def fit(
self,
X,
y,
num_boost_round=1000,
validation_data=None,
early_stopping_rounds=None,
verbose_eval=0,
persist_train=False,
index_id=None,
time_bins=None,
):
"""
Fit XGBoost model to predict a value that is interpreted as a risk metric.
Fit Weibull Regression model using risk metric as only independent variable.
Args:
X ([pd.DataFrame, np.array]): Features to be used while fitting XGBoost model
y (structured array(numpy.bool_, numpy.number)): Binary event indicator as first field,
and time of event or time of censoring as second field.
num_boost_round (Int): Number of boosting iterations.
validation_data (Tuple): Validation data in the format of a list of tuples [(X, y)]
if user desires to use early stopping
early_stopping_rounds (Int): Activates early stopping.
Validation metric needs to improve at least once
in every **early_stopping_rounds** round(s) to continue training.
See xgboost.train documentation.
verbose_eval ([Bool, Int]): Level of verbosity. See xgboost.train documentation.
persist_train (Bool): Whether or not to persist training data to use explainability
through prototypes
index_id (pd.Index): User defined index if intended to use explainability
through prototypes
time_bins (np.array): Specified time windows to use when making survival predictions
Returns:
XGBSEStackedWeibull: Trained XGBSEStackedWeibull instance
"""
E_train, T_train = convert_y(y)
if time_bins is None:
time_bins = get_time_bins(T_train, E_train)
self.time_bins = time_bins
# converting data to xgb format
dtrain = convert_data_to_xgb_format(X, y, self.xgb_params["objective"])
# converting validation data to xgb format
evals = ()
if validation_data:
X_val, y_val = validation_data
dvalid = convert_data_to_xgb_format(X_val, y_val,
self.xgb_params["objective"])
evals = [(dvalid, "validation")]
# training XGB
self.bst = xgb.train(
self.xgb_params,
dtrain,
num_boost_round=num_boost_round,
early_stopping_rounds=early_stopping_rounds,
evals=evals,
verbose_eval=verbose_eval,
)
# predicting risk from XGBoost
train_risk = self.bst.predict(dtrain)
# replacing 0 by minimum positive value in df
# so Weibull can be fitted
min_positive_value = T_train[T_train > 0].min()
T_train = np.clip(T_train, min_positive_value, None)
# creating df to use lifelines API
weibull_train_df = pd.DataFrame({
"risk": train_risk,
"duration": T_train,
"event": E_train
})
# fitting weibull aft
self.weibull_aft = WeibullAFTFitter(**self.weibull_params)
self.weibull_aft.fit(weibull_train_df,
"duration",
"event",
ancillary=True)
if persist_train:
self.persist_train = True
if index_id is None:
index_id = X.index.copy()
index_leaves = self.bst.predict(dtrain, pred_leaf=True)
self.tree = BallTree(index_leaves, metric="hamming")
self.index_id = index_id
return self
def fit(
self,
X,
y,
num_boost_round=1000,
validation_data=None,
early_stopping_rounds=None,
verbose_eval=0,
persist_train=False,
index_id=None,
time_bins=None,
):
"""
Transform feature space by fitting a XGBoost model and returning its leaf indices.
Leaves are transformed and considered as dummy variables to fit multiple logistic
regression models to each evaluated time bin.
Args:
X ([pd.DataFrame, np.array]): Features to be used while fitting XGBoost model
y (structured array(numpy.bool_, numpy.number)): Binary event indicator as first field,
and time of event or time of censoring as second field.
num_boost_round (Int): Number of boosting iterations.
validation_data (Tuple): Validation data in the format of a list of tuples [(X, y)]
if user desires to use early stopping
early_stopping_rounds (Int): Activates early stopping.
Validation metric needs to improve at least once
in every **early_stopping_rounds** round(s) to continue training.
See xgboost.train documentation.
verbose_eval ([Bool, Int]): Level of verbosity. See xgboost.train documentation.
persist_train (Bool): Whether or not to persist training data to use explainability
through prototypes
index_id (pd.Index): User defined index if intended to use explainability
through prototypes
time_bins (np.array): Specified time windows to use when making survival predictions
Returns:
XGBSEDebiasedBCE: Trained XGBSEDebiasedBCE instance
"""
E_train, T_train = convert_y(y)
if time_bins is None:
time_bins = get_time_bins(T_train, E_train)
self.time_bins = time_bins
# converting data to xgb format
dtrain = convert_data_to_xgb_format(X, y, self.xgb_params["objective"])
# converting validation data to xgb format
evals = ()
if validation_data:
X_val, y_val = validation_data
dvalid = convert_data_to_xgb_format(
X_val, y_val, self.xgb_params["objective"]
)
evals = [(dvalid, "validation")]
# training XGB
self.bst = xgb.train(
self.xgb_params,
dtrain,
num_boost_round=num_boost_round,
early_stopping_rounds=early_stopping_rounds,
evals=evals,
verbose_eval=verbose_eval,
)
# predicting and encoding leaves
self.encoder = OneHotEncoder()
leaves = self.bst.predict(dtrain, pred_leaf=True)
leaves_encoded = self.encoder.fit_transform(leaves)
# convert targets for using with logistic regression
self.targets, self.time_bins = _build_multi_task_targets(
E_train, T_train, self.time_bins
)
# fitting LR for several targets
self.lr_estimators_ = self._fit_all_lr(leaves_encoded, self.targets)
if persist_train:
self.persist_train = True
if index_id is None:
index_id = X.index.copy()
index_leaves = self.bst.predict(dtrain, pred_leaf=True)
self.tree = BallTree(index_leaves, metric="hamming")
self.index_id = index_id
return self
def fit(
self,
X,
y,
num_boost_round=1000,
validation_data=None,
early_stopping_rounds=None,
verbose_eval=0,
persist_train=True,
index_id=None,
time_bins=None,
):
"""
Transform feature space by fitting a XGBoost model and outputting its leaf indices.
