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Anomaly Detection Using Generative Adversarial Networks
Měkota, Ondřej ; Fink, Jiří (advisor) ; Pilát, Martin (referee)
Generative adversarial networks (GANs) are able to capture distribution of its inputs. They are thus used to learn the distribution of normal data and then to detect anoma- lies, even if they are very rare; e.g. Schlegl et al. (2017) proposed an anomaly detection method called AnoGAN. However, a major disadvantage of GANs is instability during training. Therefore, Arjovsky et al. (2017) proposed a new version, called Wasserstein GAN (WGAN). The goal of this work is to propose a model, utilizing WGANs, to detect fraudulent credit card transactions. We develop a new method called AnoWGAN+e, partially based on AnoGAN, and compare it with One Class Support Vector Machines (OC-SVM) (Schöl- kopf et al. (2001)), k-Means ensemble (Porwal et al. (2018)) and other methods. Perfor- mance of studied methods is measured by area under precision-recall curve (AUPRC), and precision at different recall levels on credit card fraud dataset (Pozzolo (2015)). AnoW- GAN+e achieved the highest AUPRC and it is 12% better than the next best method OC-SVM. Furthermore, our model has 20% precision at 80% recall, compared to 8% precision of OC-SVM, and 89% precision at 10% recall as opposed to 79% of k-Means ensemble. 1
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