def test_lasso():
alphaNum = 6
print '*' * 80
inputData = pd.read_hdf(
'./rise_DM_fraud/dev1/preprocessing/preprocessing_result.h5')
target = 'fpd'
Y = inputData[target]
X = inputData.drop(target, axis=1)
X.fillna(-999, inplace=True)
lars_cv = linear_model.LassoLarsCV(cv=6).fit(X, Y)
skf = cv.StratifiedKFold(y=Y, n_folds=5)
for i, (_, test_index) in enumerate(skf):
print 'Fold', i
test_X = X.iloc[test_index, :]
test_Y = Y[test_index]
alphas = np.linspace(lars_cv.alphas_[0], .1 * lars_cv.alphas_[0],
alphaNum)
clf = linear_model.RandomizedLasso(alphas, random_state=33,
n_jobs=1).fit(test_X, test_Y)
featureImportance = pd.DataFrame(sorted(zip(
map(lambda x: round(x, 4), clf.scores_), X.columns),
reverse=True),
columns=['importance', 'name'])
featureImportance.to_csv(
'./rise_DM_fraud/dev1/feature_ranking/feature_importance_lasso_fold_%d.csv'
% (i + 1),
index=False)
def Random_Lasso_reg(X, y, alpha):
#modify this to use gridsearch cv this weekend:
#https://stackoverflow.com/questions/45857274/interpreting-ridge-regression-in-gridsearchcv
estimator = linear_model.RandomizedLasso(alpha=alpha)
estimator.fit(X, y)
return estimator.scores_
def perform_randomizedLasso(df, target):
randomLasso = linear_model.RandomizedLasso(alpha=np.logspace(-3, 3, 100),
sample_fraction=0.5,
n_resampling=500,
normalize=False,
random_state=36,
scaling=0.5)
randomLasso.fit(df, target)
return randomLasso.scores_ #, randomLasso.all_scores_
def RandomizedLassoRegression(np_X, np_y):
X = np_X
y = np_y
X_sparse = coo_matrix(X)
X, X_sparse, y = shuffle(X, X_sparse, y, random_state=0)
estimator = linear_model.RandomizedLasso(n_jobs=1, n_resampling=500)
estimator.fit(X, y)
return estimator.scores_
def rLasso(X_scaled, Y, labels, X_test):
print "Features sorted by their score for Randomized Lasso:"
scores = np.zeros(X_scaled.shape[1])
alphas = [0.003, 0.002] #, 0.001]
for i in alphas:
a = i
print "Trying alpha %f" % (a)
randomized_lasso = linear_model.RandomizedLasso(
n_jobs=1, alpha=a, sample_fraction=0.25, verbose=True)
printSizes('rlasso', X_scaled, Y, X_test)
randomized_lasso.fit(X_scaled, Y[:, 1])
scores = scores + randomized_lasso.scores_
if debug:
for score, label in sorted(zip(
map(lambda x: round(x, 6), randomized_lasso.scores_),
labels),
reverse=True):
if score > 0.015:
print "%s: %f" % (label, score)
scores = scores / len(alphas) # get mean values
meanImportance = np.mean(scores)
print "Average score for variable = %f" % (meanImportance)
if meanImportance > 0.00001:
if X_scaled.shape[1] > 100:
thresh = 1.0
else:
thresh = 1.0
keptIndices = np.where(scores > thresh * meanImportance)
print "Top Scores for Random Lasso"
if debug:
for (score, label) in sorted(zip(scores, labels),
key=lambda (score, label): score,
reverse=True):
if score > meanImportance:
print "%s: %f" % (label, score)
printSizes('rlassoBeforeCut', X_scaled, Y, X_test)
labels = labels[keptIndices]
X_scaled = np.squeeze(X_scaled[:, keptIndices])
X_test = np.squeeze(X_test[:, keptIndices])
printSizes('rlassoAfterCut', X_scaled, Y, X_test)
else:
print "Not useful, aborting"
print "New size of X"
print X_scaled.shape
return (X_scaled, Y, labels, X_test)
size = 750
X = np.random.uniform(0, 1, (size, 14))
print(X[:, 1])
Y = (10 * np.sin(np.pi * X[:, 0] * X[:, 1]) + 20 * (X[:, 2] - .5)**2 +
