Deep Gaussian Process autoencoders for novelty detection
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Novelty detection is one of the classic problems in machine learning that has applications across several domains. This paper proposes a novel autoencoder based on Deep Gaussian Processes for novelty detection tasks. Learning the proposed model is made tractable and scalable through the use of random feature approximations and stochastic variational inference. The result is a flexible model that is easy to implement and train, and can be applied to general novelty detection tasks, including large-scale problems and data with mixed-type features. The experiments indicate that the proposed model achieves competitive results with state-of-the-art novelty detection methods.
KeywordsNovelty detection Deep Gaussian Processes Autoencoder Unsupervised learning Stochastic variational inference
The authors wish to thank the Amadeus Middleware Fraud Detection team directed by Virginie Amar and Jeremie Barlet, led by the product owner Christophe Allexandre and composed of Jean-Blas Imbert, Jiang Wu, Damien Fontanes and Yang Pu for building and labeling the transactions, shared-access and payment-sub datasets. MF gratefully acknowledges support from the AXA Research Fund.
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