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Mining Data Streams

(Part 2)
Mining of Massive Datasets
Jure Leskovec, Anand Rajaraman, Jeff Ullman
Stanford University
http://www.mmds.org
Today’s Lecture
 More algorithms for streams:
 (1) Filtering a data stream: Bloom filters
 Select elements with property x from stream
 (2) Counting distinct elements: Flajolet-Martin
 Number of distinct elements in the last k elements
of the stream
 (3) Estimating moments: AMS method
 Estimate std. dev. of last k elements
 (4) Counting frequent items

J. Leskovec, A. Rajaraman, J. Ullman: Mining of Massive Datasets, http://www.mmds.org 2

(1) Filtering Data Streams
Filtering Data Streams
 Each element of data stream is a tuple
 Given a list of keys S
 Determine which tuples of stream are in S

 Obvious solution: Hash table

 But suppose we do not have enough memory to
store all of S in a hash table
 E.g., we might be processing millions of filters
on the same stream

J. Leskovec, A. Rajaraman, J. Ullman: Mining of Massive Datasets, http://www.mmds.org 4

Applications
 Example: Email spam filtering
 We know 1 billion “good” email addresses
 If an email comes from one of these, it is NOT
spam

 Publish-subscribe systems
 You are collecting lots of messages (news articles)
 People express interest in certain sets of keywords
 Determine whether each message matches user’s
interest

J. Leskovec, A. Rajaraman, J. Ullman: Mining of Massive Datasets, http://www.mmds.org 5

First Cut Solution (1)
 Given a set of keys S that we want to filter
 Create a bit array B of n bits, initially all 0s
 Choose a hash function h with range [0,n)
 Hash each member of s S to one of
n buckets, and set that bit to 1, i.e., B[h(s)]=1
 Hash each element a of the stream and
output only those that hash to bit that was set
to 1
 Output a if B[h(a)] == 1

J. Leskovec, A. Rajaraman, J. Ullman: Mining of Massive Datasets, http://www.mmds.org 6

First Cut Solution (2)
Output the item since it may be in S.
Item hashes to a bucket that at least
one of the items in S hashed to.

Filter
Item

Hash
func h

0010001011000 Bit array B

Drop the item.

It hashes to a bucket set
to 0 so it is surely not in S.

 Creates false positives but no false negatives

 If the item is in S we surely output it, if not we may
still output it
J. Leskovec, A. Rajaraman, J. Ullman: Mining of Massive Datasets, http://www.mmds.org 7
First Cut Solution (3)
 |S| = 1 billion email addresses
|B|= 1GB = 8 billion bits

 If the email address is in

S, then it surely hashes to a
bucket that has the big set to 1,
so it always gets through (no false negatives)

 Approximately 1/8 of the bits are set to 1, so about

1/8th of the addresses not in S get through to the
output (false positives)
 Actually, less than 1/8th, because more than one address
might hash to the same bit
J. Leskovec, A. Rajaraman, J. Ullman: Mining of Massive Datasets, http://www.mmds.org 8
Analysis: Throwing Darts (1)
 More accurate analysis for the number of
false positives

 Consider: If we throw m darts into n equally

likely targets, what is the probability that
a target gets at least one dart?

 In our case:
 Targets = bits/buckets
 Darts = hash values of items

J. Leskovec, A. Rajaraman, J. Ullman: Mining of Massive Datasets, http://www.mmds.org 9

Analysis: Throwing Darts (2)
 We have m darts, n targets
 What is the probability that a target gets at
least one dart?
Equals 1/e
Equivalent
as n ∞

n( m / n)
1 - (1 – 1/n)
1 – e–m/n
Probability some
target X not hit Probability at
by a dart least one dart
hits target X
J. Leskovec, A. Rajaraman, J. Ullman: Mining of Massive Datasets, http://www.mmds.org 10
Analysis: Throwing Darts (3)
 Fraction of 1s in the array B =
= probability of false positive = 1 – e-m/n

