def baseline_test_score(n_neighbors, Average_weights, lag, outputlength,
train_ratio, horizon, weights):
shops = range(1, 2001)
print "Getting regressor..."
neigh = getRegressor(n_neighbors, Average_weights, lag, outputlength,
train_ratio, horizon, weights)
print "Done"
yTrue = []
yPred = []
res = []
for i in shops:
print i
yt = get_truth_value_last_elements(i, lag, outputlength, horizon)
yTrue.append(yt)
yp = ItePredict(neigh,
get_feature_including_mean_diff(i, lag, outputlength),
horizon, lag, weights)
if len(yt) != len(yp):
print "found %s" % i
sys.exit(0)
yp = pd.DataFrame(yp)
yPred.append(yp)
curloss = loss(yp, yt)
curloss = [i, curloss]
res.append(curloss)
# print yTrue, yPred
yTrue = pd.concat(yTrue)
yPred = pd.concat(yPred)
tmp = loss(yPred, yTrue)
res.append(['all', tmp])
DESFOLDER = os.path.join(HOME, "Dropbox", "dataset", "Analysis",
"IterativeModel", "Tuning")
file_name = "neghbours-%s_targetweight-%s_lag-%s_day-%s.csv" % (
n_neighbors, Average_weights, lag, datetime.datetime.now().date())
DESFile = os.path.join(DESFOLDER,
get_name_from_weights(weights) + file_name)
final_rec = pd.DataFrame(res, columns=['shop_id', 'loss'])
final_rec.to_csv(DESFile, index=False)
return tmp
def xgBoost_out14(source,
day,
predictors,
predictors_type,
ifGS=True,
target_variables=['Tar_1', 'Tar_2'],
ifCompetition=False,
useTrainCV=True,
cv_folds=5,
early_stopping_rounds=50,
X_test_comp='l'):
for tar in target_variables[day - 1:day]:
report_file = "xgBoost_14out_removeSHOPID_%s_day_%s.txt" % (
predictors_type, tar)
report_file = os.path.join(ReportFolder, report_file)
#1 get data
X = source[predictors]
target_variables_plus = [tar] + ['shop_id', 'day']
y = source[target_variables_plus]
# X_train = X[predictors][:-1]
# y_train = y[:][:-1]
# X_test = X[predictors][-1:]
# y_test = y[:][-1:]
X_train, X_test, y_train, y_test = train_test_split(X,
y,
test_size=0.10,
random_state=0)
# if ifGS:
# # initial tuning for default paras -> to set n_estimators
# xgb_param = {'reg_alpha': 0, 'subsample': 0.8, 'seed': 0, 'colsample_bytree': 0.8,
# 'objective': 'reg:linear', 'learning_rate': 0.1, 'max_depth': 6, 'min_child_weight': 1,
# 'gamma': 0}
# dtrain = xgb.DMatrix(X_train.values, y_train[tar].values, feature_names=X_train.columns.values)
# deval = xgb.DMatrix(X_test.values, y_test[tar].values, feature_names=X_test.columns.values)
# watchlist = [(dtrain, 'train'), (deval, 'val')]
# xgtrain = xgb.DMatrix(source[predictors].values, label=source[tar].values,
# feature_names=X_train.columns.values)
# cvresult = xgb.cv(xgb_param, xgtrain, num_boost_round=10000, nfold=cv_folds,
# early_stopping_rounds=50, seed=0, show_stdv=False)
#
# print cvresult.shape[0] # so we get the best n_estimators for competition
#
# # clf = xgb.train(xgb_param, dtrain, num_boost_round=cvresult.shape[0], evals=watchlist,
# # early_stopping_rounds=100)
# #
# # feature_imp = clf.get_fscore()
# # sorted_scoreDic = sorted(feature_imp.items(), key=operator.itemgetter(1), reverse=True)
# #
# # # report_file_confirm_iter = "xgBoost_14out_removeSHOPID_%s_day_%s.txt" % (predictors_type, tar)
# # # report_file_confirm_iter = os.path.join(ReportFolder, report_file_confirm_iter)
# #
# # y_pred = clf.predict(xgb.DMatrix(X_test.values, feature_names=X_test.columns.values))
