def estimate_student_t_lower_bound(x: np.ndarray, delta: float = 0.05) -> float:
"""Estimate a high probability lower bound of mean of random variables based on Student t distribution.
Parameters
----------
x: array-like, shape (n, )
Size n of independent real-valued bounded random variables of interest.
delta: float, default=0.05
A confidence delta to construct a high probability lower bound.
Returns
----------
lower_bound_estimate: float
A high probability lower bound of mean of random variables `x` estimated based on Student t distribution.
See Section 2.4 of Thomas et al.(2015) for details.
References
----------
Philip S. Thomas, Georgios Theocharous, and Mohammad Ghavamzadeh.
"High Confidence Off-Policy Improvement.", 2015.
"""
check_scalar(delta, "delta", (int, float), min_val=0.0, max_val=1.0)
n = x.shape[0]
ci = sqrt(var(x) / (n - 1))
ci *= stats.t(n - 1).ppf(1.0 - delta)
lower_bound_estimate = x.mean() - ci
return lower_bound_estimate
def check_confidence_interval_arguments(
alpha: float = 0.05,
n_bootstrap_samples: int = 10000,
random_state: Optional[int] = None,
) -> Optional[ValueError]:
"""Check confidence interval arguments.
Parameters
----------
alpha: float, default=0.05
Significance level.
n_bootstrap_samples: int, default=10000
Number of resampling performed in bootstrap sampling.
random_state: int, default=None
Controls the random seed in bootstrap sampling.
Returns
----------
estimated_confidence_interval: Dict[str, float]
Dictionary storing the estimated mean and upper-lower confidence bounds.
"""
check_random_state(random_state)
check_scalar(alpha, "alpha", float, min_val=0.0, max_val=1.0)
check_scalar(n_bootstrap_samples, "n_bootstrap_samples", int, min_val=1)
def __post_init__(self) -> None:
"""Initialize Class."""
check_scalar(self.dim_context,
name="dim_context",
target_type=int,
min_val=1)
check_scalar(self.action_noise,
name="action_noise",
target_type=(int, float),
min_val=0)
check_scalar(self.reward_noise,
name="reward_noise",
target_type=(int, float),
min_val=0)
check_scalar(self.min_action_value,
name="min_action_value",
target_type=(int, float))
check_scalar(self.max_action_value,
name="max_action_value",
target_type=(int, float))
if self.max_action_value <= self.min_action_value:
raise ValueError(
"`max_action_value` must be larger than `min_action_value`")
if self.random_state is None:
raise ValueError("random_state must be given")
self.random_ = check_random_state(self.random_state)
def __post_init__(self) -> None:
if self.kernel not in ["gaussian", "epanechnikov", "triangular", "cosine"]:
raise ValueError(
f"kernel must be one of 'gaussian', 'epanechnikov', 'triangular', or 'cosine' but {self.kernel} is given"
)
check_scalar(
self.bandwidth, name="bandwidth", target_type=(int, float), min_val=0
)
def __post_init__(self) -> None:
"""Initialize class."""
check_scalar(self.n_actions, "n_actions", int, min_val=2)
check_scalar(self.len_list,
"len_list",
int,
min_val=1,
max_val=self.n_actions)
def _check_drop_na_thres(self, drop_na_thres):
"""Check drop na threshold."""
self.drop_na_thres_ = drop_na_thres if drop_na_thres is not None else 0.0
check_scalar(self.drop_na_thres_,
'drop_na_thres',
float,
min_val=0.0,
max_val=1.0)
return self
def estimate_high_probability_upper_bound_bias(
reward: np.ndarray,
iw: np.ndarray,
iw_hat: np.ndarray,
q_hat: Optional[np.ndarray] = None,
delta: float = 0.05,
) -> float:
"""Helper to estimate a high probability upper bound of bias in OPE.
Parameters
----------
reward: array-like, shape (n_rounds,)
Rewards observed for each data in logged bandit data, i.e., :math:`r_t`.
iw: array-like, shape (n_rounds,)
Importance weight for each data in logged bandit data, i.e., :math:`w(x,a)=\\pi_e(a|x)/ \\pi_b(a|x)`.
iw_hat: array-like, shape (n_rounds,)
Importance weight (IW) modified by a hyparpareter. How IW is modified depends on the estimator as follows.
