This page was generated from cd/methods/onlinefetdrift.ipynb.

source

Online Fisher’s Exact Test

Overview

The online Fisher’s Exact Test detector is a non-parametric method for online drift detection. Like the offline Fisher’s Exact Test detector, it applies an Fisher’s Exact Test (FET) to each feature. It is intended for application to Bernoulli streams, with binary data consisting of either (True, False) or (0, 1). This detector is ideal for use in a supervised setting, monitoring drift in a model’s instance level accuracy (i.e. correct prediction = 0, and incorrect prediction = 1).

Threshold configuration

Online detectors assume the reference data is large and fixed and operate on single data points at a time (rather than batches). These data points are passed into the test-windows, and a two-sample test-statistic (in this case \(F=1-\hat{p}\)) between the reference data and test-window is computed at each time-step. When the test-statistic exceeds a preconfigured threshold, drift is detected. Configuration of the thresholds requires specification of the expected run-time (ERT) which specifies how many time-steps that the detector, on average, should run for in the absence of drift before making a false detection.

In a similar manner to that proposed in this paper by Ross et al. [RTA12], thresholds are configured by simulating n_bootstraps Bernoulli streams. The length of streams can be set with the t_max parameter. Since the thresholds are expected to converge after t_max = 2*max(window_sizes) - 1 time steps, we only need to simulate trajectories and estimate thresholds up to this point, and t_max is set to this value by default. Following [1], the test statistics are smoothed using an exponential moving average to remove their discreteness, allowing more precise quantiles to be targeted:

\[F_t = (1-\lambda)F_{t-1} + \lambda F_t\]

For a window size of \(W\), at time \(t\) the value of the statistic \(F_t\) depends on more than just the previous \(W\) values. If \(\lambda\), set by lam, is too small, thresholds may keep decreasing well past \(2W - 1\) timesteps. To avoid this, the default lam is set to a high value of \(\lambda=0.99\), meaning that discreteness is still broken, but the value of the test statistic depends (almost) solely on the last \(W\) observations. If more smoothing is desired, the t_max parameter can be manually set at a larger value.

Note

The detector must configure thresholds for each window size and each feature. This can be a time consuming process if the number of features is high. For high-dimensional data users are recommended to apply a dimension reduction step via preprocess_fn.

Window sizes

Specification of test-window sizes (the detector accepts multiple windows of different size \(W\)) is also required, with smaller windows allowing faster response to severe drift and larger windows allowing more power to detect slight drift. Since this detector requires a window to be full to function, the ERT is measured from t = min(window_sizes)-1.

Multivariate data

Although this detector is primarly intended for univariate data, it can also be applied to multivariate data. In this case, the detector makes a correction similar to the Bonferroni correction used for the offline detector. Given \(d\) features, the detector configures thresholds by targeting the \(1-\beta\) quantile of test statistics over the simulated streams, where \(\beta = 1 - (1-(1/ERT))^{(1/d)}\). For the univariate case, this simplifies to \(\beta = 1/ERT\). At prediction time, drift is flagged if the test statistic of any feature stream exceed the thresholds.

Note

In the multivariate case, for the ERT to be accurately targeted the feature streams must be independent.

Usage

Initialize

Arguments:

  • x_ref: Data used as reference distribution.

  • ert: The expected run-time in the absence of drift, starting from t=min(windows_sizes).

  • window_sizes: The sizes of the sliding test-windows used to compute the test-statistics. Smaller windows focus on responding quickly to severe drift, larger windows focus on ability to detect slight drift.

Keyword arguments:

  • preprocess_fn: Function to preprocess the data before computing the data drift metrics.

  • n_bootstraps: The number of bootstrap simulations used to configure the thresholds. The larger this is the more accurately the desired ERT will be targeted. Should ideally be at least an order of magnitude larger than the ERT.

  • t_max: Length of streams to simulate when configuring thresholds. If None, this is set to 2 * max(window_sizes) - 1.

  • alternative: Defines the alternative hypothesis. Options are ‘greater’ (default) or ‘less’, corresponding to an increase or decrease in the mean of the Bernoulli stream.

  • lam: Smoothing coefficient used for exponential moving average. If heavy smoothing is applied (lam<<1), a larger t_max may be necessary in order to ensure the thresholds have converged.

  • n_features: Number of features used in the FET test. No need to pass it if no preprocessing takes place. In case of a preprocessing step, this can also be inferred automatically but could be more expensive to compute.

  • verbose: Whether or not to print progress during configuration.

  • input_shape: Shape of input data.

  • data_type: Optionally specify the data type (tabular, image or time-series). Added to metadata.

Initialized drift detector example:

from alibi_detect.cd import FETDriftOnline

ert = 150
window_sizes = [20,40]
cd = FETDriftOnline(x_ref, ert, window_sizes)

Detect Drift

We detect data drift by sequentially calling predict on single instances x_t (no batch dimension) as they each arrive. We can return the test-statistic and the threshold by setting return_test_stat to True.

The prediction takes the form of a dictionary with meta and data keys. meta contains the detector’s metadata while data is also a dictionary which contains the actual predictions stored in the following keys:

  • is_drift: 1 if any of the test-windows have drifted from the reference data and 0 otherwise.

  • time: The number of observations that have been so far passed to the detector as test instances.

  • ert: The expected run-time the detector was configured to run at in the absence of drift.

  • test_stat: FET test-statistics (1-p_val) between the reference data and the test_windows if return_test_stat equals True.

  • threshold: The values the test-statsitics are required to exceed for drift to be detected if return_test_stat equals True.

preds = cd.predict(x_t, return_test_stat=True)

Resetting the detector with the same reference data and thresholds but with new and empty test-windows is straight-forward:

cd.reset()

Examples

Coming soon!

References

[1] Ross, G.J., Tasoulis, D.K. & Adams, N.M. Sequential monitoring of a Bernoulli sequence when the pre-change parameter is unknown. Comput Stat 28, 463–479 (2013). doi: 10.1007/s00180-012-0311-7. arXiv: 1212.6020.