frouros

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Frouros is a Python library for drift detection in machine learning systems that provides a combination of classical and more recent algorithms for both concept and data drift detection.

"Everything changes and nothing stands still"

"You could not step twice into the same river"

Heraclitus of Ephesus (535-475 BCE.)

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⚡️ Quickstart

🔄 Concept drift

As a quick example, we can use the breast cancer dataset to which concept drift it is induced and show the use of a concept drift detector like DDM (Drift Detection Method). We can see how concept drift affects the performance in terms of accuracy.

import numpy as np
from sklearn.datasets import load_breast_cancer
from sklearn.linear_model import LogisticRegression
from sklearn.model_selection import train_test_split
from sklearn.pipeline import Pipeline
from sklearn.preprocessing import StandardScaler

from frouros.detectors.concept_drift import DDM, DDMConfig
from frouros.metrics import PrequentialError

np.random.seed(seed=31)

# Load breast cancer dataset
X, y = load_breast_cancer(return_X_y=True)

# Split train (70%) and test (30%)
(
    X_train,
    X_test,
    y_train,
    y_test,
) = train_test_split(X, y, train_size=0.7, random_state=31)

# Define and fit model
pipeline = Pipeline(
    [
        ("scaler", StandardScaler()),
        ("model", LogisticRegression()),
    ]
)
pipeline.fit(X=X_train, y=y_train)

# Detector configuration and instantiation
config = DDMConfig(
    warning_level=2.0,
    drift_level=3.0,
    min_num_instances=25,  # minimum number of instances before checking for concept drift
)
detector = DDM(config=config)

# Metric to compute accuracy
metric = PrequentialError(alpha=1.0)  # alpha=1.0 is equivalent to normal accuracy

def stream_test(X_test, y_test, y, metric, detector):
    """Simulate data stream over X_test and y_test. y is the true label."""
    drift_flag = False
    for i, (X, y) in enumerate(zip(X_test, y_test)):
        y_pred = pipeline.predict(X.reshape(1, -1))
        error = 1 - (y_pred.item() == y.item())
        metric_error = metric(error_value=error)
        _ = detector.update(value=error)
        status = detector.status
        if status["drift"] and not drift_flag:
            drift_flag = True
            print(f"Concept drift detected at step {i}. Accuracy: {1 - metric_error:.4f}")
    if not drift_flag:
        print("No concept drift detected")
    print(f"Final accuracy: {1 - metric_error:.4f}\n")

# Simulate data stream (assuming test label available after each prediction)
# No concept drift is expected to occur
stream_test(
    X_test=X_test,
    y_test=y_test,
    y=y,
    metric=metric,
    detector=detector,
)
# >> No concept drift detected
# >> Final accuracy: 0.9766

# IMPORTANT: Induce/simulate concept drift in the last part (20%)
# of y_test by modifying some labels (50% approx). Therefore, changing P(y|X))
drift_size = int(y_test.shape[0] * 0.2)
y_test_drift = y_test[-drift_size:]
modify_idx = np.random.rand(*y_test_drift.shape) <= 0.5
y_test_drift[modify_idx] = (y_test_drift[modify_idx] + 1) % len(np.unique(y_test))
y_test[-drift_size:] = y_test_drift

# Reset detector and metric
detector.reset()
metric.reset()

# Simulate data stream (assuming test label available after each prediction)
# Concept drift is expected to occur because of the label modification
stream_test(
    X_test=X_test,
    y_test=y_test,
    y=y,
    metric=metric,
    detector=detector,
)
# >> Concept drift detected at step 142. Accuracy: 0.9510
# >> Final accuracy: 0.8480

More concept drift examples can be found here.

📊 Data drift

As a quick example, we can use the iris dataset to which data drift is induced and show the use of a data drift detector like Kolmogorov-Smirnov test.

import numpy as np
from sklearn.datasets import load_iris
from sklearn.model_selection import train_test_split
from sklearn.tree import DecisionTreeClassifier

from frouros.detectors.data_drift import KSTest

np.random.seed(seed=31)

# Load iris dataset
X, y = load_iris(return_X_y=True)

# Split train (70%) and test (30%)
(
    X_train,
    X_test,
    y_train,
    y_test,
) = train_test_split(X, y, train_size=0.7, random_state=31)

# Set the feature index to which detector is applied
feature_idx = 0

# IMPORTANT: Induce/simulate data drift in the selected feature of y_test by
# applying some gaussian noise. Therefore, changing P(X))
X_test[:, feature_idx] += np.random.normal(
    loc=0.0,
    scale=3.0,
    size=X_test.shape[0],
)

