def mean_absolute_error(y_true, y_pred):
"""
Mean absolute error and its standard deviation.
If you need only mean absolute error, use
:func:`sklearn.metrics.mean_absolute_error`
Parameters
----------
y_true : array, shape(n_samples,)
Ground truth scores
y_pred : array, shape(n_samples,)
Predicted scores
Returns
-------
mean : float
mean of squared errors
stdev : float
standard deviation of squared errors
"""
# check inputs
assert_all_finite(y_true)
y_true = as_float_array(y_true)
assert_all_finite(y_pred)
y_pred = as_float_array(y_pred)
check_consistent_length(y_true, y_pred)
# calculate errors
errs = np.abs(y_true - y_pred)
mean = np.nanmean(errs)
stdev = np.nanstd(errs)
return mean, stdev
def set_x_d(self, treatment_var):
"""
Function that assigns the role for the treatment variables in the multiple-treatment case.
Parameters
----------
treatment_var : str
Active treatment variable that will be set to d.
"""
if not isinstance(treatment_var, str):
raise TypeError(
'treatment_var must be of str type. '
f'{str(treatment_var)} of type {str(type(treatment_var))} was passed.'
)
if treatment_var not in self.d_cols:
raise ValueError('Invalid treatment_var. '
f'{treatment_var} is not in d_cols.')
if self.use_other_treat_as_covariate:
# note that the following line needs to be adapted in case an intersection of x_cols and d_cols as allowed
# (see https://github.com/DoubleML/doubleml-for-py/issues/83)
xd_list = self.x_cols + self.d_cols
xd_list.remove(treatment_var)
else:
xd_list = self.x_cols
assert_all_finite(self.data.loc[:, treatment_var])
if self.force_all_x_finite:
assert_all_finite(self.data.loc[:, xd_list],
allow_nan=self.force_all_x_finite == 'allow-nan')
self._d = self.data.loc[:, treatment_var]
self._X = self.data.loc[:, xd_list]
def fit(self, X, y=None):
"""
Saves the `r` vector (log-ratio vector) that will be applied during transformation
Parameters
----------
X: array-like of shape = [n_samples, n_features]
Feature matrix representing the vectorized input
"""
# checks
X = check_array(
X.toarray() if isinstance(X, sparse.csr.csr_matrix) else X)
if not isinstance(X, np.ndarray) and not isinstance(
X, sparse.csr.csr_matrix):
raise TypeError(
"data type of X must be dense or sparse array; type = {}".
format(type(X)))
assert_all_finite(X)
# get type of feature_matrix
fm_type = None
if isinstance(X, np.ndarray):
fm_type = "dense"
elif isinstance(X, sparse.csr.csr_matrix):
fm_type = "sparse"
# get p, not_p
_p, _not_p = self._get_p_not_p(X)
# get r
self._r = self._get_r(_p, _not_p)
# ensure is_fitted
self.X_ = X
self.y_ = y
return self
def score_predictor_report(y_true, y_pred, disp=True):
"""
Report brief summary of prediction performance
* mean absolute error
* root mean squared error
* number of data
* mean and standard dev. of true scores
* mean and standard dev. of predicted scores
Parameters
----------
y_true : array, shape(n_samples,)
Ground truth scores
y_pred : array, shape(n_samples,)
Predicted scores
disp : bool, optional, default=True
if True, print report
Returns
-------
stats : dict
belief summary of prediction performance
"""
# check inputs
assert_all_finite(y_true)
y_true = as_float_array(y_true)
assert_all_finite(y_pred)
y_pred = as_float_array(y_pred)
check_consistent_length(y_true, y_pred)
# calc statistics
stats = {
'mean absolute error':
skm.mean_absolute_error(y_true, y_pred),
'root mean squared error':
np.sqrt(np.maximum(skm.mean_squared_error(y_true, y_pred), 0.)),
'n_samples':
y_true.size,
'true': {
'mean': np.mean(y_true),
'stdev': np.std(y_true)
},
'predicted': {
'mean': np.mean(y_pred),
'stdev': np.std(y_pred)
}
}
# display statistics
if disp:
print(json.dumps(stats,
sort_keys=True,
indent=4,
separators=(',', ': '),
ensure_ascii=False),
file=sys.stderr)
return stats
def _binary_clf_curve(y_true, y_score):
check_consistent_length(y_true, y_score, None)
y_true = column_or_1d(y_true)
y_score = column_or_1d(y_score)
assert_all_finite(y_true)
assert_all_finite(y_score)
# make y_true a boolean vector
y_true = (y_true == 1)
# sort scores and corresponding truth values
desc_score_indices = np.argsort(y_score, kind="mergesort")[::-1]
y_score = y_score[desc_score_indices]
y_true = y_true[desc_score_indices]
# y_score typically has many tied values. Here we extract
# the indices associated with the distinct values. We also
# concatenate a value for the end of the curve.
distinct_value_indices = np.where(np.diff(y_score))[0]
threshold_idxs = np.r_[distinct_value_indices, y_true.size - 1]
# accumulate the true positives with decreasing threshold
tps = stable_cumsum(y_true)[threshold_idxs]
fps = 1 + threshold_idxs - tps
return fps, tps, y_score[threshold_idxs]
def mean_absolute_error(y_true, y_pred):
"""
Mean absolute error and its standard deviation.