- clipping: :math:`\\hat{w}(x,a) := \\min \\{ \\lambda, w(x,a) \\}`
- switching: :math:`\\hat{w}(x,a) := w(x,a) \\cdot \\mathbb{I} \\{ w(x,a) < \\lambda \\}`
- shrinkage: :math:`\\hat{w}(x,a) := (\\lambda w(x,a)) / (\\lambda + w^2(x,a))`
where :math:`\\lambda` and :math:`\\lambda` are hyperparameters.
q_hat: array-like, shape (n_rounds,), default=None
Estimated expected reward given context :math:`x_i` and action :math:`a_i`.
delta: float, default=0.05
A confidence delta to construct a high probability upper bound based on Bernstein inequality.
Returns
----------
bias_upper_bound: float
Estimated (high probability) upper bound of the bias.
This upper bound is based on the direct bias estimation
stated on page 17 of Su et al.(2020).
References
----------
Yi Su, Maria Dimakopoulou, Akshay Krishnamurthy, and Miroslav Dudik.
"Doubly Robust Off-Policy Evaluation with Shrinkage.", 2020.
"""
check_scalar(delta, "delta", (int, float), min_val=0.0, max_val=1.0)
estimated_bias = estimate_bias_in_ope(
reward=reward,
iw=iw,
iw_hat=iw_hat,
q_hat=q_hat,
)
n = reward.shape[0]
bias_upper_bound = estimated_bias
bias_upper_bound += sqrt((2 * (iw**2).mean() * log(2 / delta)) / n)
bias_upper_bound += (2 * iw.max() * log(2 / delta)) / (3 * n)
return bias_upper_bound
def _check_estimators(self, X, y):
"""Check various estimators."""
# Import SOM
try:
from somlearn import SOM
except ImportError:
raise ImportError(
'SOMO class requires the package `som-learn` to be installed.')
# Check oversampler
self.oversampler_ = SMOTE(
sampling_strategy=self.sampling_strategy,
k_neighbors=self.k_neighbors,
random_state=self.random_state_,
n_jobs=self.n_jobs,
)
# Check clusterer and number of clusters
if self.som_estimator is None:
self.clusterer_ = SOM(random_state=self.random_state_)
elif isinstance(self.som_estimator, int):
check_scalar(self.som_estimator, 'som_estimator', int, min_val=1)
n = round(sqrt(self.som_estimator))
self.clusterer_ = SOM(n_columns=n,
n_rows=n,
random_state=self.random_state_)
elif isinstance(self.som_estimator, float):
check_scalar(self.som_estimator,
'som_estimator',
float,
min_val=0.0,
max_val=1.0)
n = round(sqrt((X.shape[0] - 1) * self.som_estimator + 1))
self.clusterer_ = SOM(n_columns=n,
n_rows=n,
random_state=self.random_state_)
elif isinstance(self.som_estimator, SOM):
self.clusterer_ = clone(self.som_estimator)
else:
raise TypeError('Parameter `som_estimator` should be '
'either `None` or the number of clusters '
'or a float in the [0.0, 1.0] range equal to'
' the number of clusters over the number of '
'samples or an instance of the `SOM` class.')
# Check distributor
self.distributor_ = DensityDistributor(
distribution_ratio=self.distribution_ratio,
filtering_threshold=1.0,
distances_exponent=2.0,
)
return self
def _check_estimators(self, X, y):
"""Check various estimators."""
# Check oversampler
self.oversampler_ = SMOTE(
sampling_strategy=self.sampling_strategy,
k_neighbors=self.k_neighbors,
random_state=self.random_state_,
n_jobs=self.n_jobs,
)
# Check clusterer
if self.kmeans_estimator is None:
self.clusterer_ = MiniBatchKMeans(random_state=self.random_state_)
elif isinstance(self.kmeans_estimator, int):
check_scalar(self.kmeans_estimator,
'k_means_estimator',
int,
min_val=1)
self.clusterer_ = MiniBatchKMeans(n_clusters=self.kmeans_estimator,
random_state=self.random_state_)
elif isinstance(self.kmeans_estimator, float):
check_scalar(
self.kmeans_estimator,
'k_means_estimator',
float,
min_val=0.0,
max_val=1.0,
)
n_clusters = round((X.shape[0] - 1) * self.kmeans_estimator + 1)
self.clusterer_ = MiniBatchKMeans(n_clusters=n_clusters,
random_state=self.random_state)
elif isinstance(self.kmeans_estimator, KMeans) or isinstance(
self.kmeans_estimator, MiniBatchKMeans):
self.clusterer_ = clone(self.kmeans_estimator)
else:
raise TypeError('Parameter `kmeans_estimator` should be '
'either `None` or the number of clusters '
'or a float in the [0.0, 1.0] range equal to'
' the number of clusters over the number of '
'samples or an instance of either `KMeans` '
'or `MiniBatchKMeans` class.')
