def model_function(
dataset,
location_array_W,
pred_ahead,
target_col,
extended_data=True,
impute_missing=True,
do_extract=True,
shift_features=True,
use_early_stopping=False,
lgb_boosting_type="gbdt",
lgb_num_leaves=31,
lgb_learning_rate=0.1,
lgb_max_depth=-1,
split_train_pct=.7,
split_test_pct=.85
):
"""
This is the main model function that prepares a dataset based on some hyperparams, and trains a lightgbm model
It returns both the predicted validation and test dataframe in a tuple
:param dataset: name of the dataset, based on file names in data/kaggle-preprocessed/xxx.feather
:param location_array_W: location array W
:param pred_ahead: how far ahead the targetvariable should be shifted
:param target_col: the name of the target column in the dataframe
:param extended_data: (bool) whether to extend the features with the extended dataset
:param impute_missing: (bool) impute missing features or leave them empty
:param do_extract: (bool) use the original features or use the dimension reduction
:param shift_features: (bool) enhance the data with shifted features
:param use_early_stopping: (bool) whether to let the final model be the tree with the lowest error in the validation dataset
:param lgb_boosting_type: lgb hyperparam
:param lgb_num_leaves: lgb hyperparam
:param lgb_learning_rate: lgb hyperparam
:param lgb_max_depth: lgb hyperparam
:param split_train_pct: percentage of data where to split train
:param split_test_pct: pertentage of the data where to split the test data
:return: (predicted_df_validation, predicted_df_test)
"""
df = gather_df(dataset, extended_data, )
df = prepare_df(df, impute_missing, do_extract, shift_features, location_array_W)
y = df[target_col].pct_change(pred_ahead).shift(-pred_ahead)
# splitting here is some hassle since we only want our training data to consist of days
# where the target is non null, some of the datasets have years of missing target variables
available_indexes = df.index[~pd.isna(y)]
train_split = available_indexes[int(len(available_indexes) * split_train_pct)]
val_split = available_indexes[int(len(available_indexes) * split_test_pct)]
# add pred_ahead here because at time t, we do not know what the target variable will do in the future
test_split_start = available_indexes[
int(len(available_indexes) * split_test_pct) + pred_ahead
]
X_train = df[(df.index <= train_split)]
X_val = df[(df.index > train_split) & (df.index < val_split)]
X_test = df[(df.index >= test_split_start)]
y_train = y[(df.index <= train_split)]
# log transform y_train to reduce long tail effects and np.clip just to be safe
y_train = np.log(np.clip(y_train, -1 + 1e-6, 100) + 1)
y_val = y[(df.index > train_split) & (df.index < val_split)]
y_val = np.log(np.clip(y_val, -1 + 1e-6, 100) + 1)
y_test = y[(df.index >= test_split_start)]
# for training, filter all days with missing targets
X_train = X_train[~pd.isna(y_train)]
y_train = y_train[~pd.isna(y_train)]
rmodel = lgb.LGBMRegressor(
boosting_type=lgb_boosting_type,
num_leaves=lgb_num_leaves,
learning_rate=lgb_learning_rate,
max_depth=lgb_max_depth,
)
eval_set = None
if use_early_stopping:
eval_set = (X_val, y_val)
rmodel.fit(X_train, y_train, eval_set=eval_set, verbose=0)
dfp_test = pd.DataFrame(
{
"p": np.exp(np.clip(rmodel.predict(X_test), -1000, 1000)) - 1,
"y": y_test,
"original": df[target_col][(df.index > test_split_start)],
}
)
# since we used percentages as targets, we need to reverse this to be able to compute objective scores
dfp_test["y"] = (dfp_test.y + 1) * dfp_test.original
dfp_test["p"] = (dfp_test.p + 1) * dfp_test.original
dfp_test = dfp_test[~pd.isna(dfp_test.y)]
dfp_val = pd.DataFrame(
{
"p": np.exp(np.clip(rmodel.predict(X_val), -1000, 1000)) - 1,
"y": y_val,
"original": df[target_col][
(df.index > train_split) & (df.index < val_split)
],
}
)
dfp_val["y"] = (dfp_val.y + 1) * dfp_val.original
dfp_val["p"] = (dfp_val.p + 1) * dfp_val.original
dfp_val = dfp_val[~pd.isna(dfp_val.y)]
return dfp_val, dfp_test, rmodel, X_test, y_test
# Input data files are available in the "../input/" directory.
# For example, running this (by clicking run or pressing Shift+Enter) will list the files in the input directory
import os
print(os.listdir("../input"))
# Any results you write to the current directory are saved as output
# Feature importance
#lightGBM model fit
gbm = lgb.LGBMRegressor()
gbm.fit(train, target)
gbm.booster_.feature_importance()
# importance of each attribute
fea_imp_ = pd.DataFrame({'cols':train.columns, 'fea_imp':gbm.feature_importances_})
fea_imp_.loc[fea_imp_.fea_imp > 0].sort_values(by=['fea_imp'], ascending = False)
TRAINING_SIZE = 300000
# get this months indices
trn_idx = np.where(np.isin(train.month, validation_months, invert=True))[0]
val_idx = np.where(np.isin(train.month, validation_months, invert=False))[0]
#print(f"split primary_use: train size {len(trn_idx)} val size {len(val_idx)}")
# remove indices not in this primary_use
trn_idx = np.intersect1d(trn_idx, np.where(np.isin(train.primary_use, primary_use_group))[0])
val_idx = np.intersect1d(val_idx, np.where(np.isin(train.primary_use, primary_use_group))[0])
#print(f"split primary_use: train size {len(trn_idx)} val size {len(val_idx)}")
# initialize model
model = lgb.LGBMRegressor(random_state=seed+9999*args.normalize_target,
n_estimators=9999,
learning_rate=args.lr,
feature_fraction=args.feature_fraction,
subsample=args.subsample,
num_leaves=args.n_leaves,
metric="rmse",
silent=False)
# fit model
msg = f'Training {full_sub_model_name} - train# {len(trn_idx)} val# {len(val_idx)}'
#print(f'{datetime.now()} - Training {full_sub_model_name} - train# {len(trn_idx)} val# {len(val_idx)}')
with timer(msg):
model.fit(train.loc[trn_idx, FEATURES], train.loc[trn_idx, "target"],
eval_set=[(train.loc[val_idx, FEATURES], train.loc[val_idx, "target"])],
early_stopping_rounds=50,
verbose=50)
model.booster_.save_model(full_sub_model_name)
def train_model_regression(X,
X_test,
y,
params,
folds,
model_type='lgb',
eval_metric='mae',
columns=None,
plot_feature_importance=False,
model=None,
verbose=10000,
early_stopping_rounds=200,
n_estimators=50000,
mol_type=-1,
fold_group=None):
"""
A function to train a variety of regression models.
Returns dictionary with oof predictions, test predictions, scores and, if necessary, feature importances.