If you need only mean absolute error, use
:func:`sklearn.metrics.mean_absolute_error`
Parameters
----------
y_true : array, shape(n_samples,)
Ground truth scores
y_pred : array, shape(n_samples,)
Predicted scores
Returns
-------
mean : float
mean of squared errors
stdev : float
standard deviation of squared errors
"""
# check inputs
assert_all_finite(y_true)
y_true = as_float_array(y_true)
assert_all_finite(y_pred)
y_pred = as_float_array(y_pred)
check_consistent_length(y_true, y_pred)
# calculate errors
errs = np.abs(y_true - y_pred)
mean = np.nanmean(errs)
stdev = np.nanstd(errs)
return mean, stdev
def item_finder_report(y_true, y_pred, disp=True):
"""
Report brief summary of prediction performance
* AUC
* number of data
* mean and standard dev. of true scores
* mean and standard dev. of predicted scores
Parameters
----------
y_true : array, shape(n_samples,)
Ground truth scores
y_pred : array, shape(n_samples,)
Predicted scores
disp : bool, optional, default=True
if True, print report
Returns
-------
stats : dict
belief summary of prediction performance
"""
# check inputs
assert_all_finite(y_true)
if not is_binary_score(y_true):
raise ValueError('True scores must be binary')
y_true = as_float_array(y_true)
assert_all_finite(y_pred)
y_pred = as_float_array(y_pred)
check_consistent_length(y_true, y_pred)
# calc statistics
stats = {
'n_samples': y_true.size,
'true': {
'mean': np.mean(y_true),
'stdev': np.std(y_true)
},
'predicted': {
'mean': np.mean(y_pred),
'stdev': np.std(y_pred)
}
}
# statistics at least 0 and 1 must be contained in a score array
if is_binary_score(y_true, allow_uniform=False):
stats['area under the curve'] = skm.roc_auc_score(y_true, y_pred)
# display statistics
if disp:
print(json.dumps(stats,
sort_keys=True,
indent=4,
separators=(',', ': '),
ensure_ascii=False),
file=sys.stderr)
return stats
def fit(self, X, y=None):
"""Compute the Deterministic Shared Response Model
Parameters
----------
X : list of 2D arrays, element i has shape=[voxels_i, samples]
Each element in the list contains the fMRI data of one subject.
y : not used
"""
logger.info('Starting Deterministic SRM')
# Check the number of subjects
if len(X) <= 1:
raise ValueError("There are not enough subjects "
"({0:d}) to train the model.".format(len(X)))
# Check for input data sizes
if X[0].shape[1] < self.features:
raise ValueError(
"There are not enough samples to train the model with "
"{0:d} features.".format(self.features))
# Check if all subjects have same number of TRs
number_trs = X[0].shape[1]
number_subjects = len(X)
for subject in range(number_subjects):
assert_all_finite(X[subject])
if X[subject].shape[1] != number_trs:
raise ValueError("Different number of samples between subjects"
".")
# Run SRM
self.w_, self.s_ = self._srm(X)
return self
def _set_y_z(self):
assert_all_finite(self.data.loc[:, self.y_col])
self._y = self.data.loc[:, self.y_col]
if self.z_cols is None:
self._z = None
else:
assert_all_finite(self.data.loc[:, self.z_cols])
self._z = self.data.loc[:, self.z_cols]
def transform(self, df, *_):
X = df[df['Age'].isnull()]
X = X.drop(['Age'], axis=1)
y = pd.Series(self._model.predict(X))
y.index = X.index
df.loc[y.index, 'Age'] = y
assert_all_finite(df)
return df
def test_int_overflow_mutual_info_score():
# Test overflow in mutual_info_classif
x = np.array([1] * (52632 + 2529) + [2] * (14660 + 793) + [3] *
(3271 + 204) + [4] * (814 + 39) + [5] * (316 + 20))
y = np.array([0] * 52632 + [1] * 2529 + [0] * 14660 + [1] * 793 +
[0] * 3271 + [1] * 204 + [0] * 814 + [1] * 39 + [0] * 316 +
[1] * 20)
assert_all_finite(mutual_info_score(x.ravel(), y.ravel(), log_base='e'))
def test_int_overflow_mutual_info_score():
# Test overflow in mutual_info_classif
x = np.array([1] * (52632 + 2529) + [2] * (14660 + 793) + [3] * (3271 +
204) + [4] * (814 + 39) + [5] * (316 + 20))
y = np.array([0] * 52632 + [1] * 2529 + [0] * 14660 + [1] * 793 +
[0] * 3271 + [1] * 204 + [0] * 814 + [1] * 39 + [0] * 316 +
[1] * 20)
assert_all_finite(mutual_info_score(x.ravel(), y.ravel()))
def test_int_overflow_mutual_info_fowlkes_mallows_score():
# Test overflow in mutual_info_classif and fowlkes_mallows_score
x = np.array([1] * (52632 + 2529) + [2] * (14660 + 793) + [3] *
(3271 + 204) + [4] * (814 + 39) + [5] * (316 + 20))
y = np.array([0] * 52632 + [1] * 2529 + [0] * 14660 + [1] * 793 +
[0] * 3271 + [1] * 204 + [0] * 814 + [1] * 39 + [0] * 316 +
[1] * 20)
assert_all_finite(mutual_info_score(x, y))
assert_all_finite(fowlkes_mallows_score(x, y))
def _validate_mcmc_fit_input(X_train, y_train, X_test):
check_consistent_length(X_train, y_train)
assert_all_finite(y_train)
y_train = check_array(y_train, ensure_2d=False, dtype=np.float64)
assert X_train.shape[1] == X_test.shape[1]
X_train = check_array(X_train, accept_sparse="csc", dtype=np.float64,
order="F")
X_test = check_array(X_test, accept_sparse="csc", dtype=np.float64,
order="F")
return X_train, y_train, X_test
def fit(self, X: pd.DataFrame, y=None):
cols = self.cols or X.columns.tolist()
if not self.fill:
assert_all_finite(X, allow_nan=False)
self.categories_ = dict()
for col in cols:
cutoff = _encode_python(X[col].fillna('_MISSING').astype(str))
self.categories_[col] = cutoff
return self
def entropy(*args): xy = zip(*args) # probs proba = [ float(xy.count(c)) / len(xy) for c in dict.fromkeys(list(xy)) ] safe_asarray(xy) #very pythonic list comprehension # the follwoing line is just a list comprehnsion with x = # x[numpy.isfinite(x)] having ability to filter crap out # x = x[numpy.logical_not(numpy.isnan(x))] entropy = -np.sum([ ((p * np.log2(p)) , 0 ) [ math.isnan(p * np.log2(p)) or math.isinf(p * np.log2(p)) ] for p in proba ]) assert_all_finite(entropy) return entropy
def fit(self, X, y=None):
"""Compute the probabilistic Shared Response Model
Parameters
----------
X : list of 2D arrays, element i has shape=[voxels_i, samples]
Each element in the list contains the fMRI data of one subject.
