Source code for

from functools import partial
import numpy as np
import tensorflow as tf
from typing import Callable, Dict, Optional, Tuple, Union
from import BaseLearnedKernelDrift
from import TFDataset
from alibi_detect.utils.tensorflow.misc import clone_model
from alibi_detect.utils.tensorflow.distance import mmd2_from_kernel_matrix, batch_compute_kernel_matrix
from alibi_detect.utils.warnings import deprecated_alias
from alibi_detect.utils.frameworks import Framework
from alibi_detect.utils._types import OptimizerTF

[docs]class LearnedKernelDriftTF(BaseLearnedKernelDrift):
[docs] @deprecated_alias(preprocess_x_ref='preprocess_at_init') def __init__( self, x_ref: Union[np.ndarray, list], kernel: tf.keras.Model, p_val: float = .05, x_ref_preprocessed: bool = False, preprocess_at_init: bool = True, update_x_ref: Optional[Dict[str, int]] = None, preprocess_fn: Optional[Callable] = None, n_permutations: int = 100, var_reg: float = 1e-5, reg_loss_fn: Callable = (lambda kernel: 0), train_size: Optional[float] = .75, retrain_from_scratch: bool = True, optimizer: OptimizerTF = tf.keras.optimizers.Adam, learning_rate: float = 1e-3, batch_size: int = 32, batch_size_predict: int = 32, preprocess_batch_fn: Optional[Callable] = None, epochs: int = 3, verbose: int = 0, train_kwargs: Optional[dict] = None, dataset: Callable = TFDataset, input_shape: Optional[tuple] = None, data_type: Optional[str] = None ) -> None: """ Maximum Mean Discrepancy (MMD) data drift detector where the kernel is trained to maximise an estimate of the test power. The kernel is trained on a split of the reference and test instances and then the MMD is evaluated on held out instances and a permutation test is performed. For details see Liu et al (2020): Learning Deep Kernels for Non-Parametric Two-Sample Tests ( Parameters ---------- x_ref Data used as reference distribution. kernel Trainable TensorFlow model that returns a similarity between two instances. p_val p-value used for the significance of the test. x_ref_preprocessed Whether the given reference data `x_ref` has been preprocessed yet. If `x_ref_preprocessed=True`, only the test data `x` will be preprocessed at prediction time. If `x_ref_preprocessed=False`, the reference data will also be preprocessed. preprocess_at_init Whether to preprocess the reference data when the detector is instantiated. Otherwise, the reference data will be preprocessed at prediction time. Only applies if `x_ref_preprocessed=False`. update_x_ref Reference data can optionally be updated to the last n instances seen by the detector or via reservoir sampling with size n. For the former, the parameter equals {'last': n} while for reservoir sampling {'reservoir_sampling': n} is passed. preprocess_fn Function to preprocess the data before applying the kernel. n_permutations The number of permutations to use in the permutation test once the MMD has been computed. var_reg Constant added to the estimated variance of the MMD for stability. reg_loss_fn The regularisation term reg_loss_fn(kernel) is added to the loss function being optimized. train_size Optional fraction (float between 0 and 1) of the dataset used to train the kernel. The drift is detected on `1 - train_size`. retrain_from_scratch Whether the kernel should be retrained from scratch for each set of test data or whether it should instead continue training from where it left off on the previous set. optimizer Optimizer used during training of the kernel. learning_rate Learning rate used by optimizer. batch_size Batch size used during training of the kernel. batch_size_predict Batch size used for the trained drift detector predictions. preprocess_batch_fn Optional batch preprocessing function. For example to convert a list of objects to a batch which can be processed by the kernel. epochs Number of training epochs for the kernel. Corresponds to the smaller of the reference and test sets. verbose Verbosity level during the training of the kernel. 0 is silent, 1 a progress bar. train_kwargs Optional additional kwargs when training the kernel. dataset Dataset object used during training. input_shape Shape of input data. data_type Optionally specify the data type (tabular, image or time-series). Added to metadata. """ super().