def fit(self, X, y, X_validation=None, y_validation=None, log_to_file=None):
if self.cat_features is None:
self.cat_features = []
for i in range(X.shape[1]):
if PreprocessingUtils.is_categorical(X.iloc[:, i]):
self.cat_features += [i]
eval_set = None
if X_validation is not None and y_validation is not None:
eval_set = (X_validation, y_validation)
self.model.fit(
X,
y,
cat_features=self.cat_features,
init_model=None if self.model.tree_count_ is None else self.model,
eval_set=eval_set,
early_stopping_rounds=self.early_stopping_rounds,
verbose_eval=False,
)
if log_to_file is not None:
metric_name = list(self.model.evals_result_["learn"].keys())[0]
result = pd.DataFrame(
{
"iteration": range(len(self.model.evals_result_["learn"][metric_name])),
"train": self.model.evals_result_["learn"][metric_name],
"validation": self.model.evals_result_["validation"][metric_name],
}
)
result.to_csv(log_to_file, index=False, header=False)
def compute(X, y, machinelearning_task):
columns_info = {}
for col in X.columns:
columns_info[col] = []
#
empty_column = np.sum(pd.isnull(X[col]) == True) == X.shape[0]
if empty_column:
columns_info[col] += ["empty_column"]
continue
#
constant_column = len(np.unique(X.loc[~pd.isnull(X[col]),
col])) == 1
if constant_column:
columns_info[col] += ["constant_column"]
continue
#
if PreprocessingUtils.is_na(X[col]):
columns_info[col] += ["missing_values"]
#
if PreprocessingUtils.is_categorical(X[col]):
columns_info[col] += ["categorical"]
columns_info[col] += [EncodingSelector.get(X, y, col)]
elif PreprocessingUtils.is_datetime(X[col]):
columns_info[col] += ["datetime_transform"]
elif PreprocessingUtils.is_text(X[col]):
columns_info[col] = ["text_transform"
] # override other transforms
else:
# numeric type, check if scale needed
if PreprocessingUtils.is_scale_needed(X[col]):
columns_info[col] += ["scale"]
target_info = []
if machinelearning_task == BINARY_CLASSIFICATION:
if not PreprocessingUtils.is_0_1(y):
target_info += ["convert_0_1"]
if machinelearning_task == REGRESSION:
if PreprocessingUtils.is_log_scale_needed(y):
target_info += ["scale_log"]
elif PreprocessingUtils.is_scale_needed(y):
target_info += ["scale"]
num_class = None
if machinelearning_task == MULTICLASS_CLASSIFICATION:
num_class = PreprocessingUtils.num_class(y)
return {
"columns_info": columns_info,
"target_info": target_info,
"num_class": num_class,
}
def fit(self, X, y):
if self.cat_features is None:
self.cat_features = []
for i in range(X.shape[1]):
if PreprocessingUtils.is_categorical(X.iloc[:, i]):
self.cat_features += [i]
self.model.fit(
X,
y,
cat_features=self.cat_features,
init_model=None if self.model.tree_count_ is None else self.model,
)
def fit(
self,
X,
y,
sample_weight=None,
X_validation=None,
y_validation=None,
sample_weight_validation=None,
log_to_file=None,
max_time=None,
):
if self.is_fitted():
print("CatBoost model already fitted. Skip fit().")
