- Conference Article
- 10.1063/1.3037084
Boosting-Based Optimization as a Generic Framework for Novelty and Fraud Detection in Complex Strategies
- Jan 01, 2008
- AIP conference proceedings
- Valeriy V Gavrishchaka + 4 more +4
Novelty detection is a very desirable additional feature of any practical classification or forecasting system. Novelty and rare patterns detection is the main objective in such applications as fault/abnormality discovery in complex technical and biological systems, fraud detection and risk management in financial and insurance industry. Although many interdisciplinary approaches for rare event modeling and novelty detection have been proposed, significant data incompleteness due to the nature of the problem makes it difficult to find a universal solution. Even more challenging and much less formalized problem is novelty detection in complex strategies and models where practical performance criteria are usually multi‐objective and the best state‐of‐the‐art solution is often not known due to the complexity of the task and/or proprietary nature of the application area. For example, it is much more difficult to detect a series of small insider trading or other illegal transactions mixed with valid operations...
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