def train(array, embedDim, interval):
XTrain, yTrain = pp.makeTrainset(array, embedDim, interval, 1)
kfold = cross_validation.KFold(len(XTrain), n_folds=5, shuffle=False)
params = {
'C': uniform(1, 99),
'gamma': uniform(0.01, 0.29),
'kernel': ['rbf', 'poly']
}
bestModels = []
for i in range(len(yTrain[0])):
svr = svm.SVR()
clf = grid_search.RandomizedSearchCV(svr,
param_distributions=params,
n_iter=30,
cv=kfold,
scoring='mean_squared_error',
n_jobs=1,
verbose=0)
clf.fit(XTrain, yTrain[:, i])
bestModels.append(clf.best_estimator_)
for i in range(1, 12):
XTrain, yTrain = pp.makeTrainset(array, embedDim, interval,
i) # 模型的预测天数递增
XPredict = pp.makeXPredict(array, embedDim, interval, i) # 待预测的输入递增
subyPredict = []
for j in range(len(yTrain[0])):
bestModels[j].fit(XTrain, yTrain[:, j])
subyPredict.append(bestModels[j].predict(XPredict))
array = np.hstack(
(array, np.array(copy(subyPredict)))) # 将一个模型的预测值作为已知数据，训练下一个模型
yPredict = array[0, -65:-5] # 一共可以预测66天，取其中对应的数据
return yPredict
def lr_model(all_file, num=200, debug=True):
if debug:
all_data = pd.read_csv(all_file, nrows=500, encoding='gb18030')
else:
all_data = pd.read_csv(all_file, encoding='gb18030')
train_data = all_data[all_data['tag'] == 1]
feature_data = train_data.drop(['Idx', 'ListingInfo', 'target', 'tag'],
axis=1)
feature_data.fillna(-1, inplace=True)
# labels = train_data['target']
feature_importance = pd.read_csv(features_importance_file)
feature_importance_columns = feature_importance['feature'].tolist()
feature_importance_columns = feature_importance_columns[:num]
final_train_data = feature_data[feature_importance_columns]
# final_train_data = feature_data
print final_train_data.shape
labels = train_data['target']
clf = LogisticRegression()
param_grid = {
'C': [0.001, 0.01, 0.1, 1, 10, 100, 1000],
'penalty': ['l2'],
'solver': ['lbfgs', 'liblinear']
}
model = grid_search.RandomizedSearchCV(estimator=clf,
param_distributions=param_grid,
n_jobs=1,
cv=2,
verbose=0,
n_iter=5,
scoring=AUC)
model.fit(final_train_data, labels)
report(model.grid_scores_)
def train(array, embedDim, interval):
XTrain, yTrain = pp.makeTrainset(array, embedDim, interval, 1)
kfold = cross_validation.KFold(len(XTrain), n_folds=4, shuffle=False)
params = {
"n_estimators": randint(5, 100),
"max_depth": [1, 2, 3, 5, 8, 10, None],
"max_features": randint(1, len(XTrain[0])),
"min_samples_split": randint(1, 3),
"min_samples_leaf": randint(1, 3)
}
bestModels = []
for i in range(len(yTrain[0])):
erf = ExtraTreesRegressor()
clf = grid_search.RandomizedSearchCV(erf,
param_distributions=params,
n_iter=10,
scoring='mean_squared_error',
cv=kfold,
n_jobs=-1)
clf.fit(XTrain, yTrain[:, i])
bestModels.append(clf.best_estimator_)
for i in range(60):
XTrain, yTrain = pp.makeTrainset(array, embedDim, interval,
1) # 模型的嵌入维度递增
XPredict = pp.makeXPredict(array, embedDim, interval, 1) # 待预测的嵌入维度递增
subyPredict = []
for j in range(len(yTrain[0])):
bestModels[j].fit(XTrain, yTrain[:, j])
subyPredict.append(bestModels[j].predict(XPredict))
array = np.hstack(
(array, np.array(copy(subyPredict)))) # 将一个模型的预测值作为已知数据，训练下一个模型
embedDim += 1
yPredict = array[0, -60:] # 一共可以预测60天，取其中对应的数据
return yPredict
def train(array, embedDim, interval):
distance = 7
for i in range(9):
XTrain, yTrain = pp.makeTrainset(array, embedDim, interval,
distance) # 模型的预测天数
XPredict = pp.makeXPredict(array, embedDim, interval, distance)
params = {
'C': uniform(1, 99),
'gamma': uniform(0.01, 0.29),
'kernel': ['rbf', 'poly']
}
kfold = cross_validation.KFold(len(XTrain), n_folds=5, shuffle=False)
subyPredict = []
for j in range(len(yTrain[0])):