:params: X - training data, can be pd.DataFrame or np.ndarray (after normalizing)
:params: X_test - test data, can be pd.DataFrame or np.ndarray (after normalizing)
:params: y - target
:params: folds - folds to split data
:params: model_type - type of model to use
:params: eval_metric - metric to use
:params: columns - columns to use. If None - use all columns
:params: plot_feature_importance - whether to plot feature importance of LGB
:params: model - sklearn model, works only for "sklearn" model type
"""
columns = X.columns if columns is None else columns
X_test = X_test[columns]
# to set up scoring parameters
metrics_dict = {
'mae': {
'lgb_metric_name': 'mae',
'catboost_metric_name': 'MAE',
'sklearn_scoring_function': metrics.mean_absolute_error
},
'group_mae': {
'lgb_metric_name': 'mae',
'catboost_metric_name': 'MAE',
'scoring_function': group_mean_log_mae
},
'mse': {
'lgb_metric_name': 'mse',
'catboost_metric_name': 'MSE',
'sklearn_scoring_function': metrics.mean_squared_error
}
}
result_dict = {}
# out-of-fold predictions on train data
oof = np.zeros(len(X))
# averaged predictions on train data
prediction = np.zeros(len(X_test))
# list of scores on folds
scores = []
feature_importance = pd.DataFrame()
model_list = []
# split and train on folds
for fold_n, (train_index,
valid_index) in enumerate(folds.split(X, groups=fold_group)):
print(f'Fold {fold_n + 1} started at {time.ctime()}')
if type(X) == np.ndarray:
X_train, X_valid = X[columns][train_index], X[columns][valid_index]
y_train, y_valid = y[train_index], y[valid_index]
else:
X_train, X_valid = X[columns].iloc[train_index], X[columns].iloc[
valid_index]
y_train, y_valid = y.iloc[train_index], y.iloc[valid_index]
if model_type == 'lgb':
model = lgb.LGBMRegressor(**params,
n_estimators=n_estimators,
n_jobs=-1)
model.fit(X_train,
y_train,
eval_set=[(X_train, y_train), (X_valid, y_valid)],
eval_metric=metrics_dict[eval_metric]['lgb_metric_name'],
verbose=verbose,
early_stopping_rounds=early_stopping_rounds)
y_pred_valid = model.predict(X_valid)
y_pred = model.predict(X_test, num_iteration=model.best_iteration_)
if model_type == 'xgb':
train_data = xgb.DMatrix(data=X_train,
label=y_train,
feature_names=X.columns)
valid_data = xgb.DMatrix(data=X_valid,
label=y_valid,
feature_names=X.columns)
watchlist = [(train_data, 'train'), (valid_data, 'valid_data')]
params["objective"] = "reg:linear"
params["eval_metric"] = metrics_dict[eval_metric][
'lgb_metric_name']
model = xgb.train(dtrain=train_data,
num_boost_round=20000,
evals=watchlist,
early_stopping_rounds=200,
verbose_eval=verbose,
params=params)
y_pred_valid = model.predict(xgb.DMatrix(X_valid,
feature_names=X.columns),
ntree_limit=model.best_ntree_limit)
y_pred = model.predict(xgb.DMatrix(X_test,
feature_names=X.columns),
ntree_limit=model.best_ntree_limit)
if model_type == 'sklearn':
model = model
model.fit(X_train, y_train)
y_pred_valid = model.predict(X_valid).reshape(-1, )
score = metrics_dict[eval_metric]['sklearn_scoring_function'](
y_valid, y_pred_valid)
print(f'Fold {fold_n}. {eval_metric}: {score:.4f}.')
print('')
y_pred = model.predict(X_test).reshape(-1, )
if model_type == 'cat':
model = CatBoostRegressor(
iterations=20000,
eval_metric=metrics_dict[eval_metric]['catboost_metric_name'],
**params,
loss_function=metrics_dict[eval_metric]
['catboost_metric_name'])
model.fit(X_train,
y_train,
eval_set=(X_valid, y_valid),
cat_features=[],
use_best_model=True,
verbose=False)
y_pred_valid = model.predict(X_valid)
y_pred = model.predict(X_test)
oof[valid_index] = y_pred_valid.reshape(-1, )
if eval_metric != 'group_mae':
scores.append(
metrics_dict[eval_metric]['sklearn_scoring_function'](
y_valid, y_pred_valid))
else:
scores.append(metrics_dict[eval_metric]['scoring_function'](
y_valid, y_pred_valid, X_valid['type']))
prediction += y_pred
if model_type == 'lgb' and plot_feature_importance:
# feature importance
fold_importance = pd.DataFrame()
fold_importance["feature"] = columns
fold_importance["importance"] = model.feature_importances_
fold_importance["fold"] = fold_n + 1
feature_importance = pd.concat(
[feature_importance, fold_importance], axis=0)
model_list += [model]
prediction /= folds.n_splits
try:
cv_score_msg = f'{DATA_VERSION}_{TRIAL_NO}' + 'CV mean score: {0:.4f}, std: {1:.4f}.'.format(
np.mean(scores), np.std(scores))
print(cv_score_msg)
send_message(cv_score_msg)
except Exception as e:
print(e)
pass
result_dict["models"] = model_list
result_dict['oof'] = oof
result_dict['prediction'] = prediction
result_dict['scores'] = scores
if model_type == 'lgb':
if plot_feature_importance:
feature_importance["importance"] /= folds.n_splits
cols = feature_importance[[
"feature", "importance"
]].groupby("feature").mean().sort_values(
by="importance", ascending=False)[:50].index
best_features = feature_importance.loc[
feature_importance.feature.isin(cols)]
plt.figure(figsize=(16, 12))
sns.barplot(x="importance",
y="feature",
data=best_features.sort_values(by="importance",
ascending=False))
plt.title('LGB Features (avg over folds)')
feature_importance.to_csv(log_path / f"importance_{mol_type}.csv")
result_dict['feature_importance'] = feature_importance
return result_dict
learning_rate=0.05,
max_depth=3,
min_child_weight=1.7817,
n_estimators=1000,
reg_alpha=0.4640,
reg_lambda=0.8571,
subsample=0.5213,
silent=1,
random_state=7,
nthread=-1)
model_lgb = lgb.LGBMRegressor(objective='regression',
num_leaves=5,
learning_rate=0.05,
n_estimators=720,
max_bin=55,
bagging_fraction=0.8,
bagging_freq=5,
feature_fraction=0.2319,
feature_fraction_seed=9,
bagging_seed=9,
min_data_in_leaf=6,
min_sum_hessian_in_leaf=11)
n_folds = 5
score = rmsle_cv(lasso, train, y_train, n_folds=n_folds)
print("\nLasso score: {:.4f} ({:.4f})\n".format(score.mean(), score.std()))
score = rmsle_cv(ENet, train, y_train, n_folds=n_folds)
print("ElasticNet score: {:.4f} ({:.4f})\n".format(score.mean(), score.std()))
score = rmsle_cv(KRR, train, y_train, n_folds=n_folds)
print("Kernel Ridge score: {:.4f} ({:.4f})\n".format(score.mean(),
score.std()))
score = rmsle_cv(GBoost, train, y_train, n_folds=n_folds)
print("Gradient Boosting score: {:.4f} ({:.4f})\n".format(
def merf(normalise = False):
hyper_params = {
'task': 'train',
'boosting_type': 'gbdt',
'objective': 'regression',
'metric': ['l1', 'rmse'],
'learning_rate': 0.001,
'feature_fraction': 0.8,
"max_depth": 6,
"max_bin": 512,
"num_leaves": 40,
"num_iterations": 100000,
"n_estimators": 300,
"verbose": -1
}
# 'bagging_fraction': 0.7,
# 'bagging_freq': 10, "num_leaves": 12,
gbm = lgb.LGBMRegressor(**hyper_params)
ap2 = ap.fillna(method = "pad")
ap2.isna().sum().sum()
X_train, Y_train, X_test, Y_test = preprocessing(ap2, hour2int = True, onehotencode = False)
Z_train = np.ones((len(X_train), 1))
clusters_train = X_train['hours']
clusters_test= X_test['hours']
X_train1 = X_train.drop(["hours"],axis = 1)
X_test1 = X_test.drop(["hours"],axis = 1)
if normalise:
X_train1 =(X_train1-X_train1.mean())/X_train1.std()
X_test1 =(X_test1-X_test1.mean())/X_test1.std()
# we should not nornalise the Y (response)
# Y_train1 =(Y_train-Y_train.mean())/Y_train.std()
#my_imputer = SimpleImputer()
#X_train1 = my_imputer .fit_transform(X_train1) # fit missing
#X_test1 = my_imputer .fit_transform(X_test1)