y : not used
"""
logger.info('Starting Probabilistic SRM')
# Check the number of subjects
if len(X) <= 1:
raise ValueError("There are not enough subjects "
"({0:d}) to train the model.".format(len(X)))
# Check for input data sizes
number_subjects = len(X)
number_subjects_vec = self.comm.allgather(number_subjects)
for rank in range(self.comm.Get_size()):
if number_subjects_vec[rank] != number_subjects:
raise ValueError(
"Not all ranks have same number of subjects")
# Collect size information
shape0 = np.zeros((number_subjects,), dtype=np.int)
shape1 = np.zeros((number_subjects,), dtype=np.int)
for subject in range(number_subjects):
if X[subject] is not None:
assert_all_finite(X[subject])
shape0[subject] = X[subject].shape[0]
shape1[subject] = X[subject].shape[1]
shape0 = self.comm.allreduce(shape0, op=MPI.SUM)
shape1 = self.comm.allreduce(shape1, op=MPI.SUM)
# Check if all subjects have same number of TRs
number_trs = np.min(shape1)
for subject in range(number_subjects):
if shape1[subject] < self.features:
raise ValueError(
"There are not enough samples to train the model with "
"{0:d} features.".format(self.features))
if shape1[subject] != number_trs:
raise ValueError("Different number of samples between subjects"
".")
# Run SRM
self.sigma_s_, self.w_, self.mu_, self.rho2_, self.s_ = self._srm(X)
return self
def fit(self, X, y=None):
"""Compute the probabilistic Shared Response Model
Parameters
----------
X : list of 2D arrays, element i has shape=[voxels_i, samples]
Each element in the list contains the fMRI data of one subject.
y : not used
"""
logger.info('Starting Probabilistic SRM')
# Check the number of subjects
if len(X) <= 1:
raise ValueError("There are not enough subjects "
"({0:d}) to train the model.".format(len(X)))
# Check for input data sizes
number_subjects = len(X)
number_subjects_vec = self.comm.allgather(number_subjects)
for rank in range(self.comm.Get_size()):
if number_subjects_vec[rank] != number_subjects:
raise ValueError("Not all ranks have same number of subjects")
# Collect size information
shape0 = np.zeros((number_subjects, ), dtype=np.int)
shape1 = np.zeros((number_subjects, ), dtype=np.int)
for subject in range(number_subjects):
if X[subject] is not None:
assert_all_finite(X[subject])
shape0[subject] = X[subject].shape[0]
shape1[subject] = X[subject].shape[1]
shape0 = self.comm.allreduce(shape0, op=MPI.SUM)
shape1 = self.comm.allreduce(shape1, op=MPI.SUM)
# Check if all subjects have same number of TRs
number_trs = np.min(shape1)
for subject in range(number_subjects):
if shape1[subject] < self.features:
raise ValueError(
"There are not enough samples to train the model with "
"{0:d} features.".format(self.features))
if shape1[subject] != number_trs:
raise ValueError("Different number of samples between subjects"
".")
# Run SRM
self.sigma_s_, self.w_, self.mu_, self.rho2_, self.s_ = self._srm(X)
return self
def item_finder_report(y_true, y_pred, disp=True):
"""
Report brief summary of prediction performance
* AUC
* number of data
* mean and standard dev. of true scores
* mean and standard dev. of predicted scores
Parameters
----------
y_true : array, shape(n_samples,)
Ground truth scores
y_pred : array, shape(n_samples,)
Predicted scores
disp : bool, optional, default=True
if True, print report
Returns
-------
stats : dict
belief summary of prediction performance
"""
# check inputs
assert_all_finite(y_true)
if not is_binary_score(y_true):
raise ValueError('True scores must be binary')
y_true = as_float_array(y_true)
assert_all_finite(y_pred)
y_pred = as_float_array(y_pred)
check_consistent_length(y_true, y_pred)
# calc statistics
stats = {
'n_samples': y_true.size,
'true': {'mean': np.mean(y_true), 'stdev': np.std(y_true)},
'predicted': {'mean': np.mean(y_pred), 'stdev': np.std(y_pred)}}
# statistics at least 0 and 1 must be contained in a score array
if is_binary_score(y_true, allow_uniform=False):
stats['area under the curve'] = skm.roc_auc_score(y_true, y_pred)
# display statistics
if disp:
print(
json.dumps(
stats, sort_keys=True, indent=4, separators=(',', ': '),
ensure_ascii=False), file=sys.stderr)
return stats
def item_finder_statistics(y_true, y_pred):
"""
Full Statistics of prediction performance
* n_samples
* mean_absolute_error: mean, stdev
* mean_squared_error: mean, rmse, stdev
* predicted: mean, stdev
* true: mean, stdev
Parameters
----------
y_true : array, shape=(n_samples,)
Ground truth scores
y_pred : array, shape=(n_samples,)
Predicted scores
Returns
-------
stats : dict
Full statistics of prediction performance
"""
# check inputs
assert_all_finite(y_true)
if not is_binary_score(y_true):
raise ValueError('True scores must be binary')
y_true = as_float_array(y_true)
assert_all_finite(y_pred)
y_pred = as_float_array(y_pred)
check_consistent_length(y_true, y_pred)
# calc statistics
stats = {}
# dataset size
stats['n_samples'] = y_true.size
# descriptive statistics of ground truth scores
stats['true'] = {'mean': np.mean(y_true), 'stdev': np.std(y_true)}
# descriptive statistics of ground predicted scores
stats['predicted'] = {'mean': np.mean(y_pred), 'stdev': np.std(y_pred)}
# statistics at least 0 and 1 must be contained in a score array
if is_binary_score(y_true, allow_uniform=False):
# AUC (area under the curve)
stats['area under the curve'] = skm.roc_auc_score(y_true, y_pred)
return stats
def item_finder_statistics(y_true, y_pred):
"""
Full Statistics of prediction performance
* n_samples
* mean_absolute_error: mean, stdev
* mean_squared_error: mean, rmse, stdev
* predicted: mean, stdev
* true: mean, stdev
Parameters
----------
y_true : array, shape=(n_samples,)
Ground truth scores
y_pred : array, shape=(n_samples,)
Predicted scores
Returns
-------
stats : dict
Full statistics of prediction performance
"""
# check inputs
assert_all_finite(y_true)
if not is_binary_score(y_true):
raise ValueError('True scores must be binary')
y_true = as_float_array(y_true)
assert_all_finite(y_pred)
y_pred = as_float_array(y_pred)
check_consistent_length(y_true, y_pred)
