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"""
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The :mod:`sklearn.feature_selection` module implements feature selection
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algorithms. It currently includes univariate filter selection methods and the
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recursive feature elimination algorithm.
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"""
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from ._univariate_selection import chi2
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from ._univariate_selection import f_classif
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from ._univariate_selection import f_oneway
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from ._univariate_selection import f_regression
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from ._univariate_selection import r_regression
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from ._univariate_selection import SelectPercentile
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from ._univariate_selection import SelectKBest
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from ._univariate_selection import SelectFpr
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from ._univariate_selection import SelectFdr
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from ._univariate_selection import SelectFwe
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from ._univariate_selection import GenericUnivariateSelect
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from ._variance_threshold import VarianceThreshold
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from ._rfe import RFE
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from ._rfe import RFECV
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from ._from_model import SelectFromModel
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from ._sequential import SequentialFeatureSelector
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from ._mutual_info import mutual_info_regression, mutual_info_classif
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from ._base import SelectorMixin
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__all__ = [
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"GenericUnivariateSelect",
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"SequentialFeatureSelector",
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"RFE",
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"RFECV",
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"SelectFdr",
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"SelectFpr",
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"SelectFwe",
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"SelectKBest",
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"SelectFromModel",
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"SelectPercentile",
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"VarianceThreshold",
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"chi2",
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"f_classif",
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"f_oneway",
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"f_regression",
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"r_regression",
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"mutual_info_classif",
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"mutual_info_regression",
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"SelectorMixin",
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]
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"""Generic feature selection mixin"""
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# Authors: G. Varoquaux, A. Gramfort, L. Buitinck, J. Nothman
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# License: BSD 3 clause
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import warnings
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from abc import ABCMeta, abstractmethod
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from operator import attrgetter
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import numpy as np
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from scipy.sparse import issparse, csc_matrix
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from ..base import TransformerMixin
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from ..cross_decomposition._pls import _PLS
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from ..utils import (
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check_array,
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safe_mask,
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safe_sqr,
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)
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from ..utils._tags import _safe_tags
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from ..utils.validation import _check_feature_names_in
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class SelectorMixin(TransformerMixin, metaclass=ABCMeta):
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"""
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Transformer mixin that performs feature selection given a support mask
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This mixin provides a feature selector implementation with `transform` and
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`inverse_transform` functionality given an implementation of
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`_get_support_mask`.
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"""
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def get_support(self, indices=False):
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"""
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Get a mask, or integer index, of the features selected.
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Parameters
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----------
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indices : bool, default=False
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If True, the return value will be an array of integers, rather
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than a boolean mask.
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Returns
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-------
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support : array
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An index that selects the retained features from a feature vector.
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If `indices` is False, this is a boolean array of shape
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[# input features], in which an element is True iff its
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corresponding feature is selected for retention. If `indices` is
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True, this is an integer array of shape [# output features] whose
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values are indices into the input feature vector.
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"""
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mask = self._get_support_mask()
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return mask if not indices else np.where(mask)[0]
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@abstractmethod
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def _get_support_mask(self):
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"""
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Get the boolean mask indicating which features are selected
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Returns
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-------
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support : boolean array of shape [# input features]
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An element is True iff its corresponding feature is selected for
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retention.
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"""
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def transform(self, X):
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"""Reduce X to the selected features.
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Parameters
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----------
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X : array of shape [n_samples, n_features]
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The input samples.
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Returns
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-------
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X_r : array of shape [n_samples, n_selected_features]
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The input samples with only the selected features.
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"""
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# note: we use _safe_tags instead of _get_tags because this is a
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# public Mixin.
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X = self._validate_data(
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X,
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dtype=None,
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accept_sparse="csr",
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force_all_finite=not _safe_tags(self, key="allow_nan"),
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reset=False,
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)
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return self._transform(X)
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def _transform(self, X):
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"""Reduce X to the selected features."""
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mask = self.get_support()
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if not mask.any():
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warnings.warn(
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"No features were selected: either the data is"
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" too noisy or the selection test too strict.",
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UserWarning,
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)
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return np.empty(0, dtype=X.dtype).reshape((X.shape[0], 0))
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if len(mask) != X.shape[1]:
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raise ValueError("X has a different shape than during fitting.")
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return X[:, safe_mask(X, mask)]
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def inverse_transform(self, X):
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"""Reverse the transformation operation.
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Parameters
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----------
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X : array of shape [n_samples, n_selected_features]
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The input samples.
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Returns
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-------
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X_r : array of shape [n_samples, n_original_features]
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`X` with columns of zeros inserted where features would have
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been removed by :meth:`transform`.
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"""
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if issparse(X):
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X = X.tocsc()
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# insert additional entries in indptr:
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# e.g. if transform changed indptr from [0 2 6 7] to [0 2 3]
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# col_nonzeros here will be [2 0 1] so indptr becomes [0 2 2 3]
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it = self.inverse_transform(np.diff(X.indptr).reshape(1, -1))
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col_nonzeros = it.ravel()
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indptr = np.concatenate([[0], np.cumsum(col_nonzeros)])
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Xt = csc_matrix(
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(X.data, X.indices, indptr),
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shape=(X.shape[0], len(indptr) - 1),
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dtype=X.dtype,
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)
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return Xt
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support = self.get_support()
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X = check_array(X, dtype=None)
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if support.sum() != X.shape[1]:
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raise ValueError("X has a different shape than during fitting.")
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if X.ndim == 1:
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X = X[None, :]
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Xt = np.zeros((X.shape[0], support.size), dtype=X.dtype)
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Xt[:, support] = X
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return Xt
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def get_feature_names_out(self, input_features=None):
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"""Mask feature names according to selected features.
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Parameters
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----------
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input_features : array-like of str or None, default=None
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Input features.
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- If `input_features` is `None`, then `feature_names_in_` is
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used as feature names in. If `feature_names_in_` is not defined,
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then the following input feature names are generated:
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`["x0", "x1", ..., "x(n_features_in_ - 1)"]`.
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- If `input_features` is an array-like, then `input_features` must
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match `feature_names_in_` if `feature_names_in_` is defined.
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Returns
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-------
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feature_names_out : ndarray of str objects
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Transformed feature names.
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"""
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input_features = _check_feature_names_in(self, input_features)
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return input_features[self.get_support()]
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def _get_feature_importances(estimator, getter, transform_func=None, norm_order=1):
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"""
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Retrieve and aggregate (ndim > 1) the feature importances
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from an estimator. Also optionally applies transformation.
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Parameters
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----------
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estimator : estimator
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A scikit-learn estimator from which we want to get the feature
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importances.
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getter : "auto", str or callable
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An attribute or a callable to get the feature importance. If `"auto"`,
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`estimator` is expected to expose `coef_` or `feature_importances`.
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transform_func : {"norm", "square"}, default=None
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The transform to apply to the feature importances. By default (`None`)
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no transformation is applied.
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norm_order : int, default=1
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The norm order to apply when `transform_func="norm"`. Only applied
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when `importances.ndim > 1`.
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Returns
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-------
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importances : ndarray of shape (n_features,)
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The features importances, optionally transformed.
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"""
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if isinstance(getter, str):
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if getter == "auto":
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if isinstance(estimator, _PLS):
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# TODO(1.3): remove this branch
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getter = attrgetter("_coef_")
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elif hasattr(estimator, "coef_"):
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getter = attrgetter("coef_")
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elif hasattr(estimator, "feature_importances_"):
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getter = attrgetter("feature_importances_")
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else:
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raise ValueError(
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"when `importance_getter=='auto'`, the underlying "
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f"estimator {estimator.__class__.__name__} should have "
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"`coef_` or `feature_importances_` attribute. Either "
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"pass a fitted estimator to feature selector or call fit "
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"before calling transform."