# Check distributor
self.distributor_ = DensityDistributor(
filtering_threshold=self.imbalance_ratio_threshold,
distances_exponent=self.distances_exponent,
)
return self
def _check_parameters(self, X, y, neighbors):
"""Check distributor parameters."""
# Filtering threshold
if self.filtering_threshold == 'auto':
counts_vals = Counter(y).values()
self.filtering_threshold_ = max(counts_vals) / min(counts_vals)
else:
check_scalar(self.filtering_threshold, 'filtering_threshold',
(int, float), 0)
self.filtering_threshold_ = self.filtering_threshold
# Distances exponent
if self.distances_exponent == 'auto':
self.distances_exponent_ = X.shape[1]
else:
check_scalar(self.distances_exponent, 'distances_exponent',
(int, float), 0)
self.distances_exponent_ = self.distances_exponent
# Sparsity based
check_scalar(self.sparsity_based, 'sparsity_based', bool)
self.sparsity_based_ = self.sparsity_based
# distribution ratio
check_scalar(self.distribution_ratio, 'distribution_ratio', float, 0.0,
1.0)
if self.distribution_ratio < 1.0 and neighbors is None:
raise ValueError(
'Parameter `distribution_ratio` should be equal to 1.0, '
'when `neighbors` parameter is `None`.')
self.distribution_ratio_ = self.distribution_ratio
def bet(self, X, O, risk_factor=0.0):
"""Generate bets."""
# Check risk factor
check_scalar(risk_factor, 'risk_factor', target_type=float, min_val=0.0)
# Generate bets
bets = self.predict(X)
# Apply no bets
probs = self.predict_proba(X)
start_ind = int((len(self.targets_) + 1) == probs.shape[1])
bets[(probs[:, start_ind:] * O).max(axis=1) <= risk_factor] = '-'
return bets
def predict_proba(
self,
context: np.ndarray,
tau: Union[int, float] = 1.0,
) -> np.ndarray:
"""Obtains action choice probabilities for new data based on scores predicted by a classifier.
Note
--------
This `predict_proba` method obtains action choice probabilities for new data :math:`x \\in \\mathcal{X}`
by first computing non-negative scores for all possible candidate actions
:math:`a \\in \\mathcal{A}` (where :math:`\\mathcal{A}` is an action set),
and using a Plackett-Luce ranking model as follows:
.. math::
P (A = a | x) = \\frac{e^{f(x,a) / \\tau}}{\\sum_{a^{\\prime} \\in \\mathcal{A}} e^{f(x,a^{\\prime}) / \\tau}},
where :math:`A` is a random variable representing an action, and :math:`\\tau` is a temperature hyperparameter.
:math:`f: \\mathcal{X} \\times \\mathcal{A} \\rightarrow \\mathbb{R}_{+}`
is a scoring function which is now implemented in the `predict_score` method.
**Note that this method can be used only when `len_list=1`, please use the `sample_action` method otherwise.**
Parameters
----------------
context: array-like, shape (n_rounds_of_new_data, dim_context)
Context vectors for new data.
tau: int or float, default=1.0
A temperature parameter, controlling the randomness of the action choice.
As :math:`\\tau \\rightarrow \\infty`, the algorithm will select arms uniformly at random.
Returns
-----------
choice_prob: array-like, shape (n_rounds_of_new_data, n_actions, len_list)
Action choice probabilities obtained by a trained classifier.
"""
assert (self.len_list == 1
), f"predict_proba method can be used only when len_list = 1"
assert (isinstance(context, np.ndarray)
and context.ndim == 2), "context must be 2-dimensional ndarray"
check_scalar(tau, name="tau", target_type=(int, float), min_val=0)
score_predicted = self.predict_score(context=context)
choice_prob = softmax(score_predicted / tau, axis=1)
return choice_prob
def linear_behavior_policy_logit(
context: np.ndarray,
action_context: np.ndarray,
random_state: Optional[int] = None,
tau: Union[int, float] = 1.0,
) -> np.ndarray:
"""Linear contextual behavior policy for synthetic slate bandit datasets.
