## Overview

On this submit we’ll prepare an autoencoder to detect bank card fraud. We can even reveal learn how to prepare Keras fashions within the cloud utilizing CloudML.

The premise of our mannequin would be the Kaggle Credit score Card Fraud Detection dataset, which was collected throughout a analysis collaboration of Worldline and the Machine Studying Group of ULB (Université Libre de Bruxelles) on massive information mining and fraud detection.

The dataset comprises bank card transactions by European cardholders revamped a two day interval in September 2013. There are 492 frauds out of 284,807 transactions. The dataset is extremely unbalanced, the constructive class (frauds) account for less than 0.172% of all transactions.

## Studying the info

After downloading the info from Kaggle, you’ll be able to learn it in to R with `read_csv()`

:

The enter variables encompass solely numerical values that are the results of a PCA transformation. In an effort to protect confidentiality, no extra details about the unique options was supplied. The options V1, …, V28 had been obtained with PCA. There are nonetheless 2 options (*Time* and *Quantity*) that weren’t reworked.

*Time* is the seconds elapsed between every transaction and the primary transaction within the dataset. *Quantity* is the transaction quantity and may very well be used for cost-sensitive studying. The *Class* variable takes worth 1 in case of fraud and 0 in any other case.

## Autoencoders

Since solely 0.172% of the observations are frauds, we have now a extremely unbalanced classification downside. With this type of downside, conventional classification approaches often don’t work very effectively as a result of we have now solely a really small pattern of the rarer class.

An autoencoder is a neural community that’s used to study a illustration (encoding) for a set of information, usually for the aim of dimensionality discount. For this downside we’ll prepare an autoencoder to encode non-fraud observations from our coaching set. Since frauds are presupposed to have a unique distribution then regular transactions, we anticipate that our autoencoder may have increased reconstruction errors on frauds then on regular transactions. Because of this we will use the reconstruction error as a amount that signifies if a transaction is fraudulent or not.

If you wish to study extra about autoencoders, a great place to begin is that this video from Larochelle on YouTube and Chapter 14 from the Deep Studying e-book by Goodfellow et al.

## Visualization

For an autoencoder to work effectively we have now a powerful preliminary assumption: that the distribution of variables for regular transactions is completely different from the distribution for fraudulent ones. Let’s make some plots to confirm this. Variables had been reworked to a `[0,1]`

interval for plotting.

We are able to see that distributions of variables for fraudulent transactions are very completely different then from regular ones, apart from the *Time* variable, which appears to have the very same distribution.

## Preprocessing

Earlier than the modeling steps we have to do some preprocessing. We are going to cut up the dataset into prepare and check units after which we’ll Min-max normalize our information (that is carried out as a result of neural networks work significantly better with small enter values). We can even take away the *Time* variable because it has the very same distribution for regular and fraudulent transactions.

Primarily based on the *Time* variable we’ll use the primary 200,000 observations for coaching and the remainder for testing. That is good observe as a result of when utilizing the mannequin we need to predict future frauds based mostly on transactions that occurred earlier than.

Now let’s work on normalization of inputs. We created 2 features to assist us. The primary one will get descriptive statistics in regards to the dataset which are used for scaling. Then we have now a operate to carry out the min-max scaling. It’s essential to notice that we utilized the identical normalization constants for coaching and check units.

```
library(purrr)
#' Will get descriptive statistics for each variable within the dataset.
get_desc <- operate(x) {
map(x, ~checklist(
min = min(.x),
max = max(.x),
imply = imply(.x),
sd = sd(.x)
))
}
#' Given a dataset and normalization constants it should create a min-max normalized
#' model of the dataset.
normalization_minmax <- operate(x, desc) {
map2_dfc(x, desc, ~(.x - .y$min)/(.y$max - .y$min))
}
```

Now let’s create normalized variations of our datasets. We additionally reworked our information frames to matrices since that is the format anticipated by Keras.

We are going to now outline our mannequin in Keras, a symmetric autoencoder with 4 dense layers.

```
___________________________________________________________________________________
Layer (sort) Output Form Param #
===================================================================================
dense_1 (Dense) (None, 15) 450
___________________________________________________________________________________
dense_2 (Dense) (None, 10) 160
___________________________________________________________________________________
dense_3 (Dense) (None, 15) 165
___________________________________________________________________________________
dense_4 (Dense) (None, 29) 464
===================================================================================
Whole params: 1,239
Trainable params: 1,239
Non-trainable params: 0
___________________________________________________________________________________
```

We are going to then compile our mannequin, utilizing the imply squared error loss and the Adam optimizer for coaching.

```
mannequin %>% compile(
loss = "mean_squared_error",
optimizer = "adam"
)
```

## Coaching the mannequin

We are able to now prepare our mannequin utilizing the `match()`

operate. Coaching the mannequin in all fairness quick (~ 14s per epoch on my laptop computer). We are going to solely feed to our mannequin the observations of regular (non-fraudulent) transactions.