# # loss_score = loss(y_pred, y_test[tar], ifchecked=False)
# # print "loss_score: ", loss_score
#
# with open(report_file, 'a+') as fw:
# fw.write("-------------------\Initial set rounds for default paras:\n")
# # if tar == 1:
# # fw.write(str(sorted_scoreDic))
# fw.write(str(xgb_param))
# fw.write("\n")
# fw.write(str(cvresult.shape[0]))
# # fw.write('loss_score for random 10% samples: ')
# # fw.write(str(loss_score))
#
# best_rounds = cvresult.shape[0]
best_rounds = 1000
if ifGS:
#2 Gridsearch to set the best parameters
cv_params_1 = {
'max_depth': [6, 7, 8, 9],
'min_child_weight': [1, 3]
}
ind_params_1 = {
'learning_rate': 0.1,
'seed': 0,
'subsample': 0.8,
'colsample_bytree': 0.8,
'objective': 'reg:linear',
'silent': 1,
'n_estimators': best_rounds
}
optimized_GBM = GridSearchCV(
estimator=xgb.XGBRegressor(**ind_params_1),
param_grid=cv_params_1,
scoring=scorer,
cv=KFold(n_splits=cv_folds, shuffle=True, random_state=0),
n_jobs=-1)
optimized_GBM.fit(X, y[tar])
print optimized_GBM.cv_results_
print type(optimized_GBM.cv_results_)
print optimized_GBM.best_params_, optimized_GBM.best_score_
best_params_1 = optimized_GBM.best_params_
best_score_1 = optimized_GBM.best_score_
with open(report_file, 'a+') as fw:
fw.write("-------------------!!!!\:\n")
fw.write(str(optimized_GBM.cv_results_))
fw.write('\n....:\n')
fw.write(str(cv_params_1) + '\n')
fw.write(str(ind_params_1) + '\n')
fw.write(
str(optimized_GBM.cv_results_['mean_test_score']) + '\n')
fw.write(
str(optimized_GBM.best_params_) +
str(optimized_GBM.best_score_) + '\n')
# gamma: 可选可不选
cv_params_2 = {'gamma': [0.1, 0.3]}
ind_params_2 = {
'learning_rate': 0.1,
'subsample': 0.8,
'seed': 0,
'colsample_bytree': 0.8,
'objective': 'reg:linear',
'max_depth': 3,
'min_child_weight': 1,
'n_estimators': best_rounds
}
ind_params_2.update(best_params_1)
optimized_GBM = GridSearchCV(
estimator=xgb.XGBRegressor(**ind_params_2),
param_grid=cv_params_2,
scoring=scorer,
cv=KFold(n_splits=cv_folds, shuffle=True, random_state=0),
n_jobs=-1)
optimized_GBM.fit(X, y[tar])
print optimized_GBM.cv_results_
best_params_2 = optimized_GBM.best_params_
best_score_2 = optimized_GBM.best_score_
if best_score_2 < best_score_1:
best_params_2 = {'gamma': 0.0}
best_params_2.update(best_params_1)
with open(report_file, 'a+') as fw:
fw.write("-------------------\:\n")
fw.write(str(optimized_GBM.cv_results_))
fw.write('\n....:\n')
fw.write(str(cv_params_2) + '\n')
fw.write(str(ind_params_2) + '\n')
fw.write(
str(optimized_GBM.cv_results_['mean_test_score']) + '\n')
fw.write(
str(optimized_GBM.best_params_) +
str(optimized_GBM.best_score_) + '\n')
# 3 GridSearch on rest parameters:
cv_params_3 = {
'subsample': [0.8, 0.9],
'colsample_bytree': [i / 10.0 for i in range(8, 10)]
}
ind_params_3 = {
'learning_rate': 0.1,
'seed': 0,
'colsample_bytree': 0.8,
'objective': 'reg:linear',
'max_depth': 6,
'min_child_weight': 1,
'n_estimators': best_rounds
}
ind_params_3.update(best_params_2)
optimized_GBM = GridSearchCV(
estimator=xgb.XGBRegressor(**ind_params_3),
param_grid=cv_params_3,
scoring=scorer,
cv=KFold(n_splits=cv_folds, shuffle=True, random_state=0),
n_jobs=-1)
optimized_GBM.fit(X, y[tar])
print optimized_GBM.cv_results_
best_params_3 = optimized_GBM.best_params_