Parameters
-----------
context: array-like, shape (n_rounds, dim_context)
Context vectors characterizing each round (such as user information).
action_context: array-like, shape (n_unique_action, dim_action_context)
Vector representation for each action.
random_state: int, default=None
Controls the random seed in sampling dataset.
tau: int or float, default=1.0
A temperature parameter, controlling the randomness of the action choice.
As :math:`\\tau \\rightarrow \\infty`, the algorithm will select arms uniformly at random.
Returns
---------
logit value: array-like, shape (n_rounds, n_unique_action)
Logit given context (:math:`x`), i.e., :math:`\\f: \\mathcal{X} \\rightarrow \\mathbb{R}^{\\mathcal{A}}`.
"""
if not isinstance(context, np.ndarray) or context.ndim != 2:
raise ValueError("context must be 2-dimensional ndarray")
if not isinstance(action_context, np.ndarray) or action_context.ndim != 2:
raise ValueError("action_context must be 2-dimensional ndarray")
check_scalar(tau, name="tau", target_type=(int, float), min_val=0)
random_ = check_random_state(random_state)
logits = np.zeros((context.shape[0], action_context.shape[0]))
coef_ = random_.uniform(size=context.shape[1])
action_coef_ = random_.uniform(size=action_context.shape[1])
for d in np.arange(action_context.shape[0]):
logits[:, d] = context @ coef_ + action_context[d] @ action_coef_
return logits / tau
def fit(self, X, y=None):
"""Learn the resampled feature names and groups.
The actual resampling is done in the ``transform`` method.
Parameters
----------
X : numpy.ndarray
The feature matrix.
y : None
Ignored.
"""
X = check_array(X,
copy=True,
dtype=[np.float32, np.float64, int],
force_all_finite=False)
_, self.n_features_in_ = X.shape
self.groups_ = check_groups(groups=self.groups,
X=X,
allow_overlap=True)
_ = _check_group_names(self.groups, self.group_names)
_ = check_scalar(
x=self.resample_to,
name="resample_to",
target_type=(int, float),
min_val=0.0,
)
if isinstance(self.resample_to, float) and self.resample_to > 1.0:
raise ValueError(
"If resample_to is a float, it must not be greater than 1.0.")
if self.group_names is None:
group_names_out = [f"group{i}" for i in range(len(self.groups_))]
else:
group_names_out = self.group_names
self.feature_names_out_ = []
self.groups_out_ = []
for grp, grp_name in zip(self.groups_, group_names_out):
if isinstance(self.resample_to, int):
n_features = self.resample_to
if isinstance(self.resample_to, float):
n_features = int(np.around(self.resample_to * len(grp)))
self.groups_out_.append(np.arange(n_features))
for idx in range(n_features):
if isinstance(grp_name, tuple):
self.feature_names_out_.append(grp_name + (idx, ))
else:
self.feature_names_out_.append((grp_name, idx))
self.n_features_out_ = len(self.feature_names_out_)
return self
def _check_backtest_params(self, tscv, init_cash):
if tscv is None:
tscv = TimeSeriesSplit()
if not isinstance(tscv, TimeSeriesSplit):
raise TypeError(
'Parameter `tscv` should be a TimeSeriesSplit cross-validator object.'
)
self.tscv_ = tscv
if init_cash is None:
init_cash = 1e3
check_scalar(
init_cash,
'init_cash',
(float, int),
min_val=0.0,
include_boundaries='neither',
)
self.init_cash_ = init_cash
return self
def __post_init__(self) -> None:
"""Initialize Class."""
check_scalar(self.n_actions, "n_actions", int, min_val=2)
check_scalar(self.dim_context, "dim_context", int, min_val=1)
check_scalar(self.beta, "beta", (int, float))
check_scalar(
self.n_deficient_actions,
"n_deficient_actions",
int,
min_val=0,
max_val=self.n_actions - 1,
)
if self.random_state is None:
raise ValueError("`random_state` must be given")
self.random_ = check_random_state(self.random_state)
if RewardType(self.reward_type) not in [
RewardType.BINARY,
RewardType.CONTINUOUS,
]:
raise ValueError(
f"`reward_type` must be either '{RewardType.BINARY.value}' or '{RewardType.CONTINUOUS.value}',"
f"but {self.reward_type} is given.'")
check_scalar(self.reward_std, "reward_std", (int, float), min_val=0)
if self.reward_function is None:
self.expected_reward = self.sample_contextfree_expected_reward()
if RewardType(self.reward_type) == RewardType.CONTINUOUS:
self.reward_min = 0
self.reward_max = 1e10
# one-hot encoding characterizing actions.
if self.action_context is None:
self.action_context = np.eye(self.n_actions, dtype=int)
else:
check_array(array=self.action_context,
name="action_context",
expected_dim=2)
if self.action_context.shape[0] != self.n_actions:
raise ValueError(
"Expected `action_context.shape[0] == n_actions`, but found it False."
