R1SVM: A randomised nonlinear approach to large-scale anomaly detection

Abstract

The problem of unsupervised anomaly detection arises in a wide variety of practical applications. While one-class support vector machines have demonstrated their effectiveness as an anomaly detection technique, their ability to model large datasets is limited due to their memory and time complexity for training. To address this issue for supervised learning of kernel machines, there has been growing interest in random projection methods as an alternative to the computationally expensive problems of kernel matrix construction and support vector optimisation. In this paper we leverage the theory of nonlinear random projections and propose the Randomised One-class SVM (R1SVM), which is an effic..