My implementation of the algorithms introduced in:
- [Huang and Kasiviswanathan]
Streaming Anomaly Detection Using Randomized Matrix Sketching
H. Huang and S. Kasiviswanathan
Proceedings of the VLDB Endowment, 9 (3), pp. 192-203, 2015
Additionally, I have tried the Cod-RNA experiment and ROC-curve-based evaluation as the authors did.
- Algorithm 1: AnomDetect
- Overall algorithm of this framework
- Algorithm 2: GlobalUpdate
- Incremental-SVD-based exact updating
- Algorithm 3: RandSketchUpdate
- Randomized-matrix-sketching-based fast updating
- Algorithm 4: SketchUpdate
- Matrix sketching (i.e. frequent directions) based deterministic updating
Both for the incremental-SVD-based and frequent-direction-based updating, you can refer my old experimental work.
MIT