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)
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else:
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getter = attrgetter(getter)
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elif not callable(getter):
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raise ValueError("`importance_getter` has to be a string or `callable`")
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importances = getter(estimator)
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if transform_func is None:
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return importances
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elif transform_func == "norm":
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if importances.ndim == 1:
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importances = np.abs(importances)
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else:
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importances = np.linalg.norm(importances, axis=0, ord=norm_order)
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elif transform_func == "square":
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if importances.ndim == 1:
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importances = safe_sqr(importances)
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else:
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importances = safe_sqr(importances).sum(axis=0)
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else:
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raise ValueError(
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"Valid values for `transform_func` are "
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+ "None, 'norm' and 'square'. Those two "
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+ "transformation are only supported now"
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)
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return importances
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@@ -0,0 +1,435 @@
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# Authors: Gilles Louppe, Mathieu Blondel, Maheshakya Wijewardena
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# License: BSD 3 clause
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from copy import deepcopy
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import numpy as np
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import numbers
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from ._base import SelectorMixin
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from ._base import _get_feature_importances
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from ..base import BaseEstimator, clone, MetaEstimatorMixin
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from ..utils._tags import _safe_tags
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from ..utils.validation import check_is_fitted, check_scalar, _num_features
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from ..exceptions import NotFittedError
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from ..utils.metaestimators import available_if
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def _calculate_threshold(estimator, importances, threshold):
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"""Interpret the threshold value"""
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if threshold is None:
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# determine default from estimator
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est_name = estimator.__class__.__name__
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if (
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hasattr(estimator, "penalty") and estimator.penalty == "l1"
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) or "Lasso" in est_name:
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# the natural default threshold is 0 when l1 penalty was used
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threshold = 1e-5
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else:
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threshold = "mean"
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if isinstance(threshold, str):
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if "*" in threshold:
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scale, reference = threshold.split("*")
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scale = float(scale.strip())
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reference = reference.strip()
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if reference == "median":
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reference = np.median(importances)
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elif reference == "mean":
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reference = np.mean(importances)
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else:
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raise ValueError("Unknown reference: " + reference)
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threshold = scale * reference
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elif threshold == "median":
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threshold = np.median(importances)
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elif threshold == "mean":
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threshold = np.mean(importances)
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else:
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raise ValueError(
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"Expected threshold='mean' or threshold='median' got %s" % threshold
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)
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else:
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threshold = float(threshold)
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return threshold
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def _estimator_has(attr):
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"""Check if we can delegate a method to the underlying estimator.
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First, we check the fitted estimator if available, otherwise we
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check the unfitted estimator.
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"""
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return lambda self: (
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hasattr(self.estimator_, attr)
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if hasattr(self, "estimator_")
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else hasattr(self.estimator, attr)
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)
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class SelectFromModel(MetaEstimatorMixin, SelectorMixin, BaseEstimator):
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"""Meta-transformer for selecting features based on importance weights.
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.. versionadded:: 0.17
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Read more in the :ref:`User Guide <select_from_model>`.
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Parameters
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----------
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estimator : object
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The base estimator from which the transformer is built.
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This can be both a fitted (if ``prefit`` is set to True)
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or a non-fitted estimator. The estimator should have a
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``feature_importances_`` or ``coef_`` attribute after fitting.
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Otherwise, the ``importance_getter`` parameter should be used.
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threshold : str or float, default=None
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The threshold value to use for feature selection. Features whose
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importance is greater or equal are kept while the others are
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discarded. If "median" (resp. "mean"), then the ``threshold`` value is
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the median (resp. the mean) of the feature importances. A scaling
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factor (e.g., "1.25*mean") may also be used. If None and if the
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estimator has a parameter penalty set to l1, either explicitly
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or implicitly (e.g, Lasso), the threshold used is 1e-5.
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Otherwise, "mean" is used by default.
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prefit : bool, default=False
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Whether a prefit model is expected to be passed into the constructor
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directly or not.
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If `True`, `estimator` must be a fitted estimator.
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If `False`, `estimator` is fitted and updated by calling
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`fit` and `partial_fit`, respectively.
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norm_order : non-zero int, inf, -inf, default=1
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Order of the norm used to filter the vectors of coefficients below
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``threshold`` in the case where the ``coef_`` attribute of the
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estimator is of dimension 2.
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max_features : int, callable, default=None
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The maximum number of features to select.
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|
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- If an integer, then it specifies the maximum number of features to
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allow.
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- If a callable, then it specifies how to calculate the maximum number of
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features allowed by using the output of `max_feaures(X)`.
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- If `None`, then all features are kept.
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To only select based on ``max_features``, set ``threshold=-np.inf``.
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.. versionadded:: 0.20
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.. versionchanged:: 1.1
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`max_features` accepts a callable.
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importance_getter : str or callable, default='auto'
|
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If 'auto', uses the feature importance either through a ``coef_``
|
||||
attribute or ``feature_importances_`` attribute of estimator.
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|
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Also accepts a string that specifies an attribute name/path
|
||||
for extracting feature importance (implemented with `attrgetter`).
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||||
For example, give `regressor_.coef_` in case of
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||||
:class:`~sklearn.compose.TransformedTargetRegressor` or
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||||
`named_steps.clf.feature_importances_` in case of
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||||
:class:`~sklearn.pipeline.Pipeline` with its last step named `clf`.
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If `callable`, overrides the default feature importance getter.
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The callable is passed with the fitted estimator and it should
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||||
return importance for each feature.
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||||
|
||||
.. versionadded:: 0.24
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Attributes
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||||
----------
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||||
estimator_ : estimator
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||||
The base estimator from which the transformer is built. This attribute
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||||
exist only when `fit` has been called.
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||||
|
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- If `prefit=True`, it is a deep copy of `estimator`.
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- If `prefit=False`, it is a clone of `estimator` and fit on the data
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passed to `fit` or `partial_fit`.
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|
||||
n_features_in_ : int
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||||
Number of features seen during :term:`fit`. Only defined if the
|
||||
underlying estimator exposes such an attribute when fit.
|
||||
|
||||
.. versionadded:: 0.24
|
||||
|
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max_features_ : int
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||||
Maximum number of features calculated during :term:`fit`. Only defined
|
||||
if the ``max_features`` is not `None`.
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||||
|
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- If `max_features` is an `int`, then `max_features_ = max_features`.
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- If `max_features` is a callable, then `max_features_ = max_features(X)`.