return
if self.cat_features is None:
self.cat_features = []
for i in range(X.shape[1]):
if PreprocessingUtils.is_categorical(X.iloc[:, i]):
self.cat_features += [i]
eval_set = None
if X_validation is not None and y_validation is not None:
eval_set = Pool(
data=X_validation,
label=y_validation,
cat_features=self.cat_features,
weight=sample_weight_validation,
)
if self.params.get("num_boost_round") is None:
model_init, new_iterations = self._assess_iterations(
X, y, sample_weight, eval_set, max_time)
self.model.set_params(iterations=new_iterations)
else:
model_init = None
self.model.set_params(
iterations=self.params.get("num_boost_round"))
self.early_stopping_rounds = self.params.get(
"early_stopping_rounds", 50)
self.model.fit(
X,
y,
sample_weight=sample_weight,
cat_features=self.cat_features,
init_model=model_init,
eval_set=eval_set,
early_stopping_rounds=self.early_stopping_rounds,
verbose_eval=False,
)
if self.model.best_iteration_ is not None:
if model_init is not None:
self.best_ntree_limit = (self.model.best_iteration_ +
model_init.tree_count_ + 1)
else:
self.best_ntree_limit = self.model.best_iteration_ + 1
else:
# just take all the trees
# the warm-up trees are already included
# dont need to add +1
self.best_ntree_limit = self.model.tree_count_
if log_to_file is not None:
train_scores = self.model.evals_result_["learn"].get(
self.log_metric_name)
validation_scores = self.model.evals_result_["validation"].get(
self.log_metric_name)
if model_init is not None:
if train_scores is not None:
train_scores = (model_init.evals_result_["learn"].get(
self.log_metric_name) + train_scores)
if validation_scores is not None:
validation_scores = (
model_init.evals_result_["validation"].get(
self.log_metric_name) + validation_scores)
iteration = None
if train_scores is not None:
iteration = range(len(validation_scores))
elif validation_scores is not None:
iteration = range(len(validation_scores))
result = pd.DataFrame({
"iteration": iteration,
"train": train_scores,
"validation": validation_scores,
})
result.to_csv(log_to_file, index=False, header=False)
def get(required_preprocessing, data, machinelearning_task):
X = data["train"]["X"]
y = data["train"]["y"]
columns_preprocessing = {}
for col in X.columns:
preprocessing_to_apply = []
# remove empty columns and columns with only one variable
empty_column = np.sum(pd.isnull(X[col]) == True) == X.shape[0]
constant_column = len(np.unique(X.loc[~pd.isnull(X[col]), col])) == 1
if empty_column or constant_column:
preprocessing_to_apply += ["remove_column"]
columns_preprocessing[col] = preprocessing_to_apply
continue
# always check for missing values
if (
"missing_values_inputation" in required_preprocessing
and PreprocessingUtils.is_na(X[col])
):
preprocessing_to_apply += [PreprocessingMissingValues.FILL_NA_MEDIAN]
# convert to categorical only for categorical types
convert_to_integer_will_be_applied = False
if (
"convert_categorical" in required_preprocessing
and PreprocessingUtils.is_categorical(X[col])
):
preprocessing_to_apply += [PreprocessingCategorical.CONVERT_INTEGER]
convert_to_integer_will_be_applied = True
if "scale" in required_preprocessing:
if convert_to_integer_will_be_applied:
preprocessing_to_apply += [PreprocessingScale.SCALE_NORMAL]
# elif PreprocessingUtils.is_log_scale_needed(X[col]):
# preprocessing_to_apply += [PreprocessingScale.SCALE_LOG_AND_NORMAL]
elif PreprocessingUtils.is_scale_needed(X[col]):
preprocessing_to_apply += [PreprocessingScale.SCALE_NORMAL]
# remeber which preprocessing we need to apply
if preprocessing_to_apply:
columns_preprocessing[col] = preprocessing_to_apply
target_preprocessing = []
# always remove missing values from target,
# missing values might be in train and in validation datasets
target_preprocessing += [PreprocessingMissingValues.NA_EXCLUDE]
if machinelearning_task == BINARY_CLASSIFICATION:
if not PreprocessingUtils.is_0_1(y):
target_preprocessing += [PreprocessingCategorical.CONVERT_INTEGER]
if machinelearning_task == MULTICLASS_CLASSIFICATION:
if PreprocessingUtils.is_categorical(y):
target_preprocessing += [PreprocessingCategorical.CONVERT_INTEGER]
if machinelearning_task == REGRESSION:
if PreprocessingUtils.is_log_scale_needed(y):
target_preprocessing += [PreprocessingScale.SCALE_LOG_AND_NORMAL]
elif PreprocessingUtils.is_scale_needed(y):
target_preprocessing += [PreprocessingScale.SCALE_NORMAL]
return {
"columns_preprocessing": columns_preprocessing,
"target_preprocessing": target_preprocessing,
}
def fit(self,
X,
y,
sample_weight=None,
X_validation=None,
y_validation=None,
sample_weight_validation=None,
log_to_file=None,
max_time=None):
if self.model.tree_count_ is not None:
print("CatBoost model already fitted. Skip fit().")
return
if self.cat_features is None:
self.cat_features = []
for i in range(X.shape[1]):
if PreprocessingUtils.is_categorical(X.iloc[:, i]):
self.cat_features += [i]
eval_set = None
if X_validation is not None and y_validation is not None:
eval_set = Pool(
data=X_validation,
label=y_validation,
cat_features=self.cat_features,
weight=sample_weight_validation,
)
