Fraud Detection on Unlabeled Data with Unsupervised Machine Learning

Sammanfattning: A common problem in systems handling user interaction was the risk for fraudulent behaviour. As an example, in a system with credit card transactions it could have been a person using a another user's account for purchases, or in a system with advertisment it could be bots clicking on ads. These malicious attacks were often disguised as normal interactions and could be difficult to detect. It was especially challenging when working with datasets that did not contain so called labels, which showed if the data point was fraudulent or not. This meant that there were no data that had previously been classified as fraud, which in turn made it difficult to develop an algorithm that could distinguish between normal and fraudulent behavior. In this thesis, the area of anomaly detection was explored with the intent of detecting fraudulent behavior without labeled data. Three neural network based prototypes were developed in this study. All three prototypes were some sort of variation of autoencoders. The first prototype which served as a baseline was a simple three layer autoencoder, the second prototype was a novel autoencoder which was called stacked autoencoder, the third prototype was a variational autoencoder. The prototypes were then trained and evaluated on two different datasets which both contained non fraudulent and fraudulent data. In this study it was found that the proposed stacked autoencoder architecture achieved better performance scores in recall, accuracy and NPV in the tests that were designed to simulate a real world scenario.