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||||
|
||||
.. versionadded:: 1.1
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feature_names_in_ : ndarray of shape (`n_features_in_`,)
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||||
Names of features seen during :term:`fit`. Defined only when `X`
|
||||
has feature names that are all strings.
|
||||
|
||||
.. versionadded:: 1.0
|
||||
|
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threshold_ : float
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||||
The threshold value used for feature selection.
|
||||
|
||||
See Also
|
||||
--------
|
||||
RFE : Recursive feature elimination based on importance weights.
|
||||
RFECV : Recursive feature elimination with built-in cross-validated
|
||||
selection of the best number of features.
|
||||
SequentialFeatureSelector : Sequential cross-validation based feature
|
||||
selection. Does not rely on importance weights.
|
||||
|
||||
Notes
|
||||
-----
|
||||
Allows NaN/Inf in the input if the underlying estimator does as well.
|
||||
|
||||
Examples
|
||||
--------
|
||||
>>> from sklearn.feature_selection import SelectFromModel
|
||||
>>> from sklearn.linear_model import LogisticRegression
|
||||
>>> X = [[ 0.87, -1.34, 0.31 ],
|
||||
... [-2.79, -0.02, -0.85 ],
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... [-1.34, -0.48, -2.55 ],
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... [ 1.92, 1.48, 0.65 ]]
|
||||
>>> y = [0, 1, 0, 1]
|
||||
>>> selector = SelectFromModel(estimator=LogisticRegression()).fit(X, y)
|
||||
>>> selector.estimator_.coef_
|
||||
array([[-0.3252302 , 0.83462377, 0.49750423]])
|
||||
>>> selector.threshold_
|
||||
0.55245...
|
||||
>>> selector.get_support()
|
||||
array([False, True, False])
|
||||
>>> selector.transform(X)
|
||||
array([[-1.34],
|
||||
[-0.02],
|
||||
[-0.48],
|
||||
[ 1.48]])
|
||||
|
||||
Using a callable to create a selector that can use no more than half
|
||||
of the input features.
|
||||
|
||||
>>> def half_callable(X):
|
||||
... return round(len(X[0]) / 2)
|
||||
>>> half_selector = SelectFromModel(estimator=LogisticRegression(),
|
||||
... max_features=half_callable)
|
||||
>>> _ = half_selector.fit(X, y)
|
||||
>>> half_selector.max_features_
|
||||
2
|
||||
"""
|
||||
|
||||
def __init__(
|
||||
self,
|
||||
estimator,
|
||||
*,
|
||||
threshold=None,
|
||||
prefit=False,
|
||||
norm_order=1,
|
||||
max_features=None,
|
||||
importance_getter="auto",
|
||||
):
|
||||
self.estimator = estimator
|
||||
self.threshold = threshold
|
||||
self.prefit = prefit
|
||||
self.importance_getter = importance_getter
|
||||
self.norm_order = norm_order
|
||||
self.max_features = max_features
|
||||
|
||||
def _get_support_mask(self):
|
||||
estimator = getattr(self, "estimator_", self.estimator)
|
||||
max_features = getattr(self, "max_features_", self.max_features)
|
||||
|
||||
if self.prefit:
|
||||
try:
|
||||
check_is_fitted(self.estimator)
|
||||
except NotFittedError as exc:
|
||||
raise NotFittedError(
|
||||
"When `prefit=True`, `estimator` is expected to be a fitted "
|
||||
"estimator."
|
||||
) from exc
|
||||
if callable(max_features):
|
||||
# This branch is executed when `transform` is called directly and thus
|
||||
# `max_features_` is not set and we fallback using `self.max_features`
|
||||
# that is not validated
|
||||
raise NotFittedError(
|
||||
"When `prefit=True` and `max_features` is a callable, call `fit` "
|
||||
"before calling `transform`."
|
||||
)
|
||||
elif max_features is not None and not isinstance(
|
||||
max_features, numbers.Integral
|
||||
):
|
||||
raise ValueError(
|
||||
f"`max_features` must be an integer. Got `max_features={max_features}` "
|
||||
"instead."
|
||||
)
|
||||
|
||||
scores = _get_feature_importances(
|
||||
estimator=estimator,
|
||||
getter=self.importance_getter,
|
||||
transform_func="norm",
|
||||
norm_order=self.norm_order,
|
||||
)
|
||||
threshold = _calculate_threshold(estimator, scores, self.threshold)
|
||||
if self.max_features is not None:
|
||||
mask = np.zeros_like(scores, dtype=bool)
|
||||
candidate_indices = np.argsort(-scores, kind="mergesort")[:max_features]
|
||||
mask[candidate_indices] = True
|
||||
else:
|
||||
mask = np.ones_like(scores, dtype=bool)
|
||||
mask[scores < threshold] = False
|
||||
return mask
|
||||
|
||||
def _check_max_features(self, X):
|
||||
if self.max_features is not None:
|
||||
n_features = _num_features(X)
|
||||
|
||||
if isinstance(self.max_features, numbers.Integral):
|
||||
check_scalar(
|
||||
self.max_features,
|
||||
"max_features",
|
||||
numbers.Integral,
|
||||
min_val=0,
|
||||
max_val=n_features,
|
||||
)
|
||||
self.max_features_ = self.max_features
|
||||
elif callable(self.max_features):
|
||||
max_features = self.max_features(X)
|
||||
check_scalar(
|
||||
max_features,
|
||||
"max_features(X)",
|
||||
numbers.Integral,
|
||||
min_val=0,
|
||||
max_val=n_features,
|
||||
)
|
||||
self.max_features_ = max_features
|
||||
else:
|
||||
raise TypeError(
|
||||
"'max_features' must be either an int or a callable that takes"
|
||||
f" 'X' as input. Got {self.max_features} instead."
|
||||
)
|
||||
|
||||
def fit(self, X, y=None, **fit_params):
|
||||
"""Fit the SelectFromModel meta-transformer.
|
||||
|
||||
Parameters
|
||||
----------
|
||||
X : array-like of shape (n_samples, n_features)
|
||||
The training input samples.
|
||||
|
||||
y : array-like of shape (n_samples,), default=None
|
||||
The target values (integers that correspond to classes in
|
||||
classification, real numbers in regression).
|
||||
|
||||
**fit_params : dict
|
||||
Other estimator specific parameters.
|
||||
|
||||
Returns
|
||||
-------
|
||||
self : object
|
||||
Fitted estimator.
|
||||
"""
|
||||
self._check_max_features(X)
|
||||
|
||||
if self.prefit:
|
||||
try:
|
||||
check_is_fitted(self.estimator)
|
||||
except NotFittedError as exc:
|
||||
raise NotFittedError(
|
||||
"When `prefit=True`, `estimator` is expected to be a fitted "
|
||||
"estimator."
|
||||
) from exc
|
||||
self.estimator_ = deepcopy(self.estimator)
|
||||
else:
|
||||
self.estimator_ = clone(self.estimator)
|
||||
self.estimator_.fit(X, y, **fit_params)
|
||||
|
||||
if hasattr(self.estimator_, "feature_names_in_"):
|
||||
self.feature_names_in_ = self.estimator_.feature_names_in_
|
||||
else:
|
||||
self._check_feature_names(X, reset=True)
|
||||
|
||||
return self
|
||||
|
||||
@property
|
||||
def threshold_(self):
|
||||
"""Threshold value used for feature selection."""
|
||||
scores = _get_feature_importances(
|
||||
estimator=self.estimator_,
|
||||
getter=self.importance_getter,
|
||||
transform_func="norm",
|
||||
norm_order=self.norm_order,
|
||||
)
|
||||
return _calculate_threshold(self.estimator, scores, self.threshold)
|
||||
|
||||
@available_if(_estimator_has("partial_fit"))
|
||||
def partial_fit(self, X, y=None, **fit_params):
|
||||
"""Fit the SelectFromModel meta-transformer only once.
|
||||
|
||||
Parameters
|
||||
----------
|
||||
X : array-like of shape (n_samples, n_features)
|
||||
The training input samples.
|
||||
|
||||
y : array-like of shape (n_samples,), default=None
|
||||
The target values (integers that correspond to classes in
|
||||
classification, real numbers in regression).
|
||||
|
||||
**fit_params : dict
|
||||
Other estimator specific parameters.
|
||||
|
||||
Returns
|
||||
-------
|
||||
self : object
|
||||
Fitted estimator.