10 * X[:, 3] + 5 * X[:, 4]**5 + np.random.normal(0, 1))
X[:, 10:] = X[:, :4] + np.random.normal(0, .025, (size, 4))
lin = linear_model.LinearRegression()
lin.fit(X, Y)
ridge = Ridge() # alpha=0.1
ridge.fit(X, Y)
lasso = linear_model.Lasso() # alpha=0.1
lasso.fit(X, Y)
randLasso = linear_model.RandomizedLasso()
randLasso.fit(X, Y)
rfe = feature_selection.RFE(estimator=linear_model.LinearRegression())
rfe.fit(X=X, y=Y)
rfr = RandomForestRegressor()
rfr.fit(X, Y)
freg = feature_selection.f_regression(X, Y)
ans_lin = abs(lin.coef_)
mx = [max(ans_lin)] * 14
ans_lin = ans_lin / mx
ans_ridge = abs(ridge.coef_)
mx = [max(ans_ridge)] * 14
ans_ridge = ans_ridge / mx
ans_lasso = abs(lasso.coef_)
def feature_select(feature_ranking_choice,
ranking_method,
X_train,
Y_train,
targetName,
featureRank_folder,
featureNum,
fill_missing,
stable_test_rf=False):
# lasso configuration
alphaNum = 6
# random forest configuration
nTrees = 1000
njobs = 4
maxFeaturePercent = 0.1
nFeaturePlot = 30
featureRanking_la = featureRank_folder + '/feature_importance_lasso.csv'
afterSelectData_la = featureRank_folder + '/dataAfterSelect_lasso.h5'
featureRanking_rf = featureRank_folder + '/feature_importance_rf.csv'
afterSelectData_rf = featureRank_folder + '/dataAfterSelect_rf.h5'
print '*' * 80
print 'running feature_selection.py'
if feature_ranking_choice == 0:
print 'no feature ranking or selection!'
return X_train
elif feature_ranking_choice == 2:
print 'previous feature ranking and selection result is loaded!'
if ranking_method == 'lasso':
featureNames = pd.read_csv(featureRanking_la)['name'][:featureNum]
elif ranking_method == 'rf':
featureNames = pd.read_csv(featureRanking_rf)['name'][:featureNum]
return X_train[featureNames]
elif feature_ranking_choice == 1:
X_train_temp = X_train.copy()
if X_train_temp.isnull().sum().sum() > 0:
X_train_temp.fillna(-999, inplace=True)
print 'missing data is temporarily filled by -999 in the feature selection process!'
#### stability selection: L1-based feature selection
if ranking_method == 'lasso':
## find best alpha through cross-valiation
# lars_cv = linear_model.LassoLarsCV(cv=6).fit(X_train_temp,Y_train)
## choose the alpha candidates
# alphas = np.linspace(lars_cv.alphas_[0], .1*lars_cv.alphas_[0], alphaNum)
## obtain scores of features coming with different alphas and combine them, max() used across all alphas's score
# clf1 = linear_model.RandomizedLasso(alpha=alphas, random_state=42,n_jobs=1).fit(X_train_temp,Y_train)
clf1 = linear_model.RandomizedLasso(alpha='aic',
random_state=33,
n_jobs=1,
verbose=True).fit(
X_train_temp, Y_train)
## sort the scores of features
featureImportance = pd.DataFrame(zip(
X_train_temp.columns, map(lambda x: round(x, 4),
clf1.scores_)),
columns=['name', 'importance'])
featureImportance.sort_values(by='importance',
ascending=False,
inplace=True)
featureImportance.index = range(featureImportance.shape[0])
featureImportance.to_csv(featureRanking_la, index=False)
if fill_missing == True:
returnData = pd.concat([
Y_train,
X_train_temp.ix[:, featureImportance.iloc[:featureNum, 0]]
],
axis=1)
else:
returnData = pd.concat([
Y_train, X_train.ix[:, featureImportance.iloc[:featureNum,
0]]
],
axis=1)
print 'Lasso feature ranking finish!'
