Model Selection for Anomaly Detection

Abstract: Anomaly detection based on one-class classification algorithms is broadly used in many applied domains like image processing (e.g. detection of whether a patient is "cancerous" or "healthy" from mammography image), network intrusion detection, etc. Performance of an anomaly detection algorithm crucially depends on a kernel, used to measure similarity in a feature space. The standard approaches (e.g. cross-validation) for kernel selection, used in two-class classification problems, can not be used directly due to the specific nature of a data (absence of a second, abnormal, class data). In this paper we generalize several kernel selection methods from binary-class case to the case of one-class classification and perform extensive comparison of these approaches using both synthetic and real-world data.