# calc statistics
stats = {}
# dataset size
stats['n_samples'] = y_true.size
# descriptive statistics of ground truth scores
stats['true'] = {'mean': np.mean(y_true), 'stdev': np.std(y_true)}
# descriptive statistics of ground predicted scores
stats['predicted'] = {'mean': np.mean(y_pred), 'stdev': np.std(y_pred)}
# statistics at least 0 and 1 must be contained in a score array
if is_binary_score(y_true, allow_uniform=False):
# AUC (area under the curve)
stats['area under the curve'] = skm.roc_auc_score(y_true, y_pred)
return stats
def score_predictor_report(y_true, y_pred, disp=True):
"""
Report brief summary of prediction performance
* mean absolute error
* root mean squared error
* number of data
* mean and standard dev. of true scores
* mean and standard dev. of predicted scores
Parameters
----------
y_true : array, shape(n_samples,)
Ground truth scores
y_pred : array, shape(n_samples,)
Predicted scores
disp : bool, optional, default=True
if True, print report
Returns
-------
stats : dict
belief summary of prediction performance
"""
# check inputs
assert_all_finite(y_true)
y_true = as_float_array(y_true)
assert_all_finite(y_pred)
y_pred = as_float_array(y_pred)
check_consistent_length(y_true, y_pred)
# calc statistics
stats = {
'mean absolute error': skm.mean_absolute_error(y_true, y_pred),
'root mean squared error':
np.sqrt(np.maximum(skm.mean_squared_error(y_true, y_pred), 0.)),
'n_samples': y_true.size,
'true': {'mean': np.mean(y_true), 'stdev': np.std(y_true)},
'predicted': {'mean': np.mean(y_pred), 'stdev': np.std(y_pred)}}
# display statistics
if disp:
print(json.dumps(
stats, sort_keys=True, indent=4, separators=(',', ': '),
ensure_ascii=False),
file=sys.stderr)
return stats
def gpflow_predict(model, Xin):
Xin = check_array(Xin, copy=False, warn_on_dtype=True, dtype=FLOAT_DTYPES)
fmean, fvar, _, _, _ = model._build_predict(Xin) # pylint: disable=protected-access
y_mean_var = model.likelihood.predict_mean_and_var(fmean, fvar)
y_mean = y_mean_var[0]
y_var = y_mean_var[1]
y_std = tf.sqrt(y_var)
session = model.enquire_session(session=None)
with session.as_default():
y_mean_value = session.run(y_mean)
y_std_value = session.run(y_std)
assert_all_finite(y_mean_value)
assert_all_finite(y_std_value)
return GPRResult(y_mean_value, y_std_value)
def transform(self, df, *_):
assert_all_finite(df)
interaction = {}
for c0 in df:
for c1 in df:
interaction['{}*{}'.format(c0, c1)] = df[c0] * df[c1]
if c0 != c1:
interaction['{}-{}'.format(c0, c1)] = df[c0] - df[c1]
interaction['{}/{}'.format(
c0, c1)] = df[c0] / df[c1].replace(0, 1)
df_interaction = pd.DataFrame(interaction)
df_interaction.index = df.index
df = pd.concat([df, df_interaction], axis=1)
assert_all_finite(df)
return df
def fit_transform(self, X, y=None):
"""Runs fit() and transform() together."""
if np.any(y):
X, y = check_X_y(
X.toarray() if isinstance(X, sparse.csr.csr_matrix) else X, y)
else:
X = check_array(
X.toarray() if isinstance(X, sparse.csr.csr_matrix) else X)
assert_all_finite(X)
if y is None:
# fit method of arity 1 (unsupervised transformation)
return self.fit(X).transform(X)
else:
# fit method of arity 2 (supervised transformation)
return self.fit(X, y).transform(X)
def predict(self, X):
"""Predict using the factorization machine
Parameters
----------
X : sparse matrix, shape = [n_samples, n_features]
Returns
-------
array, shape = [n_samples]
Predicted target values per element in X.
"""
assert_all_finite(X)
return self.fm.predict(X)
def _validate_mcmc_fit_input(X_train, y_train, X_test):
check_consistent_length(X_train, y_train)
assert_all_finite(y_train)
y_train = check_array(y_train, ensure_2d=False, dtype=np.float64)
assert X_train.shape[1] == X_test.shape[1]
X_train = check_array(X_train,
accept_sparse="csc",
dtype=np.float64,
order="F")
X_test = check_array(X_test,
accept_sparse="csc",
dtype=np.float64,
order="F")
return X_train, y_train, X_test
def tf_optimize(model,
Xnew_arr,
learning_rate=0.01,
maxiter=100,
ucb_beta=3.,
active_dims=None,
bounds=None):
Xnew_arr = check_array(Xnew_arr,
copy=False,
warn_on_dtype=True,
dtype=FLOAT_DTYPES)
Xnew = tf.Variable(Xnew_arr, name='Xnew', dtype=settings.float_type)
if bounds is None:
lower_bound = tf.constant(-np.infty, dtype=settings.float_type)
upper_bound = tf.constant(np.infty, dtype=settings.float_type)
else:
lower_bound = tf.constant(bounds[0], dtype=settings.float_type)
upper_bound = tf.constant(bounds[1], dtype=settings.float_type)
Xnew_bounded = tf.minimum(tf.maximum(Xnew, lower_bound), upper_bound)
if active_dims:
indices = []
updates = []
n_rows = Xnew_arr.shape[0]
for c in active_dims:
for r in range(n_rows):
indices.append([r, c])
updates.append(Xnew_bounded[r, c])
part_X = tf.scatter_nd(indices, updates, Xnew_arr.shape)
Xin = part_X + tf.stop_gradient(-part_X + Xnew_bounded)
else:
Xin = Xnew_bounded
beta_t = tf.constant(ucb_beta, name='ucb_beta', dtype=settings.float_type)
y_mean_var = model.likelihood.predict_mean_and_var(
*model._build_predict(Xin))
loss = tf.subtract(y_mean_var[0],
tf.multiply(beta_t, y_mean_var[1]),
name='loss_fn')
opt = tf.train.AdamOptimizer(learning_rate, epsilon=1e-6)
train_op = opt.minimize(loss)
variables = opt.variables()
init_op = tf.variables_initializer([Xnew] + variables)
session = model.enquire_session(session=None)
with session.as_default():
session.run(init_op)
for i in range(maxiter):
session.run(train_op)
Xnew_value = session.run(Xnew_bounded)
y_mean_value, y_var_value = session.run(y_mean_var)
loss_value = session.run(loss)
assert_all_finite(Xnew_value)
assert_all_finite(y_mean_value)
assert_all_finite(y_var_value)
assert_all_finite(loss_value)
return GPRGDResult(y_mean_value, y_var_value, loss_value, Xnew_value)
def score_histogram(x, score_domain=(1, 5, 1)):
"""
Histogram of scores
Parameters
----------
x : array, shape=(n_samples), dtype=float or int
A set of scores
score_domain : array, shape=(3,) OR int, optional
Domain of scores, represented by a triple of the minimum, the maximum,
and strides of the score, if array-like.