)
def __post_init__(self) -> None:
"""Initialize Class."""
if not is_classifier(self.base_classifier_b):
raise ValueError("`base_classifier_b` must be a classifier")
check_scalar(self.alpha_b, "alpha_b", float, min_val=0.0)
check_scalar(
self.n_deficient_actions,
"n_deficient_actions",
int,
min_val=0,
max_val=self.n_actions - 1,
)
if self.alpha_b >= 1.0:
raise ValueError(f"`alpha_b`= {self.alpha_b}, must be < 1.0.")
self.X, y = check_X_y(X=self.X, y=self.y, ensure_2d=True, multi_output=False)
self.y = (rankdata(y, "dense") - 1).astype(int) # re-index actions
# fully observed labels (full bandit feedback)
self.y_full = np.zeros((self.n_rounds, self.n_actions))
self.y_full[np.arange(self.n_rounds), y] = 1
def __post_init__(self):
"""Initialize Class."""
check_scalar(self.n_unique_action, "n_unique_action", int, min_val=2)
check_scalar(self.len_list, "len_list", int, min_val=1)
if not (isinstance(self.fitting_method, str)
and self.fitting_method in ["normal", "iw"]):
raise ValueError(
f"`fitting_method` must be either 'normal' or 'iw', but {self.fitting_method} is given"
)
if not isinstance(self.base_model, BaseEstimator):
raise ValueError(
"`base_model` must be BaseEstimator or a child class of BaseEstimator"
)
if is_classifier(self.base_model):
raise ValueError(
"`base_model` must be a regressor, not a classifier")
self.base_model_list = [
clone(self.base_model) for _ in range(self.len_list)
]
self.action_context = np.eye(self.n_unique_action)
def estimate_bernstein_lower_bound(
x: np.ndarray, x_max: Optional[float], delta: float = 0.05
) -> float:
"""Estimate a high probability lower bound of mean of random variables by empirical Bernstein Inequality.
Parameters
----------
x: array-like, shape (n, )
Size n of independent real-valued bounded random variables of interest.
x_max: float, default=None.
A maximum value of random variable `x`.
If None, this is estimated from the given samples.
delta: float, default=0.05
A confidence delta to construct a high probability lower bound.
Returns
----------
lower_bound_estimate: float
A high probability lower bound of mean of random variables `x` estimated by Hoeffding Inequality.
See page 3 of Thomas et al.(2015) for details.
References
----------
Philip S. Thomas, Georgios Theocharous, and Mohammad Ghavamzadeh.
"High Confidence Off-Policy Evaluation.", 2015.
"""
if x_max is None:
x_max = x.max()
else:
check_scalar(x_max, "x_max", (int, float), min_val=x.max())
check_scalar(delta, "delta", (int, float), min_val=0.0, max_val=1.0)
n = x.shape[0]
ci1 = 7 * x_max * log(2.0 / delta) / (3 * (n - 1))
ci2 = sqrt(2 * log(2.0 / delta) * var(x) / (n - 1))
lower_bound_estimate = x.mean() - ci1 - ci2
return lower_bound_estimate
def __post_init__(self) -> None:
"""Initialize Class."""
check_scalar(self.n_actions, "n_actions", int, min_val=2)
check_scalar(self.len_list, "len_list", int, min_val=1)
if not (
isinstance(self.fitting_method, str)
and self.fitting_method in ["normal", "iw", "mrdr"]
):
raise ValueError(
f"`fitting_method` must be one of 'normal', 'iw', or 'mrdr', but {self.fitting_method} is given"
)
if not isinstance(self.base_model, BaseEstimator):
raise ValueError(
"`base_model` must be BaseEstimator or a child class of BaseEstimator"
)
self.base_model_list = [
clone(self.base_model) for _ in np.arange(self.len_list)
]
if self.action_context is None:
self.action_context = np.eye(self.n_actions, dtype=int)
def obtain_action_dist_by_eval_policy(
self, base_classifier_e: Optional[ClassifierMixin] = None, alpha_e: float = 1.0
) -> np.ndarray:
"""Obtain action choice probabilities by an evaluation policy.