svr = svm.SVR()
clf = grid_search.RandomizedSearchCV(svr,
param_distributions=params,
n_iter=10,
cv=kfold,
scoring='mean_squared_error',
n_jobs=1,
verbose=0)
clf.fit(XTrain, yTrain[:, j])
subyPredict.append(clf.predict(XPredict))
array = np.hstack(
(array, np.array(copy(subyPredict)))) # 将一个模型的预测值作为已知数据，训练下一个模型
embedDim += distance
yPredict = array[0, -62:-2] # 一共可以预测63天，取其中对应的数据
return yPredict
def test_grid_search(self):
def scorer(network, X, y):
result = network.predict(X)
return rmsle(result[:, 0], y)
dataset = datasets.load_diabetes()
x_train, x_test, y_train, y_test = train_test_split(dataset.data,
dataset.target,
train_size=0.7)
grnnet = algorithms.GRNN(std=0.5, verbose=False)
grnnet.train(x_train, y_train)
error = scorer(grnnet, x_test, y_test)
self.assertAlmostEqual(0.513, error, places=3)
random_search = grid_search.RandomizedSearchCV(
grnnet,
param_distributions={'std': np.arange(1e-2, 0.1, 1e-4)},
n_iter=10,
scoring=scorer)
random_search.fit(dataset.data, dataset.target)
scores = random_search.grid_scores_
best_score = min(scores, key=itemgetter(1))
self.assertAlmostEqual(0.4303, best_score[1], places=3)
def train(XTrain, yTrain, XPredict):
XTrain = np.array(XTrain, dtype=float)
yTrain = np.array(yTrain, dtype=float)
params = {
'n_estimators': randint(50, 150),
'max_depth': randint(1, 4),
'learning_rate': uniform(0.01, 0.19),
'min_child_weight': [1],
'max_delta_step': randint(0, 50),
'subsample': uniform(0.5, 0.5),
'colsample_bytree': uniform(0.5, 0.5),
'colsample_bylevel': uniform(0.5, 0.5),
'scale_pos_weight': [0],
'gamma': uniform(1, 6)
}
kfold = cross_validation.KFold(len(XTrain), n_folds=4, shuffle=False)
xgbr = xgb.XGBRegressor()
clf = grid_search.RandomizedSearchCV(xgbr,
param_distributions=params,
n_iter=5,
n_jobs=1,
scoring='mean_squared_error',
cv=kfold,
verbose=0)
yPredict = []
for i in range(yTrain.shape[1]):
clf.fit(XTrain, yTrain[:, i]) # 训练distance个模型
yPredict.extend(clf.predict(XPredict))
return np.array(yPredict)
def train(XTrain, yTrain, XPredict):
params = {
'n_estimators': randint(20, 200),
'max_depth': randint(1, 4),
'learning_rate': uniform(0.01, 0.19),
'min_child_weight': [1],
'max_delta_step': randint(0, 50),
'subsample': uniform(0.5, 0.5),
'colsample_bytree': uniform(0.5, 0.5),
'colsample_bylevel': uniform(0.5, 0.5),
'scale_pos_weight': [0],
'gamma': uniform(1, 10)
}
kfold = cross_validation.KFold(len(XTrain), n_folds=5, shuffle=False)
xgbr = xgb.XGBRegressor()
clf = grid_search.RandomizedSearchCV(xgbr,
param_distributions=params,
n_iter=50,
n_jobs=1,
scoring='mean_absolute_error',
cv=kfold,
verbose=0)
clf.fit(XTrain, yTrain) # 一次性训练模型
# print clf.best_score_, clf.best_estimator_
yPredict = clf.predict(XPredict)
return yPredict
def train(array, embedDim, interval):
distance = 7
XTrain, yTrain = pp.makeTrainset(array, embedDim, interval, distance)
kfold = cross_validation.KFold(len(XTrain), n_folds=5, shuffle=False)
params = {'n_estimators': randint(20, 200),
'loss': ['ls', 'lad', 'huber'],
'learning_rate': uniform(0.01, 0.19),
'subsample': uniform(0.5, 0.5),
'max_depth': randint(1, 5),
'min_samples_split': randint(1, 3),
'min_samples_leaf': randint(1, 3),
'max_features': randint(1, len(XTrain[0]))}
bestModels = []
for i in range(len(yTrain[0])):
gbrt = GradientBoostingRegressor()
clf = grid_search.RandomizedSearchCV(gbrt, param_distributions=params, n_iter=30,
scoring='mean_squared_error', cv=kfold, n_jobs=-1)
clf.fit(XTrain, yTrain[:, i])
bestModels.append(clf.best_estimator_)
for i in range(9):
XTrain, yTrain = pp.makeTrainset(array, embedDim, interval, distance) # 模型的嵌入维度递增