# normalising for boosting is commonly not necessary, but for the mixed effect models
# we actually may want to normalise. But we only normalise X (predictors)!
# check if missing
print( Y_train1.isnull().any().any(),X_train1.isnull().any().any(),X_test.isnull().any().any())
merf = MERF(gbm, max_iterations = 4)
merf.fit(X_train1, Z_train, clusters_train, Y_train1)
Z_test = np.ones((len(X_test1), 1))
y_pred_ = merf.predict(X_test1, Z_test, clusters_test)
# also normalise the response and prediction wont work
#if normalise:
# y_pred = y_pred_*Y_train.std()+Y_train.mean()
mae = abs(y_pred - Y_test).mean()
rmse = math.sqrt(((y_pred - Y_test)*(y_pred - Y_test)).mean())
rrmse = rmse / Y_test.median()
r2 = get_r2_numpy_corrcoef(Y_test, y_pred)
return(mae, rmse, rrmse, r2)
bond_type]['molecule_name']
oof = np.zeros(len(X_type))
prediction_type = np.zeros(len(X_test_type))
bond_scores = []
for fold_n, (train_idx, valid_idx) in enumerate(
folds.split(X_type, groups=mol_group_type)):
if fold_n == 1:
# ONLY TRAIN FOR FOLD 0
continue
fold_start = timer()
logger.info('Running Type {} - Fold {} of {}'.format(
bond_type, fold_count, folds.n_splits))
X_train, X_valid = X_type.iloc[train_idx], X_type.iloc[valid_idx]
y_train, y_valid = y_type.iloc[train_idx], y_type.iloc[valid_idx]
model = lgb.LGBMRegressor(**lgb_params,
n_estimators=N_ESTIMATORS,
n_jobs=N_THREADS)
model.fit(
X_train.drop('type', axis=1),
y_train,
eval_set=[ #(X_train.drop('type', axis=1), y_train),
(X_valid.drop('type', axis=1), y_valid)
],
eval_metric=EVAL_METRIC,
verbose=VERBOSE,
early_stopping_rounds=EARLY_STOPPING_ROUNDS)
now = timer()
update_tracking(run_id,
'{}_tr_sec_f{}'.format(bond_type, fold_n + 1),
(now - fold_start),
integer=True)
def fit_lgb(i, X_train_cv, y_train_cv):
model = lgb.LGBMRegressor(**lgb_param)
model.fit(X_train_cv, y_train_cv)
return model
'''
# LGBR = GridSearchCV(model_lgb,lgb_params,cv=3,scoring='roc_auc',verbose=5,return_train_score = True)
# LGBR.fit(train_data,y_train)
# LGB_best = LGBR.best_estimator_
# print(LGB_best)
# print(LGBR.best_score_)
model_lgb = lgb.LGBMRegressor(boosting_type='gbdt',
objective='regression',
learning_rate=0.01, n_estimators=3000,
reg_alpha = 0.1,reg_lambda = 0.01,
max_bin = 200, num_leaves=150,max_depth=-1,
subsample_freq=5, colsample_bytree = 0.6,subsample = 0.8,
min_child_samples=50,min_split_gain=0,random_state=1024,n_jobs=-1)
#lgb_1
auc = rmsle_cv(model_lgb,train_data,y_train)
print('model_lgb AUC : ',auc)
model_lgb.fit(train_data,y_train)
test_y_prob = model_lgb.predict(test_data)
test_y_prob = scale(test_y_prob)
test_y_cat=[int(item>0.25) for item in list(test_y_prob)]
test_result = pd.DataFrame(EID.values,columns=["EID"])
test_result['FORTARGET']=test_y_cat
def gbm_model():
model_gbm = gbm.LGBMRegressor()
return model_gbm
# In[8]:
from sklearn.model_selection import GridSearchCV
from sklearn.pipeline import Pipeline
from sklearn.decomposition import PCA, NMF
from sklearn.feature_selection import SelectKBest, mutual_info_regression
pipe = Pipeline([
('reduce_dim', PCA()),
('regressor', lgb.LGBMRegressor(
objective='regression',
num_leaves=31,
learning_rate=0.01,
silent=False
))
])
N_FEATURES_OPTIONS = [50, 100, 300]
param_grid = [
{
'reduce_dim': [PCA(iterated_power=7), NMF()],
'reduce_dim__n_components': N_FEATURES_OPTIONS,
'regressor__boosting_type': ['gbdt', 'dart'], #'goss', 'rf'],
'regressor__n_estimators': [50, 100, 500]
},
{
'reduce_dim': [SelectKBest(mutual_info_regression)],
def light_gbm_regression(self):
model = lgb.LGBMRegressor()
return self.fiting_model(model)
"bagging_fraction": 0.75,
"bagging_seed": 11,
"metric": 'mae',
"verbosity": -1,
'reg_alpha': 0.1302650970728192,
'reg_lambda': 0.3603427518866501
}
for fold_n, (train_index,
valid_index) in enumerate(folds.split(X_train_scaled)):
print(fold_n)
X_train, X_valid = X_train_scaled.iloc[train_index], X_train_scaled.iloc[
valid_index]
y_train, y_valid = y_tr.iloc[train_index], y_tr.iloc[valid_index]
model = lgb.LGBMRegressor(**params, n_estimators=50000, n_jobs=-1)
model.fit(X_train,
y_train,
eval_set=[(X_train, y_train), (X_valid, y_valid)],
eval_metric='mae',
verbose=10000,
early_stopping_rounds=200)
y_pred_valid = model.predict(X_valid)
y_pred = model.predict(X_test, num_iteration=model.best_iteration_)
oof[valid_index] = y_pred_valid
scores.extend(mean_absolute_error(y_valid.values.reshape(-1),
y_pred_valid))
prediction += y_pred
prediction /= n_fold
df, mean, std = lib.normalize(df)
(x_train_lstm,
y_train_lstm), (x_test_lstm,
y_test_lstm), columns = lib.train_test_split_lstm(
df["price"].values, df.index, PAST_HISTORY,
TRAIN_RATIO)
(x_train, y_train), (x_test, y_test), columns = lib.train_test_split(
df["price"].values, df.index, PAST_HISTORY, TRAIN_RATIO)
# モデルを定義
lstm = create_model(x_train_lstm.shape[-2:])
rfr = RandomForestRegressor(max_depth=5,
random_state=RANDOM_STATE,
n_estimators=100)
xgb = xgboost.XGBRegressor(n_estimators=100, random_state=RANDOM_STATE)
lgbm = lightgbm.LGBMRegressor(n_estimators=100, random_state=RANDOM_STATE)
svm = SVR()
# モデルを学習
# lstm.fit(x_train_lstm, y_train_lstm, batch_size=BATCH_SIZE, epochs=EPOCHS,
# verbose=1, validation_data=(x_test_lstm, y_test_lstm))
rfr.fit(x_train, y_train)
xgb.fit(x_train, y_train)
lgbm.fit(x_train, y_train)
svm.fit(x_train, y_train)
# モデルで予測
# y_pred_lstm = lstm.predict(x_test_lstm)
y_pred_rfr = rfr.predict(x_test)
y_pred_xgb = xgb.predict(x_test)
y_pred_lgbm = lgbm.predict(x_test)
y_pred_svm = svm.predict(x_test)
def hold_out_lgb_validation(X, y, params, eval_metric='mae', columns=None,
plot_feature_importance=False,
verbose=10000, early_stopping_rounds=200, n_estimators=50000, ):
columns = X.columns if columns is None else columns
# to set up scoring parameters
metrics_dict = {'mae': {'lgb_metric_name': 'mae',
'catboost_metric_name': 'MAE',
'sklearn_scoring_function': metrics.mean_absolute_error},
'group_mae': {'lgb_metric_name': 'mae',
'catboost_metric_name': 'MAE',
'scoring_function': group_mean_log_mae},
'mse': {'lgb_metric_name': 'mse',
'catboost_metric_name': 'MSE',
'sklearn_scoring_function': metrics.mean_squared_error}
}
result_dict = {}
X_train, X_valid, y_train, y_valid = train_test_split(X[columns], y, test_size=0.1, random_state=42)
eval_result = {}