Parameters
-----------
base_classifier_e: ClassifierMixin, default=None
Machine learning classifier used to construct a behavior policy.
alpha_e: float, default=1.0
Ratio of a uniform random policy when constructing an **evaluation** policy.
Must be in the [0, 1] interval (evaluation policy can be deterministic).
Returns
---------
action_dist_by_eval_policy: array-like, shape (n_rounds_ev, n_actions, 1)
`action_dist_by_eval_policy` is the action choice probabilities of the evaluation policy.
where `n_rounds_ev` is the number of samples in the evaluation set given the current train-eval split.
`n_actions` is the number of actions.
"""
check_scalar(alpha_e, "alpha_e", float, min_val=0.0, max_val=1.0)
# train a base ML classifier
if base_classifier_e is None:
base_clf_e = clone(self.base_classifier_b)
else:
assert is_classifier(
base_classifier_e
), "`base_classifier_e` must be a classifier"
base_clf_e = clone(base_classifier_e)
base_clf_e.fit(X=self.X_tr, y=self.y_tr)
preds = base_clf_e.predict(self.X_ev).astype(int)
# construct an evaluation policy
pi_e = np.zeros((self.n_rounds_ev, self.n_actions))
pi_e[:, :] = (1.0 - alpha_e) / self.n_actions
pi_e[np.arange(self.n_rounds_ev), preds] = (
alpha_e + (1.0 - alpha_e) / self.n_actions
)
return pi_e[:, :, np.newaxis]
def __post_init__(self) -> None:
"""Initialize Class."""
check_scalar(self.n_actions, "n_actions", int, min_val=2)
check_scalar(self.len_list, "len_list", int, min_val=1)
check_scalar(self.calibration_cv, "calibration_cv", int)
if not (isinstance(self.fitting_method, str)
and self.fitting_method in ["sample", "raw"]):
raise ValueError(
f"`fitting_method` must be either 'sample' or 'raw', but {self.fitting_method} is given"
)
if not isinstance(self.base_model, BaseEstimator):
raise ValueError(
"`base_model` must be BaseEstimator or a child class of BaseEstimator"
)
if self.calibration_cv > 1:
self.base_model_list = [
clone(
CalibratedClassifierCV(base_estimator=self.base_model,
cv=self.calibration_cv), )
for _ in np.arange(self.len_list)
]
else:
self.base_model_list = [
clone(self.base_model) for _ in np.arange(self.len_list)
]
if self.action_context is None or self.fitting_method == "raw":
self.action_context = np.eye(self.n_actions, dtype=int)
def __post_init__(self) -> None:
"""Initialize Class."""
check_scalar(self.n_actions,
name="n_actions",
target_type=int,
min_val=2)
check_scalar(
self.min_emb_dim,
name="min_emb_dim",
target_type=int,
min_val=1,
)
check_scalar(
self.delta,
name="delta",
target_type=float,
min_val=0.0,
max_val=1.0,
)
if self.embedding_selection_method is not None:
if self.embedding_selection_method not in ["exact", "greedy"]:
raise ValueError(
"If given, `embedding_selection_method` must be either 'exact' or 'greedy', but"
f"{self.embedding_selection_method} is given.")
if not is_classifier(self.pi_a_x_e_estimator):
raise ValueError("`pi_a_x_e_estimator` must be a classifier.")
def __post_init__(self) -> None:
"""Initialize class."""
check_scalar(self.dim, "dim", int, min_val=1)
check_scalar(self.n_actions, "n_actions", int, min_val=2)
check_scalar(self.len_list,
"len_list",
int,
min_val=1,
max_val=self.n_actions)
check_scalar(self.batch_size, "batch_size", int, min_val=1)
self.n_trial = 0
self.random_ = check_random_state(self.random_state)
self.action_counts = np.zeros(self.n_actions, dtype=int)
self.reward_lists = [[] for _ in np.arange(self.n_actions)]
self.context_lists = [[] for _ in np.arange(self.n_actions)]
def fit(self,
molecules: Iterable[Mol],
y_ignored=None) -> 'MorganFingerprint':
"""Check the instance parameters and return the instance.