best_score_3 = optimized_GBM.best_score_
best_params_3.update(best_params_2)
with open(report_file, 'a+') as fw:
fw.write("-------------------\:\n")
fw.write(str(optimized_GBM.cv_results_))
fw.write('\n....:\n')
fw.write(str(cv_params_3) + '\n')
fw.write(str(ind_params_3) + '\n')
fw.write(
str(optimized_GBM.cv_results_['mean_test_score']) + '\n')
fw.write(
str(optimized_GBM.best_params_) +
str(optimized_GBM.best_score_) + '\n')
cv_params_5 = {'reg_alpha': [100, 150]}
ind_params_5 = {
'learning_rate': 0.1,
'subsample': 0.8,
'colsample_bytree': 0.8,
'seed': 0,
'colsample_bytree': 0.8,
'objective': 'reg:linear',
'max_depth': 6,
'min_child_weight': 1,
'n_estimators': best_rounds
}
ind_params_5.update(best_params_3)
optimized_GBM = GridSearchCV(
estimator=xgb.XGBRegressor(**ind_params_5),
param_grid=cv_params_5,
scoring=scorer,
cv=KFold(n_splits=cv_folds, shuffle=True, random_state=0),
n_jobs=-1)
optimized_GBM.fit(X, y[tar])
print optimized_GBM.cv_results_
with open(report_file, 'a+') as fw:
fw.write("-------------------\:\n")
fw.write(str(optimized_GBM.cv_results_))
fw.write('\n....:\n')
fw.write(str(cv_params_5) + '\n')
fw.write(str(ind_params_5) + '\n')
fw.write(
str(optimized_GBM.cv_results_['mean_test_score']) + '\n')
fw.write(
str(optimized_GBM.best_params_) +
str(optimized_GBM.best_score_) + '\n')
sys.exit(0)
#3 xgb.cv choose the optimized n_estimators
if ifGS == False:
xgb_param = {
'reg_alpha': 100,
'colsample_bytree': 0.8,
'learning_rate': 0.05,
'min_child_weight': 3,
'subsample': 0.9,
'seed': 0,
'objective': 'reg:linear',
'max_depth': 7,
'gamma': 0.3
}
# xgb_param = {'reg_alpha': 100, 'subsample': 0.9, 'seed': 0, 'colsample_bytree': 0.7,
# 'objective': 'reg:linear', 'learning_rate': 0.04, 'max_depth': 7, 'min_child_weight': 1, 'gamma': 0.1}
dtrain = xgb.DMatrix(X_train.values,
y_train[tar].values,
feature_names=X_train.columns.values)
deval = xgb.DMatrix(X_test.values,
y_test[tar].values,
feature_names=X_test.columns.values)
watchlist = [(dtrain, 'train'), (deval, 'val')]
xgtrain = xgb.DMatrix(source[predictors].values,
label=source[tar].values,
feature_names=X_train.columns.values)
cvresult = xgb.cv(xgb_param,
xgtrain,
num_boost_round=10000,
nfold=cv_folds,
early_stopping_rounds=early_stopping_rounds,
seed=0,
show_stdv=False)
print cvresult.shape[
0] # so we get the best n_estimators for competition
clf = xgb.train(xgb_param,
dtrain,
num_boost_round=cvresult.shape[0],
evals=watchlist,
early_stopping_rounds=early_stopping_rounds)
feature_imp = clf.get_fscore()
sorted_scoreDic = sorted(feature_imp.items(),
key=operator.itemgetter(1),
reverse=True)
# print sorted_scoreDic
report_file_confirm_iter = "setRounds_xgBoost_14out_removeSHOPID_%s_day_%s.txt" % (
predictors_type, tar)
report_file_confirm_iter = os.path.join(ReportFolder,
report_file_confirm_iter)
y_pred = clf.predict(
xgb.DMatrix(X_test.values,
feature_names=X_test.columns.values))
loss_score = loss(y_pred, y_test[tar], ifchecked=False)
print "loss_score: ", loss_score
with open(report_file_confirm_iter, 'a+') as fw:
fw.write(
"-------------------After choose all paras, test best rounds for a smaller learning rate, 0.04\:\n"
)
fw.write(str(sorted_scoreDic))
fw.write(str(xgb_param))
fw.write("\n")
fw.write(str(cvresult.shape[0]))
fw.write('loss_score: ')