|
||||
"""
|
||||
self._check_max_features(X)
|
||||
|
||||
if self.prefit:
|
||||
if not hasattr(self, "estimator_"):
|
||||
try:
|
||||
check_is_fitted(self.estimator)
|
||||
except NotFittedError as exc:
|
||||
raise NotFittedError(
|
||||
"When `prefit=True`, `estimator` is expected to be a fitted "
|
||||
"estimator."
|
||||
) from exc
|
||||
self.estimator_ = deepcopy(self.estimator)
|
||||
return self
|
||||
|
||||
first_call = not hasattr(self, "estimator_")
|
||||
if first_call:
|
||||
self.estimator_ = clone(self.estimator)
|
||||
self.estimator_.partial_fit(X, y, **fit_params)
|
||||
|
||||
if hasattr(self.estimator_, "feature_names_in_"):
|
||||
self.feature_names_in_ = self.estimator_.feature_names_in_
|
||||
else:
|
||||
self._check_feature_names(X, reset=first_call)
|
||||
|
||||
return self
|
||||
|
||||
@property
|
||||
def n_features_in_(self):
|
||||
"""Number of features seen during `fit`."""
|
||||
# For consistency with other estimators we raise a AttributeError so
|
||||
# that hasattr() fails if the estimator isn't fitted.
|
||||
try:
|
||||
check_is_fitted(self)
|
||||
except NotFittedError as nfe:
|
||||
raise AttributeError(
|
||||
"{} object has no n_features_in_ attribute.".format(
|
||||
self.__class__.__name__
|
||||
)
|
||||
) from nfe
|
||||
|
||||
return self.estimator_.n_features_in_
|
||||
|
||||
def _more_tags(self):
|
||||
return {"allow_nan": _safe_tags(self.estimator, key="allow_nan")}
|
||||
@@ -0,0 +1,469 @@
|
||||
# Author: Nikolay Mayorov <n59_ru@hotmail.com>
|
||||
# License: 3-clause BSD
|
||||
|
||||
import numpy as np
|
||||
from scipy.sparse import issparse
|
||||
from scipy.special import digamma
|
||||
|
||||
from ..metrics.cluster import mutual_info_score
|
||||
from ..neighbors import NearestNeighbors, KDTree
|
||||
from ..preprocessing import scale
|
||||
from ..utils import check_random_state
|
||||
from ..utils.validation import check_array, check_X_y
|
||||
from ..utils.multiclass import check_classification_targets
|
||||
|
||||
|
||||
def _compute_mi_cc(x, y, n_neighbors):
|
||||
"""Compute mutual information between two continuous variables.
|
||||
|
||||
Parameters
|
||||
----------
|
||||
x, y : ndarray, shape (n_samples,)
|
||||
Samples of two continuous random variables, must have an identical
|
||||
shape.
|
||||
|
||||
n_neighbors : int
|
||||
Number of nearest neighbors to search for each point, see [1]_.
|
||||
|
||||
Returns
|
||||
-------
|
||||
mi : float
|
||||
Estimated mutual information. If it turned out to be negative it is
|
||||
replace by 0.
|
||||
|
||||
Notes
|
||||
-----
|
||||
True mutual information can't be negative. If its estimate by a numerical
|
||||
method is negative, it means (providing the method is adequate) that the
|
||||
mutual information is close to 0 and replacing it by 0 is a reasonable
|
||||
strategy.
|
||||
|
||||
References
|
||||
----------
|
||||
.. [1] A. Kraskov, H. Stogbauer and P. Grassberger, "Estimating mutual
|
||||
information". Phys. Rev. E 69, 2004.
|
||||
"""
|
||||
n_samples = x.size
|
||||
|
||||
x = x.reshape((-1, 1))
|
||||
y = y.reshape((-1, 1))
|
||||
xy = np.hstack((x, y))
|
||||
|
||||
# Here we rely on NearestNeighbors to select the fastest algorithm.
|
||||
nn = NearestNeighbors(metric="chebyshev", n_neighbors=n_neighbors)
|
||||
|
||||
nn.fit(xy)
|
||||
radius = nn.kneighbors()[0]
|
||||
radius = np.nextafter(radius[:, -1], 0)
|
||||
|
||||
# KDTree is explicitly fit to allow for the querying of number of
|
||||
# neighbors within a specified radius
|
||||
kd = KDTree(x, metric="chebyshev")
|
||||
nx = kd.query_radius(x, radius, count_only=True, return_distance=False)
|
||||
nx = np.array(nx) - 1.0
|
||||
|
||||
kd = KDTree(y, metric="chebyshev")
|
||||
ny = kd.query_radius(y, radius, count_only=True, return_distance=False)
|
||||
ny = np.array(ny) - 1.0
|
||||
|
||||
mi = (
|
||||
digamma(n_samples)
|
||||
+ digamma(n_neighbors)
|
||||
- np.mean(digamma(nx + 1))
|
||||
- np.mean(digamma(ny + 1))
|
||||
)
|
||||
|
||||
return max(0, mi)
|
||||
|
||||
|
||||
def _compute_mi_cd(c, d, n_neighbors):
|
||||
"""Compute mutual information between continuous and discrete variables.
|
||||
|
||||
Parameters
|
||||
----------
|
||||
c : ndarray, shape (n_samples,)
|
||||
Samples of a continuous random variable.
|
||||
|
||||
d : ndarray, shape (n_samples,)
|
||||
Samples of a discrete random variable.
|
||||
|
||||
n_neighbors : int
|
||||
Number of nearest neighbors to search for each point, see [1]_.
|
||||
|
||||
Returns
|
||||
-------
|
||||
mi : float
|
||||
Estimated mutual information. If it turned out to be negative it is
|
||||
replace by 0.
|
||||
|
||||
Notes
|
||||
-----
|
||||
True mutual information can't be negative. If its estimate by a numerical
|
||||
method is negative, it means (providing the method is adequate) that the
|
||||
mutual information is close to 0 and replacing it by 0 is a reasonable
|
||||
strategy.
|
||||
|
||||
References
|
||||
----------
|
||||
.. [1] B. C. Ross "Mutual Information between Discrete and Continuous
|
||||
Data Sets". PLoS ONE 9(2), 2014.
|
||||
"""
|
||||
n_samples = c.shape[0]
|
||||
c = c.reshape((-1, 1))
|
||||
|
||||
radius = np.empty(n_samples)
|
||||
label_counts = np.empty(n_samples)
|
||||
k_all = np.empty(n_samples)
|
||||
nn = NearestNeighbors()
|
||||
for label in np.unique(d):
|
||||
mask = d == label
|
||||
count = np.sum(mask)
|
||||
if count > 1:
|
||||
k = min(n_neighbors, count - 1)
|
||||
nn.set_params(n_neighbors=k)
|
||||
nn.fit(c[mask])
|
||||
r = nn.kneighbors()[0]
|
||||
radius[mask] = np.nextafter(r[:, -1], 0)
|
||||
k_all[mask] = k
|
||||
label_counts[mask] = count
|
||||
|
||||
# Ignore points with unique labels.
|
||||
mask = label_counts > 1
|
||||
n_samples = np.sum(mask)
|
||||
label_counts = label_counts[mask]
|
||||
k_all = k_all[mask]
|
||||
c = c[mask]
|
||||
radius = radius[mask]
|
||||
|
||||
kd = KDTree(c)
|
||||
m_all = kd.query_radius(c, radius, count_only=True, return_distance=False)
|
||||
m_all = np.array(m_all) - 1.0
|
||||
|
||||
mi = (
|
||||
digamma(n_samples)
|
||||
+ np.mean(digamma(k_all))
|
||||
- np.mean(digamma(label_counts))
|
||||
- np.mean(digamma(m_all + 1))
|
||||
)
|
||||
|
||||
return max(0, mi)
|
||||
|
||||
|
||||
def _compute_mi(x, y, x_discrete, y_discrete, n_neighbors=3):
|
||||
"""Compute mutual information between two variables.
