Title: Active Anomaly Detection via Ensembles,
Abstract: In critical applications of anomaly detection including computer security and
fraud prevention, the anomaly detector must be configurable by the analyst to
minimize the effort on false positives. One important way to configure the
anomaly detector is by providing true labels for a few instances. We study the
problem of label-efficient active learning to automatically tune anomaly
detection ensembles and make four main contributions. First, we present an
important insight into how anomaly detector ensembles are naturally suited for
active learning. This insight allows us to relate the greedy querying strategy
to uncertainty sampling, with implications for label-efficiency. Second, we
present a novel formalism called compact description to describe the discovered
anomalies and show that it can also be employed to improve the diversity of the
instances presented to the analyst without loss in the anomaly discovery rate.
Third, we present a novel data drift detection algorithm that not only detects
the drift robustly, but also allows us to take corrective actions to adapt the
detector in a principled manner. Fourth, we present extensive experiments to
evaluate our insights and algorithms in both batch and streaming settings. Our
results show that in addition to discovering significantly more anomalies than
state-of-the-art unsupervised baselines, our active learning algorithms under
the streaming-data setup are competitive with the batch setup.