XPredict = pp.makeXPredict(array, embedDim, interval, distance) # 待预测的嵌入维度递增
subyPredict = []
for j in range(len(yTrain[0])):
bestModels[j].fit(XTrain, yTrain[:, j])
subyPredict.append(bestModels[j].predict(XPredict))
array = np.hstack((array, np.array(copy(subyPredict)))) # 将一个模型的预测值作为已知数据，训练下一个模型
embedDim += distance
yPredict = array[0, -62:-2] # 一共可以预测63天，取其中对应的数据
return yPredict
def train(XTrain, yTrain, XPredict):
XTrain = np.array(XTrain, dtype=float)
yTrain = np.array(yTrain, dtype=float)
params = {
'n_estimators': randint(50, 150),
'loss': ['ls', 'lad', 'huber'],
'learning_rate': uniform(0.01, 0.19),
'subsample': uniform(0.5, 0.5),
'max_depth': randint(1, 4),
'min_samples_split': randint(1, 4),
'min_samples_leaf': randint(1, 4),
'max_features': randint(1, len(XTrain[0]))
}
gbrt = GradientBoostingRegressor()
kfold = cross_validation.KFold(len(XTrain), n_folds=4, shuffle=False)
clf = grid_search.RandomizedSearchCV(gbrt,
param_distributions=params,
n_iter=5,
scoring='mean_squared_error',
cv=kfold,
n_jobs=-1)
yPredict = []
for i in range(yTrain.shape[1]):
clf.fit(XTrain, yTrain[:, i]) # 训练distance个模型
yPredict.extend(clf.predict(XPredict))
return np.array(yPredict)
def train(XTrain, yTrain, testsize):
XTrain = np.array(XTrain, dtype=float)
yTrain = np.array(yTrain, dtype=float)
params = {'C': uniform(1, 99),
'gamma': uniform(0.01, 0.29),
'kernel': ['rbf', 'poly']}
kfold = cross_validation.KFold(len(XTrain), n_folds=4, shuffle=False)
models = []
for i in range(len(yTrain[0])):
svr = svm.SVR()
clf = grid_search.RandomizedSearchCV(svr, param_distributions=params, n_iter=30, cv=kfold,
scoring='mean_squared_error', n_jobs=-1,verbose=1)
clf.fit(transArray(XTrain), yTrain[:, i])
models.append(clf.best_estimator_)
yPredict = []
XPredict = copy(XTrain[-1])
for i in range(testsize):
XPredict = np.delete(XPredict, 0, axis=0)
XPredict = np.insert(XPredict, len(XPredict), yTrain[-1], axis=0)
subyPredict = np.array([])
for j in range(len(models)):
models[j].fit(transArray(XTrain), yTrain[:, j]) # 重复训练模型
newPredict = models[j].predict([transRow(XPredict)])
subyPredict = np.hstack((subyPredict, newPredict))
XTrain = np.delete(XTrain, 0, axis=0)
XTrain = np.insert(XTrain, len(XTrain), copy(XPredict), axis=0)
yTrain = np.delete(yTrain, 0, axis=0)
yTrain = np.insert(yTrain, len(yTrain), copy(subyPredict), axis=0)
yPredict.append(copy(subyPredict[0]))
return np.array(yPredict)
def randomized_grid_search_linear(datamat, classvect, C=4.6, n=20, n_jobs=1):
"""Retun best parameters from randomized grid search"""
clf = svm.LinearSVC(class_weight='auto')
param_dist = {'C': scipy.stats.expon(scale=C)}
# run randomized search
random_search = grid_search.RandomizedSearchCV(
clf, param_distributions=param_dist, n_iter=n, n_jobs=n_jobs)
random_search.fit(datamat, classvect)
return random_search
def fit(train, target):
# set up pipeline
est = pipeline.Pipeline([
('xgb', xgb.XGBRegressor(silent=True)),
])
# create param grid for grid search
params = {
'xgb__learning_rate': [
0.05,
0.1,
0.3,
],
'xgb__min_child_weight': [
1,
2,
],
'xgb__subsample': [
1,
],
'xgb__colsample_bytree': [
1,
],
'xgb__max_depth': [
15,
20,
],
'xgb__n_estimators': [
1000,
],
}
# set up scoring mechanism
gini_scorer = metrics.make_scorer(normalized_gini, greater_is_better=True)
# initialize gridsearch
gridsearch = grid_search.RandomizedSearchCV(
estimator=est,
param_distributions=params,
scoring=gini_scorer,
verbose=10,
n_jobs=-1,
cv=5,
n_iter=3,
)
# fit gridsearch
gridsearch.fit(train, target)
print('Best score: %.3f' % gridsearch.best_score_)
print('Best params:')