|
||||
|
||||
This is a simple wrapper which selects a proper function to call based on
|
||||
whether `x` and `y` are discrete or not.
|
||||
"""
|
||||
if x_discrete and y_discrete:
|
||||
return mutual_info_score(x, y)
|
||||
elif x_discrete and not y_discrete:
|
||||
return _compute_mi_cd(y, x, n_neighbors)
|
||||
elif not x_discrete and y_discrete:
|
||||
return _compute_mi_cd(x, y, n_neighbors)
|
||||
else:
|
||||
return _compute_mi_cc(x, y, n_neighbors)
|
||||
|
||||
|
||||
def _iterate_columns(X, columns=None):
|
||||
"""Iterate over columns of a matrix.
|
||||
|
||||
Parameters
|
||||
----------
|
||||
X : ndarray or csc_matrix, shape (n_samples, n_features)
|
||||
Matrix over which to iterate.
|
||||
|
||||
columns : iterable or None, default=None
|
||||
Indices of columns to iterate over. If None, iterate over all columns.
|
||||
|
||||
Yields
|
||||
------
|
||||
x : ndarray, shape (n_samples,)
|
||||
Columns of `X` in dense format.
|
||||
"""
|
||||
if columns is None:
|
||||
columns = range(X.shape[1])
|
||||
|
||||
if issparse(X):
|
||||
for i in columns:
|
||||
x = np.zeros(X.shape[0])
|
||||
start_ptr, end_ptr = X.indptr[i], X.indptr[i + 1]
|
||||
x[X.indices[start_ptr:end_ptr]] = X.data[start_ptr:end_ptr]
|
||||
yield x
|
||||
else:
|
||||
for i in columns:
|
||||
yield X[:, i]
|
||||
|
||||
|
||||
def _estimate_mi(
|
||||
X,
|
||||
y,
|
||||
discrete_features="auto",
|
||||
discrete_target=False,
|
||||
n_neighbors=3,
|
||||
copy=True,
|
||||
random_state=None,
|
||||
):
|
||||
"""Estimate mutual information between the features and the target.
|
||||
|
||||
Parameters
|
||||
----------
|
||||
X : array-like or sparse matrix, shape (n_samples, n_features)
|
||||
Feature matrix.
|
||||
|
||||
y : array-like of shape (n_samples,)
|
||||
Target vector.
|
||||
|
||||
discrete_features : {'auto', bool, array-like}, default='auto'
|
||||
If bool, then determines whether to consider all features discrete
|
||||
or continuous. If array, then it should be either a boolean mask
|
||||
with shape (n_features,) or array with indices of discrete features.
|
||||
If 'auto', it is assigned to False for dense `X` and to True for
|
||||
sparse `X`.
|
||||
|
||||
discrete_target : bool, default=False
|
||||
Whether to consider `y` as a discrete variable.
|
||||
|
||||
n_neighbors : int, default=3
|
||||
Number of neighbors to use for MI estimation for continuous variables,
|
||||
see [1]_ and [2]_. Higher values reduce variance of the estimation, but
|
||||
could introduce a bias.
|
||||
|
||||
copy : bool, default=True
|
||||
Whether to make a copy of the given data. If set to False, the initial
|
||||
data will be overwritten.
|
||||
|
||||
random_state : int, RandomState instance or None, default=None
|
||||
Determines random number generation for adding small noise to
|
||||
continuous variables in order to remove repeated values.
|
||||
Pass an int for reproducible results across multiple function calls.
|
||||
See :term:`Glossary <random_state>`.
|
||||
|
||||
Returns
|
||||
-------
|
||||
mi : ndarray, shape (n_features,)
|
||||
Estimated mutual information between each feature and the target.
|
||||
A negative value will be replaced by 0.
|
||||
|
||||
References
|
||||
----------
|
||||
.. [1] A. Kraskov, H. Stogbauer and P. Grassberger, "Estimating mutual
|
||||
information". Phys. Rev. E 69, 2004.
|
||||
.. [2] B. C. Ross "Mutual Information between Discrete and Continuous
|
||||
Data Sets". PLoS ONE 9(2), 2014.
|
||||
"""
|
||||
X, y = check_X_y(X, y, accept_sparse="csc", y_numeric=not discrete_target)
|
||||
n_samples, n_features = X.shape
|
||||
|
||||
if isinstance(discrete_features, (str, bool)):
|
||||
if isinstance(discrete_features, str):
|
||||
if discrete_features == "auto":
|
||||
discrete_features = issparse(X)
|
||||
else:
|
||||
raise ValueError("Invalid string value for discrete_features.")
|
||||
discrete_mask = np.empty(n_features, dtype=bool)
|
||||
discrete_mask.fill(discrete_features)
|
||||
else:
|
||||
discrete_features = check_array(discrete_features, ensure_2d=False)
|
||||
if discrete_features.dtype != "bool":
|
||||
discrete_mask = np.zeros(n_features, dtype=bool)
|
||||
discrete_mask[discrete_features] = True
|
||||
else:
|
||||
discrete_mask = discrete_features
|
||||
|
||||
continuous_mask = ~discrete_mask
|
||||
if np.any(continuous_mask) and issparse(X):
|
||||
raise ValueError("Sparse matrix `X` can't have continuous features.")
|
||||
|
||||
rng = check_random_state(random_state)
|
||||
if np.any(continuous_mask):
|
||||
if copy:
|
||||
X = X.copy()
|
||||
|
||||
if not discrete_target:
|
||||
X[:, continuous_mask] = scale(
|
||||
X[:, continuous_mask], with_mean=False, copy=False
|
||||
)
|
||||
|
||||
# Add small noise to continuous features as advised in Kraskov et. al.
|
||||
X = X.astype(np.float64, copy=False)
|
||||
means = np.maximum(1, np.mean(np.abs(X[:, continuous_mask]), axis=0))
|
||||
X[:, continuous_mask] += (
|
||||
1e-10
|
||||
* means
|
||||
* rng.standard_normal(size=(n_samples, np.sum(continuous_mask)))
|
||||
)
|
||||
|
||||
if not discrete_target:
|
||||
y = scale(y, with_mean=False)
|
||||
y += (
|
||||
1e-10
|
||||
* np.maximum(1, np.mean(np.abs(y)))
|
||||
* rng.standard_normal(size=n_samples)
|
||||
)
|
||||
|
||||
mi = [
|
||||
_compute_mi(x, y, discrete_feature, discrete_target, n_neighbors)
|
||||
for x, discrete_feature in zip(_iterate_columns(X), discrete_mask)
|
||||
]
|
||||
|
||||
return np.array(mi)
|
||||
|
||||
|
||||
def mutual_info_regression(
|
||||
X, y, *, discrete_features="auto", n_neighbors=3, copy=True, random_state=None
|
||||
):
|
||||
"""Estimate mutual information for a continuous target variable.
|
||||
|
||||
Mutual information (MI) [1]_ between two random variables is a non-negative
|
||||
value, which measures the dependency between the variables. It is equal
|
||||
to zero if and only if two random variables are independent, and higher
|
||||
values mean higher dependency.
|
||||
|
||||
The function relies on nonparametric methods based on entropy estimation
|
||||
from k-nearest neighbors distances as described in [2]_ and [3]_. Both
|
||||
methods are based on the idea originally proposed in [4]_.