elif ranking_method == 'rf':
if stable_test_rf == True:
test_rf(X_train_temp, Y_train, nTrees, njobs,
maxFeaturePercent, featureRank_folder, nFeaturePlot)
featureImportanceAndName = get_feature_importance_rf(
X_train_temp, Y_train, nTrees, njobs, maxFeaturePercent)
featureImportanceAndName.sort_values(by='importance',
ascending=False,
inplace=True)
featureImportanceAndName.to_csv(featureRanking_rf, index=False)
if fill_missing == True:
returnData = pd.concat([
Y_train, X_train_temp.
ix[:, featureImportanceAndName['name'][:featureNum]]
],
axis=1)
else:
returnData = pd.concat([
Y_train,
X_train.ix[:,
featureImportanceAndName['name'][:featureNum]]
],
axis=1)
print 'RF feature ranking finish!'
print 'feature ranking done!'
returnX = returnData.drop(targetName, axis=1, inplace=False)
return returnX
#features.drop('zipcode',1,inplace=True)
#features.drop('lat',1,inplace=True)
#features.drop('long',1,inplace=True)
scalerNorm = Normalizer(norm='l2')
scalerStandard = StandardScaler().fit(features)
#scalerX.fit(features)
#features = scalerX.transform(features)
features = scalerStandard.transform(features)
print(features.shape)
Lars_cv = linearmodels.LarsCV(cv=6).fit(features, y)
Lasso_cv = linearmodels.LassoCV(cv=6).fit(features, y)
alphas = np.linspace(Lars_cv.alphas_[0], .1 * Lars_cv.alphas_[0], 6)
Randomized_lasso = linearmodels.RandomizedLasso(alpha=alphas, random_state=42)
linear_regression = linearmodels.LinearRegression()
linear_SVR = LinearSVR(loss='squared_epsilon_insensitive')
featureselector_Lars = feature_selection.SelectFromModel(Lars_cv, prefit=True)
featureselector_Lasso = feature_selection.SelectFromModel(Lasso_cv,
prefit=True)
featureselector_RLasso = Randomized_lasso.fit(features, y)
print(Lars_cv.coef_)
print(Lasso_cv.coef_)
print(Randomized_lasso.scores_)
scoreoffeature = pd.DataFrame(
[Lars_cv.coef_, Lasso_cv.coef_, Randomized_lasso.scores_],
scalerX = preprocessing.Normalizer(norm='l2') standardScalerX = preprocessing.StandardScaler() #scalerYa = preprocessing.Normalizer(norm='l2') #scalerYg = preprocessing.Normalizer(norm='l2') #scalerYf = preprocessing.Normalizer(norm='l2') scalerX.fit(X) X=scalerX.transform(X) #X=standardScalerX.fit_transform(X) print(X.shape) lars_cv = linear_model.LassoLarsCV(cv=6).fit(X, yf) alphas = py.linspace(lars_cv.alphas_[0], .1 * lars_cv.alphas_[0], 6) treeScore = linear_model.RandomizedLasso(alpha=alphas,random_state=42) #treeScore.fit(X, yf) #X=selector.fit_transform(X,yf) #trees = ensemble.ExtraTreesRegressor(100).fit(X, yf) print(lars_cv.coef_) #lars_cv.coef_ = py.abs(lars_cv.coef_) treeSelector = feature_selection.SelectFromModel(lars_cv,prefit=True) #treeSelector = feature_selection.SelectFromModel(treeScoreSaver,prefit=True,threshold=0.5) print(treeSelector.get_params())
"Features sorted by score, using {} resamplings: ".format(resamplings))
feature_list = sorted(zip(map(lambda x: round(x, 4), rlogit.scores_),
cols),
reverse=True)
for f in feature_list[
0:25]: # Adjust this if last feature output is nonzero
print("{}:\t\t\t{:.2f}".format(f[1], f[0]))