callbacks = [lgb.record_evaluation(eval_result)]
model:lgb.LGBMRegressor = lgb.LGBMRegressor(**params, n_estimators=n_estimators, n_jobs=-1, importance_type='gain')
print(model)
model.fit(X_train, y_train,
eval_set=[(X_train, y_train), (X_valid, y_valid)],
eval_metric=metrics_dict[eval_metric]['lgb_metric_name'],
verbose=verbose, early_stopping_rounds=early_stopping_rounds,
callbacks=callbacks)
y_pred_valid = model.predict(X_valid)
if eval_metric != 'group_mae':
score = metrics_dict[eval_metric]['sklearn_scoring_function'](y_valid, y_pred_valid)
else:
score = metrics_dict[eval_metric]['scoring_function'](y_valid, y_pred_valid, X_valid['type'])
if plot_feature_importance:
# feature importance
feature_importance = pd.DataFrame()
feature_importance["feature"] = columns
feature_importance["importance"] = model.feature_importances_
else:
feature_importance = None
try:
cv_score_msg = f'{DATA_VERSION}_{TRIAL_NO}' + f' HOLD_OUT score: {score:.4f} .'
print(cv_score_msg)
if not DEBUG and LINE_MSG:
send_message(cv_score_msg)
except Exception as e:
print(e)
pass
result_dict["model"] = model
result_dict['y_pred_valid'] = pd.DataFrame(y_pred_valid, index=X_valid.index, columns=["scalar_coupling_constant"])
result_dict['score'] = score
result_dict["importance"] = feature_importance
result_dict["eval_result"] = eval_result
result_dict["best_iteration"] = model.best_iteration_
return result_dict
"rougher.input.floatbank11_copper_sulfate",
"rougher.input.feed_sol",
"rougher.input.feed_size"
])
#
# COLS_TO_DIFF_TOP20 = [
#
# ]
level0_models_rougher = {}
obj = 'mae'
level0_models_rougher['LGBM_rougher_base_a'] = lgb.LGBMRegressor(
objective=obj,
learning_rate=0.05,
n_estimators=500,
random_state=91,
**{
'max_depth': 5,
'num_leaves': 100,
'feature_fraction': '0.363',
'bagging_fraction': '0.262'
})
level0_models_rougher['LGBM_rougher_base_b'] = lgb.LGBMRegressor(
objective=obj,
learning_rate=0.05,
n_estimators=500,
random_state=92,
**{
'max_depth': 4,
'num_leaves': 110,
'feature_fraction': '0.448',
'bagging_fraction': '0.445'
from sklearn.cross_validation import StratifiedKFold
seed_ls = []
# 五折交叉训练，构造五个模型
skf = list(StratifiedKFold(y, n_folds=5, shuffle=True, random_state=1024))
baseloss = []
loss = 0
for i, (train_index, test_index) in enumerate(skf):
print("Fold", i)
model = lgb.LGBMRegressor(objective='regression',
num_leaves=125,
learning_rate=0.05,
n_estimators=2500,
boosting_type="gbdt",
max_depth=-1,
seed=2018,
num_thread=-1,
max_bin=425,
bagging_fraction=0.8,
colsample_bytree=0.9,
subsample=0.8,
lambda_l2=0.20)
#
#------------------------------------#
lgb_model = model.fit(X[train_index],
y[train_index],
eval_names=['train', 'valid'],
eval_metric='rmse',
eval_set=[(X[train_index], y[train_index]),
(X[test_index], y[test_index])],
early_stopping_rounds=100)
def model():
"""
处理过程，在示例中，使用随机方法生成结果，并将结果文件存储到预测结果路径下。
:return:
"""
# import xgboost as xgb
# dtrain=xgb.DMatrix(X_train, label=y_train)
# dtest=xgb.DMatrix(X_test, label=y_test)
# dval = xgb.DMatrix(X_val)
# param = {'learning_rate' : 0.1, 'n_estimators': 1000, 'max_depth': 3,
# 'min_child_weight': 5, 'gamma': 0, 'subsample': 1.0, 'colsample_bytree': 0.8,
# 'scale_pos_weight': 1, 'eta': 0.05, 'silent': 1, 'objective': 'reg:linear'}
# num_round = 283
# param['nthread'] = 4
# param['eval_metric'] = "auc"
# param.update({'eval_metric': 'logloss'})
# plst = param.items()
# evallist = [(dtest, 'eval'), (dtrain, 'train')]
# xgbr=xgb.train(plst, dtrain, num_round, evallist)
# from sklearn.model_selection import GridSearchCV
## import xgboost as xgb
# from xgboost.sklearn import XGBRegressor
#
# cv_params = { 'max_depth':list(range(10,2,-1)),'min_child_weight':list(range(6,1,-1)}
# other_params = {'learning_rate': 0.1, 'seed': 0, 'n_estimators': 500,'subsample': 0.8,
# 'colsample_bytree': 0.8, 'gamma': 0, 'reg_alpha': 0, 'reg_lambda': 1}
#
# model = XGBRegressor(**other_params)
# xgbr = GridSearchCV(estimator=model, param_grid=cv_params, cv=5, verbose=1, n_jobs=4)
# xgbr.fit(X_train, y_train)
# print('每轮迭代运行结果:{0}'.format(xgbr.grid_scores_))
# print('参数的最佳取值：{0}'.format(xgbr.best_params_))
# print('最佳模型得分:{0}'.format(xgbr.best_score_))
# from sklearn.ensemble import RandomForestRegressor
# xgbr = RandomForestRegressor()
# xgbr.fit(X_train, y_train)
from xgboost import XGBRegressor
xgbr = XGBRegressor(max_depth=4)
print(xgbr)
xgbr.fit(X_train, y_train)
import lightgbm as lgb
lgbr = lgb.LGBMRegressor(max_depth=6)
print(lgbr)
lgbr.fit(X_train, y_train)
# xgbr = XGBRegressor(base_score=0.5, colsample_bylevel=1, colsample_bytree=1, gamma=0,
# learning_rate=0.1, max_delta_step=0, max_depth=5,
# min_child_weight=1, missing=None, n_estimators=100, nthread=-1,
# objective='reg:linear', reg_alpha=0, reg_lambda=1,
# scale_pos_weight=1, seed=0, silent=True, subsample=1)
# from xgboost import plot_importance
# from matplotlib import pyplot
# plot_importance(xgbr,importance_type = 'cover')
# pyplot.show()
# from sklearn import preprocessing
# Pred = preprocessing.scale(xgbr.predict(X_val))
# Pred = xgbr.predict(X_val)
# Pred=(xgbr.predict(X_val)-xgbr.predict(X_val).min())/((xgbr.predict(X_val).max()-xgbr.predict(X_val).min()))
# prep_1=np.log(xgbr.predict(X_val))
Id_pred = pd.DataFrame()
Id_pred['Id'] = X_val_df.index
Id_pred['pred_1'] = xgbr.predict(X_val)
Id_pred['pred_2'] = lgbr.predict(X_val)
# Id_pred['Pred']=prep_1
Id_pred['Pred'] = 0.6 * Id_pred['pred_1'].rank(
) + 0.4 * Id_pred['pred_2'].rank()
del Id_pred['pred_1'], Id_pred['pred_2']
Id_pred.to_csv(path_test_out + "test.csv", index=None)
# print(Id_pred['Pred'])#.value_counts().sort_values()
from sklearn.metrics import r2_score, mean_squared_error, mean_absolute_error
print('The score is:', xgbr.score(X_test, y_test))
print('The r2_score is:', r2_score(y_test, xgbr.predict(X_test)))
print('The mean_squared_error is:',
mean_squared_error(y_test, xgbr.predict(X_test)))
print('The mean_absolute_error is:',
mean_absolute_error(y_test, xgbr.predict(X_test)))
def to_local(self):
model = lightgbm.LGBMRegressor(**self.get_params())
self._copy_extra_params(self, model)
return model
def identify_zero_importance(self,
task,
eval_metric=None,
n_iterations=10,
early_stopping=True):
"""
Identify the features with zero importance according to a gradient boosting machine.
