Overview
On this submit we’ll practice an autoencoder to detect bank card fraud. We will even exhibit the best way to practice Keras fashions within the cloud utilizing CloudML.
The premise of our mannequin would be the Kaggle Credit score Card Fraud Detection dataset, which was collected throughout a analysis collaboration of Worldline and the Machine Studying Group of ULB (Université Libre de Bruxelles) on massive knowledge mining and fraud detection.
The dataset incorporates bank card transactions by European cardholders revamped a two day interval in September 2013. There are 492 frauds out of 284,807 transactions. The dataset is very unbalanced, the constructive class (frauds) account for less than 0.172% of all transactions.
Studying the info
After downloading the info from Kaggle, you possibly can learn it in to R with read_csv():
The enter variables encompass solely numerical values that are the results of a PCA transformation. In an effort to protect confidentiality, no extra details about the unique options was offered. The options V1, …, V28 had been obtained with PCA. There are nonetheless 2 options (Time and Quantity) that weren’t reworked.
Time is the seconds elapsed between every transaction and the primary transaction within the dataset. Quantity is the transaction quantity and might be used for cost-sensitive studying. The Class variable takes worth 1 in case of fraud and 0 in any other case.
Autoencoders
Since solely 0.172% of the observations are frauds, we’ve a extremely unbalanced classification downside. With this sort of downside, conventional classification approaches often don’t work very effectively as a result of we’ve solely a really small pattern of the rarer class.
An autoencoder is a neural community that’s used to study a illustration (encoding) for a set of information, usually for the aim of dimensionality discount. For this downside we’ll practice an autoencoder to encode non-fraud observations from our coaching set. Since frauds are alleged to have a special distribution then regular transactions, we anticipate that our autoencoder could have greater reconstruction errors on frauds then on regular transactions. Because of this we will use the reconstruction error as a amount that signifies if a transaction is fraudulent or not.
If you wish to study extra about autoencoders, place to begin is that this video from Larochelle on YouTube and Chapter 14 from the Deep Studying ebook by Goodfellow et al.
Visualization
For an autoencoder to work effectively we’ve a powerful preliminary assumption: that the distribution of variables for regular transactions is totally different from the distribution for fraudulent ones. Let’s make some plots to confirm this. Variables had been reworked to a [0,1] interval for plotting.
We are able to see that distributions of variables for fraudulent transactions are very totally different then from regular ones, apart from the Time variable, which appears to have the very same distribution.
Preprocessing
Earlier than the modeling steps we have to do some preprocessing. We are going to cut up the dataset into practice and check units after which we’ll Min-max normalize our knowledge (that is finished as a result of neural networks work significantly better with small enter values). We will even take away the Time variable because it has the very same distribution for regular and fraudulent transactions.
Primarily based on the Time variable we’ll use the primary 200,000 observations for coaching and the remaining for testing. That is good follow as a result of when utilizing the mannequin we need to predict future frauds based mostly on transactions that occurred earlier than.
Now let’s work on normalization of inputs. We created 2 capabilities to assist us. The primary one will get descriptive statistics concerning the dataset which can be used for scaling. Then we’ve a operate to carry out the min-max scaling. It’s vital to notice that we utilized the identical normalization constants for coaching and check units.
library(purrr)
#' Will get descriptive statistics for each variable within the dataset.
get_desc <- operate(x) {
map(x, ~record(
min = min(.x),
max = max(.x),
imply = imply(.x),
sd = sd(.x)
))
}
#' Given a dataset and normalization constants it can create a min-max normalized
#' model of the dataset.
normalization_minmax <- operate(x, desc) {
map2_dfc(x, desc, ~(.x - .y$min)/(.y$max - .y$min))
}Now let’s create normalized variations of our datasets. We additionally reworked our knowledge frames to matrices since that is the format anticipated by Keras.
We are going to now outline our mannequin in Keras, a symmetric autoencoder with 4 dense layers.
library(keras)
mannequin <- keras_model_sequential()
mannequin %>%
layer_dense(models = 15, activation = "tanh", input_shape = ncol(x_train)) %>%
layer_dense(models = 10, activation = "tanh") %>%
layer_dense(models = 15, activation = "tanh") %>%
layer_dense(models = ncol(x_train))
abstract(mannequin)___________________________________________________________________________________
Layer (sort) Output Form Param #
===================================================================================
dense_1 (Dense) (None, 15) 450
___________________________________________________________________________________
dense_2 (Dense) (None, 10) 160
___________________________________________________________________________________
dense_3 (Dense) (None, 15) 165
___________________________________________________________________________________
dense_4 (Dense) (None, 29) 464
===================================================================================
Whole params: 1,239
Trainable params: 1,239
Non-trainable params: 0
___________________________________________________________________________________We are going to then compile our mannequin, utilizing the imply squared error loss and the Adam optimizer for coaching.
mannequin %>% compile(
loss = "mean_squared_error",
optimizer = "adam"
)Coaching the mannequin
We are able to now practice our mannequin utilizing the match() operate. Coaching the mannequin within reason quick (~ 14s per epoch on my laptop computer). We are going to solely feed to our mannequin the observations of regular (non-fraudulent) transactions.