# ### Entire dataset, LASSO for age as interest variable.
# In[68]:
X, y = df[cols], df.AGE
import warnings # sklearn is using a deprecated rand function here,
with warnings.catch_warnings(): # and warnings clutter output
warnings.simplefilter("ignore")
resamplings = 2000
rlasso = linear_model.RandomizedLasso(n_resampling=resamplings)
rlasso.fit(X, y)
print(
"Features sorted by score, using {} resamplings: ".format(resamplings))
feature_list = sorted(zip(map(lambda x: round(x, 4), rlasso.scores_),
cols),
reverse=True)
for f in feature_list[
0:50]: # Adjust this if last feature output is nonzero
print("{}:\t\t\t{:.2f}".format(f[1], f[0]))
# In[ ]:
data = pd.read_csv('../data/pipeline-full/ya-oa-full-linreg-02-24.csv')
cols = list(data.columns.values)
cols.remove('SUBJECT')
cols.remove('CLASS')
cols.remove('AGE')
cols.remove('SEX')
X = data[cols]
y = data.AGE
alpha = -15.4
resamplings = 8
rlasso = linear_model.RandomizedLasso(alpha=alpha, n_resampling=resamplings)
rlasso.fit(X, y)
print("Features sorted by score, using {} resamplings: ".format(resamplings))
feature_list = sorted(zip(map(lambda x: round(x, 4), rlasso.scores_), cols), reverse=True)
for f in feature_list:
print(f)
def feature_select(feature_ranking_choice, ranking_method, inputData,
targetName, featureRank_folder, featureNum):
alphaNum = 6
nTrees = 1000
featureRanking_la = featureRank_folder + '/feature_importance_lasso.csv'
afterSelectData_la = featureRank_folder + '/dataAfterSelect_lasso.h5'
featureRanking_rf = featureRank_folder + '/feature_importance_rf.csv'
afterSelectData_rf = featureRank_folder + '/dataAfterSelect_rf.h5'
print '*' * 80
if feature_ranking_choice == 0:
print 'no feature ranking or selection!'
return inputData
elif feature_ranking_choice == 2:
print 'previous feature ranking and selection result is loaded!'
if ranking_method == 'lasso':
return pd.read_hdf(afterSelectData_la, 'dataAfterSelect')
elif ranking_method == 'rf':
return pd.read_hdf(afterSelectData_rf, 'dataAfterSelect')
elif feature_ranking_choice == 1:
if inputData.isnull().sum().sum() > 0:
inputData.fillna(-999, inplace=True)
print 'missing data is temporarily filled by -999 in the feature selection process!'
Y = inputData[targetName]
X = inputData.drop([targetName], axis=1, inplace=False)
#### L1-based feature selection
if ranking_method == 'lasso':
## find best alpha through cross-valiation
lars_cv = linear_model.LassoLarsCV(cv=6).fit(X, Y)
## choose the alpha candidates
alphas = np.linspace(lars_cv.alphas_[0], .1 * lars_cv.alphas_[0],
alphaNum)
## obtain scores of features coming with different alphas and combine them, max() used across all alphas's score
clf1 = linear_model.RandomizedLasso(alpha=alphas,
random_state=42,
n_jobs=1).fit(X, Y)
## sort the scores of features
featureImportance = pd.DataFrame(
sorted(zip(map(lambda x: round(x, 4), clf1.scores_),
X.columns),
reverse=True))
featureImportance.to_csv(featureRanking_la, index=False)
store = pd.HDFStore(afterSelectData_la)
store['dataAfterSelect'] = pd.concat(
[Y, X.ix[:featureImportance.iloc[:featureNum, 1]]], axis=1)
print 'Lasso feature ranking finish!'