The gbm can be trained with early stopping using a validation set to prevent overfitting.
The feature importances are averaged over `n_iterations` to reduce variance.
Uses the LightGBM implementation (http://lightgbm.readthedocs.io/en/latest/index.html)
Parameters
--------
eval_metric : string
Evaluation metric to use for the gradient boosting machine for early stopping. Must be
provided if `early_stopping` is True
task : string
The machine learning task, either 'classification' or 'regression'
n_iterations : int, default = 10
Number of iterations to train the gradient boosting machine
early_stopping : boolean, default = True
Whether or not to use early stopping with a validation set when training
Notes
--------
- Features are one-hot encoded to handle the categorical variables before training.
- The gbm is not optimized for any particular task and might need some hyperparameter tuning
- Feature importances, including zero importance features, can change across runs
"""
if early_stopping and eval_metric is None:
raise ValueError(
"""eval metric must be provided with early stopping. Examples include "auc" for classification or
"l2" for regression.""")
if self.labels is None:
raise ValueError("No training labels provided.")
# One hot encoding
features = pd.get_dummies(self.data)
self.one_hot_features = [
column for column in features.columns
if column not in self.base_features
]
# Add one hot encoded data to original data
self.data_all = pd.concat([features[self.one_hot_features], self.data],
axis=1)
# Extract feature names
feature_names = list(features.columns)
# Convert to np array
features = np.array(features)
labels = np.array(self.labels).reshape((-1, ))
# Empty array for feature importances
feature_importance_values = np.zeros(len(feature_names))
print('Training Gradient Boosting Model\n')
# Iterate through each fold
for _ in range(n_iterations):
if task == 'classification':
model = lgb.LGBMClassifier(n_estimators=1000,
learning_rate=0.05,
verbose=-1)
elif task == 'regression':
model = lgb.LGBMRegressor(n_estimators=1000,
learning_rate=0.05,
verbose=-1)
else:
raise ValueError(
'Task must be either "classification" or "regression"')
# If training using early stopping need a validation set
if early_stopping:
train_features, valid_features, train_labels, valid_labels = train_test_split(
features, labels, test_size=0.15, stratify=labels)
# Train the model with early stopping
model.fit(train_features,
train_labels,
eval_metric=eval_metric,
eval_set=[(valid_features, valid_labels)],
early_stopping_rounds=100,
verbose=-1)
# Clean up memory
gc.enable()
del train_features, train_labels, valid_features, valid_labels
gc.collect()
else:
model.fit(features, labels)
# Record the feature importances
feature_importance_values += model.feature_importances_ / n_iterations
feature_importances = pd.DataFrame({
'feature':
feature_names,
'importance':
feature_importance_values
})
# Sort features according to importance
feature_importances = feature_importances.sort_values(
'importance', ascending=False).reset_index(drop=True)
# Normalize the feature importances to add up to one
feature_importances['normalized_importance'] = feature_importances[
'importance'] / feature_importances['importance'].sum()
feature_importances['cumulative_importance'] = np.cumsum(
feature_importances['normalized_importance'])
# Extract the features with zero importance
record_zero_importance = feature_importances[
feature_importances['importance'] == 0.0]
to_drop = list(record_zero_importance['feature'])
self.feature_importances = feature_importances
self.record_zero_importance = record_zero_importance
self.ops['zero_importance'] = to_drop
print('\n%d features with zero importance after one-hot encoding.\n' %
len(self.ops['zero_importance']))
np.where(rmse_oob_all == np.min(rmse_oob_all))[0][0]]
regression_model = RandomForestRegressor(
n_estimators=random_forest_number_of_trees,
max_features=int(
max(
math.ceil(autoscaled_x_train.shape[1] *
optimal_random_forest_x_variables_rate), 1)),
oob_score=True)
elif method == 'gp': # Gaussian process
regression_model = GaussianProcessRegressor(ConstantKernel() * RBF() +
WhiteKernel(),
alpha=0)
elif method == 'lgb': # LightGBM
import lightgbm as lgb
regression_model = lgb.LGBMRegressor()
elif method == 'xgb': # XGBoost
import xgboost as xgb
regression_model = xgb.XGBRegressor()
elif method == 'gbdt': # scikit-learn
from sklearn.ensemble import GradientBoostingRegressor
regression_model = GradientBoostingRegressor()
regression_model.fit(autoscaled_x_train, autoscaled_y_train)
# calculate y
calculated_ytrain = np.ndarray.flatten(
regression_model.predict(autoscaled_x_train))
if do_autoscaling:
calculated_ytrain = calculated_ytrain * y_train.std(
def train_lgb_regression_alldata(X,
X_test,
y,
params,
eval_metric='mae',
columns=None,
plot_feature_importance=False,
model=None,
verbose=10000,
n_estimators=50000,
mol_type=-1):
"""
A function to train a variety of regression models.
Returns dictionary with oof predictions, test predictions, scores and, if necessary, feature importances.
