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Integrate CUSUM methods into change detection
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11 files changed

+331
-301
lines changed

11 files changed

+331
-301
lines changed

‎frouros/detectors/concept_drift/streaming/__init__.py‎

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Original file line numberDiff line numberDiff line change
@@ -4,9 +4,6 @@
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from .change_detection import (
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BOCD,
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BOCDConfig,
7-
)
8-
9-
from .cusum_based import (
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CUSUM,
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CUSUMConfig,
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GeometricMovingAverage,

‎frouros/detectors/concept_drift/streaming/change_detection/__init__.py‎

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@@ -1,8 +1,29 @@
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"""Concept drift change detection methods' init."""
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3-
from .bocd import BOCD, BOCDConfig
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from .bocd import (
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BOCD,
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BOCDConfig,
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)
7+
from .cusum import (
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CUSUM,
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CUSUMConfig,
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)
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from .geometric_moving_average import (
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GeometricMovingAverage,
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GeometricMovingAverageConfig,
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)
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from .page_hinkley import (
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PageHinkley,
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PageHinkleyConfig,
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)
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__all__ = [
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"BOCD",
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"BOCDConfig",
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"CUSUM",
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"CUSUMConfig",
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"GeometricMovingAverage",
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"GeometricMovingAverageConfig",
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"PageHinkley",
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"PageHinkleyConfig",
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]

‎frouros/detectors/concept_drift/streaming/change_detection/base.py‎

Lines changed: 207 additions & 1 deletion
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@@ -1,12 +1,14 @@
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"""Base concept drift ChangeDetection based module."""
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import abc
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from typing import Union
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from typing import List, Optional, Union
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6+
from frouros.callbacks.streaming.base import BaseCallbackStreaming
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from frouros.detectors.concept_drift.streaming.base import (
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BaseConceptDriftStreaming,
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BaseConceptDriftStreamingConfig,
910
)
11+
from frouros.utils.stats import Mean
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class BaseChangeDetectionConfig(BaseConceptDriftStreamingConfig):
@@ -21,3 +23,207 @@ class BaseChangeDetection(BaseConceptDriftStreaming):
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@abc.abstractmethod
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def _update(self, value: Union[int, float], **kwargs) -> None:
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pass
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class BaseCUSUMConfig(BaseChangeDetectionConfig):
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"""Class representing a CUSUM based configuration class."""
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def __init__(
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self,
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lambda_: float = 50.0,
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min_num_instances: int = 30,
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) -> None:
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"""Init method.
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:param lambda_: lambda value
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:type lambda_: float
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:param min_num_instances: minimum numbers of instances
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to start looking for changes
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:type min_num_instances: int
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"""
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super().__init__(min_num_instances=min_num_instances)
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self.lambda_ = lambda_
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@property
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def lambda_(self) -> float:
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"""Threshold property.
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:return: lambda to use
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:rtype: float
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"""
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return self._lambda
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@lambda_.setter
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def lambda_(self, value: float) -> None:
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"""Threshold setter.
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:param value: value to be set
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:type value: float
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:raises ValueError: Value error exception
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"""
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if value < 0:
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raise ValueError("lambda_ must be great or equal than 0.")
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self._lambda = value
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class DeltaConfig:
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"""Class representing a delta configuration class."""
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def __init__(
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self,
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delta: float = 0.005,
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) -> None:
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"""Init method.
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:param delta: delta value
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:type delta: float
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"""
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self.delta = delta
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@property
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def delta(self) -> float:
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"""Delta property.
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:return: delta to use
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:rtype: float
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"""
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return self._delta
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@delta.setter
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def delta(self, value: float) -> None:
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"""Delta setter.
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:param value: value to be set
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:type value: float
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:raises ValueError: Value error exception
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"""
100+
if not 0.0 <= value <= 1.0:
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raise ValueError("delta must be in the range [0, 1].")
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self._delta = value
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class AlphaConfig:
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"""Class representing an alpha configuration class."""
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def __init__(
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self,
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alpha: float = 0.9999,
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) -> None:
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"""Init method.
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:param alpha: forgetting factor value
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:type alpha: float
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"""
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self.alpha = alpha
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@property
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def alpha(self) -> float:
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"""Forgetting factor property.
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:return: forgetting factor value
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:rtype: float
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"""
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return self._alpha
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@alpha.setter
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def alpha(self, value: float) -> None:
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"""Forgetting factor setter.
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:param value: forgetting factor value
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:type value: float
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:raises ValueError: Value error exception
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"""
136+
if not 0.0 <= value <= 1.0:
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raise ValueError("alpha must be in the range [0, 1].")
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self._alpha = value
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class BaseCUSUM(BaseChangeDetection):
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"""CUSUM based algorithm class."""
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config_type = BaseCUSUMConfig
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def __init__(
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self,
148+
config: Optional[BaseCUSUMConfig] = None,
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callbacks: Optional[
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Union[BaseCallbackStreaming, List[BaseCallbackStreaming]]
151+
] = None,
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) -> None:
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"""Init method.
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:param config: configuration parameters
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:type config: Optional[BaseCUSUMConfig]
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:param callbacks: callbacks
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:type callbacks: Optional[Union[BaseCallbackStreaming,
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List[BaseCallbackStreaming]]]
160+
"""
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super().__init__(
162+
config=config,
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callbacks=callbacks,
164+
)
165+
self.additional_vars = {
166+
"mean_error_rate": Mean(),
167+
"sum_": 0.0,
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}
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self._set_additional_vars_callback()
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@property
172+
def mean_error_rate(self) -> Mean:
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"""Mean error rate property.
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:return: mean error rate to use
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:rtype: Mean
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"""
178+
return self._additional_vars["mean_error_rate"]
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@mean_error_rate.setter
181+
def mean_error_rate(self, value: Mean) -> None:
182+
"""Mean error rate setter.
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:param value: value to be set
185+
:type value: Mean
186+
"""
187+
self._additional_vars["mean_error_rate"] = value
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189+
@property
190+
def sum_(self) -> float:
191+
"""Sum count property.
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:return: sum count value
194+
:rtype: float
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"""
196+
return self._additional_vars["sum_"]
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@sum_.setter
199+
def sum_(self, value: float) -> None:
200+
"""Sum count setter.
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202+
:param value: value to be set
203+
:type value: float
204+
"""
205+
self._additional_vars["sum_"] = value
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207+
@abc.abstractmethod
208+
def _update_sum(self, error_rate: float) -> None:
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pass
210+
211+
def reset(self) -> None:
212+
"""Reset method."""
213+
super().reset()
214+
self.mean_error_rate = Mean()
215+
self.sum_ = 0.0
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217+
def _update(self, value: Union[int, float], **kwargs) -> None:
218+
self.num_instances += 1
219+
220+
self.mean_error_rate.update(value=value)
221+
self._update_sum(error_rate=value)
222+
223+
if (
224+
self.num_instances >= self.config.min_num_instances # type: ignore
225+
and self.sum_ > self.config.lambda_ # type: ignore
226+
):
227+
self.drift = True
228+
else:
229+
self.drift = False