for k, v in sorted(gridsearch.best_params_.items()):
print("\t%s: %r" % (k, v))
# get best estimator
return gridsearch.best_estimator_
def train(XTrain, yTrain, XPredict):
params = {'n_estimators': randint(1, 100)}
kfold = cross_validation.KFold(len(XTrain), n_folds=3)
svr = svm.SVR(kernel='rbf', C=50, gamma=0.1)
baggingsvr = ensemble.BaggingRegressor(svr)
clf = grid_search.RandomizedSearchCV(baggingsvr, param_distributions=params, n_iter=10,
scoring='mean_squared_error', cv=kfold, n_jobs=-1)
clf.fit(XTrain, yTrain) # 一次性训练模型
# print clf.best_score_, clf.best_estimator_
yPredict = clf.predict(XPredict)
return yPredict, clf.best_params_
def fitAlgo(clf, Xtrain, Ytrain, opt = False, param_dict = None, opt_metric = 'roc_auc', n_iter = 5, n_optFolds = 3):
'''Return the fitted classifier
Keyword arguments:
clf - - base classifier
Xtrain - - training feature matrix
Ytrain - - training target array
param_dict - - the parameter distribution of param, grids space, if opt == False, every element should have length 1
opt_metric - - optimization metric
opt - - whether to do optimization or not
'''
if opt & (param_dict != None):
assert(map(lambda x: isinstance(param_dict[x],list), param_dict))
prod_feature_05 =np.prod([math.pow(len(v),0.5) for x, v in param_dict.iteritems()])
prod_feature =np.prod([len(v) for x, v in param_dict.iteritems()])
N_iter = int(np.ceil(prod_feature_05* n_iter / 5 * 1.5))
N_iter = N_iter if N_iter < prod_feature else prod_feature
print("Using N_iter = " + str(N_iter))
if n_iter != 0:
rs = gd.RandomizedSearchCV(estimator = clf, n_iter = N_iter,
param_distributions = param_dict,
scoring = opt_metric,
refit = True,
n_jobs=-1, cv = n_optFolds, verbose = 1)
else:
rs = gd.GridSearchCV(estimator = clf,
param_grid = param_dict,
scoring = opt_metric,
refit = True,
n_jobs=-1, cv = n_optFolds, verbose = 1)
print("Simulation with num_features=", num_features)
print("max_features=")
print(param_dict)
rs.fit(Xtrain, Ytrain)
print("\n### Optimal parameters: ###")
pprint(rs.best_params_)
print("####################### \n")
imp = []
if clf.__class__.__name__ == "RandomForestClassifier":
imp = rs.best_estimator_.feature_importances_
return rs.best_estimator_, rs.grid_scores_, imp
else:
if param_dict != None:
assert(map(lambda x: not isinstance(param_dict[x], list), param_dict))
for k in param_dict.keys():
# print k
# print opt
# print param_dict
clf.set_params(k = param_dict[k])
clf.fit(Xtrain, Ytrain)
return clf, [], []
def test_example_randomized_search(self):
# The classic example from the sklearn documentation
iris = datasets.load_iris()
parameters = {'kernel': ('linear', 'rbf'), 'C': range(1, 10)}
svr = svm.SVC()
clf = grid_search.RandomizedSearchCV(svr, parameters, random_state=4)
clf.fit(iris.data, iris.target)
clf2 = RandomizedSearchCV(self.sc, svr, parameters, random_state=4)
clf2.fit(iris.data, iris.target)
b1 = clf.estimator
b2 = clf2.estimator
self.assertEqual(b1.get_params(), b2.get_params())
def randomized_grid_search_rbf(datamat,
classvect,
C=4.6,
gamma=0.01,
n=20,
n_jobs=1):
"""Retun best parameters from randomized grid search"""
clf = svm.SVC(kernel='rbf', cache_size=4000, class_weight='auto')
param_dist = {
'C': scipy.stats.expon(scale=C),
'gamma': scipy.stats.expon(scale=gamma)
}
# run randomized search
random_search = grid_search.RandomizedSearchCV(
clf, param_distributions=param_dist, n_iter=n, n_jobs=n_jobs)
random_search.fit(datamat, classvect)
return random_search
def train(XTrain, yTrain, testsize):
XTrain = np.array(XTrain, dtype=float)
yTrain = np.array(yTrain, dtype=float)
params = {
'n_estimators': randint(50, 150),
