def fit_and_count_av_score(self, X, Y, cv=3, n_estimators=100, test_size=0.4):
X_train, X_test, y_train, y_test = cross_validation\
.train_test_split(X, Y, test_size=test_size)
self.fit(X_train, y_train, n_estimators)
auc_scores = cross_val_score(self.M, X_test, y_test, cv=cv, n_jobs=-1,
scoring='roc_auc')
y_pred = self.predict(X_test)
print("roc_auc_score", auc_scores.mean())
print("bac_score: ", bac_metric(y_test, y_pred))
print(classification_report(y_test, self.bin(y_pred, 0)))
def preprocess_bin_cl(self, X, Y, list_clf=None, n_estimators=50, test_size=0.4):
X_train, X_test, y_train, y_test = cross_validation \
.train_test_split(X, Y, test_size=test_size)
if list_clf is None:
list_clf = [
self._get_clf(n_estimators, []),
self._get_clf(n_estimators, [("SelectFpr",
SelectFpr())]),
self._get_clf(n_estimators, [("SelectFwe",
SelectFwe())]),
self._get_clf(n_estimators, [("SelectFdr",
SelectFdr())]),
self._get_clf(n_estimators, [("SelectPercentile",
SelectPercentile())])
# self._get_clf(n_estimators, [("PCA", PCA())]),
# self._get_clf(n_estimators, [("LDA", LDA())]),
# self._get_clf(n_estimators, [('linearSVC', LinearSVC())])
]
best_auc_clf, best_auc, best_auc__bac = None, 0, 0
best_bac_clf, best_bac, best_bac__auc = None, 0, 0
parameters = {'RF__criterion': ('gini', 'entropy'),
'RF__max_features': ('auto', 'sqrt'),
'RF__max_depth': (50, 100, None)
}
for cl in list_clf:
# try:
param = dict(parameters)
for step in cl.steps:
if step[0] in {"SelectFpr", "SelectFwe", "SelectFdr"}:
param.update({"{}__alpha"
.format(step[0]): (0.01, 0.05, 0.1)})
if step[0] == "SelectPercentile":
param.update(SelectPercentile__percentile=(10, 15, 20, 40, 80))
gs = GridSearchCV(cl, param,
scoring='roc_auc',
n_jobs=-1).fit(X_train, y_train)
cl = gs.best_estimator_
y_pred = cl.predict_proba(X_test)[:, 1]
auc_cv = cross_val_score(cl, X_test, y_test, scoring="roc_auc", cv=3, n_jobs=-1)
auc = roc_auc_score(y_test, y_pred)
bac = bac_metric(y_test, y_pred)
print("n_params: {} ({})".format(cl.transform(X[0:1])
.shape[1], X.shape[1]))
print("steps: {steps}\n"
"auc: {auc} {auc_cv_mean} ({auc_cv})\nbac: {bac}\n"
.format(steps=cl.steps,
auc=auc,
auc_cv_mean=auc_cv.mean(),
auc_cv=auc_cv,
bac=bac))
auc = auc_cv.mean()
if auc > best_auc:
best_auc_clf, best_auc, best_auc__bac = cl, auc, bac
if bac > best_bac:
best_bac_clf, best_bac, best_bac__auc = cl, bac, auc
self.best_clf = best_auc_clf
print("best_auc_clf:")
print("steps:{} auc: {} bac: {}"
.format([step[0] for step in best_auc_clf.steps],
best_auc,
best_auc__bac))
print("best_bac_clf:")
print("steps:{} auc: {} bac: {}"
.format([step[0] for step in best_bac_clf.steps],
best_bac__auc,
best_bac))
d_bac = best_bac - best_auc__bac
d_auc = best_auc - best_bac__auc
if d_bac - d_auc > 0:
self.best_clf = best_bac_clf
else:
self.best_clf = best_auc_clf