 Example: 109 darts, 8∙109 targets

 Fraction of 1s in B = 1 – e-1/8 = 0.1175
 Compare with our earlier estimate: 1/8 = 0.125

J. Leskovec, A. Rajaraman, J. Ullman: Mining of Massive Datasets, http://www.mmds.org 11

Bloom Filter
 Consider: |S| = m, |B| = n
 Use k independent hash functions h1 ,…, hk
 Initialization:
 Set B to all 0s
 Hash each element s S using each hash function hi,
set B[hi(s)] = 1 (for each i = 1,.., k) (note: we have a
single array B!)
 Run-time:
 When a stream element with key x arrives
 If B[hi(x)] = 1 for all i = 1,..., k then declare that x is in S
 That is, x hashes to a bucket set to 1 for every hash function hi(x)
 Otherwise discard the element x
J. Leskovec, A. Rajaraman, J. Ullman: Mining of Massive Datasets, http://www.mmds.org 12
Bloom Filter -- Analysis
 What fraction of the bit vector B are 1s?
 Throwing k∙m darts at n targets
 So fraction of 1s is (1 – e-km/n)

 But we have k independent hash functions

and we only let the element x through if all k
hash element x to a bucket of value 1

 So, false positive probability = (1 – e-km/n)k

J. Leskovec, A. Rajaraman, J. Ullman: Mining of Massive Datasets, http://www.mmds.org 13

Bloom Filter – Analysis (2)
0.2
 m = 1 billion, n = 8 billion 0.18

 k = 1: (1 – e-1/8) = 0.1175 0.16

False positive prob.

0.14

 k = 2: (1 – e-1/4)2 = 0.0493 0.12

0.1

0.08

0.06
 What happens as we 0.04

keep increasing k? 0.02

0 2 4 6 8 10 12 14

Number of hash functions, k

16 18 20

 “Optimal” value of k: n/m ln(2)

 In our case: Optimal k = 8 ln(2) = 5.54 ≈ 6
 Error at k = 6: (1 – e-1/6)2 = 0.0235
J. Leskovec, A. Rajaraman, J. Ullman: Mining of Massive Datasets, http://www.mmds.org 14
Bloom Filter: Wrap-up
 Bloom filters guarantee no false negatives,
and use limited memory
 Great for pre-processing before more
expensive checks
 Suitable for hardware implementation
 Hash function computations can be parallelized

 Is it better to have 1 big B or k small Bs?

 It is the same: (1 – e-km/n)k vs. (1 – e-m/(n/k))k
 But keeping 1 big B is simpler

J. Leskovec, A. Rajaraman, J. Ullman: Mining of Massive Datasets, http://www.mmds.org 15

(2) Counting Distinct Elements
Counting Distinct Elements
 Problem:
 Data stream consists of a universe of elements
chosen from a set of size N
 Maintain a count of the number of distinct
elements seen so far

 Obvious approach:
Maintain the set of elements seen so far
 That is, keep a hash table of all the distinct
elements seen so far

J. Leskovec, A. Rajaraman, J. Ullman: Mining of Massive Datasets, http://www.mmds.org 17

Applications
 How many different words are found among
the Web pages being crawled at a site?
 Unusually low or high numbers could indicate
artificial pages (spam?)

 How many different Web pages does each

customer request in a week?

 How many distinct products have we sold in

the last week?
J. Leskovec, A. Rajaraman, J. Ullman: Mining of Massive Datasets, http://www.mmds.org 18
Using Small Storage

 Real problem: What if we do not have space

to maintain the set of elements seen so far?