'max_depth': randint(1, 4),
'learning_rate': uniform(0.01, 0.19),
'min_child_weight': [1],
'max_delta_step': randint(0, 50),
'subsample': uniform(0.5, 0.5),
'colsample_bytree': uniform(0.5, 0.5),
'colsample_bylevel': uniform(0.5, 0.5),
'scale_pos_weight': [0],
'gamma': uniform(1, 6)
}
kfold = cross_validation.KFold(len(XTrain), n_folds=4, shuffle=False)
models = []
for i in range(len(yTrain[0])):
xgbr = xgb.XGBRegressor()
clf = grid_search.RandomizedSearchCV(xgbr,
param_distributions=params,
n_iter=10,
n_jobs=1,
scoring='mean_squared_error',
cv=kfold,
verbose=0)
clf.fit(transArray(XTrain), yTrain[:, i])
models.append(clf.best_estimator_)
yPredict = []
XPredict = copy(XTrain[-1])
for i in range(testsize):
XPredict = np.delete(XPredict, 0, axis=0)
XPredict = np.insert(XPredict, len(XPredict), yTrain[-1], axis=0)
subyPredict = np.array([])
XTrainTrans = transArray(XTrain)
XPredictTrans = transRow(XPredict)
for j in range(len(models)):
models[j].fit(XTrainTrans, yTrain[:, j]) # 重复训练模型
newPredict = models[j].predict([XPredictTrans])
subyPredict = np.hstack((subyPredict, newPredict))
XTrain = np.delete(XTrain, 0, axis=0)
XTrain = np.insert(XTrain, len(XTrain), copy(XPredict), axis=0)
yTrain = np.delete(yTrain, 0, axis=0)
yTrain = np.insert(yTrain, len(yTrain), copy(subyPredict), axis=0)
yPredict.append(copy(subyPredict[0]))
return np.array(yPredict)
def classifier_comparison(X, y):
"""
分类器比较
Args:
X: training samples, size=[n_samples, n_features]
y: class labels, size=[n_samples, 1]
Returns:
None
"""
from sklearn import grid_search
from sklearn.svm import SVC
from sklearn.tree import DecisionTreeClassifier
from sklearn.ensemble import RandomForestClassifier, AdaBoostClassifier
from sklearn.naive_bayes import GaussianNB
from sklearn.lda import LDA
from sklearn.qda import QDA
import scipy
# Exhaustive Grid Search
exhaustive_parameters = {'kernel':['rbf'], 'C':[1, 10, 100, 1000], 'gamma':[1e-3, 1e-4]}
clf_SVC_exhaustive = grid_search.GridSearchCV(SVC(), exhaustive_parameters)
# Randomized Parameter Optimization
randomized_parameter = {'kernel':['rbf'], 'C': scipy.stats.expon(scale=100), 'gamma': scipy.stats.expon(scale=.1)}
clf_SVC_randomized = grid_search.RandomizedSearchCV(SVC(), randomized_parameter)
names = ["Linear SVM", "RBF SVM",
"RBF SVM with Grid Search", "RBF SVM with Random Grid Search",
"Decision Tree", "Random Forest",
"AdaBoost", "Naive Bayes", "LDA", "QDA"]
classifiers = [
SVC(kernel="linear", C=0.025),
SVC(gamma=2, C=1),
clf_SVC_exhaustive,
clf_SVC_randomized,
DecisionTreeClassifier(max_depth=5),
RandomForestClassifier(max_depth=5, n_estimators=10, max_features=1),
AdaBoostClassifier(),
GaussianNB(),
LDA(),
QDA()]
for name, clf in zip(names, classifiers):
logger.info('Use %s:' % (name))
train_classifier(clf, X, y)
def train(XTrain, yTrain, XPredict):
params = {
'C': uniform(1, 999),
'gamma': uniform(0.01, 0.29),
'kernel': ['rbf', 'poly']
}
kfold = cross_validation.KFold(len(XTrain), n_folds=3, shuffle=False)
svr = svm.SVR()
clf = grid_search.RandomizedSearchCV(svr,
param_distributions=params,
n_iter=20,
cv=kfold,
scoring='mean_squared_error',
n_jobs=-1)
clf.fit(XTrain, yTrain) # 一次性训练模型
# print clf.best_score_, clf.best_estimator_
yPredict = clf.predict(XPredict)
return yPredict, clf.best_params_
def find_best_estimator(base_estimator,
X,
y,
cfg,
section,
grid_search_params_key,
random_search=True,
scoring="accuracy",
verbosity=3):
# grid_search_params_key : key under the indicated section of the
# configuration YML file containing the grid search parameters
cv_nfold = cfg[section]["cv_nfold"]
