OOD Detection For Electronic Health Records

This repository contain code used by Pacmed Labs for experiments about uncertainty estimation, OOD detection and (deep) generative modelling for electronic health records, i.e. tabular data, with the goal of facilitating more reliable application of machine learning methods in a health setting. The code is used in the following publications:

• "Uncertainty Estimation For Classification And Risk Prediction on Medical Tabular Data" (Meijerink et al., 2020)
• "Trust Issues: Uncertainty Estimation Does Not Enable Reliable OOD Detection On Medical Tabular Data" (Ulmer et al., 2020)

In the following sections the contents of the repository are explained in detail, along with how to use it and some examples.

📚 Table of contents

• Contents
  • Included Models
  • Included Metrics
  • Included Experiments
  • Included Datasets
• Usage
  • Setup
    • Installation
    • Automatic Code Formatting
    • Commit Message Template
  • Examples
    • Experiments
    • Plotting
  • Replication
    • Ulmer et al. (2020)
• Bibliography

📂 Contents

The repo contains the following directories:

• data: Containing hyperparameters, pickle files with experimental results, feature names and other additional data
• img: Experimental plots and data visualizations
• notebooks: Jupyter notebooks for data exploration
• src: All the code used organized in the following packages
  • experiments: Scripts to prepare and run experiments as well plotting results
  • models: All models contained in the repo (see next section)
  • preprocessing: Preprocessing script for the eICU data set
  • utils: Helper functions

🤖 Included Models

The following discriminators are included in the repository:

• Logistic Regression baseline (LogReg, models.logreg.py)
• Vanilla neural network (NN, models.mlp.py)
• MC Dropout (Gal & Ghahramani, 2016; MCDropoutNN, models.mlp.py)
• Neural network with Platt scaling (Guo et al., 2017; PlattScalingNN, models.mlp.py)
• Bayes-by-backprop neural network (Blundell et al., 2015; BBB, models.bbb.py)
• Neural Network Ensemble (Lakshminarayanan et al., 2017; NNEnsemble, models.nn_ensemble.py)
• Bootstrapped Neural Network Ensemble (BootstrappedNNEnsemble, models.nn_ensemble.py)
• Anchored Neural Network Ensemble (Pearce et al., 2020, AnchoredNNEnsemble, models.anchored_ensemble.py)

The repo also contains the following density-estimation models:

• Probabilistic PCA baseline (Bishop 1999; PPCA, models.ppca.py)
• Autoencoder (AE, models.autoencoder.py)
• Variational Autoencoder (Kingma & Welling, 2014; VAE, models.vae.py)
• Heterogenous-Incomplete Variational Autoencoder (Nazabal et al., 2020; HI-VAE, models.hi_vae.py)
• Deep Kernel Learning - Deterministic Uncertainty Estimation (Amersfoort et al., 2021, DUE, models.dkl_due.py)

All actually used hyperparameters, hyperparameter search ranges, metrics and model hierarchies are defined in src.models.info.py.

Miscellaneous notes:

• For models, we usually distinguish the module and the model, i.e. VAEModule and VAE. The former implements the model's logic, the latter one defines interfaces to train and test it and compute certain metrics.

• 💡 To add new models, first add the following things in models.info.py:

  • Add it somewhere in the model hierarchy so that it is included in AVAILABLE_MODELS
  • Add the names of corresponding scoring functions in AVAILABLE_SCORING_FUNCS
  • Add model and training parameters to MODEL_PARAMS and TRAIN_PARAMS respectively (if you haven't done hyperparameter search yet, add some placeholders here)
  • For the hyperparameter search, add the search ranges to PARAM_RANGES and the number of trials to NUM_EVALS
  • Finally import the class in utils.model_init.py and add it to the MODEL_CLASSES dictionary

📐 Included Metrics

The following metrics are available for uncertainty estimation / OOD detection:

• Maximum softmax probability (Hendrycks & Gimpel, 2017)
• Predictive entropy (e.g. Gal, 2016)
• Standard deviation of class y=1
• Mutual information (Smith & Gal, 2018)
• Log probability (log p(x))
• Reconstruction error
• Magnitude of gradient of reconstruction error (||grad_x log p(x|z)||_2) (Grathwohl et al., 2020)
• Probability under latent space approx. posterior q(z|x)
• Probability under latent space prior p(z)