elif ranking_method == 'rf':
rf1 = ensemble.RandomForestClassifier(n_estimators=nTrees,
criterion='gini',
max_features=0.1,
max_depth=3,
n_jobs=4,
verbose=1)
rf2 = ensemble.RandomForestClassifier(n_estimators=nTrees,
criterion='gini',
max_features=0.1,
max_depth=5,
n_jobs=4,
verbose=1)
rf3 = ensemble.RandomForestClassifier(n_estimators=nTrees,
criterion='gini',
max_features=0.1,
max_depth=7,
n_jobs=4,
verbose=1)
rf4 = ensemble.RandomForestClassifier(n_estimators=nTrees,
criterion='entropy',
max_features=0.1,
max_depth=3,
n_jobs=4,
verbose=1)
rf5 = ensemble.RandomForestClassifier(n_estimators=nTrees,
criterion='entropy',
max_features=0.1,
max_depth=5,
n_jobs=4,
verbose=1)
rf6 = ensemble.RandomForestClassifier(n_estimators=nTrees,
criterion='entropy',
max_features=0.1,
max_depth=7,
n_jobs=4,
verbose=1)
## train random forest model
rf1.fit(X, Y)
rf2.fit(X, Y)
rf3.fit(X, Y)
rf4.fit(X, Y)
rf5.fit(X, Y)
rf6.fit(X, Y)
## note down the ranking of features based on the importances in different split criteria and max depth
featureImportanceAverage = (
rf1.feature_importances_ + rf2.feature_importances_ +
rf3.feature_importances_ + rf4.feature_importances_ +
rf5.feature_importances_ + rf6.feature_importances_) / 6
sortedFeatureImportance = pd.DataFrame(
featureImportanceAverage).sort_values(by=0, ascending=False)
sortedFeatureNames = X.columns[sortedFeatureImportance.index]
sortedFeatureImportance.index = range(X.shape[1])
featureImportance = pd.concat([
pd.DataFrame(sortedFeatureImportance),
pd.DataFrame(sortedFeatureNames)
],
axis=1)
featureImportance.to_csv(featureRanking_rf, index=False)
store = pd.HDFStore(afterSelectData_rf)
store['dataAfterSelect'] = pd.concat(
[Y, X.ix[:, featureImportance.iloc[:featureNum, 1]]], axis=1)
print 'RF feature ranking finish!'
return pd.concat([Y, X.ix[:, featureImportance.iloc[:featureNum, 1]]],
axis=1)
print 'feature ranking done!'
def run_simple_model(train_x, train_y, dev_x, dev_y, test_x, test_y, model_type, out_dir=None, class_weight=None):
from sklearn import datasets, neighbors, linear_model, svm
totalTime = 0
startTrainTime = time()
logger.info("Start training...")
if model_type == 'ARDRegression':
model = linear_model.ARDRegression().fit(train_x, train_y)
elif model_type == 'BayesianRidge':
model = linear_model.BayesianRidge().fit(train_x, train_y)
elif model_type == 'ElasticNet':
model = linear_model.ElasticNet().fit(train_x, train_y)
elif model_type == 'ElasticNetCV':
model = linear_model.ElasticNetCV().fit(train_x, train_y)
elif model_type == 'HuberRegressor':
model = linear_model.HuberRegressor().fit(train_x, train_y)
elif model_type == 'Lars':
model = linear_model.Lars().fit(train_x, train_y)
elif model_type == 'LarsCV':
model = linear_model.LarsCV().fit(train_x, train_y)
elif model_type == 'Lasso':
model = linear_model.Lasso().fit(train_x, train_y)
elif model_type == 'LassoCV':
model = linear_model.LassoCV().fit(train_x, train_y)
elif model_type == 'LassoLars':
model = linear_model.LassoLars().fit(train_x, train_y)
elif model_type == 'LassoLarsCV':
model = linear_model.LassoLarsCV().fit(train_x, train_y)
elif model_type == 'LassoLarsIC':
model = linear_model.LassoLarsIC().fit(train_x, train_y)
elif model_type == 'LinearRegression':
model = linear_model.LinearRegression().fit(train_x, train_y)
elif model_type == 'LogisticRegression':
model = linear_model.LogisticRegression(class_weight=class_weight).fit(train_x, train_y)
elif model_type == 'LogisticRegressionCV':
model = linear_model.LogisticRegressionCV(class_weight=class_weight).fit(train_x, train_y)
elif model_type == 'MultiTaskLasso':
model = linear_model.MultiTaskLasso().fit(train_x, train_y)
elif model_type == 'MultiTaskElasticNet':