|
||||
|
||||
It can be used for univariate features selection, read more in the
|
||||
:ref:`User Guide <univariate_feature_selection>`.
|
||||
|
||||
Parameters
|
||||
----------
|
||||
X : array-like or sparse matrix, shape (n_samples, n_features)
|
||||
Feature matrix.
|
||||
|
||||
y : array-like of shape (n_samples,)
|
||||
Target vector.
|
||||
|
||||
discrete_features : {'auto', bool, array-like}, default='auto'
|
||||
If bool, then determines whether to consider all features discrete
|
||||
or continuous. If array, then it should be either a boolean mask
|
||||
with shape (n_features,) or array with indices of discrete features.
|
||||
If 'auto', it is assigned to False for dense `X` and to True for
|
||||
sparse `X`.
|
||||
|
||||
n_neighbors : int, default=3
|
||||
Number of neighbors to use for MI estimation for continuous variables,
|
||||
see [2]_ and [3]_. Higher values reduce variance of the estimation, but
|
||||
could introduce a bias.
|
||||
|
||||
copy : bool, default=True
|
||||
Whether to make a copy of the given data. If set to False, the initial
|
||||
data will be overwritten.
|
||||
|
||||
random_state : int, RandomState instance or None, default=None
|
||||
Determines random number generation for adding small noise to
|
||||
continuous variables in order to remove repeated values.
|
||||
Pass an int for reproducible results across multiple function calls.
|
||||
See :term:`Glossary <random_state>`.
|
||||
|
||||
Returns
|
||||
-------
|
||||
mi : ndarray, shape (n_features,)
|
||||
Estimated mutual information between each feature and the target.
|
||||
|
||||
Notes
|
||||
-----
|
||||
1. The term "discrete features" is used instead of naming them
|
||||
"categorical", because it describes the essence more accurately.
|
||||
For example, pixel intensities of an image are discrete features
|
||||
(but hardly categorical) and you will get better results if mark them
|
||||
as such. Also note, that treating a continuous variable as discrete and
|
||||
vice versa will usually give incorrect results, so be attentive about
|
||||
that.
|
||||
2. True mutual information can't be negative. If its estimate turns out
|
||||
to be negative, it is replaced by zero.
|
||||
|
||||
References
|
||||
----------
|
||||
.. [1] `Mutual Information
|
||||
<https://en.wikipedia.org/wiki/Mutual_information>`_
|
||||
on Wikipedia.
|
||||
.. [2] A. Kraskov, H. Stogbauer and P. Grassberger, "Estimating mutual
|
||||
information". Phys. Rev. E 69, 2004.
|
||||
.. [3] B. C. Ross "Mutual Information between Discrete and Continuous
|
||||
Data Sets". PLoS ONE 9(2), 2014.
|
||||
.. [4] L. F. Kozachenko, N. N. Leonenko, "Sample Estimate of the Entropy
|
||||
of a Random Vector", Probl. Peredachi Inf., 23:2 (1987), 9-16
|
||||
"""
|
||||
return _estimate_mi(X, y, discrete_features, False, n_neighbors, copy, random_state)
|
||||
|
||||
|
||||
def mutual_info_classif(
|
||||
X, y, *, discrete_features="auto", n_neighbors=3, copy=True, random_state=None
|
||||
):
|
||||
"""Estimate mutual information for a discrete target variable.
|
||||
|
||||
Mutual information (MI) [1]_ between two random variables is a non-negative
|
||||
value, which measures the dependency between the variables. It is equal
|
||||
to zero if and only if two random variables are independent, and higher
|
||||
values mean higher dependency.
|
||||
|
||||
The function relies on nonparametric methods based on entropy estimation
|
||||
from k-nearest neighbors distances as described in [2]_ and [3]_. Both
|
||||
methods are based on the idea originally proposed in [4]_.
|
||||
|
||||
It can be used for univariate features selection, read more in the
|
||||
:ref:`User Guide <univariate_feature_selection>`.
|
||||
|
||||
Parameters
|
||||
----------
|
||||
X : array-like or sparse matrix, shape (n_samples, n_features)
|
||||
Feature matrix.
|
||||
|
||||
y : array-like of shape (n_samples,)
|
||||
Target vector.
|
||||
|
||||
discrete_features : {'auto', bool, array-like}, default='auto'
|
||||
If bool, then determines whether to consider all features discrete
|
||||
or continuous. If array, then it should be either a boolean mask
|
||||
with shape (n_features,) or array with indices of discrete features.
|
||||
If 'auto', it is assigned to False for dense `X` and to True for
|
||||
sparse `X`.
|
||||
|
||||
n_neighbors : int, default=3
|
||||
Number of neighbors to use for MI estimation for continuous variables,
|
||||
see [2]_ and [3]_. Higher values reduce variance of the estimation, but
|
||||
could introduce a bias.
|
||||
|
||||
copy : bool, default=True
|
||||
Whether to make a copy of the given data. If set to False, the initial
|
||||
data will be overwritten.
|
||||
|
||||
random_state : int, RandomState instance or None, default=None
|
||||
Determines random number generation for adding small noise to
|
||||
continuous variables in order to remove repeated values.
|
||||
Pass an int for reproducible results across multiple function calls.
|
||||
See :term:`Glossary <random_state>`.
|
||||
|
||||
Returns
|
||||
-------
|
||||
mi : ndarray, shape (n_features,)
|
||||
Estimated mutual information between each feature and the target.
|
||||
|
||||
Notes
|
||||
-----
|
||||
1. The term "discrete features" is used instead of naming them
|
||||
"categorical", because it describes the essence more accurately.
|
||||
For example, pixel intensities of an image are discrete features
|
||||
(but hardly categorical) and you will get better results if mark them
|
||||
as such. Also note, that treating a continuous variable as discrete and
|
||||
vice versa will usually give incorrect results, so be attentive about
|
||||
that.
|
||||
2. True mutual information can't be negative. If its estimate turns out
|
||||
to be negative, it is replaced by zero.
|
||||
|
||||
References
|
||||
----------
|
||||
.. [1] `Mutual Information
|
||||
<https://en.wikipedia.org/wiki/Mutual_information>`_
|
||||
on Wikipedia.
|
||||
.. [2] A. Kraskov, H. Stogbauer and P. Grassberger, "Estimating mutual
|
||||
information". Phys. Rev. E 69, 2004.
|
||||
.. [3] B. C. Ross "Mutual Information between Discrete and Continuous
|
||||
Data Sets". PLoS ONE 9(2), 2014.
|
||||
.. [4] L. F. Kozachenko, N. N. Leonenko, "Sample Estimate of the Entropy
|
||||
of a Random Vector:, Probl. Peredachi Inf., 23:2 (1987), 9-16
|
||||
"""
|
||||
check_classification_targets(y)
|
||||
return _estimate_mi(X, y, discrete_features, True, n_neighbors, copy, random_state)
|
||||
@@ -0,0 +1,777 @@
|
||||
# Authors: Alexandre Gramfort <alexandre.gramfort@inria.fr>
|
||||
# Vincent Michel <vincent.michel@inria.fr>
|
||||
# Gilles Louppe <g.louppe@gmail.com>
|
||||
#
|
||||
# License: BSD 3 clause
|
||||
|
||||
"""Recursive feature elimination for feature ranking"""
|
||||
|
||||
import numpy as np
|
||||
import numbers
|
||||
from joblib import Parallel, effective_n_jobs
|
||||
|
||||
|
||||
from ..utils.metaestimators import available_if
|
||||
from ..utils.metaestimators import _safe_split
|
||||
from ..utils._tags import _safe_tags
|
||||
from ..utils.validation import check_is_fitted
|
||||
from ..utils.fixes import delayed
|
||||
from ..utils.deprecation import deprecated
|
||||
from ..base import BaseEstimator
|
||||
from ..base import MetaEstimatorMixin
|
||||
from ..base import clone
|
||||
from ..base import is_classifier
|
||||
from ..model_selection import check_cv
|
||||
from ..model_selection._validation import _score
|
||||
from ..metrics import check_scoring
|
||||
from ._base import SelectorMixin
|
||||
from ._base import _get_feature_importances
|
||||
|
||||
|
||||
def _rfe_single_fit(rfe, estimator, X, y, train, test, scorer):
|
||||
"""
|
||||
Return the score for a fit across one fold.