# disable for now ...
model_init, new_iterations = self._assess_iterations(
X, y, eval_set, max_time)
self.model.set_params(iterations=new_iterations)
self.model.fit(X,
y,
sample_weight=sample_weight,
cat_features=self.cat_features,
init_model=model_init,
eval_set=eval_set,
early_stopping_rounds=self.early_stopping_rounds,
verbose_eval=False)
if self.model.best_iteration_ is not None:
self.best_ntree_limit = self.model.best_iteration_ + self.warmup_iterations + 1
else:
# just take all the trees
# the warm-up trees are already included
# dont need to add +1
self.best_ntree_limit = self.model.tree_count_
if log_to_file is not None:
metric_name = list(self.model.evals_result_["learn"].keys())[0]
train_scores = self.model.evals_result_["learn"][metric_name]
validation_scores = self.model.evals_result_["validation"][
metric_name]
if model_init is not None:
train_scores = model_init.evals_result_["learn"][
metric_name] + train_scores
validation_scores = model_init.evals_result_["validation"][
metric_name] + validation_scores
result = pd.DataFrame({
"iteration": range(len(train_scores)),
"train": train_scores,
"validation": validation_scores,
})
result.to_csv(log_to_file, index=False, header=False)
def get(required_preprocessing, data, machinelearning_task):
X = data["train"]["X"]
y = data["train"]["y"]
columns_preprocessing = {}
for col in X.columns:
preprocessing_to_apply = []
# remove empty columns and columns with only one variable
empty_column = np.sum(pd.isnull(X[col]) == True) == X.shape[0]
constant_column = len(np.unique(X.loc[~pd.isnull(X[col]), col])) == 1
if empty_column or constant_column:
preprocessing_to_apply += ["remove_column"]
columns_preprocessing[col] = preprocessing_to_apply
continue
# always check for missing values
if (
"missing_values_inputation" in required_preprocessing
and PreprocessingUtils.is_na(X[col])
):
preprocessing_to_apply += [PreprocessingMissingValues.FILL_NA_MEDIAN]
# convert to categorical only for categorical types
convert_to_integer_will_be_applied = False
if (
"convert_categorical" in required_preprocessing
and PreprocessingUtils.is_categorical(X[col])
):
preprocessing_to_apply += [PreprocessingCategorical.CONVERT_INTEGER]
convert_to_integer_will_be_applied = True
if "scale" in required_preprocessing:
if convert_to_integer_will_be_applied:
preprocessing_to_apply += [Scale.SCALE_NORMAL]
# elif PreprocessingUtils.is_log_scale_needed(X[col]):
# preprocessing_to_apply += [Scale.SCALE_LOG_AND_NORMAL]
elif PreprocessingUtils.is_scale_needed(X[col]):
preprocessing_to_apply += [Scale.SCALE_NORMAL]
# remeber which preprocessing we need to apply
if preprocessing_to_apply:
columns_preprocessing[col] = preprocessing_to_apply
target_preprocessing = []
# always remove missing values from target,
# target with missing values might be in the train and in the validation datasets
target_preprocessing += [PreprocessingMissingValues.NA_EXCLUDE]
if "target_as_integer" in required_preprocessing:
if machinelearning_task == BINARY_CLASSIFICATION:
if not PreprocessingUtils.is_0_1(y):
target_preprocessing += [PreprocessingCategorical.CONVERT_INTEGER]
if machinelearning_task == MULTICLASS_CLASSIFICATION:
# if PreprocessingUtils.is_categorical(y):
# always convert to integer, there can be many situations that can break
# for example, classes starting from 1, ...
# or classes not for every number, for example 0,2,3,4
# just always convert
target_preprocessing += [PreprocessingCategorical.CONVERT_INTEGER]
elif "target_as_one_hot" in required_preprocessing:
target_preprocessing += [PreprocessingCategorical.CONVERT_ONE_HOT]
if (
machinelearning_task == REGRESSION
and "target_scale" in required_preprocessing
):
if PreprocessingUtils.is_log_scale_needed(y):
target_preprocessing += [Scale.SCALE_LOG_AND_NORMAL]
elif PreprocessingUtils.is_scale_needed(y):
target_preprocessing += [Scale.SCALE_NORMAL]
"""
if machinelearning_task == BINARY_CLASSIFICATION:
if not PreprocessingUtils.is_0_1(y):
target_preprocessing += [PreprocessingCategorical.CONVERT_INTEGER]
if machinelearning_task == MULTICLASS_CLASSIFICATION:
if PreprocessingUtils.is_categorical(y):
target_preprocessing += [PreprocessingCategorical.CONVERT_INTEGER]
"""
return {
"columns_preprocessing": columns_preprocessing,
"target_preprocessing": target_preprocessing,
"ml_task": machinelearning_task,
