GitHub user cestella opened a pull request: https://github.com/apache/metron/pull/870
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 https://medium.com/netflix-techblog/rad-outlier-detection-on-big-data-d6b0494371cc and https://metamarkets.com/2012/algorithmic-trendspotting-the-meaning-of-interesting/ for more detail. It should be noted that there are some caveats with this approach around sparsity and orderedness. 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. ## Pull Request Checklist Thank you for submitting a contribution to Apache Metron. Please refer to our [Development Guidelines](https://cwiki.apache.org/confluence/pages/viewpage.action?pageId=61332235) for the complete guide to follow for contributions. Please refer also to our [Build Verification Guidelines](https://cwiki.apache.org/confluence/display/METRON/Verifying+Builds?show-miniview) for complete smoke testing guides. In order to streamline the review of the contribution we ask you follow these guidelines and ask you to double check the following: ### For all changes: - [x] Is there a JIRA ticket associated with this PR? If not one needs to be created at [Metron Jira](https://issues.apache.org/jira/browse/METRON/?selectedTab=com.atlassian.jira.jira-projects-plugin:summary-panel). - [x] Does your PR title start with METRON-XXXX where XXXX is the JIRA number you are trying to resolve? Pay particular attention to the hyphen "-" character. - [x] Has your PR been rebased against the latest commit within the target branch (typically master)? ### For code changes: - [x] Have you included steps to reproduce the behavior or problem that is being changed or addressed? - [ ] Have you included steps or a guide to how the change may be verified and tested manually? - [x] Have you ensured that the full suite of tests and checks have been executed in the root metron folder via: ``` mvn -q clean integration-test install && build_utils/verify_licenses.sh ``` - [x] Have you written or updated unit tests and or integration tests to verify your changes? - [x] If adding new dependencies to the code, are these dependencies licensed in a way that is compatible for inclusion under [ASF 2.0](http://www.apache.org/legal/resolved.html#category-a)? - [ ] Have you verified the basic functionality of the build by building and running locally with Vagrant full-dev environment or the equivalent? ### For documentation related changes: - [x] Have you ensured that format looks appropriate for the output in which it is rendered by building and verifying the site-book? If not then run the following commands and the verify changes via `site-book/target/site/index.html`: ``` cd site-book mvn site ``` #### Note: Please ensure that once the PR is submitted, you check travis-ci for build issues and submit an update to your PR as soon as possible. It is also recommended that [travis-ci](https://travis-ci.org) is set up for your personal repository such that your branches are built there before submitting a pull request. You can merge this pull request into a Git repository by running: $ git pull https://github.com/cestella/incubator-metron RAD_outlier Alternatively you can review and apply these changes as the patch at: https://github.com/apache/metron/pull/870.patch 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 <ceste...@gmail.com> Date: 2017-12-13T21:38:29Z RAD infrastructure. commit 36b395b5307cdaabc1b3b989046017c1bf1e7e52 Author: cstella <ceste...@gmail.com> Date: 2017-12-15T18:54:52Z Initial commit for RAD commit 5bfce65da838062c360f4793241469fddde69021 Author: cstella <ceste...@gmail.com> Date: 2017-12-15T21:28:26Z Updating docs and tests. ---- ---