:params: X - training data, can be pd.DataFrame or np.ndarray (after normalizing)
:params: X_test - test data, can be pd.DataFrame or np.ndarray (after normalizing)
:params: y - target
:params: model_type - type of model to use
:params: eval_metric - metric to use
:params: columns - columns to use. If None - use all columns
:params: plot_feature_importance - whether to plot feature importance of LGB
:params: model - sklearn model, works only for "sklearn" model type
"""
columns = X.columns if columns is None else columns
X_test = X_test[columns]
X_train, y_train = X[columns], y
# to set up scoring parameters
metrics_dict = {
'mae': {
'lgb_metric_name': 'mae',
'catboost_metric_name': 'MAE',
'sklearn_scoring_function': metrics.mean_absolute_error
},
'group_mae': {
'lgb_metric_name': 'mae',
'catboost_metric_name': 'MAE',
'scoring_function': group_mean_log_mae
},
'mse': {
'lgb_metric_name': 'mse',
'catboost_metric_name': 'MSE',
'sklearn_scoring_function': metrics.mean_squared_error
}
}
result_dict = {}
model = lgb.LGBMRegressor(**params, n_estimators=n_estimators, n_jobs=-1)
model.fit(X_train,
y_train,
eval_set=[(X_train, y_train)],
eval_metric=metrics_dict[eval_metric]['lgb_metric_name'],
verbose=verbose)
result_dict['prediction'] = model.predict(X_test)
if plot_feature_importance:
# feature importance
feature_importance = pd.DataFrame()
feature_importance["feature"] = columns
feature_importance["importance"] = model.feature_importances_
result_dict['feature_importance'] = feature_importance
return result_dict
def make_regressor(iterations=6000, clf=None):
if clf == 'cat':
clf = CatBoostRegressor(
loss_function='RMSE',
# eval_metric="WKappa",
task_type="CPU",
#learning_rate=0.01,
iterations=iterations,
od_type="Iter",
#depth=4,
early_stopping_rounds=500,
#l2_leaf_reg=10,
#border_count=96,
random_seed=SEED,
#use_best_model=True
)
if clf == 'xgb':
clf = xgb.XGBRegressor(
n_estimators = 5000,
max_depth = 10,
min_child_weight = 3,
gamma = 0.25,
n_jobs = -1,
#verbosity=3,
random_state=SEED
)
if clf == 'lgb':
clf = lgb.LGBMRegressor(
learning_rate = 0.01,
n_estimators = 2000,
max_depth = 15,
#reg_alpha = 1,
#reg_lambda = 1,
random_state=SEED
)
if clf == 'ngb':
clf = NGBRegressor(
Dist=Normal,
Score=MLE,
Base=default_tree_learner,
natural_gradient=True,
n_estimators=2000,
learning_rate=0.01,
minibatch_frac=0.6,
verbose=True,
verbose_eval=50
)
if clf == 'ext':
clf = ExtraTreesRegressor(
#learning_rate = 0.01,
n_estimators = 2000,
max_depth = 15,
#reg_alpha = 1,
#reg_lambda = 1,
random_state=SEED,
verbose=3,
#n_jobs=-1
)
return clf
def optimize(self):
dataset = self._get_data()
remove_columns = ['id', 'score']
x_columns = [column for column in dataset.columns if column not in remove_columns]
x_data = dataset[x_columns]
y_data = dataset['score']
"""n_estimators: best:239 best_score: 14.847823004441079"""
# params = {
# 'boosting_type': 'gbdt',
# 'objective': 'mae',
# 'learning_rate': 0.1,
# 'num_leaves': 50,
# 'max_depth': 6,
# 'subsample': 0.8,
# 'colsample_bytree': 0.8,
# }
# dtrain = lgb.Dataset(x_data, y_data)
# cv_results = lgb.cv(params, dtrain, num_boost_round=1000, nfold=5, stratified=False, shuffle=True,
# metrics='mae', early_stopping_rounds=50, verbose_eval=50, show_stdv=True, seed=2018)
# print('best n_estimators:', len(cv_results['l1-mean']))
# print('best cv score:', cv_results['l1-mean'][-1])
"""max_depth:6 num_leaves:31 best_score:14.803535507027162"""
# params = {
# 'boosting_type': 'gbdt',
# 'objective': 'mae',
# 'n_estimators': 239,
# 'metric': 'mae',
# 'learning_rate': 0.1,
# 'num_leaves': 50,
# 'max_depth': 6,
# 'subsample': 0.8,
# 'colsample_bytree': 0.8,
# }
# grid_params = {
# 'max_depth': [6],
# 'num_leaves': [28, 29, 30, 31, 32, 33, 34, 35]
# }
# gbm = lgb.LGBMRegressor(**params)
# grid_search = GridSearchCV(gbm, param_grid=grid_params, scoring='neg_mean_absolute_error', cv=5, verbose=1,
# n_jobs=5)
# grid_search.fit(x_data, y_data)
# print(f'best params: {grid_search.best_params_}')
# print(f'best score: {grid_search.best_score_}')
"""min_child_samples:43 min_child_weight:0 best_score:14.783911433202508"""
# params = {
# 'boosting_type': 'gbdt',
# 'objective': 'mae',
# 'n_estimators': 239,
# 'metric': 'mae',
# 'learning_rate': 0.1,
# 'num_leaves': 31,
# 'max_depth': 6,
# 'subsample': 0.8,
# 'colsample_bytree': 0.8,
# }
# grid_params = {
# 'min_child_samples': [43],
# 'min_child_weight': [0, 0.001]
# }
# gbm = lgb.LGBMRegressor(**params)
# grid_search = GridSearchCV(gbm, param_grid=grid_params, scoring='neg_mean_absolute_error', cv=5, verbose=1,
# n_jobs=5)
# grid_search.fit(x_data, y_data)
# print(f'best params: {grid_search.best_params_}')
# print(f'best score: {grid_search.best_score_}')
"""subsample:0.32 colsample_bytree:0.36 best_score:14.771928920921576"""
# params = {
# 'boosting_type': 'gbdt',
# 'objective': 'mae',
# 'n_estimators': 239,
# 'metric': 'mae',
# 'learning_rate': 0.1,
# 'min_child_samples': 43,
# 'min_child_weight': 0,
# 'num_leaves': 65,
# 'max_depth': 6,
# 'subsample': 0.8,
# 'colsample_bytree': 0.8,
# }
# grid_params = {
# 'subsample': [0.32, 0.34, 0.36, 0.38, 0.4, 0.42, 0.44, 0.46, 0.48, 0.5],
# 'colsample_bytree': [0.32, 0.34, 0.36, 0.38, 0.4, 0.42, 0.44, 0.46, 0.48, 0.5]
# }
# gbm = lgb.LGBMRegressor(**params)
# grid_search = GridSearchCV(gbm, param_grid=grid_params, scoring='neg_mean_absolute_error', cv=5, verbose=1,
# n_jobs=5)
# grid_search.fit(x_data, y_data)
# print(f'best params: {grid_search.best_params_}')
# print(f'best score: {grid_search.best_score_}')
"""reg_alpha:2 reg_lambda:0.1 best_score:14.75515862949816"""
# params = {
# 'boosting_type': 'gbdt',
# 'objective': 'mae',
# 'n_estimators': 239,
# 'metric': 'mae',
# 'learning_rate': 0.1,
# 'min_child_samples': 43,
# 'min_child_weight': 0,
# 'num_leaves': 65,
# 'max_depth': 6,
# 'subsample': 0.32,
# 'colsample_bytree': 0.36,
# }
# grid_params = {
# 'reg_alpha': [0.01, 0.02, 0.05, 0.1, 0.2, 0.5, 1, 2, 3],
# 'reg_lambda': [0.01, 0.02, 0.05, 0.1, 0.2, 0.5, 1, 2, 3],
# }
# gbm = lgb.LGBMRegressor(**params)
# grid_search = GridSearchCV(gbm, param_grid=grid_params, scoring='neg_mean_absolute_error', cv=5, verbose=1,
# n_jobs=5)
# grid_search.fit(x_data, y_data)
# print(f'best params: {grid_search.best_params_}')
# print(f'best score: {grid_search.best_score_}')
"""learning_rate:0.1 best_score:14.778696016248404"""
