Online Direct Density-Ratio Estimation Applied to Inlier-Based Outlier Detection.

Abstract

Many machine learning problems, such as nonstationarity adaptation, outlier detection, dimensionality reduction, and conditional density estimation, can be effectively solved by using the ratio of probability densities. Since the naive two-step procedure of first estimating the probability densities and then taking their ratio performs poorly, methods to directly estimate the density ratio from two sets of samples without density estimation have been extensively studied recently. However, these methods are batch algorithms that use the whole data set to estimate the density ratio, and they are inefficient in the online setup, where training samples are provided sequentially and solutions are updated incrementally without storing previous samples. In this letter, we propose two online density-ratio estimators based on the adaptive regularization of weight vectors. Through experiments on inlier-based outlier detection, we demonstrate the usefulness of the proposed methods.