Parameters
----------
molecules : iterable of rdkit.Chem.Mol
RDKit molecules.
y_ignored : None
This formal parameter will be ignored.
"""
check_scalar(self.radius, 'radius', int, min_val=1)
check_scalar(self.n_bits, 'number of bits', int, min_val=1)
valid_return_types = {'ndarray', 'csr_sparse', 'bitvect_list'}
if self.return_type not in valid_return_types:
raise ValueError(f'`return_type` must be in {valid_return_types}, '
f'not {self.return_type!r}')
# noinspection PyAttributeOutsideInit
self.n_features_in_ = 1
return self
def __post_init__(self) -> None:
"""Initialize Class."""
check_scalar(self.n_actions, "n_actions", int, min_val=2)
check_scalar(self.len_list,
"len_list",
int,
min_val=1,
max_val=self.n_actions)
check_scalar(self.batch_size, "batch_size", int, min_val=1)
self.n_trial = 0
self.random_ = check_random_state(self.random_state)
self.action_counts = np.zeros(self.n_actions, dtype=int)
self.action_counts_temp = np.zeros(self.n_actions, dtype=int)
self.reward_counts_temp = np.zeros(self.n_actions)
self.reward_counts = np.zeros(self.n_actions)
def _check_parameters(self):
"""Check input parameters."""
# Check parameter to drop columns
self.drop_na_cols_ = self.drop_na_cols if self.drop_na_cols is not None else 0.0
check_scalar(self.drop_na_cols_,
'drop_na_cols',
float,
min_val=0.0,
max_val=1.0)
# Check parameter to drop rows
self.drop_na_rows_ = self.drop_na_rows if self.drop_na_rows is not None else 0.0
check_scalar(self.drop_na_rows_,
'drop_na_cols',
float,
min_val=0.0,
max_val=1.0)
# Check testing duration
self.testing_duration_ = self.testing_duration if self.testing_duration is not None else 1
check_scalar(self.testing_duration_,
'testing_duration',
int,
min_val=1)
# Check odds type
if self.odds_type is not None:
if not isinstance(self.odds_type, str):
raise TypeError(
f'Parameter `odds_type` should be a string or None. Got {type(self.odds_type)} instead.'
)
cols_odds = [
col for _, col, _ in self.config
if col is not None and col.split('__')[0] == self.odds_type
and col.split('__')[-1] == 'odds'
]
if not cols_odds:
raise ValueError(
f'Parameter `odds_type` should be a prefix of available odds columns. Got {self.odds_type} instead.'
)
self.odds_type_ = self.odds_type
else:
self.odds_type_ = ''
return self
def __init__(self, adjacency: AdjacencyMatrix, seed: Optional[int] = None):
weight_check = is_unweighted(adjacency)
check_argument(weight_check, "adjacency must be unweighted")
loop_check = is_loopless(adjacency)
check_argument(loop_check, "adjacency cannot have loops")
direct_check = is_symmetric(adjacency)
check_argument(direct_check, "adjacency must be undirected")
max_seed = np.iinfo(np.uint32).max
if seed is None:
seed = np.random.randint(max_seed, dtype=np.int64)
seed = check_scalar(seed,
"seed", (int, np.integer),
min_val=0,
max_val=max_seed)
self._rng = np.random.default_rng(seed)
adjacency = import_graph(adjacency, copy=True)
if isinstance(adjacency, csr_matrix):
# more efficient for manipulations which change sparsity structure
adjacency = lil_matrix(adjacency)
self._edge_swap_function = _edge_swap
else:
# for numpy input, use numba for JIT compilation
# NOTE: not convinced numba is helping much here, look into optimizing
self._edge_swap_function = _edge_swap_numba
self.adjacency = adjacency
edge_list = self._do_setup()
check_argument(len(edge_list) >= 2, "there must be at least 2 edges")
self.edge_list = edge_list
def __post_init__(self) -> None:
"""Initialize Class."""
check_scalar(self.n_actions, "n_actions", int, min_val=2)
check_scalar(self.len_list, "len_list", int, min_val=1)
check_scalar(self.calibration_cv, "calibration_cv", int)
if not isinstance(self.base_model, BaseEstimator):
raise ValueError(
"`base_model` must be BaseEstimator or a child class of BaseEstimator"
)
if self.calibration_cv > 1:
self.base_model_list = [
clone(
CalibratedClassifierCV(base_estimator=self.base_model,
cv=self.calibration_cv), )
for _ in np.arange(self.len_list)
]
else:
self.base_model_list = [
clone(self.base_model) for _ in np.arange(self.len_list)
]
def fit_predict(
self,
context: np.ndarray,
action: np.ndarray,
reward: np.ndarray,
pscore: Optional[np.ndarray] = None,
position: Optional[np.ndarray] = None,
action_dist: Optional[np.ndarray] = None,
n_folds: int = 1,
random_state: Optional[int] = None,
) -> np.ndarray:
"""Fit the regression model on given logged bandit data and estimate the expected rewards on the same data.