# params = {
# 'boosting_type': 'gbdt',
# 'objective': 'mae',
# 'n_estimators': 239,
# 'metric': 'mae',
# 'learning_rate': 0.1,
# 'min_child_samples': 43,
# 'min_child_weight': 0,
# 'num_leaves': 65,
# 'max_depth': 6,
# 'subsample': 0.32,
# 'colsample_bytree': 0.36,
# 'reg_alpha': 2,
# 'reg_lambda': 0.1,
# }
# grid_params = {
# 'learning_rate': [0.001, 0.005, 0.01, 0.05, 0.1],
# }
# gbm = lgb.LGBMRegressor(**params)
# grid_search = GridSearchCV(gbm, param_grid=grid_params, scoring='neg_mean_absolute_error', cv=5, verbose=1,
# n_jobs=5)
# grid_search.fit(x_data, y_data)
# print(f'best params: {grid_search.best_params_}')
# print(f'best score: {grid_search.best_score_}')
params = {
'boosting_type': 'gbdt',
'objective': 'mae',
'n_estimators': 10000,
'metric': 'mae',
'learning_rate': 0.01,
'min_child_samples': 46,
'min_child_weight': 0.01,
'subsample_freq': 1,
'num_leaves': 40,
'max_depth': 7,
'subsample': 0.42,
'colsample_bytree': 0.48,
'reg_alpha': 2,
'reg_lambda': 0.1,
'verbose': -1,
'seed': 4590
}
grid_params = {
'subsample': [0.45, 0.5, 0.55],
'colsample_bytree': [0.85, 0.9, 0.95]
}
gbm = lgb.LGBMRegressor(**params)
grid_search = GridSearchCV(gbm, param_grid=grid_params, scoring='neg_mean_absolute_error', cv=5, verbose=1,
n_jobs=5)
grid_search.fit(x_data, y_data)
print(f'best params: {grid_search.best_params_}')
print(f'best score: {grid_search.best_score_}')
d_train = pd.concat([y_train, X_train], ignore_index=True, axis=1)
print("X_train={}, y_train={} d_train={}".format(
X_train.shape, y_train.shape, d_train.shape))
np.savetxt("D:/LightGBM-master/examples/regression/geo_test.csv",
d_train,
delimiter='\t')
if model_type == 'mort':
model = LiteMORT(params).fit(X_train,
y_train,
eval_set=[(X_valid, y_valid)])
#y_pred_valid = model.predict(X_valid)
#y_pred = model.predict(X_test)
if model_type == 'lgb':
model = lgb.LGBMRegressor(**params, n_jobs=-1)
model.fit(X_train,
y_train,
eval_set=[(X_train, y_train), (X_valid, y_valid)],
eval_metric='auc',
verbose=5)
model.booster_.save_model('geo_test_.model')
#y_pred_valid = model.predict(X_valid)
#y_pred = model.predict(X_test, num_iteration=model.best_iteration_)
break
input("loss is {} time={:.3g} model={}...".format(0,
time.time() - t0,
model_type))
sys.exit(-1)
from sklearn.metrics import mean_squared_error
from sklearn.model_selection import GridSearchCV
print('Loading data...')
# load or create your dataset
df_train = pd.read_csv('../regression/regression.train', header=None, sep='\t')
df_test = pd.read_csv('../regression/regression.test', header=None, sep='\t')
y_train = df_train[0]
y_test = df_test[0]
X_train = df_train.drop(0, axis=1)
X_test = df_test.drop(0, axis=1)
print('Starting training...')
# train
gbm = lgb.LGBMRegressor(num_leaves=31, learning_rate=0.05, n_estimators=20)
gbm.fit(X_train,
y_train,
eval_set=[(X_test, y_test)],
eval_metric='l1',
early_stopping_rounds=5)
print('Starting predicting...')
# predict
y_pred = gbm.predict(X_test, num_iteration=gbm.best_iteration_)
# eval
print('The rmse of prediction is:', mean_squared_error(y_test, y_pred)**0.5)
# feature importances
print('Feature importances:', list(gbm.feature_importances_))
def main(sum_of_logs=False, nrows=None):
try:
trn_users, trn_y, indexers = get_user_data(file_name=TRN_PATH,
cat_indexers=None,
nrows=nrows,
sum_of_logs=sum_of_logs)
sub_users, _, _ = get_user_data(file_name=SUB_PATH,
cat_indexers=indexers,
nrows=nrows)
folds = KFold(n_splits=5, shuffle=True, random_state=7956112)
sub_preds = np.zeros(sub_users.shape[0])
oof_preds = np.zeros(trn_users.shape[0])
oof_scores = []
lgb_params = {
'learning_rate': 0.03,
'n_estimators': 2000,
'num_leaves': 128,
'subsample': 0.2217,
'colsample_bytree': 0.6810,
'min_split_gain': np.power(10.0, -4.9380),
'reg_alpha': np.power(10.0, -3.2454),
'reg_lambda': np.power(10.0, -4.8571),
'min_child_weight': np.power(10.0, 2),
'silent': True
}
for fold_, (trn_, val_) in enumerate(folds.split(trn_users)):
model = lgb.LGBMRegressor(**lgb_params)
model.fit(trn_users.iloc[trn_],
trn_y.iloc[trn_],
eval_set=[(trn_users.iloc[trn_], trn_y.iloc[trn_]),
(trn_users.iloc[val_], trn_y.iloc[val_])],
eval_metric='rmse',
early_stopping_rounds=100,
verbose=0)
oof_preds[val_] = model.predict(trn_users.iloc[val_])
curr_sub_preds = model.predict(sub_users)
curr_sub_preds[curr_sub_preds < 0] = 0
sub_preds += curr_sub_preds / folds.n_splits
# preds[preds <0] = 0
logger.info('Fold %d RMSE (raw output) : %.5f' %
(fold_ + 1, rmse(trn_y.iloc[val_], oof_preds[val_])))
oof_preds[oof_preds < 0] = 0
oof_scores.append(rmse(trn_y.iloc[val_], oof_preds[val_]))
logger.info('Fold %d RMSE : %.5f' % (fold_ + 1, oof_scores[-1]))
logger.info('Full OOF RMSE (zero clipped): %.5f +/- %.5f' %
(rmse(trn_y, oof_preds), float(np.std(oof_scores))))
# Stay in logs for submission
sub_users['PredictedLogRevenue'] = sub_preds
sub_users[['PredictedLogRevenue']].to_csv("simple_lgb.csv", index=True)
logger.info('Submission data shape : {}'.format(
sub_users[['PredictedLogRevenue']].shape))
hist, bin_edges = np.histogram(np.hstack((oof_preds, sub_preds)),
bins=25)
plt.figure(figsize=(12, 7))
plt.title('Distributions of OOF and TEST predictions',
fontsize=15,
fontweight='bold')
plt.hist(oof_preds,
label='OOF predictions',
alpha=.6,
bins=bin_edges,
density=True,
log=True)
plt.hist(sub_preds,
label='TEST predictions',
alpha=.6,
bins=bin_edges,
density=True,
log=True)
plt.legend()
plt.savefig('distributions.png')
except Exception as err:
logger.exception("Unexpected error")
def run_hyperopt(self, param_space, X_vars, model_params, fmin_max_evals,
algo = 'tpe', metric = 'balanced_accuracy_score',
trials_obj = None, model_type = 'indicator'):
