Recurrent Dynamical Projection for Time Series-Based Fraud Detection

Abstract

Abstract. A Reservoir Computing approach is used in this work for generating a rich nonlinear spatial feature from the dynamical projection of a limited-size input time series. The final state of the Recurrent neural network (RNN) forms the feature subsequently used as input to a regressor or classifier (such as Random Forest or Least Squares). This proposed method is used for fraud detection in the energy distribution domain, namely, detection of non-technical loss (NTL) using a real-world dataset containing only the monthly energy consumption time series of (more than 300K) users. The heterogeneity of user profiles is dealt with a clustering approach, where the cluster id is also input to the classifier. Experimental results shows that the proposed recurrent feature generator is able to extract relevant nonlinear transformations of the raw time series without a priori knowledge and perform as good as (and sometimes better than) baseline models with handcrafted features.