DAEMA: Denoising Autoencoder with Mask Attention

Missing data is a recurrent and challenging problem, especially when using machine learning algorithms for real-world applications. For this reason, missing data imputation has become an active research area, in which recent deep learning approaches have achieved state-of-the-art results. We propose DAEMA (Denoising Autoencoder with Mask Attention), an algorithm based on a denoising autoencoder architecture with an attention mechanism. While most imputation algorithms use incomplete inputs as they would use complete data - up to basic preprocessing (e.g. mean imputation) - DAEMA leverages a mask-based attention mechanism to focus on the observed values of its inputs. We evaluate DAEMA both in terms of reconstruction capabilities and downstream prediction and show that it achieves superior performance to state-of-the-art algorithms on several publicly available real-world datasets under various missingness settings.

Anomaly Detection: How to Artificially Increase your F1-Score with a Biased Evaluation Protocol

Anomaly detection is a widely explored domain in machine learning. Many models are proposed in the literature, and compared through different metrics measured on various datasets. The most popular metrics used to compare performances are F1-score, AUC and AVPR. In this paper, we show that F1-score and AVPR are highly sensitive to the contamination rate. One consequence is that it is possible to artificially increase their values by modifying the train-test split procedure. This leads to misleading comparisons between algorithms in the literature, especially when the evaluation protocol is not well detailed. Moreover, we show that the F1-score and the AVPR cannot be used to compare performances on different datasets as they do not reflect the intrinsic difficulty of modeling such data. Based on these observations, we claim that F1-score and AVPR should not be used as metrics for anomaly detection. We recommend a generic evaluation procedure for unsupervised anomaly detection, including the use of other metrics such as the AUC, which are more robust to arbitrary choices in the evaluation protocol.