 Estimate the count in an unbiased way

 Accept that the count may have a little error,

but limit the probability that the error is large

J. Leskovec, A. Rajaraman, J. Ullman: Mining of Massive Datasets, http://www.mmds.org 19

Flajolet-Martin Approach
 Pick a hash functionh that maps each of the N
elements to at least log2 N bits

 For each stream element a, let r(a) be the

number of trailing 0s in h(a)
 r(a) = position of first 1 counting from the right
 E.g., say h(a) = 12, then 12 is 1100 in binary, so r(a) = 2
 Record R = the maximum r(a) seen
 R = maxa r(a), over all the items a seen so far

 Estimated number of distinct elements = 2R

J. Leskovec, A. Rajaraman, J. Ullman: Mining of Massive Datasets, http://www.mmds.org 20
Why It Works: Intuition
 Very very rough and heuristic intuition why
Flajolet-Martin works:
 h(a) hashes a with equal prob. to any of N values
 Then h(a) is a sequence of log2 N bits,
where 2-r fraction of all as have a tail of r zeros
 About 50% of as hash to ***0
 About 25% of as hash to **00
 So, if we saw the longest tail of r=2 (i.e., item hash
ending *100) then we have probably seen
about 4 distinct items so far
 So, it takes to hash about 2r items before we
see one with zero-suffix of length r
J. Leskovec, A. Rajaraman, J. Ullman: Mining of Massive Datasets, http://www.mmds.org 21
Why It Works: More formally
  Now we show why Flajolet-Martin works

 Formally, we will show that probability of

finding a tail of r zeros:
 Goes to 1 if
 Goes to 0 if
where is the number of distinct elements
seen so far in the stream
 Thus, 2R will almost always be around m!

J. Leskovec, A. Rajaraman, J. Ullman: Mining of Massive Datasets, http://www.mmds.org 22

Why It Works: More formally
  What is the probability that a given h(a) ends

in at least r zeros is 2-r

 h(a) hashes elements uniformly at random
 Probability that a random number ends in
at least r zeros is 2-r
 Then, the probability of NOT seeing a tail
of length r among m elements:
Prob. all end in Prob. that given h(a) ends
fewer than r zeros. in fewer than r zeros

J. Leskovec, A. Rajaraman, J. Ullman: Mining of Massive Datasets, http://www.mmds.org 23

Why It Works: More formally
r m  r 2r ( m 2  r )  m 2 r
 Note: (1  2 )  (1  2 ) e
 Prob. of NOT finding a tail of length r is:
 If m << 2r, then prob. tends to 1
r

 (1  2 )  e 
r m m 2
 1 as m/2r 0
 So, the probability of finding a tail of length r tends to 0
 If m >> 2r, then prob. tends to 0
r
 (1  2  r ) m  e  m 2  0 as m/2r  
 So, the probability of finding a tail of length r tends to 1

 Thus, 2R will almost always be around m!

J. Leskovec, A. Rajaraman, J. Ullman: Mining of Massive Datasets, http://www.mmds.org 24

Why It Doesn’t Work
  E[2R] is actually infinite
 Probability halves when R  R+1, but value doubles
 Workaround involves using many hash
functions hi and getting many samples of Ri
 How are samples Ri combined?
 Average? What if one very large value ?
 Median? All estimates are a power of 2
 Solution:
 Partition your samples into small groups
 Take the median of groups
 Then take the average of the medians
J. Leskovec, A. Rajaraman, J. Ullman: Mining of Massive Datasets, http://www.mmds.org 25
(3) Computing Moments
Generalization: Moments
 Suppose a stream has elements chosen
from a set A of N values

 Let mi be the number of times value i occurs

in the stream

 The kth moment is

 iA
( mi ) k

J. Leskovec, A. Rajaraman, J. Ullman: Mining of Massive Datasets, http://www.mmds.org 27

Special Cases

 iA
( mi ) k

 0thmoment = number of distinct elements

 The problem just considered
 1st moment = count of the numbers of
elements = length of the stream
 Easy to compute
 2nd moment = surprise number S =
a measure of how uneven the distribution is