The range between the minimum and the maximum are divided into the
specified number of bins, if int.
default=(1, 5, 1).
Returns
-------
hist : array_like, shape=(n_score_levels,)
The number of data in each bin
scores : array_like, shape=(n_score_levels + 1,)
sequences of possible scores
"""
# check inputs
assert_all_finite(x)
if isinstance(score_domain, np.integer):
bins = score_domain
else:
assert_all_finite(score_domain)
bins = generate_score_bins(score_domain)
# making histogram
hist, bins = np.histogram(x, bins=bins)
# candidates of possible scores
if isinstance(score_domain, np.integer):
scores = (bins[1:] + bins[:-1]) / 2
else:
scores = np.hstack([
np.arange(score_domain[0],
score_domain[1],
score_domain[2],
dtype=float), score_domain[1]
])
# return statistics
return hist, scores
def fit(self, X: pd.DataFrame, y):
# store a mapping from feature value to woe value
self.mapping_ = dict()
cols = self.cols or X.columns.tolist()
conditional_cols = self.conditional_cols or []
for col in cols:
if col not in conditional_cols:
# missing value can not be handled by WoeEncoder
# since np.nan will fail the equality check
assert_all_finite(X[col])
woe_value = woe(X[col], y,
conditional=col in conditional_cols,
na_values=self.na_values)
self.mapping_[col] = woe_value
return self
def score_histogram(x, score_domain=(1, 5, 1)):
"""
Histogram of scores
Parameters
----------
x : array, shape=(n_samples), dtype=float or int
A set of scores
score_domain : array, shape=(3,) OR int, optional
Domain of scores, represented by a triple of the minimum, the maximum,
and strides of the score, if array-like.
The range between the minimum and the maximum are divided into the
specified number of bins, if int.
default=(1, 5, 1).
Returns
-------
hist : array_like, shape=(n_score_levels,)
The number of data in each bin
scores : array_like, shape=(n_score_levels + 1,)
sequences of possible scores
"""
# check inputs
assert_all_finite(x)
if isinstance(score_domain, np.integer):
bins = score_domain
else:
assert_all_finite(score_domain)
bins = generate_score_bins(score_domain)
# making histogram
hist, bins = np.histogram(x, bins=bins)
# candidates of possible scores
if isinstance(score_domain, np.integer):
scores = (bins[1:] + bins[:-1]) / 2
else:
scores = np.hstack(
[np.arange(score_domain[0], score_domain[1], score_domain[2],
dtype=float),
score_domain[1]])
# return statistics
return hist, scores
def transform(self, X: pd.DataFrame, y=None):
check_is_fitted(self, 'categories_')
x = X.copy()
for col in self.cols or X.columns:
if col not in x:
msg = 'Column {} is not found in the DataFrame'.format(col)
if self.error == 'raise':
raise ValueError(msg)
if self.error == 'warn':
warnings.warn(msg)
if not self.fill:
assert_all_finite(x[col], allow_nan=False)
else:
x[col] = x[col].fillna('_MISSING').astype(str)
cutoff = self.categories_[col]
_, x[col] = _encode_python(x[col], uniques=cutoff, encode=True, unseen=self.unseen)
return x
def test_baseline_categorical_crossentropy():
rng = np.random.RandomState(0)
prediction_dim = 4
loss = _LOSSES['categorical_crossentropy']()
for y_train in (np.zeros(shape=100), np.ones(shape=100)):
y_train = y_train.astype(np.float32)
baseline_prediction = loss.get_baseline_prediction(
y_train, prediction_dim)
assert_all_finite(baseline_prediction)
# Same logic as for above test. Here inverse_link_function = softmax and
# link_function = log
y_train = rng.randint(0, prediction_dim + 1, size=100).astype(np.float32)
baseline_prediction = loss.get_baseline_prediction(y_train, prediction_dim)
assert baseline_prediction.shape == (1, prediction_dim)
for k in range(prediction_dim):
p = (y_train == k).mean()
assert_almost_equal(baseline_prediction[:, k], np.log(p))
def test_baseline_poisson():
rng = np.random.RandomState(0)
loss = _LOSSES["poisson"](sample_weight=None)
y_train = rng.poisson(size=100).astype(np.float64)
# Sanity check, make sure at least one sample is non-zero so we don't take
# log(0)
assert y_train.sum() > 0
baseline_prediction = loss.get_baseline_prediction(y_train, None, 1)
assert np.isscalar(baseline_prediction)
assert baseline_prediction.dtype == y_train.dtype
assert_all_finite(baseline_prediction)
# Make sure baseline prediction produces the log of the mean of all targets
assert_almost_equal(np.log(y_train.mean()), baseline_prediction)
# Test baseline for y_true = 0
y_train.fill(0.0)
baseline_prediction = loss.get_baseline_prediction(y_train, None, 1)
assert_all_finite(baseline_prediction)
def on_next(obj):
nonlocal self
X = obj[["p_log", "q_log"]]
check_is_fitted(self, ["is_fitted"])
utils.assert_all_finite(X)
X = utils.as_float_array(X)
self._update_clustering(X)
obj_2 = {
"i_min": np.min(obj[["i"]]),
"i_max": np.max(obj[["i"]]),
"cluster": self.clustering,
"X": X
}
if "start_time" in obj.keys():
obj_2["start_time"] = obj.iloc[-1]["start_time"]
observer.on_next(obj_2)
def fit(self, X):
"""Compute the Robust Shared Response Model
Parameters
----------
X : list of 2D arrays, element i has shape=[voxels_i, timepoints]
Each element in the list contains the fMRI data of one subject.