We are going to use `callback_model_checkpoint()`

in an effort to save our mannequin after every epoch. By passing the argument `save_best_only = TRUE`

we’ll carry on disk solely the epoch with smallest loss worth on the check set.

We can even use `callback_early_stopping()`

to cease coaching if the validation loss stops reducing for five epochs.

```
checkpoint <- callback_model_checkpoint(
filepath = "mannequin.hdf5",
save_best_only = TRUE,
interval = 1,
verbose = 1
)
early_stopping <- callback_early_stopping(endurance = 5)
mannequin %>% match(
x = x_train[y_train == 0,],
y = x_train[y_train == 0,],
epochs = 100,
batch_size = 32,
validation_data = checklist(x_test[y_test == 0,], x_test[y_test == 0,]),
callbacks = checklist(checkpoint, early_stopping)
)
```

```
Practice on 199615 samples, validate on 84700 samples
Epoch 1/100
199615/199615 [==============================] - 17s 83us/step - loss: 0.0036 - val_loss: 6.8522e-04d from inf to 0.00069, saving mannequin to mannequin.hdf5
Epoch 2/100
199615/199615 [==============================] - 17s 86us/step - loss: 4.7817e-04 - val_loss: 4.7266e-04d from 0.00069 to 0.00047, saving mannequin to mannequin.hdf5
Epoch 3/100
199615/199615 [==============================] - 19s 94us/step - loss: 3.7753e-04 - val_loss: 4.2430e-04d from 0.00047 to 0.00042, saving mannequin to mannequin.hdf5
Epoch 4/100
199615/199615 [==============================] - 19s 94us/step - loss: 3.3937e-04 - val_loss: 4.0299e-04d from 0.00042 to 0.00040, saving mannequin to mannequin.hdf5
Epoch 5/100
199615/199615 [==============================] - 19s 94us/step - loss: 3.2259e-04 - val_loss: 4.0852e-04 enhance
Epoch 6/100
199615/199615 [==============================] - 18s 91us/step - loss: 3.1668e-04 - val_loss: 4.0746e-04 enhance
...
```

After coaching we will get the ultimate loss for the check set through the use of the `consider()`

fucntion.

```
loss <- consider(mannequin, x = x_test[y_test == 0,], y = x_test[y_test == 0,])
loss
```

```
loss
0.0003534254
```

## Tuning with CloudML

We could possibly get higher outcomes by tuning our mannequin hyperparameters. We are able to tune, for instance, the normalization operate, the training charge, the activation features and the dimensions of hidden layers. CloudML makes use of Bayesian optimization to tune hyperparameters of fashions as described in this weblog submit.

We are able to use the cloudml bundle to tune our mannequin, however first we have to put together our challenge by making a coaching flag for every hyperparameter and a `tuning.yml`

file that can inform CloudML what parameters we need to tune and the way.

The total script used for coaching on CloudML will be discovered at https://github.com/dfalbel/fraud-autoencoder-example. A very powerful modifications to the code had been including the coaching flags:

```
FLAGS <- flags(
flag_string("normalization", "minmax", "Considered one of minmax, zscore"),
flag_string("activation", "relu", "Considered one of relu, selu, tanh, sigmoid"),
flag_numeric("learning_rate", 0.001, "Optimizer Studying Charge"),
flag_integer("hidden_size", 15, "The hidden layer dimension")
)
```

We then used the `FLAGS`

variable contained in the script to drive the hyperparameters of the mannequin, for instance:

```
mannequin %>% compile(
optimizer = optimizer_adam(lr = FLAGS$learning_rate),
loss = 'mean_squared_error',
)
```

We additionally created a `tuning.yml`

file describing how hyperparameters needs to be diverse throughout coaching, in addition to what metric we wished to optimize (on this case it was the validation loss: `val_loss`

).

**tuning.yml**

```
trainingInput:
scaleTier: CUSTOM
masterType: standard_gpu
hyperparameters:
objective: MINIMIZE
hyperparameterMetricTag: val_loss
maxTrials: 10
maxParallelTrials: 5
params:
- parameterName: normalization
sort: CATEGORICAL
categoricalValues: [zscore, minmax]
- parameterName: activation
sort: CATEGORICAL
categoricalValues: [relu, selu, tanh, sigmoid]
- parameterName: learning_rate
sort: DOUBLE
minValue: 0.000001
maxValue: 0.1
scaleType: UNIT_LOG_SCALE
- parameterName: hidden_size
sort: INTEGER
minValue: 5
maxValue: 50
scaleType: UNIT_LINEAR_SCALE
```

We describe the kind of machine we need to use (on this case a `standard_gpu`

occasion), the metric we need to decrease whereas tuning, and the the utmost variety of trials (i.e. variety of mixtures of hyperparameters we need to check). We then specify how we need to differ every hyperparameter throughout tuning.