name = type(base_estimator).__name__
n_iter = cfg[section]["n_iters"]
n_jobs = cfg[section]["n_jobs"]
param_dist = cfg[section][grid_search_params_key]
random_state = cfg["common"]["seed"]
logger.info("Finding the best %s based on %s score" % (name, scoring))
if random_search == cfg[section]["use_random_search"]:
logger.info("Using random search to find the best %s" % name)
search = grid_search.RandomizedSearchCV(estimator=base_estimator,
param_distributions=param_dist,
n_iter=n_iter,
n_jobs=n_jobs,
cv=cv_nfold,
random_state=random_state,
scoring=scoring,
verbose=verbosity)
else:
logger.info("Using grid search to find the best %s" % name)
search = grid_search.GridSearchCV(estimator=base_estimator,
param_grid=param_dist,
n_jobs=n_jobs,
cv=cv_nfold,
scoring=scoring,
verbose=verbosity)
logger.info(search)
start = time.time()
search.fit(X, y)
logger.info("Took %.2f seconds to find the best %s." %
((time.time() - start), name))
report_grid_search_scores(search.grid_scores_, n_top=3)
return search.best_estimator_
def grid_search(self, col2fit, **kwargs):
"""Using grid search to find the best parameters."""
n_jobs = kwargs.get('n_jobs', 1)
# use a full grid over all parameters
parameters = {
"max_depth": sp_randint(1, 30),
"max_features": [1.0, 0.8, 0.6, 0.4, 0.2, 0.1],
"min_samples_leaf": sp_randint(1, 25),
"learning_rate": [0.01, 0.02, 0.05, 0.1]
}
if not self.iscleaned:
print 'Preparing the data...'
self.prepare_data(self.df_full, True, col2fit)
else:
print 'data frame is already cleaned...'
train_values = self.df_full[col2fit].values
target_values = self.df_full['Expected'].values
pre_dispatch = '2*n_jobs'
# Fit the grid
print 'fitting the grid with njobs = {}...'.format(n_jobs)
start = time()
estimator = GradientBoostingRegressor(n_estimators=200)
rf_grid = grid_search.RandomizedSearchCV(estimator,
parameters,
n_jobs=n_jobs,
verbose=2,
pre_dispatch=pre_dispatch,
scoring=kaggle_score,
error_score=0,
n_iter=25)
rf_grid.fit(train_values, target_values)
print('Grid search finished')
print(
"\n\nGridSearchCV took %.2f seconds for %d candidate parameter settings."
% (time() - start, len(rf_grid.grid_scores_)))
self.grid_report(rf_grid.grid_scores_, 15)
print('\n\nBest score = {}'.format(rf_grid.best_score_))
print('Best params = {}\n\n'.format(rf_grid.best_params_))
def do_gs(clf, X, y, params, n_samples=1000, n_iter=3,
n_jobs=-2, scoring=None, fit_params=None,
random_iterations=None):
start('starting grid search')
if type(n_samples) is float: n_samples = int(n_samples)
reseed(clf)
cv = cross_validation.ShuffleSplit(n_samples, n_iter=n_iter, random_state=cfg['sys_seed'])
if random_iterations is None:
gs = grid_search.GridSearchCV(clf, params, cv=cv,
n_jobs=n_jobs, verbose=2, scoring=scoring or cfg['scoring'], fit_params=fit_params)
else:
gs = grid_search.RandomizedSearchCV(clf, params, random_iterations, cv=cv,
n_jobs=n_jobs, verbose=2, scoring=scoring or cfg['scoring'],
fit_params=fit_params, refit=False)
X2, y2 = utils.shuffle(X, y, random_state=cfg['sys_seed'])
gs.fit(X2[:n_samples], y2[:n_samples])
stop('done grid search')
dbg(gs.best_params_, gs.best_score_)
return gs
def generate_model(data, classes, args):
# Define the parameters
tuned_parameters = {'C': C_RANGE,
'class_weight': CLASS_WEIGHTS}
# Define the classifier
if args.kernel == 'rbf':
clf = svm.SVC(cache_size=CACHE_SIZE)
tuned_parameters['gamma'] = GAMMA_RANGE
else:
clf = svm.LinearSVC(dual=False)
print_verbose("Classifier: %s" % str(clf), 5)
print_verbose("Parameters: %s" % str(tuned_parameters), 5)
# Generate the K-fold development
skf = cross_validation.StratifiedKFold(classes, n_folds=K_FOLD, shuffle=True)