'''
Function to run Bayeisan or Random Search hyperparameter optimization
'''
#Builds the model object to conduct hyperparameter tuning on
if model_type == 'indicator':
hyperopt_model = lightgbm.LGBMModel(**model_params, importance_type = 'gain')
elif model_type == 'regressor':
hyperopt_model = lightgbm.LGBMRegressor(**model_params, importance_type = 'gain')
eval_set = [(self.df_tune[X_vars], self.df_tune[self.target])]
hyperopt_model.fit(X =self.df_train[X_vars],
y = self.df_train[self.target],
eval_set = eval_set,
verbose = False)
data = self.df_tune
def evaluate_metric(params):
hyperopt_model.set_params(**params, bagging_freq = 1 ).fit(X =self.df_train[X_vars],
y = self.df_train[self.target],
eval_set = eval_set,
verbose = False)
eval_x = data[X_vars]
y_true = data[self.target]
y_score = hyperopt_model.predict(eval_x)
y_pred = [np.argmax(i) for i in y_score]
if isinstance(metric, str):
sk_scorer = getattr(metrics, metric, None)
if sk_scorer is None:
print(f"Specified metric {metric} does not exist in sklearn")
score = sk_scorer(y_true = y_true, y_pred = y_pred)
return {'loss': -score, 'params': params, 'status': STATUS_OK }
if trials_obj is None:
self.trials = Trials()
else:
self.trials = trials_obj
if algo == 'tpe':
algo = tpe.suggest
elif algo == 'random':
algo = rand.suggest
best_params = fmin(
evaluate_metric,
space = param_space,
algo = algo,
max_evals = fmin_max_evals,
rstate = np.random.RandomState(self.seed),
trials = self.trials
)
return best_params, self.trials
model_random_state = 5
params = {
'max_depth': range(6,15),
'num_leaves': range(20, 100, 10),
# 'min_child_samples': [18, 19, 20, 21, 22],
# 'min_child_weight':[0.001, 0.002],
'feature_fraction': [0.5, 0.6, 0.7,0.8],
'bagging_fraction': [0.1, 0.2, 0.3, 0.4, 0.5, 0.6, 0.7],
'reg_alpha': [ 0.6, 0.7, 0.8, 0.9, 1],
'reg_lambda': [ 0.6, 0.7, 0.8, 0.9, 1]
}
model_lgb = lgb.LGBMRegressor(objective='regression',num_leaves=50,
learning_rate=0.1, n_estimators=40, max_depth=6,
metric='rmse', bagging_fraction = 0.5,feature_fraction = 0.4)
rc = RandomizedSearchCV(model_lgb, params, cv=5, random_state=model_random_state)
rc.fit(train_X_PM25,train_y_PM25)
#%%
print('best params: ', rc.best_params_)
print('best score: ', rc.best_score_)
best_position = rc.best_index_
print('best train score:', rc.cv_results_['mean_train_score'][best_position])
print('best train std:', rc.cv_results_['std_train_score'][best_position])
print('best test score:', rc.cv_results_['mean_test_score'][best_position])
print('best test std:', rc.cv_results_['std_test_score'][best_position])
# best params: {'reg_lambda': 0.9, 'reg_alpha': 0.6, 'num_leaves': 60, 'max_depth': 14, 'feature_fraction': 0.5, 'bagging_fraction': 0.3}
# best score: 0.8011678911600456
# best train score: 0.9083334290707444
def train_model(X,
X_test,
y,
folds,
params=None,
model_type='lgb',
plot_feature_importance=False,
model=None):
oof = np.zeros(len(X))
prediction = np.zeros(len(X_test))
scores = []
feature_importance = pd.DataFrame()
for fold_n, (train_index, valid_index) in enumerate(folds.split(X)):
print('Fold', fold_n, 'started at', time.ctime())
if type(X) == np.ndarray:
X_train, X_valid = X[train_index], X[valid_index]
y_train, y_valid = y[train_index], y[valid_index]
else:
X_train, X_valid = X.iloc[train_index], X.iloc[valid_index]
y_train, y_valid = y.iloc[train_index], y.iloc[valid_index]
if model_type == 'lgb':
model = lgb.LGBMRegressor(**params, n_estimators=1000, n_jobs=-1)
model.fit(X_train,
y_train,
eval_set=[(X_train, y_train), (X_valid, y_valid)],
eval_metric='mae',
verbose=100,
early_stopping_rounds=200)
y_pred_valid = model.predict(X_valid)
y_pred = model.predict(X_test, num_iteration=model.best_iteration_)
if model_type == 'xgb':
train_data = xgb.DMatrix(data=X_train,
label=y_train,
feature_names=X.columns)
valid_data = xgb.DMatrix(data=X_valid,
label=y_valid,
feature_names=X.columns)
watchlist = [(train_data, 'train'), (valid_data, 'valid_data')]
model = xgb.train(dtrain=train_data,
num_boost_round=20000,
evals=watchlist,
early_stopping_rounds=200,
verbose_eval=500,
params=params)
y_pred_valid = model.predict(xgb.DMatrix(X_valid,
feature_names=X.columns),
ntree_limit=model.best_ntree_limit)
y_pred = model.predict(xgb.DMatrix(X_test,
feature_names=X.columns),
ntree_limit=model.best_ntree_limit)
if model_type == 'sklearn':
model = model
model.fit(X_train, y_train)
y_pred_valid = model.predict(X_valid).reshape(-1, )
score = mean_absolute_error(y_valid, y_pred_valid)
print(f'Fold {fold_n}. MAE: {score:.4f}.')
print('')
y_pred = model.predict(X_test).reshape(-1, )
if model_type == 'cat':
model = CatBoostRegressor(iterations=20000,
eval_metric='MAE',
**params)
model.fit(X_train,
y_train,
eval_set=(X_valid, y_valid),
cat_features=[],
use_best_model=True,
verbose=False)
y_pred_valid = model.predict(X_valid)
y_pred = model.predict(X_test)
oof[valid_index] = y_pred_valid.reshape(-1, )
scores.append(mean_absolute_error(y_valid, y_pred_valid))
prediction += y_pred
if model_type == 'lgb':
# feature importance
fold_importance = pd.DataFrame()
fold_importance["feature"] = X.columns
fold_importance["importance"] = model.feature_importances_
fold_importance["fold"] = fold_n + 1
feature_importance = pd.concat(
[feature_importance, fold_importance], axis=0)
prediction /= n_fold
print('CV mean score: {0:.4f}, std: {1:.4f}.'.format(
np.mean(scores), np.std(scores)))
if model_type == 'lgb':
feature_importance["importance"] /= n_fold
if plot_feature_importance:
cols = feature_importance[[
"feature", "importance"
]].groupby("feature").mean().sort_values(
by="importance", ascending=False)[:50].index
best_features = feature_importance.loc[
feature_importance.feature.isin(cols)]
plt.figure(figsize=(16, 12))
sns.barplot(x="importance",
y="feature",
data=best_features.sort_values(by="importance",
ascending=False))
plt.title('LGB Features (avg over folds)')
plt.show()
return oof, prediction, feature_importance
return oof, prediction, scores
else:
return oof, prediction, scores