The availability by model is given in the following table:

Metric / Model	LogReg	NN	PlattScalingNN	MCDropoutNN	BBB	NNEnsemble	BootstrappedNNEnsemble	AnchoredNNEnsemble	PPCA	AE	VAE	HI-VAE
Max. softmax prob	✅	✅	✅	❌	❌	❌	❌	❌	❌	❌	❌	❌
Pred. entropy	✅	✅	✅	✅	✅	✅	✅	✅	❌	❌	❌	❌
Std.	❌	❌	❌	✅	✅	✅	✅	✅	❌	❌	❌	❌
Mutual info.	❌	❌	❌	✅	✅	✅	✅	✅	❌	❌	❌	❌
Log-prob.	❌	❌	❌	❌	❌	❌	❌	❌	✅	❌	❌	❌
Reconstr. err	❌	❌	❌	❌	❌	❌	❌	❌	❌	✅	✅	✅
Reconstr. err. grad	❌	❌	❌	❌	❌	❌	❌	❌	❌	❌	✅	✅
Latent prop.	❌	❌	❌	❌	❌	❌	❌	❌	❌	❌	✅	✅
Latent prior prob.	❌	❌	❌	❌	❌	❌	❌	❌	❌	❌	✅	✅

💡 Note To add a new metrics, perform the following steps: * Add it to corresponding model in AVAILABLE_SCORING_FUNCS in models.info.py * Add the exact function to SCORING_FUNCS in models.novelty_estimator.py

🔬 Included Experiments

The following scripts are included to prepare experiments:

• Hyperparameter search (experiments.hyperparameter_search.py) using random sampling (hyperparameter options and ranges are defined in models.info.py)
• Validation of OOD-ness (experiments.validate_ood.py): Validate that OOD groups defined for a datasets differ significantly from the remaining training population using statistical significance tests. The OOD groups are defined in utils.datahandler.py.
• Inferring the variable types automatically for the HI-VAE (experiments.infer_types.py)
• Extracting some statistics about OOD groups with experiments.ood_statistics.py

Furthermore, the following experiments are currently included:

• Domain adaptation, where a model is trained on one and tested on a completely different data set (experiments.domain_adaptation.py)
• A series of experiments which tests models on pre-defined OOD groups, invoked by out_of_domain.py
• A perturbation experiment simulating data corruption / human error by scaling random feature by an increasing amount (perturbation.py)

Lastly, plot_results.py can be used to generate tables and plots from the results of these experiments. More information about the correct usage is given in the section Examples below.

📜 Included Datasets

Currently, the repository is tailored towards the eICU and MIMIC-III datasets, which are publicly available on request and therefore not included in the repo. The dataset to use - if applicable - are usually specified using the --data-origin argument when invoking the script, using either MIMIC or eICU as arguments.

💡 Note: To add new data sets would unfortunately require some additional refactoring. First, add some logic to utils.datahandler.py. After that, one would probably have to adjust all experimental script to accomdate the new data.

⁉️ Usage

The following sections walk you through the setup for the repo and give some examples for commands.

🚀 Setup

The setup consists of installing all the necessary packages, as well as optional but recommended steps to stratify the work flow.

📥 Installation

The necessary packages can be installed with the commonly used pip command

pip install -r requirements.txt

🛠️ Automatic Code Formatting (recommended)

To ensure that code style guidelines are not being violated in commits, you can set up an automatic pre-commit hook using the Black code formatter, so you never have to worry about your code style ever again!

This involves the following steps, which are taken from the following blog post:

1. Install the pre-commit package via

    pip install pre-commit
   

2. Execute the following command in the .git/ directory:

    pre-commit install
   

The necessary other files are already contained in the repo, namely .pre-commit-config.yaml which defines two hooks (Black for formatting and flake8 for style-checking) as well as .flake8, which defines the line length as well as types of violations that should be ignored.

What if a commit was rejected: If your commit was rejected by Black or flake8, this is indicated with a e.g. black...........Failed after you try git commit in your terminal. In the case of black, simply try your git add and git commit again (the code should now be formatted). In the case of flake8, check which piece of your code triggered the failure in the terminal message and correct it (if you are really sure that flake8 should ignore this kind of violation, add it to the .flake8 file).