print_verbose("KFold: %s" % str(skf), 5)
# Generate the grid search
if args.search == 'grid':
gscv = grid_search.GridSearchCV(clf, tuned_parameters, cv=skf, scoring='f1',
n_jobs=1, verbose=get_verbose_level())
else:
gscv = grid_search.RandomizedSearchCV(clf, tuned_parameters, cv=skf, scoring='f1',
n_jobs=1, verbose=get_verbose_level(), n_iter=args.iter)
# Search
print_verbose("GridSearch: %s" % str(gscv), 5)
gscv.fit(data, classes)
# Print scores
print_verbose("GridSearch scores:", 5)
for params, mean_score, scores in gscv.grid_scores_:
print_verbose("%0.6f (+/-%0.06f) for %r"
% (mean_score, scores.std() / 2, params), 5)
# Print best score
print_verbose("GridSearch best score:", 0)
print_verbose("%0.6f for %r" % (gscv.best_score_, gscv.best_params_), 0)
return gscv
def train(XTrain, yTrain, XPredict):
params = {
"n_estimators": randint(5, 100),
"max_depth": [1, 2, 3, 5, 8, 10, None],
"max_features": randint(1, len(XTrain[0])),
"min_samples_split": randint(1, 3),
"min_samples_leaf": randint(1, 3)
}
erf = ExtraTreesRegressor()
kfold = cross_validation.KFold(len(XTrain), n_folds=5, shuffle=False)
clf = grid_search.RandomizedSearchCV(erf,
param_distributions=params,
n_iter=50,
scoring='mean_absolute_error',
cv=kfold,
n_jobs=-1)
clf.fit(XTrain, yTrain)
# print clf.best_score_, clf.best_estimator_
yPredict = clf.predict(XPredict)
return yPredict
def train(XTrain, yTrain, XPredict):
XTrain = np.array(XTrain, dtype=float)
yTrain = np.array(yTrain, dtype=float)
params = {
'C': uniform(1, 999),
'gamma': uniform(0.01, 0.29),
'kernel': ['rbf', 'poly']
}
kfold = cross_validation.KFold(len(XTrain), n_folds=4, shuffle=False)
svr = svm.SVR()
clf = grid_search.RandomizedSearchCV(svr,
param_distributions=params,
n_iter=20,
cv=kfold,
scoring='mean_squared_error',
n_jobs=-1)
yPredict = []
for i in range(yTrain.shape[1]):
clf.fit(XTrain, yTrain[:, i]) # 训练distance个模型
yPredict.extend(clf.predict(XPredict))
return np.array(yPredict)
def GRNN(data_model):
x_train, x_test, y_train, y_test = create_dataset(data_model['2017'])
grnnet = algorithms.GRNN(std=0.5, verbose=True)
grnnet.train(x_train, y_train)
error = scorer(grnnet, x_test, y_test)
print("GRNN RMSLE = {:.3f}\n".format(error))
part_to_predict = data_model['2018'].copy()
df_test = part_to_predict.copy()
index_predict = df_test.index
df_test.reset_index(inplace=True)
df_test.drop(["Date"], axis=1, inplace=True)
# fix random seed for reproducibility
pd.np.random.seed(7)
X = df_test.drop([pr.PowerPV], axis=1)
y = df_test.drop([x for x in df_test.columns if x not in [pr.PowerPV]],
axis=1)
pred = grnnet.predict(X)
prediction_to_plot = pd.DataFrame(index=index_predict,
data={
'observed':
pd.np.array(y[pr.PowerPV]),
'predicted':
pred.reshape(pred.shape[0], )
})
pr.plot_data(prediction_to_plot['2018-04-01':'2018-04-05'],
prediction_to_plot.columns, 1)
print("Run Random Search CV")
grnnet.verbose = False
random_search = grid_search.RandomizedSearchCV(
grnnet,
param_distributions={'std': np.arange(1e-2, 1, 1e-4)},
n_iter=400,
scoring=scorer,
)
random_search.fit(
data_model[[x for x in df_test.columns if x not in [pr.PowerPV]]],
data_model[pr.PowerPV])
report(random_search.grid_scores_)
def train(XTrain, yTrain, XPredict):
XTrain = np.array(XTrain, dtype=float)
yTrain = np.array(yTrain, dtype=float)
params = {
"n_estimators": randint(50, 150),
"max_depth": [1, 3, 5, None],
"max_features": randint(1, len(XTrain[0])),
"min_samples_split": randint(1, 4),
"min_samples_leaf": randint(1, 4)
}
erf = ExtraTreesRegressor()
kfold = cross_validation.KFold(len(XTrain), n_folds=4, shuffle=False)