|
||||
"""
|
||||
X_train, y_train = _safe_split(estimator, X, y, train)
|
||||
X_test, y_test = _safe_split(estimator, X, y, test, train)
|
||||
return rfe._fit(
|
||||
X_train,
|
||||
y_train,
|
||||
lambda estimator, features: _score(
|
||||
estimator, X_test[:, features], y_test, scorer
|
||||
),
|
||||
).scores_
|
||||
|
||||
|
||||
def _estimator_has(attr):
|
||||
"""Check if we can delegate a method to the underlying estimator.
|
||||
|
||||
First, we check the first fitted estimator if available, otherwise we
|
||||
check the unfitted estimator.
|
||||
"""
|
||||
return lambda self: (
|
||||
hasattr(self.estimator_, attr)
|
||||
if hasattr(self, "estimator_")
|
||||
else hasattr(self.estimator, attr)
|
||||
)
|
||||
|
||||
|
||||
class RFE(SelectorMixin, MetaEstimatorMixin, BaseEstimator):
|
||||
"""Feature ranking with recursive feature elimination.
|
||||
|
||||
Given an external estimator that assigns weights to features (e.g., the
|
||||
coefficients of a linear model), the goal of recursive feature elimination
|
||||
(RFE) is to select features by recursively considering smaller and smaller
|
||||
sets of features. First, the estimator is trained on the initial set of
|
||||
features and the importance of each feature is obtained either through
|
||||
any specific attribute or callable.
|
||||
Then, the least important features are pruned from current set of features.
|
||||
That procedure is recursively repeated on the pruned set until the desired
|
||||
number of features to select is eventually reached.
|
||||
|
||||
Read more in the :ref:`User Guide <rfe>`.
|
||||
|
||||
Parameters
|
||||
----------
|
||||
estimator : ``Estimator`` instance
|
||||
A supervised learning estimator with a ``fit`` method that provides
|
||||
information about feature importance
|
||||
(e.g. `coef_`, `feature_importances_`).
|
||||
|
||||
n_features_to_select : int or float, default=None
|
||||
The number of features to select. If `None`, half of the features are
|
||||
selected. If integer, the parameter is the absolute number of features
|
||||
to select. If float between 0 and 1, it is the fraction of features to
|
||||
select.
|
||||
|
||||
.. versionchanged:: 0.24
|
||||
Added float values for fractions.
|
||||
|
||||
step : int or float, default=1
|
||||
If greater than or equal to 1, then ``step`` corresponds to the
|
||||
(integer) number of features to remove at each iteration.
|
||||
If within (0.0, 1.0), then ``step`` corresponds to the percentage
|
||||
(rounded down) of features to remove at each iteration.
|
||||
|
||||
verbose : int, default=0
|
||||
Controls verbosity of output.
|
||||
|
||||
importance_getter : str or callable, default='auto'
|
||||
If 'auto', uses the feature importance either through a `coef_`
|
||||
or `feature_importances_` attributes of estimator.
|
||||
|
||||
Also accepts a string that specifies an attribute name/path
|
||||
for extracting feature importance (implemented with `attrgetter`).
|
||||
For example, give `regressor_.coef_` in case of
|
||||
:class:`~sklearn.compose.TransformedTargetRegressor` or
|
||||
`named_steps.clf.feature_importances_` in case of
|
||||
class:`~sklearn.pipeline.Pipeline` with its last step named `clf`.
|
||||
|
||||
If `callable`, overrides the default feature importance getter.
|
||||
The callable is passed with the fitted estimator and it should
|
||||
return importance for each feature.
|
||||
|
||||
.. versionadded:: 0.24
|
||||
|
||||
Attributes
|
||||
----------
|
||||
classes_ : ndarray of shape (n_classes,)
|
||||
The classes labels. Only available when `estimator` is a classifier.
|
||||
|
||||
estimator_ : ``Estimator`` instance
|
||||
The fitted estimator used to select features.
|
||||
|
||||
n_features_ : int
|
||||
The number of selected features.
|
||||
|
||||
n_features_in_ : int
|
||||
Number of features seen during :term:`fit`. Only defined if the
|
||||
underlying estimator exposes such an attribute when fit.
|
||||
|
||||
.. versionadded:: 0.24
|
||||
|
||||
feature_names_in_ : ndarray of shape (`n_features_in_`,)
|
||||
Names of features seen during :term:`fit`. Defined only when `X`
|
||||
has feature names that are all strings.
|
||||
|
||||
.. versionadded:: 1.0
|
||||
|
||||
ranking_ : ndarray of shape (n_features,)
|
||||
The feature ranking, such that ``ranking_[i]`` corresponds to the
|
||||
ranking position of the i-th feature. Selected (i.e., estimated
|
||||
best) features are assigned rank 1.
|
||||
|
||||
support_ : ndarray of shape (n_features,)
|
||||
The mask of selected features.
|
||||
|
||||
See Also
|
||||
--------
|
||||
RFECV : Recursive feature elimination with built-in cross-validated
|
||||
selection of the best number of features.
|
||||
SelectFromModel : Feature selection based on thresholds of importance
|
||||
weights.
|
||||
SequentialFeatureSelector : Sequential cross-validation based feature
|
||||
selection. Does not rely on importance weights.
|
||||
|
||||
Notes
|
||||
-----
|
||||
Allows NaN/Inf in the input if the underlying estimator does as well.
|
||||
|
||||
References
|
||||
----------
|
||||
|
||||
.. [1] Guyon, I., Weston, J., Barnhill, S., & Vapnik, V., "Gene selection
|
||||
for cancer classification using support vector machines",
|
||||
Mach. Learn., 46(1-3), 389--422, 2002.
|
||||
|
||||
Examples
|
||||
--------
|
||||
The following example shows how to retrieve the 5 most informative
|
||||
features in the Friedman #1 dataset.
|
||||
|
||||
>>> from sklearn.datasets import make_friedman1
|
||||
>>> from sklearn.feature_selection import RFE
|
||||
>>> from sklearn.svm import SVR
|
||||
>>> X, y = make_friedman1(n_samples=50, n_features=10, random_state=0)
|
||||
>>> estimator = SVR(kernel="linear")
|
||||
>>> selector = RFE(estimator, n_features_to_select=5, step=1)
|
||||
>>> selector = selector.fit(X, y)
|
||||
>>> selector.support_
|
||||
array([ True, True, True, True, True, False, False, False, False,
|
||||
False])
|
||||
>>> selector.ranking_
|
||||
array([1, 1, 1, 1, 1, 6, 4, 3, 2, 5])
|
||||
"""
|
||||
|
||||
def __init__(
|
||||
self,
|
||||
estimator,
|
||||
*,
|
||||
n_features_to_select=None,
|
||||
step=1,
|
||||
verbose=0,
|
||||
importance_getter="auto",
|
||||
):
|
||||
self.estimator = estimator
|
||||
self.n_features_to_select = n_features_to_select
|
||||
self.step = step
|
||||
self.importance_getter = importance_getter
|
||||
self.verbose = verbose
|
||||
|
||||
@property
|
||||
def _estimator_type(self):
|
||||
return self.estimator._estimator_type
|
||||
|
||||
@property
|
||||
def classes_(self):
|
||||
"""Classes labels available when `estimator` is a classifier.
