted yet
+        """
+        if not self._is_fitted:
+            raise ModelInitializationError("Model not fitted yet.")
+        return self.mahalanobis(x) / self._md_thresh

numalogic/registry/dynamodb_registry.py

@@ -80,7 +80,8 @@ class DynamoDBRegistry(ArtifactManager):
         role: AWS role with access to DynamoDB table
         models_to_retain: number of models to retain in the DB (default = 2)
         cache_registry: ArtifactCache instance, must have an expiration set for the
-         model to be refreshed
+         model to be refreshed.
+
     Examples
     --------
     >>> from numalogic.models.autoencoder.variants import VanillaAE