clf = grid_search.RandomizedSearchCV(erf,
param_distributions=params,
n_iter=5,
scoring='mean_squared_error',
cv=kfold,
n_jobs=-1)
yPredict = []
for i in range(yTrain.shape[1]):
clf.fit(XTrain, yTrain[:, i]) # 训练distance个模型
yPredict.extend(clf.predict(XPredict))
return np.array(yPredict)
def train(XTrain, yTrain, XPredict):
params = {
'n_estimators': randint(20, 200),
'loss': ['ls', 'lad', 'huber'],
'learning_rate': uniform(0.01, 0.19),
'subsample': uniform(0.5, 0.5),
'max_depth': randint(1, 5),
'min_samples_split': randint(1, 3),
'min_samples_leaf': randint(1, 3),
'max_features': randint(1, len(XTrain[0]))
}
gbrt = GradientBoostingRegressor()
kfold = cross_validation.KFold(len(XTrain), n_folds=5, shuffle=False)
clf = grid_search.RandomizedSearchCV(gbrt,
param_distributions=params,
n_iter=50,
scoring='mean_absolute_error',
cv=kfold,
n_jobs=-1)
clf.fit(XTrain, yTrain)
# print clf.best_score_, clf.best_estimator_
yPredict = clf.predict(XPredict)
return yPredict
def random_parameter_search(variants,
n_iter=10,
classifier_name='RandomForest',
folds_name='kfold',
folds_params=None,
label_name=None):
# Get X, y and classifier
X, y = _get_X_y(variants)
estimator = _get_estimator(classifier_name)
# Get labels if given
labels = variants[label_name] if label_name else None
# Get folds
logging.info('Generating %s folds, params: %s', folds_name,
str(folds_params))
folds = _get_folds(folds_name, y, folds_params, labels)
# User Mathews Correlation Coefficient scorer
mcc_scorer = metrics.make_scorer(metrics.matthews_corrcoef)
# Get parameters distribution for estimator
param_distributions = {
'classifier__' + k: v
for k, v in CLASSIFIERS[classifier_name]
['param_distributions'].items()
}
search = grid_search.RandomizedSearchCV(estimator,
param_distributions,
cv=folds,
n_iter=n_iter,
scoring=mcc_scorer,
verbose=1)
search.fit(X, y)
return search
def benchmark():
from solaris.run import load_data
from sklearn import grid_search
from sklearn import metrics
def rmse(y_true, pred):
return np.sqrt(metrics.mean_squared_error(y_true, pred))
data = load_data()
X = data['X_train']
y = data['y_train']
x = Interpolate._grid_data()
fx = 0
day = 180
y = X.nm[day, fx].mean(axis=0)[3]
#nugget = X.nm[day, fx].std(axis=0)[3]
mask = np.ones_like(y, dtype=np.bool)
rs = np.random.RandomState(5)
test_idx = np.c_[rs.randint(2, 7, 20),
rs.randint(3, 13, 20)]
print test_idx.shape
mask[test_idx[:, 0], test_idx[:, 1]] = False
mask = mask.ravel()
y = y.ravel()
print '_' * 80
est = GaussianProcess(corr='squared_exponential', theta0=(10, 10, 10))
est.fit(x[mask], y[mask])
pred = est.predict(x[~mask])
print 'MAE: %.2f' % metrics.mean_absolute_error(y[~mask], pred)
print '_' * 80
sys.exit(0)
#import IPython
#IPython.embed()
class KFold(object):
n_folds = 1
def __iter__(self):
yield mask, ~mask
def __len__(self):
return 1
est = Ridge()
params = {'normalize': [True, False],
'alpha': 10.0 ** np.arange(-7, 1, 1)}
gs = grid_search.GridSearchCV(est, params, cv=KFold(),
scoring='mean_squared_error').fit(x, y)
print gs.grid_scores_
print gs.best_score_
est = GaussianProcess()
params = {'corr': ['squared_exponential'],
'theta0': MultivariateNormal(),
}
## params = {'corr': ['squared_exponential'],
## #'regr': ['constant', 'linear', 'quadratic'],
## 'theta0': np.arange(4, 11),
## }
# gs = grid_search.GridSearchCV(est, params, cv=KFold(),
# loss_func=rmse).fit(x, y)
gs = grid_search.RandomizedSearchCV(est, params, cv=KFold(),
scoring='mean_squared_error',
n_iter=100).fit(x, y)
print gs.grid_scores_
print gs.best_params_
print gs.best_score_