"""
logger.info('Starting RSRM')
# Check that the regularizer value is positive
if 0.0 >= self.lam:
raise ValueError("Gamma parameter should be positive.")
# Check the number of subjects
if len(X) <= 1:
raise ValueError("There are not enough subjects in the input "
"data to train the model.")
# Check for input data sizes
if X[0].shape[1] < self.features:
raise ValueError(
"There are not enough timepoints to train the model with "
"{0:d} features.".format(self.features))
# Check if all subjects have same number of TRs for alignment
number_trs = X[0].shape[1]
number_subjects = len(X)
for subject in range(number_subjects):
assert_all_finite(X[subject])
if X[subject].shape[1] != number_trs:
raise ValueError("Different number of alignment timepoints "
"between subjects.")
# Create a new random state
self.random_state_ = np.random.RandomState(self.rand_seed)
# Run RSRM
self.w_, self.r_, self.s_ = self._rsrm(X)
return self
def fit(self, X):
"""Compute the Robust Shared Response Model
Parameters
----------
X : list of 2D arrays, element i has shape=[voxels_i, timepoints]
Each element in the list contains the fMRI data of one subject.
"""
logger.info('Starting RSRM')
# Check that the regularizer value is positive
if 0.0 >= self.lam:
raise ValueError("Gamma parameter should be positive.")
# Check the number of subjects
if len(X) <= 1:
raise ValueError("There are not enough subjects in the input "
"data to train the model.")
# Check for input data sizes
if X[0].shape[1] < self.features:
raise ValueError(
"There are not enough timepoints to train the model with "
"{0:d} features.".format(self.features))
# Check if all subjects have same number of TRs for alignment
number_trs = X[0].shape[1]
number_subjects = len(X)
for subject in range(number_subjects):
assert_all_finite(X[subject])
if X[subject].shape[1] != number_trs:
raise ValueError("Different number of alignment timepoints "
"between subjects.")
# Create a new random state
self.random_state_ = np.random.RandomState(self.rand_seed)
# Run RSRM
self.w_, self.r_, self.s_ = self._rsrm(X)
return self
def test_baseline_categorical_crossentropy():
rng = np.random.RandomState(0)
prediction_dim = 4
loss = _LOSSES['categorical_crossentropy']()
for y_train in (np.zeros(shape=100), np.ones(shape=100)):
y_train = y_train.astype(np.float64)
baseline_prediction = loss.get_baseline_prediction(y_train,
prediction_dim)
assert baseline_prediction.dtype == y_train.dtype
assert_all_finite(baseline_prediction)
# Same logic as for above test. Here inverse_link_function = softmax and
# link_function = log
y_train = rng.randint(0, prediction_dim + 1, size=100).astype(np.float32)
baseline_prediction = loss.get_baseline_prediction(y_train, prediction_dim)
assert baseline_prediction.shape == (prediction_dim, 1)
for k in range(prediction_dim):
p = (y_train == k).mean()
assert np.allclose(baseline_prediction[k, :], np.log(p))
def test_baseline_categorical_crossentropy():
rng = np.random.RandomState(0)
prediction_dim = 4
loss = _LOSSES["categorical_crossentropy"](sample_weight=None)
for y_train in (np.zeros(shape=100), np.ones(shape=100)):
y_train = y_train.astype(np.float64)
baseline_prediction = loss.get_baseline_prediction(
y_train, None, prediction_dim)
assert baseline_prediction.dtype == y_train.dtype
assert_all_finite(baseline_prediction)
# Same logic as for above test. Here inverse_link_function = softmax and
# link_function = log
y_train = rng.randint(0, prediction_dim + 1, size=100).astype(np.float32)
baseline_prediction = loss.get_baseline_prediction(y_train, None,
prediction_dim)
assert baseline_prediction.shape == (prediction_dim, 1)
for k in range(prediction_dim):
p = (y_train == k).mean()
assert np.allclose(baseline_prediction[k, :], np.log(p))
def test_baseline_binary_crossentropy():
rng = np.random.RandomState(0)
loss = _LOSSES['binary_crossentropy']()
for y_train in (np.zeros(shape=100), np.ones(shape=100)):
y_train = y_train.astype(np.float32)
baseline_prediction = loss.get_baseline_prediction(y_train, 1)
assert_all_finite(baseline_prediction)
assert_almost_equal(loss.inverse_link_function(baseline_prediction),
y_train[0])
# Make sure baseline prediction is equal to link_function(p), where p
# is the proba of the positive class. We want predict_proba() to return p,
# and by definition
# p = inverse_link_function(raw_prediction) = sigmoid(raw_prediction)
# So we want raw_prediction = link_function(p) = log(p / (1 - p))
y_train = rng.randint(0, 2, size=100).astype(np.float32)
baseline_prediction = loss.get_baseline_prediction(y_train, 1)
assert baseline_prediction.shape == tuple() # scalar
p = y_train.mean()
assert_almost_equal(baseline_prediction, np.log(p / (1 - p)))
def test_multinomial_loss_fit_intercept_only():
"""Test that fit_intercept_only returns the mean functional for CCE."""
rng = np.random.RandomState(0)
n_classes = 4
loss = HalfMultinomialLoss(n_classes=n_classes)
