Square's Machine Learning Infrastructure and Applications - Rong Yan
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1) Square uses machine learning for fraud detection in payments and to power recommendations on its Square Market platform. 2) Random forests and gradient boosted trees are the primary algorithms used for fraud detection, achieving up to a 10-11% improvement over random forests alone. 3) Square has built scalable machine learning infrastructure including parallel environments, data transport systems, and a learning management system to support rapid model development and evaluation.
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Square's Machine Learning Infrastructure and Applications - Rong Yan
- 1. May 15, 2014 ! Rong Yan Machine Learning @ Square
- 5. Our Mission Make commerce easy.
- 6. Payment Data Commerce The Next Big Thing
- 8. Offline and Online Amount Location Item Desc. Card # Credit Score Friends Activity History Inventory
- 9. Sales Volume
- 10. Haircut Price
- 11. Turn Data into Business Value Fraud Detection Business Insight Customer Relation Information Discovery
- 12. Fraud Detection @ Square
- 13. Fraud Detection in the payment flow Bank Clears for settlement Suspect ~2000 sellers Risk Ops Transaction review 150,000 active sellers per day Risk ML Fraud Detection
- 15. Card not present: Yes Pan Diversity: 0.05 Use iPhone: No Feature Generation
- 16. Easy to interpret ! Dimension reduction ! ! Very powerful in ensemble Decline Rate >= 0.1 NoYes Amount <= $10000 NoYes Business Type = Auto repair NoYes 0.9 0.6 Decision Tree Model
- 17. Random Forests: Decision Tree Ensemble Decline Rate <= 0.1 NoYes Amount <= $10000 Business Type = Auto repair 0.9 0.6 Tree 1 Tree N Breiman, Leo (2001). "Random Forests". Machine Learning 45 (1): 5–32. Mode for classification = Bad Average for regression = 0.63 NoYes NoYes Success Rate <= 0.2 NoYes Age >= 20 Amount <= $1000 0.4 0.7 NoYes NoYes Decline Rate <= 0.3 NoYes Amount <= $20000 Age <= 22 0.8 0.6 NoYes NoYes Tree 2 Bad, 0.9 Good, 0.4 Bad, 0.6
- 18. Random Forests - Build each Tree All data
- 19. Breiman, Leo (2001). "Random Forests". Machine Learning 45 (1): 5–32. All data Samples Random Forests - Build each Tree
- 20. Breiman, Leo (2001). "Random Forests". Machine Learning 45 (1): 5–32. Features Dollar Amount Connected with bad user Business Type Decline Rate Time of Day Location Randomly select sqrt(n) features All data Samples Random Forests - Build each Tree
- 21. Breiman, Leo (2001). "Random Forests". Machine Learning 45 (1): 5–32. Features Dollar Amount Connected with bad user Business Type Decline Rate Time of Day Location Randomly select sqrt(n) features Best split: feature and value Decline Rate <= 0.1 NoYes 0.4 0.6 All data Samples Random Forests - Build each Tree
- 22. Breiman, Leo (2001). "Random Forests". Machine Learning 45 (1): 5–32. Features Dollar Amount Connected with bad user Business Type Decline Rate Time of Day Location Randomly select sqrt(n) features Best split: feature and value Decline Rate <= 0.1 NoYes 0.4 0.6 All data Samples Grow Tree Grow Tree Random Forests - Build each Tree
- 23. Breiman, Leo (2001). "Random Forests". Machine Learning 45 (1): 5–32. Features Dollar Amount Connected with bad user Business Type Decline Rate Time of Day Location Randomly select sqrt(n) features Best split: feature and value Decline Rate <= 0.1 NoYes 0.4 0.6 All data Samples Grow Tree Grow Tree When sample size is small STOP Random Forests - Build each Tree
- 24. Breiman, Leo (2001). "Random Forests". Machine Learning 45 (1): 5–32. Features Dollar Amount Connected with bad user Business Type Decline Rate Time of Day Location Randomly select sqrt(n) features Best split: feature and value Decline Rate <= 0.1 NoYes 0.4 0.6 All data Samples Grow Tree Grow Tree When sample size is small STOP Repeat these steps multiple times to create a forest Random Forests - Build each Tree
- 26. Boosting Trees Tree 1 Tree 2 Help Tree 1
- 27. Boosting Trees Tree 1 Tree 2 Tree 3 Tree 4 Help Tree 1 Help Tree 1, 2 Help Tree 1, 2, 3 Stop when no help needed 0 weights all samples
- 28. Boosting Trees Tree 1 Tree 2 Tree 3 Tree 4 Help Tree 1 Help Tree 1, 2 Help Tree 1, 2, 3 8.0 -2.0 1.0 0.57.5 = + + +
- 29. Boosting Trees - Algorithm Objective function: Loss Friedman, J. H. "Greedy Function Approximation: A Gradient Boosting Machine." 1999
- 30. Precision at a fixed recall level Results - Precision Model April May June Random Forest 76% 77% 80% Boosting Trees 85% 82% 88% +11.8% +6.5% +10%
- 31. Results - Fraud Detection Recall # Payments to Reject Fraud$Prevented Easy Hard Medium
- 32. Data Sampling Highly biased in label distribution - Less than 1 in 1000 ! Weighted training - Higher weights on positive samples => oscillation - Lower weights on negative samples => no real gain ! Solution - Keep negative:positive ratio to be 3:1 - 10:1 - Scale the final model if calibration is needed ! Fewer data requires fewer resources to train ! Observed +10% improvement from 20:1 to 3:1
- 34. ‣ Ruby-on-Rails + MySQL ‣ MySQL replication ‣ Tied to production schema ‣ Hard to do complex analysis Startup Architecture
- 35. ‣ Jave services ‣ APIs ‣ HDFS Scale it up: SOA + Data Warehouse
- 36. Scale it up: Data Transport ‣ Append-only feeds ‣ Kafka ‣ Replication ‣ Protocol buffers
- 38. Parallel Environments and Data Integrity Blue Green VIPupstream
- 39. Square Random Forest Learning Management Recommendation Other ML @ Square
- 40. Square Random Forest RF Learner Implementation Time (Train / Test) RiskML Random Forest (Built on Scikit-Learn) C / Cython / Python (Open Source + Square Code) 72 minutes WiseRF C++ (Proprietary) 23 minutes Square Random Forest Java (Square Code) 15 minutes Note: time reported on 3M training and 15M testing data
- 41. Learning Management System ‣ Support non-sophisticated users ‣ Fast ad-hoc analytics ‣ Accessible to everyone for easy model generation and evaluation ‣ Tracks results to ensure different models can be compared
- 42. Square Market Recommendation 10x conversion rate vs. random baseline