Note
------
When `n_folds` is larger than 1, the cross-fitting procedure is applied.
See the reference for the details about the cross-fitting technique.
Parameters
----------
context: array-like, shape (n_rounds, dim_context)
Context vectors observed for each data in logged bandit data, i.e., :math:`x_i`.
action: array-like, shape (n_rounds,)
Actions sampled by the logging/behavior policy for each data in logged bandit data, i.e., :math:`a_i`.
reward: array-like, shape (n_rounds,)
Rewards observed for each data in logged bandit data, i.e., :math:`r_i`.
pscore: array-like, shape (n_rounds,), default=None
Action choice probabilities (propensity score) of a behavior policy
in the training set of logged bandit data.
If None, the the behavior policy is assumed to be uniform random.
position: array-like, shape (n_rounds,), default=None
Indices to differentiate positions in a recommendation interface where the actions are presented.
If None, a regression model assumes that only a single action is chosen for each data.
When `len_list` > 1, an array must be given as `position`.
action_dist: array-like, shape (n_rounds, n_actions, len_list), default=None
Action choice probabilities of the evaluation policy (can be deterministic), i.e., :math:`\\pi_e(a_i|x_i)`.
When either 'iw' or 'mrdr' is set to `fitting_method`, `action_dist` must be given.
n_folds: int, default=1
Number of folds in the cross-fitting procedure.
When 1 is given, the regression model is trained on the whole logged bandit data.
Please refer to https://arxiv.org/abs/2002.08536 about the details of the cross-fitting procedure.
random_state: int, default=None
`random_state` affects the ordering of the indices, which controls the randomness of each fold.
See https://scikit-learn.org/stable/modules/generated/sklearn.model_selection.KFold.html for the details.
Returns
-----------
q_hat: array-like, shape (n_rounds, n_actions, len_list)
Expected rewards of new data estimated by the regression model.
"""
check_bandit_feedback_inputs(
context=context,
action=action,
reward=reward,
pscore=pscore,
position=position,
action_context=self.action_context,
)
n_rounds = context.shape[0]
check_scalar(n_folds, "n_folds", int, min_val=1)
check_random_state(random_state)
if position is None or self.len_list == 1:
position = np.zeros_like(action)
else:
if position.max() >= self.len_list:
raise ValueError(
f"`position` elements must be smaller than `len_list`, but the maximum value is {position.max()} (>= {self.len_list})"
)
if self.fitting_method in ["iw", "mrdr"]:
if not (isinstance(action_dist, np.ndarray) and action_dist.ndim == 3):
raise ValueError(
"when `fitting_method` is either 'iw' or 'mrdr', `action_dist` (a 3-dimensional ndarray) must be given"
)
if action_dist.shape != (n_rounds, self.n_actions, self.len_list):
raise ValueError(
f"shape of `action_dist` must be (n_rounds, n_actions, len_list)=({n_rounds, self.n_actions, self.len_list}), but is {action_dist.shape}"
)
if pscore is None:
pscore = np.ones_like(action) / self.n_actions
if n_folds == 1:
self.fit(
context=context,
action=action,
reward=reward,
pscore=pscore,
position=position,
action_dist=action_dist,
)
return self.predict(context=context)
else:
q_hat = np.zeros((n_rounds, self.n_actions, self.len_list))
kf = KFold(n_splits=n_folds, shuffle=True, random_state=random_state)
kf.get_n_splits(context)
for train_idx, test_idx in kf.split(context):
action_dist_tr = (
action_dist[train_idx] if action_dist is not None else action_dist
)
self.fit(
context=context[train_idx],
action=action[train_idx],
reward=reward[train_idx],
pscore=pscore[train_idx],
position=position[train_idx],
action_dist=action_dist_tr,
)
q_hat[test_idx, :, :] = self.predict(context=context[test_idx])
return q_hat