# Same logic as test_specific_fit_intercept_only. Here inverse link
# function = softmax and link function = log - symmetry term.
y_train = rng.randint(0, n_classes + 1, size=100).astype(np.float64)
baseline_prediction = loss.fit_intercept_only(y_true=y_train)
assert baseline_prediction.shape == (n_classes, )
p = np.zeros(n_classes, dtype=y_train.dtype)
for k in range(n_classes):
p[k] = (y_train == k).mean()
assert_allclose(baseline_prediction, np.log(p) - np.mean(np.log(p)))
assert_allclose(baseline_prediction[None, :], loss.link.link(p[None, :]))
for y_train in (np.zeros(shape=10), np.ones(shape=10)):
y_train = y_train.astype(np.float64)
baseline_prediction = loss.fit_intercept_only(y_true=y_train)
assert baseline_prediction.dtype == y_train.dtype
assert_all_finite(baseline_prediction)
def test_baseline_binary_crossentropy():
rng = np.random.RandomState(0)
loss = _LOSSES['binary_crossentropy']()
for y_train in (np.zeros(shape=100), np.ones(shape=100)):
y_train = y_train.astype(np.float64)
baseline_prediction = loss.get_baseline_prediction(y_train, 1)
assert_all_finite(baseline_prediction)
assert np.allclose(loss.inverse_link_function(baseline_prediction),
y_train[0])
# Make sure baseline prediction is equal to link_function(p), where p
# is the proba of the positive class. We want predict_proba() to return p,
# and by definition
# p = inverse_link_function(raw_prediction) = sigmoid(raw_prediction)
# So we want raw_prediction = link_function(p) = log(p / (1 - p))
y_train = rng.randint(0, 2, size=100).astype(np.float64)
baseline_prediction = loss.get_baseline_prediction(y_train, 1)
assert baseline_prediction.shape == tuple() # scalar
assert baseline_prediction.dtype == y_train.dtype
p = y_train.mean()
assert np.allclose(baseline_prediction, np.log(p / (1 - p)))
def mean_squared_error(y_true, y_pred):
"""
Root mean square error, mean square error, and its standard deviation.
If you need only RMSE, use
:func:`sklearn.metrics.mean_absolute_error`
Parameters
----------
y_true : array, shape(n_samples,)
Ground truth scores
y_pred : array, shape(n_samples,)
Predicted scores
Returns
-------
rmse : float
root mean squared error
mean : float
mean of absolute errors
stdev : float
standard deviation of absolute errors
"""
# check inputs
assert_all_finite(y_true)
y_true = as_float_array(y_true)
assert_all_finite(y_pred)
y_pred = as_float_array(y_pred)
check_consistent_length(y_true, y_pred)
# calculate errors
errs = (y_true - y_pred) ** 2
mean = np.nanmean(errs)
stdev = np.nanstd(errs)
rmse = np.sqrt(np.maximum(mean, 0.))
return rmse, mean, stdev
def mean_absolute_percentage_error(y_true, y_pred):
"""
Use of this metric is not recommended; for illustration only.
See other regression metrics on sklearn docs:
http://scikit-learn.org/stable/modules/classes.html#regression-metrics
Use like any other metric
>>> y_true = [3, -0.5, 2, 7]; y_pred = [2.5, -0.3, 2, 8]
>>> mean_absolute_percentage_error(y_true, y_pred)
Out[]: 24.791666666666668
"""
y_true = np.asanyarray(y_true)
y_pred = np.asanyarray(y_pred)
assert_all_finite(y_true)
assert_all_finite(y_pred)
#Filter zero values in y_true
sel = (y_true != 0)
y_true = y_true[sel]
y_pred = y_pred[sel]
## Note: does not handle mix 1d representation
#if _is_1d(y_true):
# y_true, y_pred = _check_1d_array(y_true, y_pred)
# return np.abs((y_true - y_pred) / y_true.astype(np.float32)).sum()/float(district_num * dateslot_num)
return np.mean(np.abs((y_true - y_pred) / y_true.astype(np.float32)))
def fit(self, X, pairs):
""" Fit model with specified loss.
Parameters
----------
X : scipy.sparse.csc_matrix, (n_samples, n_features)
y : float | ndarray, shape = (n_compares, 2)
Each row `i` defines a pair of samples such that
the first returns a high value then the second
FM(X[i,0]) > FM(X[i, 1]).
"""
X = X.T
X = check_array(X, accept_sparse="csc", dtype=np.float64)
assert_all_finite(pairs)
pairs = pairs.astype(np.float64)
# check that pairs contain no real values
assert_array_equal(pairs, pairs.astype(np.int32))
assert pairs.max() <= X.shape[1]
assert pairs.min() >= 0
self.w0_, self.w_, self.V_ = ffm.ffm_fit_sgd_bpr(self, X, pairs)
return self
def fit(self, X, y=None):
"""Compute the probabilistic Shared Response Model
Parameters
----------
X : list of 2D arrays, element i has shape=[voxels_i, samples]
Each element in the list contains the fMRI data of one subject.
y : not used
"""
if self.verbose:
print('Running Probabilistic SRM') # noqa FIXME
# Check the number of subjects
if len(X) <= 1:
raise ValueError("There are not enough subjects "
"({0:d}) to train the model.".format(len(X)))
# Check for input data sizes
if X[0].shape[1] < self.features:
raise ValueError(
"There are not enough samples to train the model with "
"{0:d} features.".format(self.features))
# Check if all subjects have same number of TRs
number_trs = X[0].shape[1]
number_subjects = len(X)
for subject in range(number_subjects):
assert_all_finite(X[subject])
if X[subject].shape[1] != number_trs:
raise ValueError(
"Different number of samples between subjects.")
