Kernel-based Outlier Detection using the Inverse Christoffel Function

Armin Askari; Forest Yang; Laurent El Ghaoui

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arXiv · 1806.06775

Kernel-based Outlier Detection using the Inverse Christoffel Function

Armin Askari·Forest Yang·Laurent El Ghaoui

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Abstract

Outlier detection methods have become increasingly relevant in recent years due to increased security concerns and because of its vast application to different fields. Recently, Pauwels and Lasserre (2016) noticed that the sublevel sets of the inverse Christoffel function accurately depict the shape of a cloud of data using a sum-of-squares polynomial and can be used to perform outlier detection. In this work, we propose a kernelized variant of the inverse Christoffel function that makes it computationally tractable for data sets with a large number of features. We compare our approach to current methods on 15 different data sets and achieve the best average area under the precision recall curve (AUPRC) score, the best average rank and the lowest root mean square deviation.

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BibTeX RIS

Armin Askari, Forest Yang, Laurent El Ghaoui. 2018-06-18. Kernel-based Outlier Detection using the Inverse Christoffel Function. https://arxiv.org/abs/1806.06775

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