J. Leskovec, A. Rajaraman, J. Ullman: Mining of Massive Datasets, http://www.mmds.org 28

Example: Surprise Number
 Stream of length 100
 11 distinct values

 Item counts: 10, 9, 9, 9, 9, 9, 9, 9, 9, 9, 9

Surprise S = 910

 Item counts: 90, 1, 1, 1, 1, 1, 1, 1 ,1, 1, 1

Surprise S = 8,110

J. Leskovec, A. Rajaraman, J. Ullman: Mining of Massive Datasets, http://www.mmds.org 29

 [Alon, Matias, and Szegedy]

AMS Method
  AMS method works for all moments
 Gives an unbiased estimate
 We will just concentrate on the 2nd moment S
 We pick and keep track of many variables X:
 For each variable X we store X.el and X.val
 X.el corresponds to the item i
 X.val corresponds to the count of item i
 Note this requires a count in main memory,
so number of Xs is limited
 Our goal is to compute

J. Leskovec, A. Rajaraman, J. Ullman: Mining of Massive Datasets, http://www.mmds.org 30

One Random Variable (X)
  How to set X.val and X.el?
 Assume stream has length n (we relax this later)
 Pick some random time t (t<n) to start,
so that any time is equally likely
 Let at time t the stream have item i. We set X.el = i
 Then we maintain count c (X.val = c) of the number
of is in the stream starting from the chosen time t
 Then the estimate of the 2nd moment () is:

 Note, we will keep track of multiple Xs, (X1, X2,… Xk)

and our final estimate will be
J. Leskovec, A. Rajaraman, J. Ullman: Mining of Massive Datasets, http://www.mmds.org 31
 Expectation Analysis
Count: 1 2 3 ma

Stream: a a b b b a b a

  2nd moment is
 ct … number of times item at time t appears
from time t onwards (c1=ma , c2=ma-1, c3=mb)
mi … total count of
item i in the stream
(we are assuming
stream has length n)

Time t when Time t when

Time t when the penultimate the first i is
Group times
the last i is i is seen (ct=2) seen (ct=mi)
by the value
seen (ct=1)
seen
J. Leskovec, A. Rajaraman, J. Ullman: Mining of Massive Datasets, http://www.mmds.org 32
Expectation Analysis
Count: 1 2 3 ma

Stream: a a b b b a b a

 
 Little side calculation:
 Then

 So,
 We have the second moment (in expectation)!

J. Leskovec, A. Rajaraman, J. Ullman: Mining of Massive Datasets, http://www.mmds.org 33

Higher-Order Moments
 For
  estimating kth moment we essentially use the
same algorithm but change the estimate:
 For k=2 we used n (2·c – 1)
 For k=3 we use: n (3·c2 – 3c + 1) (where c=X.val)
 Why?
 For k=2: Remember we had and we showed terms 2c-1
(for c=1,…,m) sum to m2

 So:
 For k=3: c3 - (c-1)3 = 3c2 - 3c + 1
 Generally: Estimate
J. Leskovec, A. Rajaraman, J. Ullman: Mining of Massive Datasets, http://www.mmds.org 34
Combining Samples
 In
  practice:
 Compute for
as many variables X as you can fit in memory
 Average them in groups
 Take median of averages

 Problem: Streams never end

 We assumed there was a number n,
the number of positions in the stream
 But real streams go on forever, so n is
a variable – the number of inputs seen so far
J. Leskovec, A. Rajaraman, J. Ullman: Mining of Massive Datasets, http://www.mmds.org 35
Streams Never End: Fixups
 (1) The variables X have n as a factor –
keep n separately; just hold the count in X
 (2) Suppose we can only store k counts.
We must throw some Xs out as time goes on:
 Objective: Each starting time t is selected with
probability k/n
 Solution: (fixed-size sampling!)
 Choose the first k times for k variables
 When the nth element arrives (n > k), choose it with
probability k/n
 If you choose it, throw one of the previously stored
variables X out, with equal probability
J. Leskovec, A. Rajaraman, J. Ullman: Mining of Massive Datasets, http://www.mmds.org 36
Counting Itemsets
 Counting Itemsets
 New Problem: Given a stream, which items
appear more than s times in the window?
 Possible solution: Think of the stream of
baskets as one binary stream per item
 1 = item present; 0 = not present
 Use DGIM to estimate counts of 1s for all items
6 10
4
3 2
2 1
1 0
010011100010100100010110110111001010110011010
N
J. Leskovec, A. Rajaraman, J. Ullman: Mining of Massive Datasets, http://www.mmds.org 38
Extensions
 In principle, you could count frequent pairs
or even larger sets the same way
 One stream per itemset