fw.write(str(loss_score))
def Model_for_competition(algorithm_name,
pickle_model_file_name,
fgfs,
ReportFolder,
source,
predictors_type,
shop_range,
key,
predictors,
target_variables,
estimator_output_length=14,
required_prediction_length=14,
ifSaveModel=False,
predict_mode=["drop", "filled"],
n_estimators=300,
min_samples_split=2,
min_samples_leaf=1,
iterOrCopy="iterative",
estimator_withParams="l",
xgb_param="l",
early_stopping_rounds=50):
target_variables_full = target_variables
target_variables = target_variables[0:estimator_output_length]
tmp_predictors = ['shop_id', 'day'] + predictors
X = source[tmp_predictors]
target_variables_plus = target_variables_full + ['shop_id', 'day']
y = source[target_variables_plus]
if 2 < 1:
estimator_withParams = pickle.load(open(pickle_model_file_name, 'rb'))
else:
# X_train_forRounds, X_test_forRounds, y_train_forRounds, y_test_forRounds = train_test_split(X, y, test_size=0.1, random_state=0)
# X_train_forRounds = X_train_forRounds[predictors]
# y_train_forRounds = y_train_forRounds[target_variables]
# X_test_forRounds = X_test_forRounds[predictors]
# y_test_forRounds = y_test_forRounds[target_variables]
X_train_forRounds = X[predictors][:-1]
y_train_forRounds = y[:][:-1]
X_test_forRounds = X[predictors][-1:]
y_test_forRounds = y[:][-1:]
X_train = X[predictors]
y_train = y[target_variables]
if algorithm_name == "xgBoost":
xgb_param_list = [{
'subsample': 0.9,
'reg_alpha': 100,
'seed': 0,
'colsample_bytree': 0.8,
'objective': 'reg:linear',
'learning_rate': 0.04,
'max_depth': 6,
'min_child_weight': 1,
'gamma': 0.0
}]
num_list = [3500]
clf_list = []
# for day in xrange(1, estimator_output_length+1):
for day in xrange(1, 8):
tar = 'Tar_%s' % day
# xgtrain = xgb.DMatrix(source[predictors].values, label=source[tar].values,
# feature_names=X_train.columns.values)
# cvresult = xgb.cv(xgb_param_list[0], xgtrain, num_boost_round=5000, nfold=3,
# early_stopping_rounds=50, seed=0, show_stdv=False)
#
# rounds_nice = cvresult.shape[0]
#
# with open('num_rounds.csv', 'a+') as fw:
# fw.write(str(key) + ' ')
# fw.write(str(tar) + '\:')
# fw.write(str(rounds_nice) + '\n')
y_train_tmp = y_train_forRounds[[tar]]
y_test_tmp = y_test_forRounds[[tar]]
dtrain = xgb.DMatrix(
X_train_forRounds.values,
y_train_tmp[tar].values,
feature_names=X_train_forRounds.columns.values)
deval = xgb.DMatrix(
X_test_forRounds.values,
y_test_tmp[tar].values,
feature_names=X_test_forRounds.columns.values)
watchlist = [(dtrain, 'train'), (deval, 'val')]
clf = xgb.train(xgb_param_list[0],
dtrain,
num_boost_round=5000,
early_stopping_rounds=100,
evals=watchlist)
# clf = xgb.train(xgb_param_list[0], dtrain, num_boost_round=cvresult.shape[0],
# early_stopping_rounds=50, evals=watchlist)
y_pred = clf.predict(
xgb.DMatrix(X_test_forRounds.values,
feature_names=X_test_forRounds.columns.values))
loss_score = loss(y_pred, y_test_tmp[tar], ifchecked=False)
# with open(, 'a+') as fw:
# fw.write(str(key) + ' ')
# fw.write(str(tar) + ' ')
# fw.write(str(loss_score))
# fw.write('\n')
all_shop_ids = set(y_test_tmp['shop_id'])
loss_score_shop_list = []
for sh in all_shop_ids:
row = [sh]
row.append(
loss(
y_pred[np.array(y_test_tmp['shop_id'] == sh), :],
y_test_tmp[y_test_tmp['shop_id'] == sh].
iloc[:,
np.