You possibly can study extra in regards to the tuning.yml file on the Tensorflow for R documentation and at Google’s official documentation on CloudML.

Now we’re able to ship the job to Google CloudML. We are able to do that by working:

```
library(cloudml)
cloudml_train("prepare.R", config = "tuning.yml")
```

The cloudml bundle takes care of importing the dataset and putting in any R bundle dependencies required to run the script on CloudML. If you’re utilizing RStudio v1.1 or increased, it should additionally permit you to monitor your job in a background terminal. You may also monitor your job utilizing the Google Cloud Console.

After the job is completed we will acquire the job outcomes with:

This may copy the recordsdata from the job with the very best `val_loss`

efficiency on CloudML to your native system and open a report summarizing the coaching run.

Since we used a callback to avoid wasting mannequin checkpoints throughout coaching, the mannequin file was additionally copied from Google CloudML. Recordsdata created throughout coaching are copied to the “runs” subdirectory of the working listing from which `cloudml_train()`

known as. You possibly can decide this listing for the latest run with:

`[1] runs/cloudml_2018_01_23_221244595-03`

You may also checklist all earlier runs and their validation losses with:

`ls_runs(order = metric_val_loss, reducing = FALSE)`

```
run_dir metric_loss metric_val_loss
1 runs/2017-12-09T21-01-11Z 0.2577 0.1482
2 runs/2017-12-09T21-00-11Z 0.2655 0.1505
3 runs/2017-12-09T19-59-44Z 0.2597 0.1402
4 runs/2017-12-09T19-56-48Z 0.2610 0.1459
Use View(ls_runs()) to view all columns
```

In our case the job downloaded from CloudML was saved to `runs/cloudml_2018_01_23_221244595-03/`

, so the saved mannequin file is obtainable at `runs/cloudml_2018_01_23_221244595-03/mannequin.hdf5`

. We are able to now use our tuned mannequin to make predictions.

## Making predictions

Now that we educated and tuned our mannequin we’re able to generate predictions with our autoencoder. We have an interest within the MSE for every commentary and we anticipate that observations of fraudulent transactions may have increased MSE’s.

First, let’s load our mannequin.

```
mannequin <- load_model_hdf5("runs/cloudml_2018_01_23_221244595-03/mannequin.hdf5",
compile = FALSE)
```

Now let’s calculate the MSE for the coaching and check set observations.

A superb measure of mannequin efficiency in extremely unbalanced datasets is the Space Underneath the ROC Curve (AUC). AUC has a pleasant interpretation for this downside, it’s the chance {that a} fraudulent transaction may have increased MSE then a traditional one. We are able to calculate this utilizing the Metrics bundle, which implements all kinds of widespread machine studying mannequin efficiency metrics.

```
[1] 0.9546814
[1] 0.9403554
```

To make use of the mannequin in observe for making predictions we have to discover a threshold (ok) for the MSE, then if if (MSE > ok) we think about that transaction a fraud (in any other case we think about it regular). To outline this worth it’s helpful to have a look at precision and recall whereas various the brink (ok).

```
possible_k <- seq(0, 0.5, size.out = 100)
precision <- sapply(possible_k, operate(ok) {
predicted_class <- as.numeric(mse_test > ok)
sum(predicted_class == 1 & y_test == 1)/sum(predicted_class)
})
qplot(possible_k, precision, geom = "line")
+ labs(x = "Threshold", y = "Precision")
```

```
recall <- sapply(possible_k, operate(ok) {
predicted_class <- as.numeric(mse_test > ok)
sum(predicted_class == 1 & y_test == 1)/sum(y_test)
})
qplot(possible_k, recall, geom = "line")
+ labs(x = "Threshold", y = "Recall")
```

A superb place to begin can be to decide on the brink with most precision however we may additionally base our choice on how a lot cash we would lose from fraudulent transactions.

Suppose every guide verification of fraud prices us $1 but when we don’t confirm a transaction and it’s a fraud we’ll lose this transaction quantity. Let’s discover for every threshold worth how a lot cash we might lose.

```
cost_per_verification <- 1
lost_money <- sapply(possible_k, operate(ok) {
predicted_class <- as.numeric(mse_test > ok)
sum(cost_per_verification * predicted_class + (predicted_class == 0) * y_test * df_test$Quantity)
})
qplot(possible_k, lost_money, geom = "line") + labs(x = "Threshold", y = "Misplaced Cash")
```

We are able to discover the very best threshold on this case with:

`[1] 0.005050505`

If we wanted to manually confirm all frauds, it might value us ~$13,000. Utilizing our mannequin we will scale back this to ~$2,500.