 Drawbacks:
 Only approximate
 Number of itemsets is way too big

J. Leskovec, A. Rajaraman, J. Ullman: Mining of Massive Datasets, http://www.mmds.org 39

Exponentially Decaying Windows
  Exponentially decaying windows: A heuristic
for selecting likely frequent item(sets)
 What are “currently” most popular movies?
 Instead of computing the raw count in last N elements
 Compute a smooth aggregation over the whole stream
 If stream is a1, a2,… and we are taking the sum
of the stream, take the answer at time t to be:
 c is a constant, presumably tiny, like 10-6 or 10-9
 When new at+1 arrives:
Multiply current sum by (1-c) and add at+1
J. Leskovec, A. Rajaraman, J. Ullman: Mining of Massive Datasets, http://www.mmds.org 40
Example: Counting Items
  If each ai is an “item” we can compute the
characteristic function of each possible
item x as an Exponentially Decaying Window
 That is:
where δi=1 if ai=x, and 0 otherwise
 Imagine that for each item x we have a binary
stream (1 if x appears, 0 if x does not appear)
 New item x arrives:
 Multiply all counts by (1-c)
 Add +1 to count for element x
 Call this sum the “weight” of item x
J. Leskovec, A. Rajaraman, J. Ullman: Mining of Massive Datasets, http://www.mmds.org 41
Sliding Versus Decaying Windows

...

1/c
  Important property: Sum over all weights is
1/[1 – (1 – c)] = 1/c

J. Leskovec, A. Rajaraman, J. Ullman: Mining of Massive Datasets, http://www.mmds.org 42

Example: Counting Items
  What are “currently” most popular movies?
 Suppose we want to find movies of weight > ½
 Important property: Sum over all weights is 1/[1 –
(1 – c)] = 1/c
 Thus:
 There cannot be more than 2/c movies with
weight of ½ or more
 So, 2/c is a limit on the number of
movies being counted at any time

J. Leskovec, A. Rajaraman, J. Ullman: Mining of Massive Datasets, http://www.mmds.org 43

Extension to Itemsets
 Count (some) itemsets in an E.D.W.
 What are currently “hot” itemsets?
 Problem: Too many itemsets to keep counts of
all of them in memory
 When a basket B comes in:
 Multiply all counts by (1-c)
 For uncounted items in B, create new count
 Add 1 to count of any item in B and to any itemset
contained in B that is already being counted
 Drop counts < ½
 Initiate new counts (next slide)
J. Leskovec, A. Rajaraman, J. Ullman: Mining of Massive Datasets, http://www.mmds.org 44
Initiation of New Counts
S ⊆ B if every
 Start a count for an itemset
proper subset of S had a count prior to arrival
of basket B
 Intuitively: If all subsets of S are being counted this
means they are “frequent/hot” and thus S has a
potential to be “hot”
 Example:
 Start counting S={i, j} iff both i and j were counted
prior to seeing B
 Start counting S={i, j, k} iff {i, j}, {i, k}, and {j, k}
were all counted prior to seeing B
J. Leskovec, A. Rajaraman, J. Ullman: Mining of Massive Datasets, http://www.mmds.org 45
How many counts do we need?
 Counts for single items < (2/c)∙(avg. number
of items in a basket)

 Counts for larger itemsets = ??

 But we are conservative about starting

counts of large sets
 If we counted every set we saw, one basket
of 20 items would initiate 1M counts

J. Leskovec, A. Rajaraman, J. Ullman: Mining of Massive Datasets, http://www.mmds.org 46