We are going to use callback_model_checkpoint() to be able to save our mannequin after every epoch. By passing the argument save_best_only = TRUE we’ll carry on disk solely the epoch with smallest loss worth on the check set.
We will even use callback_early_stopping() to cease coaching if the validation loss stops reducing for five epochs.
checkpoint <- callback_model_checkpoint(
filepath = "mannequin.hdf5",
save_best_only = TRUE,
interval = 1,
verbose = 1
)
early_stopping <- callback_early_stopping(persistence = 5)
mannequin %>% match(
x = x_train[y_train == 0,],
y = x_train[y_train == 0,],
epochs = 100,
batch_size = 32,
validation_data = record(x_test[y_test == 0,], x_test[y_test == 0,]),
callbacks = record(checkpoint, early_stopping)
)Prepare on 199615 samples, validate on 84700 samples
Epoch 1/100
199615/199615 [==============================] - 17s 83us/step - loss: 0.0036 - val_loss: 6.8522e-04d from inf to 0.00069, saving mannequin to mannequin.hdf5
Epoch 2/100
199615/199615 [==============================] - 17s 86us/step - loss: 4.7817e-04 - val_loss: 4.7266e-04d from 0.00069 to 0.00047, saving mannequin to mannequin.hdf5
Epoch 3/100
199615/199615 [==============================] - 19s 94us/step - loss: 3.7753e-04 - val_loss: 4.2430e-04d from 0.00047 to 0.00042, saving mannequin to mannequin.hdf5
Epoch 4/100
199615/199615 [==============================] - 19s 94us/step - loss: 3.3937e-04 - val_loss: 4.0299e-04d from 0.00042 to 0.00040, saving mannequin to mannequin.hdf5
Epoch 5/100
199615/199615 [==============================] - 19s 94us/step - loss: 3.2259e-04 - val_loss: 4.0852e-04 enhance
Epoch 6/100
199615/199615 [==============================] - 18s 91us/step - loss: 3.1668e-04 - val_loss: 4.0746e-04 enhance
...After coaching we will get the ultimate loss for the check set through the use of the consider() fucntion.
loss <- consider(mannequin, x = x_test[y_test == 0,], y = x_test[y_test == 0,])
loss loss
0.0003534254 Tuning with CloudML
We might be able to get higher outcomes by tuning our mannequin hyperparameters. We are able to tune, for instance, the normalization operate, the educational charge, the activation capabilities and the dimensions of hidden layers. CloudML makes use of Bayesian optimization to tune hyperparameters of fashions as described in this weblog submit.
We are able to use the cloudml package deal to tune our mannequin, however first we have to put together our mission by making a coaching flag for every hyperparameter and a tuning.yml file that can inform CloudML what parameters we need to tune and the way.
The complete script used for coaching on CloudML may be discovered at https://github.com/dfalbel/fraud-autoencoder-example. An important modifications to the code had been including the coaching flags:
FLAGS <- flags(
flag_string("normalization", "minmax", "Considered one of minmax, zscore"),
flag_string("activation", "relu", "Considered one of relu, selu, tanh, sigmoid"),
flag_numeric("learning_rate", 0.001, "Optimizer Studying Fee"),
flag_integer("hidden_size", 15, "The hidden layer measurement")
)We then used the FLAGS variable contained in the script to drive the hyperparameters of the mannequin, for instance:
mannequin %>% compile(
optimizer = optimizer_adam(lr = FLAGS$learning_rate),
loss = 'mean_squared_error',
)We additionally created a tuning.yml file describing how hyperparameters ought to be diverse throughout coaching, in addition to what metric we wished to optimize (on this case it was the validation loss: val_loss).
tuning.yml
trainingInput:
scaleTier: CUSTOM
masterType: standard_gpu
hyperparameters:
objective: MINIMIZE
hyperparameterMetricTag: val_loss
maxTrials: 10
maxParallelTrials: 5
params:
- parameterName: normalization
sort: CATEGORICAL
categoricalValues: [zscore, minmax]
- parameterName: activation
sort: CATEGORICAL
categoricalValues: [relu, selu, tanh, sigmoid]
- parameterName: learning_rate
sort: DOUBLE
minValue: 0.000001
maxValue: 0.1
scaleType: UNIT_LOG_SCALE
- parameterName: hidden_size
sort: INTEGER
minValue: 5
maxValue: 50
scaleType: UNIT_LINEAR_SCALEWe describe the kind of machine we need to use (on this case a standard_gpu occasion), the metric we need to reduce whereas tuning, and the the utmost variety of trials (i.e. variety of combos of hyperparameters we need to check). We then specify how we need to range every hyperparameter throughout tuning.