📝 Commit Message Template (recommended)

Lastly, a commit message template using emojis is used in this project, which makes it easier to categorize commits and quicker for others to understand the changes made in previous commits. The template along with the rationale and installation instructions is given in this repo. It simply involves downloading the .gitmessage file, and then, from the repository root, executing the following command:

git config commit.template .gitmessage

☝️ Examples

The following sections gives some examples on how to run experiments and plotting the results.

🔬 Experiments

The experiments can be run invoking the corresponding scripts in the experiments module. The two most important arguments for all scripts are --data-origin, which defines the data set experiments are run on (except for domain adaptation), and --models, which defines the models that the experiments are performed with. With omitted, all available models defined in AVAILABLE_MODELS in models.info.py. Below are given some example commands for the different experiments:

python3 hyperparameter_search.py --data_origin MIMIC --models BNN
python3 perturbation.py --data_origin eICU --models HI-VAE VAE
python3 out_of_domain.py --data_origin MIMIC
python3 domain_adaptation.py --models LogReg AnchoredNNEnsemble

💡 Note: The script will write results to the path specified via --result_dir, which is set to ../../data/results/ by default (expecting that run this script from the module it's located in) in the form of pickle files, using a folder hierarchy to distinguish between different data sets, experiments and models.

📊 Plotting

Plotting is done using the experiments.plot_results.py script. For a comprehensive overview over the options, type

python3 plot_results.py -h

Generally, the most important options here are --data-origin, which specifies the data set, as well as --plots / -p to define the experiments that should be plotted (current options are da, ood, perturb) corresponding to the experiments described above. --plot-type heatmap is recommended when plotting a lot of results at once to avoid clutter. For the OOD group / domain adaptation experiments, --show-percentage-sig adds the percentage of features that were distributed in a statistically significantly different way compared to the reference data, and --show-rel-sizes the relative size of the group. --print-latex can be added in order to print all results as latex tables on screen. Below are a few examples for usage:

python3 plot_results.py --data_origin MIMIC -p perturb --plot-type heatmap
python3 plot_results.py --data_origin eICU -p ood --plot-type heatmap --show-percentage-sig --show-rel-sizes --print-latex
python3 plot_results.py -p da --plot-type heatmap --show-percentage-sigs --show-rel-sizes --print-latex

Tip: PyCharm allows you to save presets for these kind of commands, so switching between them often becomes much easier.

💡 Note: The script will only plot results which are saved in the path specified via --result_dir, which is set to ../../data/results/ by default (expecting that run this script from the module it's located in) in the form of pickle files, using a folder hierarchy to distinguish between different data sets, experiments and models. Images will by default be saved to ../../data/img/experiments.

♻️ Replication

This section contains some information to replicate the experiments in the publications based on this repo.

Ulmer et al. (2020)

To replicate the experiments of Ulmer et al. (2020) unfortunately first requires a bit of messy preprocessing. Because we cannot publish the data sets alongside this repo, they have to be downloaded and preprocessed manually. More info about how to acquire the data sets is given under Included Datasets.

For the MIMIC-III data set, this repo was used for preprocessing purposes. Follow the instructions to produce the mortality prediction task there.

For eICU, use the code given in this repo to extract the data for distinct patient stays into different folders, specifically the script data_extraction/data_extraction_root.py (this doesn't require the whole script to be run in its entirety). On the output directory specified with --output_dir by the previous script, run the following command

python3 src/preprocessing/eicu.py --stays_dir <path to stay folders> --patient_path ${eicu}/patient.csv 
--diagnoses_path ${eicu}/diagnosis.csv --phenotypes_path data/yaml/hcup_ccs_2015_definitions.yaml 
--apachepredvar_path ${eicu}/apachePredVar.csv --output_dir <output dir>

where ${eicu} contains the path to the original eICU directory with unzipped files. This script will create the adult_data.csv file in the output directory. From there, adjust the EICU_CSV variable in utils.datahandler.py to point to this file.