# Define and fit model
model = DecisionTreeClassifier(random_state=31)
model.fit(X=X_train, y=y_train)

# Set significance level for hypothesis testing
alpha = 0.001
# Define and fit detector
detector = KSTest()
_ = detector.fit(X=X_train[:, feature_idx])

# Apply detector to the selected feature of X_test
result, _ = detector.compare(X=X_test[:, feature_idx])

# Check if drift is taking place
if result.p_value <= alpha:
    print(f"Data drift detected at feature {feature_idx}")
else:
    print(f"No data drift detected at feature {feature_idx}")
# >> Data drift detected at feature 0
# Therefore, we can reject H0 (both samples come from the same distribution).

More data drift examples can be found here.

🛠 Installation

Frouros can be installed via pip:

pip install frouros

🕵🏻‍♂️️ Drift detection methods

The currently implemented detectors are listed in the following table.

Drift detector	Type	Family	Univariate (U) / Multivariate (M)	Numerical (N) / Categorical (C)	Method	Reference
Concept drift	Streaming	Change detection	U	N	BOCD	Adams and MacKay (2007)
U	N	CUSUM	Page (1954)
U	N	Geometric moving average	Roberts (1959)
U	N	Page Hinkley	Page (1954)
Statistical process control	U	N	DDM	Gama et al. (2004)
U	N	ECDD-WT	Ross et al. (2012)
U	N	EDDM	Baena-Garcıa et al. (2006)
U	N	HDDM-A	Frias-Blanco et al. (2014)
U	N	HDDM-W	Frias-Blanco et al. (2014)
U	N	RDDM	Barros et al. (2017)
Window based	U	N	ADWIN	Bifet and Gavalda (2007)
U	N	KSWIN	Raab et al. (2020)
U	N	STEPD	Nishida and Yamauchi (2007)
Data drift	Batch	Distance based	U	N	Bhattacharyya distance	Bhattacharyya (1946)
U	N	Earth Mover's distance	Rubner et al. (2000)
U	N	Energy distance	Székely et al. (2013)
U	N	Hellinger distance	Hellinger (1909)
U	N	Histogram intersection normalized complement	Swain and Ballard (1991)
U	N	Jensen-Shannon distance	Lin (1991)
U	N	Kullback-Leibler divergence	Kullback and Leibler (1951)
M	N	Maximum Mean Discrepancy	Gretton et al. (2012)
U	N	Population Stability Index	Wu and Olson (2010)
Statistical test	U	N	Anderson-Darling test	Scholz and Stephens (1987)
U	N	Baumgartner-Weiss-Schindler test	Baumgartner et al. (1998)
U	C	Chi-square test	Pearson (1900)
U	N	Cramér-von Mises test	Cramér (1902)
U	N	Kolmogorov-Smirnov test	Massey Jr (1951)
U	N	Kuiper's test	Kuiper (1960)
U	N	Mann-Whitney U test	Mann and Whitney (1947)
U	N	Welch's t-test	Welch (1947)
Streaming	Distance based	M	N	Maximum Mean Discrepancy	Gretton et al. (2012)
Statistical test	U	N	Incremental Kolmogorov-Smirnov test	dos Reis et al. (2016)

❗ What is and what is not Frouros?

Unlike other libraries that in addition to provide drift detection algorithms, include other functionalities such as anomaly/outlier detection, adversarial detection, imbalance learning, among others, Frouros has and will ONLY have one purpose: drift detection.

We firmly believe that machine learning related libraries or frameworks should not follow Jack of all trades, master of none principle. Instead, they should be focused on a single task and do it well.

✅ Who is using Frouros?

Frouros is actively being used by the following projects to implement drift detection in machine learning pipelines:

• AI4EOSC.
• iMagine.

If you want your project listed here, do not hesitate to send us a pull request.

👍 Contributing

Check out the contribution section.

💬 Citation

Although Frouros paper is still in preprint, if you want to cite it you can use the preprint version (to be replaced by the paper once is published).

@article{cespedes2022frouros,
  title={Frouros: A Python library for drift detection in machine learning systems},
  author={C{\'e}spedes-Sisniega, Jaime and L{\'o}pez-Garc{\'\i}a, {\'A}lvaro },
  journal={arXiv preprint arXiv:2208.06868},
  year={2022}
}

📝 License

Frouros is an open-source software licensed under the BSD-3-Clause license.

🙏 Acknowledgements

Frouros has received funding from the Agencia Estatal de Investigación, Unidad de Excelencia María de Maeztu, ref. MDM-2017-0765.