# Run SRM
self.sigma_s_, self.w_, self.mu_, self.rho2_, self.s_ = self._srm(X)
return self
def testLearner(d_dfData, s_symbol, d_dfFeatures, d_dfClass, b_scaling, b_pca, fc_learnerFactory, i_trainPeriod, b_Plot = False):
t1 = datetime.now()
df_data = d_dfFeatures[s_symbol]
#print df_data.to_csv()
df_classData = d_dfClass[s_symbol]
#print df_classData.to_csv()
success = float(0)
success_up = float(0)
success_down = float(0)
count = 0
for i in range(i_trainPeriod, df_data.index.size - i_forwardlook + 1):
day = df_data.index[i]
na_data = df_data.iloc[i - i_trainPeriod:i].values
y_train = df_classData.iloc[i - i_trainPeriod:i].values.ravel()
x_predict = df_data.iloc[i].values
#print "{} - nans: data:{} class:{} x_predict:{} price:{}".format(day, np.count_nonzero(np.isnan(na_data)), np.count_nonzero(np.isnan(y_train)), np.count_nonzero(np.isnan(x_predict)), d_dfData['close'][s_symbol][day])
try:
assert_all_finite(na_data)
assert_all_finite(y_train)
assert_all_finite(x_predict)
except ValueError:
continue
if b_scaling == True:
scaler = preprocessing.StandardScaler().fit(na_data)
x_train = scaler.transform(na_data)
else:
x_train = na_data
if b_pca == True:
pca = decomposition.PCA(n_components = 40)
pca.fit(x_train)
x_train = pca.transform(x_train)
x_predict = pca.transform(x_predict)
i_prediction = fc_learnerFactory(x_train, y_train, x_predict)
if (i_prediction == df_classData.iloc[i][0]):
success += 1
if (i_prediction == 1):
success_up += 1
else:
success_down += 1
count += 1
#sys.stdout.write(str(all_count - count) + " to go\r")
if count == 0:
print symbol + " no prediction"
else:
print symbol + " success rate: " + str(success/count) + " up: " + str(success_up/count) + " down: " + str(success_down/count) + " count: " + str(count)
np.ravel(yKrn)
safe_asarray(yKrn) #.ravel()
np.asarray_chkfinite(yKrn)
print("l885: yKrn", type(yKrn) )
#yKrn = yKrn.astype(numpy.float32, copy=False)
#safe_asarray(yKrn).ravel()#print(len(yKrn) )
np.array(yKrn,float); as_float_array(XKrn); as_float_array(yKrn)
#yKrn.astype(float)
np.float64(yKrn); np.asarray( yKrn )
#warn_if_not_float(yKrn)
XKrn = XKrn[np.logical_not(np.isnan(XKrn))]; yKrn = XKrn[np.logical_not(np.isnan(yKrn))]
assert_all_finite(XKrn); assert_all_finite(yKrn) #X_vec = np.vectorize(XKrn) #y_vec = np.vectorize(yKrn)
XKrn.ravel(), yKrn.ravel()
print("912: XKrn row, yKrn row", XKrn.shape, yKrn.shape )
#new_list =[ (F, T) [boolean test] for x in old_list ]
#chk0 = [ (0.001) [i == True] for i in yKrn ]
print ("minX", np.min(XKrn) )
print ("y shape", yKrn.shape)
indices = (y == False).nonzero() # np.nonzero(yKrn)
print ("**nonzero yKrn", indices, y[indices])
for i in indices:
yKrn[i]=1e-10
indx = np.nonzero(XKrn)
for i in indx:
XKrn[i]=1e-10
def score_predictor_statistics(y_true, y_pred, score_domain=(1, 5, 1)):
"""
Full Statistics of prediction performance
* n_samples
* mean_absolute_error: mean, stdev
* mean_squared_error: mean, rmse, stdev
* predicted: mean, stdev
* true: mean, stdev
Parameters
----------
y_true : array, shape=(n_samples,)
Ground truth scores
y_pred : array, shape=(n_samples,)
Predicted scores
score_domain : array, shape=(3,)
Domain of scores, represented by a triple: start, end, and stride
default=(1, 5, 1).
Returns
-------
stats : dict
Full statistics of prediction performance
"""
# check inputs
assert_all_finite(y_true)
y_true = as_float_array(y_true)
assert_all_finite(y_pred)
y_pred = as_float_array(y_pred)
check_consistent_length(y_true, y_pred)
# calc statistics
stats = {}
# dataset size
stats['n_samples'] = y_true.size
# a list of possible score levels
stats['score levels'] = np.hstack([
np.arange(score_domain[0], score_domain[1], score_domain[2],
dtype=float), score_domain[1]])
# mean absolute error
mean, stdev = mean_absolute_error(y_true, y_pred)
stats['mean absolute error'] = {'mean': mean, 'stdev': stdev}
# root mean squared error
rmse, mean, stdev = mean_squared_error(y_true, y_pred)
stats['mean squared error'] = {'rmse': rmse, 'mean': mean, 'stdev': stdev}
# descriptive statistics of ground truth scores
stats['true'] = {'mean': np.mean(y_true), 'stdev': np.std(y_true)}
hist, _ = score_histogram(y_true, score_domain=score_domain)
stats['true']['histogram'] = hist
stats['true']['histogram density'] = (hist / hist.sum())
# descriptive statistics of ground predicted scores
stats['predicted'] = {'mean': np.mean(y_pred), 'stdev': np.std(y_pred)}
hist, _ = score_histogram(y_pred, score_domain=score_domain)
stats['predicted']['histogram'] = hist
stats['predicted']['histogram density'] = (hist / hist.sum())
return stats
def fit(self, X, y, Z):
"""Compute the Semi-Supervised Shared Response Model
Parameters
----------
X : list of 2D arrays, element i has shape=[voxels_i, n_align]
Each element in the list contains the fMRI data for alignment of
one subject. There are n_align samples for each subject.
y : list of arrays of int, element i has shape=[samples_i]
Each element in the list contains the labels for the data samples
in Z.
Z : list of 2D arrays, element i has shape=[voxels_i, samples_i]
Each element in the list contains the fMRI data of one subject
for training the MLR classifier.
"""
logger.info('Starting SS-SRM')
# Check that the alpha value is in range (0.0,1.0)
if 0.0 >= self.alpha or self.alpha >= 1.0:
raise ValueError("Alpha parameter should be in range (0.0, 1.0)")
# Check that the regularizer value is positive
if 0.0 >= self.gamma:
raise ValueError("Gamma parameter should be positive.")
# Check the number of subjects
if len(X) <= 1 or len(y) <= 1 or len(Z) <= 1:
raise ValueError("There are not enough subjects in the input "
"data to train the model.")
if not (len(X) == len(y)) or not (len(X) == len(Z)):
raise ValueError("Different number of subjects in data.")
# Check for input data sizes
if X[0].shape[1] < self.features:
raise ValueError(
"There are not enough samples to train the model with "
"{0:d} features.".format(self.features))
# Check if all subjects have same number of TRs for alignment
# and if alignment and classification data have the same number of
# voxels per subject. Also check that there labels for all the classif.
# sample
number_trs = X[0].shape[1]
number_subjects = len(X)
for subject in range(number_subjects):
assert_all_finite(X[subject])
assert_all_finite(Z[subject])
if X[subject].shape[1] != number_trs:
raise ValueError("Different number of alignment samples "
"between subjects.")
if X[subject].shape[0] != Z[subject].shape[0]:
raise ValueError("Different number of voxels between alignment"
" and classification data (subject {0:d})"
".".format(subject))
if Z[subject].shape[1] != y[subject].size:
raise ValueError("Different number of samples and labels in "
"subject {0:d}.".format(subject))
# Map the classes to [0..C-1]
new_y = self._init_classes(y)
# Run SS-SRM
self.w_, self.s_, self.theta_, self.bias_ = self._sssrm(X, Z, new_y)
return self
