class SelectPercentile(FeatureSelectionAlgorithm):
r"""Implementation of feature selection using percentile selection of best features according to used score function.
Date:
2020
Author:
Luka Pečnik
License:
MIT
Documentation:
https://scikit-learn.org/stable/modules/generated/sklearn.feature_selection.SelectPercentile.html
See Also:
* :class:`niaaml.preprocessing.feature_selection.feature_selection_algorithm.FeatureSelectionAlgorithm`
"""
Name = 'Select Percentile'
def __init__(self, **kwargs):
r"""Initialize SelectPercentile feature selection algorithm.
"""
self._params = dict(score_func=ParameterDefinition(
[chi2, f_classif, mutual_info_classif]),
percentile=ParameterDefinition(
MinMax(10, 100), np.uint))
self.__select_percentile = SelectPerc()
def set_parameters(self, **kwargs):
r"""Set the parameters/arguments of the algorithm.
"""
self.__select_percentile.set_params(**kwargs)
def select_features(self, x, y, **kwargs):
r"""Perform the feature selection process.
Arguments:
x (pandas.core.frame.DataFrame): Array of original features.
y (pandas.core.series.Series) Expected classifier results.
Returns:
numpy.ndarray[bool]: Mask of selected features.
"""
self.__select_percentile.fit(x, y)
return self.__select_percentile.get_support()
def to_string(self):
r"""User friendly representation of the object.
Returns:
str: User friendly representation of the object.
"""
return FeatureSelectionAlgorithm.to_string(self).format(
name=self.Name,
args=self._parameters_to_string(
self.__select_percentile.get_params()))
class LinearRegressor:
def __init__(self):
self.model = linear_model.LinearRegression(fit_intercept=False)
self.feature_selector = SelectPercentile(f_regression, percentile=100)
self.imputer = Imputer(missing_values='NaN', strategy='mean', axis=0, verbose=0, copy=True)
self.best_columns = []
self.feature_name = []
def valid_fit(self, X_train_init, y_train, X_eval_init, y_eval, use_sample_weight=False, use_sample_window_select=False):
max_sample_num = 1000000
if len(X_train_init) > max_sample_num:
X_train_init = X_train_init[-max_sample_num:]
y_train = y_train[-max_sample_num:]
gc.collect()
weight_column = 'sample_weight'
train_weight = None
if use_sample_weight:
train_weight = X_train_init.pop(weight_column)
eval_weight = X_eval_init.pop(weight_column)
init_columns = X_train_init.columns
X_train = self.imputer.fit_transform(X_train_init)
X_eval = self.imputer.transform(X_eval_init)
if X_train.shape[1] != len(init_columns):
X_train_init[(X_train_init == np.inf) | (X_train_init == -np.inf)] = np.nan
X_train = self.imputer.fit_transform(X_train_init)
X_eval = self.imputer.transform(X_eval_init)
score_min = float("inf")
best_percentile = 100
best_preds = None
best_column_num = 0
if X_train.shape[1] < 20:
if use_sample_weight:
self.model.fit(X_train, y_train, sample_weight=train_weight)
else:
self.model.fit(X_train, y_train)
best_preds = self.model.predict(X_eval)
else:
for percentile in range(100, 10, -10):
self.feature_selector.set_params(**{'percentile': percentile})
gc.collect()
train = self.feature_selector.fit_transform(X_train, y_train)
eval = self.feature_selector.transform(X_eval)
if use_sample_weight:
self.model.fit(train, y_train, sample_weight=train_weight)
else:
self.model.fit(train, y_train)
preds = self.model.predict(eval)
score = math.sqrt(mean_squared_error(y_eval, preds))
print(f"valid score:{score}\n")
if score < score_min:
score_min = score
best_percentile = percentile
best_preds = preds
best_column_num = train.shape[1]
gc.collect()
ss = pd.Series(self.feature_selector.scores_, index=init_columns)
score_sorted_cols = list(ss.sort_values(ascending=False).index)
self.best_columns = score_sorted_cols[:best_column_num]
return best_preds
def fit(self, X_train, y_train, use_sample_weight):
weight_column = 'sample_weight'
train_weight = None
if use_sample_weight:
train_weight = X_train.pop(weight_column)
if len(self.best_columns):
self.feature_name = list(set(self.best_columns) & set(X_train.columns))
X_train = X_train[self.feature_name]
else:
self.feature_name = X_train.columns
init_column_num = len(X_train.columns)
train = self.imputer.fit_transform(X_train)
if train.shape[1] != init_column_num:
X_train[(X_train == np.inf) | (X_train == -np.inf)] = np.nan
train = self.imputer.fit_transform(X_train)
if use_sample_weight:
self.model.fit(train, y_train, sample_weight=train_weight)
else:
self.model.fit(train, y_train)
gc.collect()
return self
def predict(self, x_test):
x_test = x_test[self.feature_name]
test = self.imputer.transform(x_test)
pred = self.model.predict(test)
return pred