}
def optimize(
self,
algorithm,
data_type,
X_train,
y_train,
sample_weight,
X_validation,
y_validation,
sample_weight_validation,
learner_params,
):
# only tune models with original data type
if data_type != "original":
return learner_params
key = f"{data_type}_{algorithm}"
if key in self.tuning:
return self.update_learner_params(learner_params, self.tuning[key])
if self.verbose:
print(
f"Optuna optimizes {algorithm} with time budget {self.time_budget} seconds "
f"eval_metric {self.eval_metric.name} ({self.direction})")
self.cat_features_indices = []
for i in range(X_train.shape[1]):
if PreprocessingUtils.is_categorical(X_train.iloc[:, i]):
self.cat_features_indices += [i]
study = optuna.create_study(
direction=self.direction,
sampler=optuna.samplers.TPESampler(seed=self.random_state),
pruner=optuna.pruners.MedianPruner(
n_warmup_steps=self.n_warmup_steps),
)
obejctive = None
if algorithm == "LightGBM":
objective = LightgbmObjective(
self.ml_task,
X_train,
y_train,
sample_weight,
X_validation,
y_validation,
sample_weight_validation,
self.eval_metric,
self.cat_features_indices,
self.n_jobs,
self.random_state,
)
elif algorithm == "Xgboost":
objective = XgboostObjective(
self.ml_task,
X_train,
y_train,
sample_weight,
X_validation,
y_validation,
sample_weight_validation,
self.eval_metric,
self.n_jobs,
self.random_state,
)
elif algorithm == "CatBoost":
objective = CatBoostObjective(
self.ml_task,
X_train,
y_train,
sample_weight,
X_validation,
y_validation,
sample_weight_validation,
self.eval_metric,
self.cat_features_indices,
self.n_jobs,
self.random_state,
)
elif algorithm == "Random Forest":
objective = RandomForestObjective(
self.ml_task,
X_train,
y_train,
sample_weight,
X_validation,
y_validation,
sample_weight_validation,
self.eval_metric,
self.n_jobs,
self.random_state,
)
elif algorithm == "Extra Trees":
objective = ExtraTreesObjective(
self.ml_task,
X_train,
y_train,
sample_weight,
X_validation,
y_validation,
sample_weight_validation,
self.eval_metric,
self.n_jobs,
self.random_state,
)
elif algorithm == "Nearest Neighbors":
objective = KNNObjective(
self.ml_task,
X_train,
y_train,
sample_weight,
X_validation,
y_validation,
sample_weight_validation,
self.eval_metric,
self.n_jobs,
self.random_state,
)
elif algorithm == "Neural Network":
objective = NeuralNetworkObjective(
self.ml_task,
X_train,
y_train,
sample_weight,
X_validation,
y_validation,
sample_weight_validation,
self.eval_metric,
self.n_jobs,
self.random_state,
)
study.optimize(objective, n_trials=5000, timeout=self.time_budget)
self.plot_study(algorithm, data_type, study)
joblib.dump(study, os.path.join(self.study_dir, key + ".joblib"))
best = study.best_params
if algorithm == "LightGBM":
best["metric"] = objective.eval_metric_name
best["custom_eval_metric_name"] = objective.custom_eval_metric_name
best["num_boost_round"] = objective.rounds
best["early_stopping_rounds"] = objective.early_stopping_rounds
# best["learning_rate"] = objective.learning_rate
best["cat_feature"] = self.cat_features_indices
best["feature_pre_filter"] = False
best["seed"] = objective.seed
elif algorithm == "CatBoost":
best["eval_metric"] = objective.eval_metric_name
best["num_boost_round"] = objective.rounds
best["early_stopping_rounds"] = objective.early_stopping_rounds
# best["bootstrap_type"] = "Bernoulli"
# best["learning_rate"] = objective.learning_rate
best["seed"] = objective.seed
elif algorithm == "Xgboost":
best["objective"] = objective.objective
best["eval_metric"] = objective.eval_metric_name
# best["eta"] = objective.learning_rate
best["max_rounds"] = objective.rounds
best["early_stopping_rounds"] = objective.early_stopping_rounds
best["seed"] = objective.seed
elif algorithm == "Extra Trees":
# Extra Trees are not using early stopping
best["max_steps"] = objective.max_steps # each step has 100 trees
best["seed"] = objective.seed
best["eval_metric_name"] = self.eval_metric.name
elif algorithm == "Random Forest":
# Random Forest is not using early stopping
best["max_steps"] = objective.max_steps # each step has 100 trees
best["seed"] = objective.seed
best["eval_metric_name"] = self.eval_metric.name
elif algorithm == "Nearest Neighbors":
best["rows_limit"] = 100000
elif algorithm == "Neural Network":
pass
self.tuning[key] = best
self.save()
return self.update_learner_params(learner_params, best)