logical_and(y_test_tmp.columns != 'shop_id',
y_test_tmp.columns != 'day')]))
loss_score_shop_list.append(row)
results_df = []
results_df_columns = []
results_df_columns.extend([
'cluster_label', 'Tar_label', 'loss_score', 'shop_id',
'loss_theLast14Days', 'bst.best_ntree_limit'
])
for r in loss_score_shop_list:
results_df.append(key, day, loss_score, shop_id, r,
clf.bst.best_ntree_limit)
results_df.to_csv(
'oldFeatures_num_rounds_cluster_shopID_tar.csv',
index=False)
return True
def rfOrETR_para_tuning(source, pickle_model_file_name, ReportFolder, estimator_withParams, fgfs, report_file,report_per_shop, predictors_type, predictors, target_variables, iterOrCopy = ["iterative"], estimator_output_length = 14, required_prediction_length = 14, n_folds = 5, ifSavePickle= False):
target_variables_full = target_variables
target_variables = target_variables[0:estimator_output_length]
tmp_predictors = ['shop_id', 'day'] + predictors
X = source[tmp_predictors]
target_variables_plus = target_variables_full + ['shop_id', 'day']
y = source[target_variables_plus]
# if os.path.exists(pickle_model_file_name):
# print "already trained"
# return True
X_train, X_test, y_train, y_test = train_test_split(X, y, test_size = 0.10,random_state = 0)
X_train = X[predictors]
y_train = y[target_variables]
if len(target_variables)==1:
y_train = y_train.values.ravel()
print "fitting regressor.."
estimator_withParams.fit(X_train, y_train)
print "finish!"
# if not os.path.exists(pickle_model_file_name) and ifSavePickle == True:
# pickle.dump(estimator_withParams,open(pickle_model_file_name,'wb'))
x = IterativePredictionModel(estimator_withParams, estimator_output_length, required_prediction_length, fgfs, predictors)
for iterOrCopy in ["iterative", "copy"]:
report_per_shop = "%s_%s_iterLength_%s_n%s_minS%s_minL%s_iterOrCopy_%s.csv" % (
algorithm_name, predictors_type, iter, n_estimators, min_samples_split, min_samples_leaf, iterOrCopy)
report_per_shop = os.path.join(ReportFolder, report_per_shop)
y_pred = x.do_iterative_prediction(X_test, how = iterOrCopy)
loss_score = loss(y_pred,y_test[target_variables_full])
print "loss: ", loss_score
feature_imp = {}
for i in xrange(0, estimator_withParams.feature_importances_.shape[0]):
feature_imp.setdefault(predictors[i], estimator_withParams.feature_importances_[i])
sorted_scoreDic = sorted(feature_imp.items(), key=operator.itemgetter(1), reverse=True)
oob_score_result = estimator_withParams.oob_score_
results_df = []
results_df.extend([oob_score_result, loss_score, n_estimators, min_samples_split, min_samples_leaf, predictors_type, iter, iterOrCopy])
results_df_columns = []
results_df_columns.extend(['oob_score_result', 'loss_score', 'n_estimators', 'min_samples_split', 'min_samples_leaf', 'predictors_type', 'iterLength', 'iterOrCopy'])
for i in xrange(0, len(sorted_scoreDic)):
results_df_columns.append(sorted_scoreDic[i][0])
results_df.append(sorted_scoreDic[i][1])
results_df = pd.DataFrame([results_df], columns = results_df_columns)
if os.path.exists(report_file):
results_df.to_csv(report_file, index=False, mode='a')
else:
results_df.to_csv(report_file, index=False)
loss_score_dict = {}
for i in xrange(0, y_test.shape[0]):
shop_id_test = y_test['shop_id'].values[i]
loss_score_dict.setdefault(shop_id_test, [[], []])[1].extend(
y_test.iloc[i, np.logical_and(y_test.columns != 'shop_id', y_test.columns != 'day')])
loss_score_dict.setdefault(shop_id_test, [[], []])[0].extend(y_pred[i])
loss_score_shop_list = []
for shop in xrange(1, 2001):
if shop in loss_score_dict:
row = [shop]
this_loss = loss(loss_score_dict[shop][0], loss_score_dict[shop][1])
row.append(this_loss)
loss_score_shop_list.append(row)
with open(report_per_shop, 'a+') as fw:
for r in loss_score_shop_list:
fw.write(','.join(map(str, r)) + '\n')