Finally, the following scripts were run to create the experimental results reported in the paper:

python3 perturbation.py --data_origin eICU --models AE AnchoredNNEnsemble BBB BootstrappedNNEnsemble LogReg MCDropout NN NNEnsemble PPCA PlattScalingNN
python3 perturbation.py --data_origin MIMIC --models AE AnchoredNNEnsemble BBB BootstrappedNNEnsemble LogReg MCDropout NN NNEnsemble PPCA PlattScalingNN
python3 out_of_domain.py --data_origin eICU --models AE AnchoredNNEnsemble BBB BootstrappedNNEnsemble LogReg MCDropout NN NNEnsemble PPCA PlattScalingNN
python3 out_of_domain.py --data_origin MIMIC --models AE AnchoredNNEnsemble BBB BootstrappedNNEnsemble LogReg MCDropout NN NNEnsemble PPCA PlattScalingNN
python3 domain_adaptation.py --models --models AE AnchoredNNEnsemble BBB BootstrappedNNEnsemble LogReg MCDropout NN NNEnsemble PPCA PlattScalingNN

To plot the results, please follow the instructions under Plotting.

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💡 Note: If you encounter any problems with the replication of these experimental results, please feel free to open an issue on this repository!

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🎓 Bibliography

Bishop, Christopher M. Bayesian pca. In Advances in neural information processing systems, pages 382–388, 1999.

Blundell, C., Cornebise, J., Kavukcuoglu, K., & Wierstra, D. (2015). Weight uncertainty in neural networks. arXiv preprint arXiv:1505.05424.

Gal, Yarin. Uncertainty in deep learning. University of Cambridge, 1(3), 2016.

Gal, Yarin, and Zoubin Ghahramani. "Dropout as a bayesian approximation: Representing model uncertainty in deep learning." international conference on machine learning. 2016.

Chuan Guo, Geoff Pleiss, Yu Sun, and Kilian Q. Weinberger. On calibration of modern neural networks. In Proceedingsof the 34th International Conference on MachineLearning, ICML2017, Sydney, NSW, Australia, 6-11 August 2017, pages 1321–1330, 2017.

Grathwohl, Will, Kuan-Chieh Wang, Jörn-Henrik Jacobsen, David Duvenaud, Mohammad Norouzi, and Kevin Swersky. Your classifier is secretly an energy based model and you should treat it like one. In 8th International Conference on Learning Representations, ICLR 2020, Addis Ababa, Ethiopia, April 26-30, 2020.

Dan Hendrycks and Kevin Gimpel. A base-line for detecting misclassified and out-of-distribution examples in neural networks. In 5th International Conference on Learning Representations, ICLR 2017, Toulon, France, April 24-26, 2017, Conference Track Proceedings, 2017.

Diederik P. Kingma and Max Welling. Auto-Encoding Variational Bayes. 2nd International Conference on Learning Representations, ICLR 2014, Banff, AB, Canada, April 14-16, 2014, Conference Track Proceedings.

Lakshminarayanan, Balaji, Alexander Pritzel, and Charles Blundell. "Simple and scalable predictive uncertainty estimation using deep ensembles." Advances in neural information processing systems. 2017.

Meijerink, Lotta, Giovanni Cinà, and Michele Tonutti. "Uncertainty estimation for classification and risk prediction in medical settings." arXiv preprint arXiv:2004.05824 (2020).

Nazabal, A., Olmos, P. M., Ghahramani, Z., & Valera, I. (2020). Handling incomplete heterogeneous data using vaes. Pattern Recognition, 107501.

Pearce, Tim, Felix Leibfried, and Alexandra Brintrup. "Uncertainty in neural networks: Approximately Bayesian ensembling." International conference on artificial intelligence and statistics. PMLR, 2020.

Smith, Lewis and Gal, Yarin. Under-standing measures of uncertainty for adversarial example detection. In Proceedings of the Thirty-Fourth Conference on Uncertainty in Artificial Intelligence, UAI 2018, Monterey, California, USA, August 6-10, 2018, pages 560–569, 2018.

Ulmer, Dennis, Lotta Meijerink and Giovanni Cinà. "Trust Issues: Uncertainty Estimation Does Not Enable Reliable OOD Detection on Medical Tabular Dara." ML4H@NeurIPS 2020.