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I have a question about Calculating anomaly score for Anomaly detection using One-Class SVM. My question is that: How can I calculate it using decision_function(X), just the way I calculate anomaly score in Isolation forest? Thanks a lot,

N T
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3 Answers3

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In Isolation Forests, anomaly score is a measure of the deviation of average length of the path required to single out a particular observation from the average length of path required to single out a "normal" observation

The average here is taken over all the different trees that are used. Since SVM is not an ensemble method - this notion of anomaly score does not directly apply.

One way, and I don't know how statistically/scientifically sound this is, of measuring an anomaly score is to build multiple SVM classifiers based on a subset of predictors. You could then use the percentage of times a particular point is classified as an outlier as a proxy for an anomaly score.

Mortz
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Yes, you have to use decision_function() as the measure of anomaly score in one class SVM.

Have a look at this example, you might get better understanding. 

clf.decision_function(X_test)
# returns the signed distance to the separating hyperplane.
# Signed distance is positive for an inlier and negative for an outlier.
Venkatachalam
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  • Thanks a lot for your reply, but any example on how to calculate anomaly score from calculating the decision_function()? – N T Dec 30 '18 at 11:50
  • I have given sample command in my answer, but go through the example link, which has more explanation about `OneClassSVM`. – Venkatachalam Dec 30 '18 at 13:42
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This is a know issue by default scikit implementation does NOT provide an anomally score.

A way to tackle the issue is to use the decision_function (https://scikit-learn.org/stable/modules/generated/sklearn.svm.OneClassSVM.html#sklearn.svm.OneClassSVM.decision_function) but with the following way :

anomaly_metric[i] = max_value_decision_fn - decision_fn[i]

where i is the i-th data point.

sources: https://activisiongamescience.github.io/2015/12/23/Unsupervised-Anomaly-Detection-SOD-vs-One-class-SVM/#sklearn-Users-Beware

How to calculate AUC for One Class SVM in python?

partizanos
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