Build search index in the new space to allow nearest neighbor queries at scoring time.
Args:
X ([pd.DataFrame, np.array]): Design matrix to fit XGBoost model
y (structured array(numpy.bool_, numpy.number)): Binary event indicator as first field,
and time of event or time of censoring as second field.
num_boost_round (Int): Number of boosting iterations.
validation_data (Tuple): Validation data in the format of a list of tuples [(X, y)]
if user desires to use early stopping
early_stopping_rounds (Int): Activates early stopping.
Validation metric needs to improve at least once
in every **early_stopping_rounds** round(s) to continue training.
See xgboost.train documentation.
verbose_eval ([Bool, Int]): Level of verbosity. See xgboost.train documentation.
persist_train (Bool): Whether or not to persist training data to use explainability
through prototypes
index_id (pd.Index): User defined index if intended to use explainability
through prototypes
time_bins (np.array): Specified time windows to use when making survival predictions
Returns:
XGBSEKaplanNeighbors: Fitted instance of XGBSEKaplanNeighbors
"""
self.E_train, self.T_train = convert_y(y)
if time_bins is None:
time_bins = get_time_bins(self.T_train, self.E_train)
self.time_bins = time_bins
# converting data to xgb format
dtrain = convert_data_to_xgb_format(X, y, self.xgb_params["objective"])
# converting validation data to xgb format
evals = ()
if validation_data:
X_val, y_val = validation_data
dvalid = convert_data_to_xgb_format(
X_val, y_val, self.xgb_params["objective"]
)
evals = [(dvalid, "validation")]
# training XGB
self.bst = xgb.train(
self.xgb_params,
dtrain,
num_boost_round=num_boost_round,
early_stopping_rounds=early_stopping_rounds,
evals=evals,
verbose_eval=verbose_eval,
)
self.feature_importances_ = self.bst.get_score()
# creating nearest neighbor index
leaves = self.bst.predict(dtrain, pred_leaf=True)
self.tree = BallTree(leaves, metric="hamming", leaf_size=40)
if persist_train:
self.persist_train = True
if index_id is None:
index_id = X.index.copy()
self.index_id = index_id
return self
def fit(
self,
X,
y,
persist_train=True,
index_id=None,
time_bins=None,
ci_width=0.683,
**xgb_kwargs,
):
"""
Fit a single decision tree using xgboost. For each leaf in the tree,
build a Kaplan-Meier estimator.
!!! Note
* Differently from `XGBSEKaplanNeighbors`, in `XGBSEKaplanTree`, the width of
the confidence interval (`ci_width`) must be specified at fit time.
Args:
X ([pd.DataFrame, np.array]): Design matrix to fit XGBoost model
y (structured array(numpy.bool_, numpy.number)): Binary event indicator as first field,
and time of event or time of censoring as second field.
persist_train (Bool): Whether or not to persist training data to use explainability
through prototypes
index_id (pd.Index): User defined index if intended to use explainability
through prototypes
time_bins (np.array): Specified time windows to use when making survival predictions
ci_width (Float): Width of confidence interval
Returns:
XGBSEKaplanTree: Trained instance of XGBSEKaplanTree
"""
E_train, T_train = convert_y(y)
if time_bins is None:
time_bins = get_time_bins(T_train, E_train)
self.time_bins = time_bins
# converting data to xgb format
dtrain = convert_data_to_xgb_format(X, y, self.xgb_params["objective"])
# training XGB
self.bst = xgb.train(self.xgb_params, dtrain, num_boost_round=1, **xgb_kwargs)
self.feature_importances_ = self.bst.get_score()
# getting leaves
leaves = self.bst.predict(dtrain, pred_leaf=True)
# organizing elements per leaf
leaf_neighs = (
pd.DataFrame({"leaf": leaves})
.groupby("leaf")
.apply(lambda x: list(x.index))
)
# getting T and E for each leaf
T_leaves = _align_leaf_target(leaf_neighs, T_train)
E_leaves = _align_leaf_target(leaf_neighs, E_train)
# calculating z-score from width
z = st.norm.ppf(0.5 + ci_width / 2)
# vectorized (very fast!) implementation of Kaplan Meier curves
(
self._train_survival,
self._train_upper_ci,
self._train_lower_ci,
) = calculate_kaplan_vectorized(T_leaves, E_leaves, time_bins, z)
# adding leaf indexes
self._train_survival = self._train_survival.set_index(leaf_neighs.index)
self._train_upper_ci = self._train_upper_ci.set_index(leaf_neighs.index)
self._train_lower_ci = self._train_lower_ci.set_index(leaf_neighs.index)
if persist_train:
self.persist_train = True
if index_id is None:
index_id = X.index.copy()
self.tree = BallTree(leaves.reshape(-1, 1), metric="hamming", leaf_size=40)
self.index_id = index_id
return self
X_valid,
T_train,
T_test,
T_valid,
E_train,
E_test,
E_valid,
y_train,
y_test,
y_valid,
features,
) = get_data()
# generating Kaplan Meier for all tests
time_bins = get_time_bins(T_train, E_train, 100)
mean, high, low = calculate_kaplan_vectorized(T_train.values.reshape(1, -1),
E_train.values.reshape(1, -1),
time_bins)
km_survival = pd.concat([mean] * len(y_train))
km_survival = km_survival.reset_index(drop=True)
# generating xgbse predictions for all tests
xgbse_model = XGBSEDebiasedBCE()
xgbse_model.fit(
X_train,
y_train,