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From cestella <>
Subject [GitHub] metron pull request #870: METRON-1364: Add an implementation of Robust PCA o...
Date Fri, 15 Dec 2017 21:40:25 GMT
GitHub user cestella opened a pull request:

    METRON-1364: Add an implementation of Robust PCA outlier detection

    ## Contributor Comments
    With short circuiting in Stellar, we have the opportunity to delve into more computationally
intensive outlier detection techniques. Generally these would be executed only if simpler
outlier detection techniques indicated an outlier (e.g. statistical outlier tests).
    As the first one of these supported, I'd suggest a Robust PCA based technique similar
to Netflix's Surus. See
and for
more detail.
    It should be noted that there are some caveats with this approach around sparsity and
    Regarding sparsity,this outlier detection algorithm presumes dense output, which is not
the case for data spanning profiles (e.g. the profiler does not write out data every period
if no data was seen). To deal with this, I am suggesting a modification to the profiler to
allow PROFILE_GET to return a default value. That will be done in a separate JIRA.
    Regarding well-orderedness, this is an outlier detector for time series data, so it is
sensitive to order to a certain extent. Given its computational intensity, it is likely to
be used with a sample of the data to shrink the size of the data. To that end, uniform sampling
is not sensible here, but rather a biased sample for recency. Without this, you may get poor
results from this outlier detector. This sampler should be done in a separate JIRA, but I
will ensure the infrastructure to add it is contributed in METRON-1350.
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You can merge this pull request into a Git repository by running:

    $ git pull RAD_outlier

Alternatively you can review and apply these changes as the patch at:

To close this pull request, make a commit to your master/trunk branch
with (at least) the following in the commit message:

    This closes #870
commit 767725385fc1057321c5e7542864a3b0afdd9ae9
Author: cstella <>
Date:   2017-12-13T21:38:29Z

    RAD infrastructure.

commit 36b395b5307cdaabc1b3b989046017c1bf1e7e52
Author: cstella <>
Date:   2017-12-15T18:54:52Z

    Initial commit for RAD

commit 5bfce65da838062c360f4793241469fddde69021
Author: cstella <>
Date:   2017-12-15T21:28:26Z

    Updating docs and tests.



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