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Unsupervised Anomaly Detection Algorithms on Real-world Data: How Many Do We Need?

NeurIPS 2024 · Label-efficient and robust learning › OOD and anomaly detection · approach: Anomaly detection with contaminated data · 12 citations (OpenAlex)

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Benchmarks 32 unsupervised anomaly detection algorithms on 52 real-world tabular datasets without hyperparameter tuning, finding kth-NN strongest overall and a local/global dataset split favoring kNN and EIF respectively.

Problem

Practitioners lack guidance on which unsupervised anomaly detection algorithm to use on real-world multivariate tabular data, and prior comparisons were small in dataset count or algorithm coverage and rarely distinguished local from global anomalies on real data.

Approach

A large-scale, optimization-free comparison averaging AUC over sensible hyperparameter grids, followed by clustering of algorithm-dataset performance that reveals distinct local and global dataset groups with different best algorithms.

Key results

Measured effects reported in the paper

What was changedWhereMeasuredEffect
use kth-NN rather than the other evaluated algorithmsUnsupervised anomaly detection · All datasetsmean AUC: 0.769Helped
use kNN for local anomaly detectionUnsupervised anomaly detection · Local datasetsmean AUC: 0.740Helped
use EIF for global anomaly detectionUnsupervised anomaly detection · Global datasetsmean AUC: 0.824Helped
use local methods such as LOF instead of global methodsUnsupervised anomaly detection · Local datasetsmean AUC: LOF: 0.713; EIF: 0.614Mixed
use local methods such as LOF instead of global methodsUnsupervised anomaly detection · Global datasetsmean AUC: LOF: 0.603; EIF: 0.824Hurt
use CBLOF rather than the highest-performing algorithmsUnsupervised anomaly detection · All datasetsmean AUC: 0.519 vs 0.773Hurt
use EIF rather than kNN for global anomaly detectionUnsupervised anomaly detection · Global datasetsmean AUC: 0.774 -> 0.824Helped
use kNN rather than EIF for local anomaly detectionUnsupervised anomaly detection · Local datasetsmean AUC: 0.614 -> 0.740Helped

Surprising findings

Limitations

Experimental setup

Datasets: ODDS ADBench ELKI datasets Goldstein comparison datasets GAAL datasets extended autoencoder datasets EOAD yeast6

Benchmarks: 52 multivariate tabular anomaly detection datasets

Metrics: ROC-AUC percentage of maximum AUC Iman-Davenport statistic Nemenyi post-hoc test

Baselines: kNN LOF Isolation Forest COPOD ECOD DeepSVDD CBLOF OCSVM

Builds on: PyOD ODDS ADBench

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