model = linear_model.MultiTaskElasticNet().fit(train_x, train_y)
elif model_type == 'MultiTaskLassoCV':
model = linear_model.MultiTaskLassoCV().fit(train_x, train_y)
elif model_type == 'MultiTaskElasticNetCV':
model = linear_model.MultiTaskElasticNetCV().fit(train_x, train_y)
elif model_type == 'OrthogonalMatchingPursuit':
model = linear_model.OrthogonalMatchingPursuit().fit(train_x, train_y)
elif model_type == 'OrthogonalMatchingPursuitCV':
model = linear_model.OrthogonalMatchingPursuitCV().fit(train_x, train_y)
elif model_type == 'PassiveAggressiveClassifier':
model = linear_model.PassiveAggressiveClassifier(class_weight=class_weight).fit(train_x, train_y)
elif model_type == 'PassiveAggressiveRegressor':
model = linear_model.PassiveAggressiveRegressor().fit(train_x, train_y)
elif model_type == 'Perceptron':
model = linear_model.Perceptron(class_weight=class_weight).fit(train_x, train_y)
elif model_type == 'RandomizedLasso':
model = linear_model.RandomizedLasso().fit(train_x, train_y)
elif model_type == 'RandomizedLogisticRegression':
model = linear_model.RandomizedLogisticRegression().fit(train_x, train_y)
elif model_type == 'RANSACRegressor':
model = linear_model.RANSACRegressor().fit(train_x, train_y)
elif model_type == 'Ridge':
model = linear_model.Ridge().fit(train_x, train_y)
elif model_type == 'RidgeClassifier':
model = linear_model.RidgeClassifier(class_weight=class_weight).fit(train_x, train_y)
elif model_type == 'RidgeClassifierCV':
model = linear_model.RidgeClassifierCV(class_weight=class_weight).fit(train_x, train_y)
elif model_type == 'RidgeCV':
model = linear_model.RidgeCV().fit(train_x, train_y)
elif model_type == 'SGDClassifier':
model = linear_model.SGDClassifier(class_weight=class_weight).fit(train_x, train_y)
elif model_type == 'SGDRegressor':
model = linear_model.SGDRegressor().fit(train_x, train_y)
elif model_type == 'TheilSenRegressor':
model = linear_model.TheilSenRegressor().fit(train_x, train_y)
elif model_type == 'lars_path':
model = linear_model.lars_path().fit(train_x, train_y)
elif model_type == 'lasso_path':
model = linear_model.lasso_path().fit(train_x, train_y)
elif model_type == 'lasso_stability_path':
model = linear_model.lasso_stability_path().fit(train_x, train_y)
elif model_type == 'logistic_regression_path':
model = linear_model.logistic_regression_path(class_weight=class_weight).fit(train_x, train_y)
elif model_type == 'orthogonal_mp':
model = linear_model.orthogonal_mp().fit(train_x, train_y)
elif model_type == 'orthogonal_mp_gram':
model = linear_model.orthogonal_mp_gram().fit(train_x, train_y)
elif model_type == 'LinearSVC':
model = svm.LinearSVC(class_weight=class_weight).fit(train_x, train_y)
elif model_type == 'SVC':
model = svm.SVC(class_weight=class_weight, degree=3).fit(train_x, train_y)
else:
raise NotImplementedError('Model not implemented')
logger.info("Finished training.")
endTrainTime = time()
trainTime = endTrainTime - startTrainTime
logger.info("Training time : %d seconds" % trainTime)
logger.info("Start predicting train set...")
train_pred_y = model.predict(train_x)
logger.info("Finished predicting train set.")
logger.info("Start predicting test set...")
test_pred_y = model.predict(test_x)
logger.info("Finished predicting test set.")
endTestTime = time()
testTime = endTestTime - endTrainTime
logger.info("Testing time : %d seconds" % testTime)
totalTime += trainTime + testTime
train_pred_y = np.round(train_pred_y)
test_pred_y = np.round(test_pred_y)
np.savetxt(out_dir + '/preds/best_test_pred' + '.txt', test_pred_y, fmt='%i')
logger.info('[TRAIN] Acc: %.3f' % (accuracy_score(train_y, train_pred_y)))
logger.info('[TEST] Acc: %.3f' % (accuracy_score(test_y, test_pred_y)))
return accuracy_score(test_y, test_pred_y)