You’ll be able to study extra concerning the tuning.yml file on the Tensorflow for R documentation and at Google’s official documentation on CloudML.
Now we’re able to ship the job to Google CloudML. We are able to do that by operating:
library(cloudml)
cloudml_train("practice.R", config = "tuning.yml")The cloudml package deal takes care of importing the dataset and putting in any R package deal dependencies required to run the script on CloudML. If you’re utilizing RStudio v1.1 or greater, it can additionally permit you to monitor your job in a background terminal. You can even monitor your job utilizing the Google Cloud Console.
After the job is completed we will acquire the job outcomes with:
It will copy the information from the job with the very best val_loss efficiency on CloudML to your native system and open a report summarizing the coaching run.
Since we used a callback to save lots of mannequin checkpoints throughout coaching, the mannequin file was additionally copied from Google CloudML. Information created throughout coaching are copied to the “runs” subdirectory of the working listing from which cloudml_train() known as. You’ll be able to decide this listing for the latest run with:
[1] runs/cloudml_2018_01_23_221244595-03You can even record all earlier runs and their validation losses with:
ls_runs(order = metric_val_loss, reducing = FALSE) run_dir metric_loss metric_val_loss
1 runs/2017-12-09T21-01-11Z 0.2577 0.1482
2 runs/2017-12-09T21-00-11Z 0.2655 0.1505
3 runs/2017-12-09T19-59-44Z 0.2597 0.1402
4 runs/2017-12-09T19-56-48Z 0.2610 0.1459
Use View(ls_runs()) to view all columnsIn our case the job downloaded from CloudML was saved to runs/cloudml_2018_01_23_221244595-03/, so the saved mannequin file is obtainable at runs/cloudml_2018_01_23_221244595-03/mannequin.hdf5. We are able to now use our tuned mannequin to make predictions.
Making predictions
Now that we skilled and tuned our mannequin we’re able to generate predictions with our autoencoder. We have an interest within the MSE for every commentary and we anticipate that observations of fraudulent transactions could have greater MSE’s.
First, let’s load our mannequin.
mannequin <- load_model_hdf5("runs/cloudml_2018_01_23_221244595-03/mannequin.hdf5",
compile = FALSE)Now let’s calculate the MSE for the coaching and check set observations.
A superb measure of mannequin efficiency in extremely unbalanced datasets is the Space Below the ROC Curve (AUC). AUC has a pleasant interpretation for this downside, it’s the chance {that a} fraudulent transaction could have greater MSE then a standard one. We are able to calculate this utilizing the Metrics package deal, which implements all kinds of widespread machine studying mannequin efficiency metrics.
[1] 0.9546814
[1] 0.9403554To make use of the mannequin in follow for making predictions we have to discover a threshold (ok) for the MSE, then if if (MSE > ok) we contemplate that transaction a fraud (in any other case we contemplate it regular). To outline this worth it’s helpful to take a look at precision and recall whereas various the brink (ok).
possible_k <- seq(0, 0.5, size.out = 100)
precision <- sapply(possible_k, operate(ok) {
predicted_class <- as.numeric(mse_test > ok)
sum(predicted_class == 1 & y_test == 1)/sum(predicted_class)
})
qplot(possible_k, precision, geom = "line")
+ labs(x = "Threshold", y = "Precision")
recall <- sapply(possible_k, operate(ok) {
predicted_class <- as.numeric(mse_test > ok)
sum(predicted_class == 1 & y_test == 1)/sum(y_test)
})
qplot(possible_k, recall, geom = "line")
+ labs(x = "Threshold", y = "Recall")
A superb place to begin can be to decide on the brink with most precision however we might additionally base our resolution on how a lot cash we would lose from fraudulent transactions.
Suppose every guide verification of fraud prices us $1 but when we don’t confirm a transaction and it’s a fraud we’ll lose this transaction quantity. Let’s discover for every threshold worth how a lot cash we’d lose.
cost_per_verification <- 1
lost_money <- sapply(possible_k, operate(ok) {
predicted_class <- as.numeric(mse_test > ok)
sum(cost_per_verification * predicted_class + (predicted_class == 0) * y_test * df_test$Quantity)
})
qplot(possible_k, lost_money, geom = "line") + labs(x = "Threshold", y = "Misplaced Cash")
We are able to discover the very best threshold on this case with:
[1] 0.005050505If we wanted to manually confirm all frauds, it might price us ~$13,000. Utilizing our mannequin we will cut back this to ~$2,500.