‎frouros/detectors/concept_drift/streaming/change_detection/bocd.py‎

Lines changed: 1 addition & 1 deletion
Original file line numberDiff line numberDiff line change
@@ -47,7 +47,7 @@ class GaussianUnknownMean(BaseBOCDModel):
4747
def __init__(
4848
self,
4949
prior_mean: float = 0,
50-
prior_var: float = 0,
50+
prior_var: float = 1,
5151
data_var: float = 1,
5252
) -> None:
5353
"""Init method.

frouros/detectors/concept_drift/streaming/cusum_based/cusum.py renamed to frouros/detectors/concept_drift/streaming/change_detection/cusum.py

Lines changed: 1 addition & 1 deletion
Original file line numberDiff line numberDiff line change
@@ -2,7 +2,7 @@
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33
import numpy as np # type: ignore
44

5-
from frouros.detectors.concept_drift.streaming.cusum_based.base import (
5+
from frouros.detectors.concept_drift.streaming.change_detection.base import (
66
BaseCUSUM,
77
BaseCUSUMConfig,
88
DeltaConfig,

frouros/detectors/concept_drift/streaming/cusum_based/geometric_moving_average.py renamed to frouros/detectors/concept_drift/streaming/change_detection/geometric_moving_average.py

Lines changed: 1 addition & 1 deletion
Original file line numberDiff line numberDiff line change
@@ -1,6 +1,6 @@
11
"""Geometric Moving Average module."""
22

3-
from frouros.detectors.concept_drift.streaming.cusum_based.base import (
3+
from frouros.detectors.concept_drift.streaming.change_detection.base import (
44
BaseCUSUM,
55
BaseCUSUMConfig,
66
AlphaConfig,

frouros/detectors/concept_drift/streaming/cusum_based/page_hinkley.py renamed to frouros/detectors/concept_drift/streaming/change_detection/page_hinkley.py

Lines changed: 1 addition & 1 deletion
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@@ -1,6 +1,6 @@
11
"""Page Hinkley module."""
22

3-
from frouros.detectors.concept_drift.streaming.cusum_based.base import (
3+
from frouros.detectors.concept_drift.streaming.change_detection.base import (
44
BaseCUSUM,
55
BaseCUSUMConfig,
66
DeltaConfig,

‎frouros/detectors/concept_drift/streaming/cusum_based/__init__.py‎

Lines changed: 0 additions & 17 deletions
This file was deleted.

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