__init__( x_ref=x_ref, p_val=p_val, x_ref_preprocessed=x_ref_preprocessed, preprocess_at_init=preprocess_at_init, update_x_ref=update_x_ref, preprocess_fn=preprocess_fn, n_permutations=n_permutations, train_size=train_size, retrain_from_scratch=retrain_from_scratch, input_shape=input_shape, data_type=data_type ) self.meta.update({'backend': Framework.TENSORFLOW.value}) # define and compile kernel self.original_kernel = kernel self.kernel = clone_model(kernel) self.dataset = partial(dataset, batch_size=batch_size, shuffle=True) self.kernel_mat_fn = partial( batch_compute_kernel_matrix, preprocess_fn=preprocess_batch_fn, batch_size=batch_size_predict ) self.train_kwargs = {'optimizer': optimizer, 'epochs': epochs, 'learning_rate': learning_rate, 'reg_loss_fn': reg_loss_fn, 'preprocess_fn': preprocess_batch_fn, 'verbose': verbose} if isinstance(train_kwargs, dict): self.train_kwargs.update(train_kwargs) self.j_hat = LearnedKernelDriftTF.JHat(self.kernel, var_reg)
[docs] class JHat(tf.keras.Model): """ A module that wraps around the kernel. When passed a batch of reference and batch of test instances it returns an estimate of a correlate of test power. Equation 4 of """ def __init__(self, kernel: tf.keras.Model, var_reg: float): super().__init__() self.config = {'kernel': kernel, 'var_reg': var_reg} self.kernel = kernel self.var_reg = var_reg
[docs] def call(self, x: tf.Tensor, y: tf.Tensor) -> tf.Tensor: k_xx, k_yy, k_xy = self.kernel(x, x), self.kernel(y, y), self.kernel(x, y) h_mat = k_xx + k_yy - k_xy - tf.transpose(k_xy) n = len(x) mmd2_est = (tf.reduce_sum(h_mat)-tf.linalg.trace(h_mat))/(n*(n-1)) var_est = (4*tf.reduce_sum(tf.reduce_sum(h_mat, axis=-1)**2)/(n**3) - 4*tf.reduce_sum(h_mat)**2/(n**4)) reg_var_est = var_est + self.var_reg return mmd2_est/tf.math.sqrt(reg_var_est)
[docs] def score(self, x: Union[np.ndarray, list]) -> Tuple[float, float, float]: """ Compute the p-value resulting from a permutation test using the maximum mean discrepancy as a distance measure between the reference data and the data to be tested. The kernel used within the MMD is first trained to maximise an estimate of the resulting test power. Parameters ---------- x Batch of instances. Returns ------- p-value obtained from the permutation test, the MMD^2 between the reference and test set, \ and the MMD^2 threshold above which drift is flagged. """ x_ref, x_cur = self.preprocess(x) (x_ref_tr, x_cur_tr), (x_ref_te, x_cur_te) = self.get_splits(x_ref, x_cur) ds_ref_tr, ds_cur_tr = self.dataset(x_ref_tr), self.dataset(x_cur_tr) self.kernel = clone_model(self.original_kernel) if self.retrain_from_scratch else self.kernel train_args = [self.j_hat, (ds_ref_tr, ds_cur_tr)] LearnedKernelDriftTF.trainer(*train_args, **self.train_kwargs) if isinstance(x_ref_te, np.ndarray) and isinstance(x_cur_te, np.ndarray): x_all = np.concatenate([x_ref_te, x_cur_te], axis=0) else: x_all = x_ref_te + x_cur_te kernel_mat = self.kernel_mat_fn(x_all, x_all, self.kernel) kernel_mat = kernel_mat - tf.linalg.diag(tf.linalg.diag_part(kernel_mat)) # zero diagonal mmd2 = mmd2_from_kernel_matrix(kernel_mat, len(x_cur_te), permute=False, zero_diag=False).numpy() mmd2_permuted = np.array( [mmd2_from_kernel_matrix(kernel_mat, len(x_cur_te), permute=True, zero_diag=False).numpy() for _ in range(self.n_permutations)] ) p_val = (mmd2 <= mmd2_permuted).mean() idx_threshold = int(self.p_val * len(mmd2_permuted)) distance_threshold = np.sort(mmd2_permuted)[::-1][idx_threshold] return p_val, mmd2, distance_threshold
[docs] @staticmethod def trainer( j_hat: JHat, datasets: Tuple[tf.keras.utils.Sequence, tf.keras.utils.Sequence], optimizer: OptimizerTF = tf.keras.optimizers.Adam, learning_rate: float = 1e-3, preprocess_fn: Callable = None, epochs: int = 20, reg_loss_fn: Callable = (lambda kernel: 0), verbose: int = 1, ) -> None: """ Train the kernel to maximise an estimate of test power using minibatch gradient descent. """ ds_ref, ds_cur = datasets optimizer = optimizer(learning_rate=learning_rate) if isinstance(optimizer, type) else optimizer n_minibatch = min(len(ds_ref), len(ds_cur)) # iterate over epochs loss_ma = 0. for epoch in range(epochs): if verbose: pbar = tf.keras.utils.Progbar(n_minibatch, 1) for step, (x_ref, x_cur) in enumerate(zip(ds_ref, ds_cur)): if isinstance(preprocess_fn, Callable): # type: ignore x_ref, x_cur = preprocess_fn(x_ref), preprocess_fn(x_cur) with tf.GradientTape() as tape: estimate = j_hat(x_ref, x_cur) loss = -estimate + reg_loss_fn(j_hat.kernel) # ascent grads = tape.gradient(loss, j_hat.trainable_weights) optimizer.apply_gradients(zip(grads, j_hat.trainable_weights)) if verbose == 1: loss_ma = loss_ma + (loss - loss_ma) / (step + 1) pbar_values = [('loss', loss_ma)] pbar.add(1, values=pbar_values)