|
||||
|
||||
Returns
|
||||
-------
|
||||
ndarray of shape (n_classes,)
|
||||
"""
|
||||
return self.estimator_.classes_
|
||||
|
||||
def fit(self, X, y, **fit_params):
|
||||
"""Fit the RFE model and then the underlying estimator on the selected features.
|
||||
|
||||
Parameters
|
||||
----------
|
||||
X : {array-like, sparse matrix} of shape (n_samples, n_features)
|
||||
The training input samples.
|
||||
|
||||
y : array-like of shape (n_samples,)
|
||||
The target values.
|
||||
|
||||
**fit_params : dict
|
||||
Additional parameters passed to the `fit` method of the underlying
|
||||
estimator.
|
||||
|
||||
Returns
|
||||
-------
|
||||
self : object
|
||||
Fitted estimator.
|
||||
"""
|
||||
return self._fit(X, y, **fit_params)
|
||||
|
||||
def _fit(self, X, y, step_score=None, **fit_params):
|
||||
# Parameter step_score controls the calculation of self.scores_
|
||||
# step_score is not exposed to users
|
||||
# and is used when implementing RFECV
|
||||
# self.scores_ will not be calculated when calling _fit through fit
|
||||
|
||||
tags = self._get_tags()
|
||||
X, y = self._validate_data(
|
||||
X,
|
||||
y,
|
||||
accept_sparse="csc",
|
||||
ensure_min_features=2,
|
||||
force_all_finite=not tags.get("allow_nan", True),
|
||||
multi_output=True,
|
||||
)
|
||||
error_msg = (
|
||||
"n_features_to_select must be either None, a "
|
||||
"positive integer representing the absolute "
|
||||
"number of features or a float in (0.0, 1.0] "
|
||||
"representing a percentage of features to "
|
||||
f"select. Got {self.n_features_to_select}"
|
||||
)
|
||||
|
||||
# Initialization
|
||||
n_features = X.shape[1]
|
||||
if self.n_features_to_select is None:
|
||||
n_features_to_select = n_features // 2
|
||||
elif self.n_features_to_select < 0:
|
||||
raise ValueError(error_msg)
|
||||
elif isinstance(self.n_features_to_select, numbers.Integral): # int
|
||||
n_features_to_select = self.n_features_to_select
|
||||
elif self.n_features_to_select > 1.0: # float > 1
|
||||
raise ValueError(error_msg)
|
||||
else: # float
|
||||
n_features_to_select = int(n_features * self.n_features_to_select)
|
||||
|
||||
if 0.0 < self.step < 1.0:
|
||||
step = int(max(1, self.step * n_features))
|
||||
else:
|
||||
step = int(self.step)
|
||||
if step <= 0:
|
||||
raise ValueError("Step must be >0")
|
||||
|
||||
support_ = np.ones(n_features, dtype=bool)
|
||||
ranking_ = np.ones(n_features, dtype=int)
|
||||
|
||||
if step_score:
|
||||
self.scores_ = []
|
||||
|
||||
# Elimination
|
||||
while np.sum(support_) > n_features_to_select:
|
||||
# Remaining features
|
||||
features = np.arange(n_features)[support_]
|
||||
|
||||
# Rank the remaining features
|
||||
estimator = clone(self.estimator)
|
||||
if self.verbose > 0:
|
||||
print("Fitting estimator with %d features." % np.sum(support_))
|
||||
|
||||
estimator.fit(X[:, features], y, **fit_params)
|
||||
|
||||
# Get importance and rank them
|
||||
importances = _get_feature_importances(
|
||||
estimator,
|
||||
self.importance_getter,
|
||||
transform_func="square",
|
||||
)
|
||||
ranks = np.argsort(importances)
|
||||
|
||||
# for sparse case ranks is matrix
|
||||
ranks = np.ravel(ranks)
|
||||
|
||||
# Eliminate the worse features
|
||||
threshold = min(step, np.sum(support_) - n_features_to_select)
|
||||
|
||||
# Compute step score on the previous selection iteration
|
||||
# because 'estimator' must use features
|
||||
# that have not been eliminated yet
|
||||
if step_score:
|
||||
self.scores_.append(step_score(estimator, features))
|
||||
support_[features[ranks][:threshold]] = False
|
||||
ranking_[np.logical_not(support_)] += 1
|
||||
|
||||
# Set final attributes
|
||||
features = np.arange(n_features)[support_]
|
||||
self.estimator_ = clone(self.estimator)
|
||||
self.estimator_.fit(X[:, features], y, **fit_params)
|
||||
|
||||
# Compute step score when only n_features_to_select features left
|
||||
if step_score:
|
||||
self.scores_.append(step_score(self.estimator_, features))
|
||||
self.n_features_ = support_.sum()
|
||||
self.support_ = support_
|
||||
self.ranking_ = ranking_
|
||||
|
||||
return self
|
||||
|
||||
@available_if(_estimator_has("predict"))
|
||||
def predict(self, X):
|
||||
"""Reduce X to the selected features and then predict using the underlying estimator.
|
||||
|
||||
Parameters
|
||||
----------
|
||||
X : array of shape [n_samples, n_features]
|
||||
The input samples.
|
||||
|
||||
Returns
|
||||
-------
|
||||
y : array of shape [n_samples]
|
||||
The predicted target values.
|
||||
"""
|
||||
check_is_fitted(self)
|
||||
return self.estimator_.predict(self.transform(X))
|
||||
|
||||
@available_if(_estimator_has("score"))
|
||||
def score(self, X, y, **fit_params):
|
||||
"""Reduce X to the selected features and return the score of the underlying estimator.
|
||||
|
||||
Parameters
|
||||
----------
|
||||
X : array of shape [n_samples, n_features]
|
||||
The input samples.
|
||||
|
||||
y : array of shape [n_samples]
|
||||
The target values.
|
||||
|
||||
**fit_params : dict
|
||||
Parameters to pass to the `score` method of the underlying
|
||||
estimator.
|
||||
|
||||
.. versionadded:: 1.0
|
||||
|
||||
Returns
|
||||
-------
|
||||
score : float
|
||||
Score of the underlying base estimator computed with the selected
|
||||
features returned by `rfe.transform(X)` and `y`.
|
||||
"""
|
||||
check_is_fitted(self)
|
||||
return self.estimator_.score(self.transform(X), y, **fit_params)
|
||||
|
||||
def _get_support_mask(self):
|
||||
check_is_fitted(self)
|
||||
return self.support_
|
||||
|
||||
@available_if(_estimator_has("decision_function"))
|
||||
def decision_function(self, X):
|
||||
"""Compute the decision function of ``X``.
|
||||
|
||||
Parameters
|
||||
----------
|
||||
X : {array-like or sparse matrix} of shape (n_samples, n_features)
|
||||
The input samples. Internally, it will be converted to
|
||||
``dtype=np.float32`` and if a sparse matrix is provided
|
||||
to a sparse ``csr_matrix``.
|
||||
|
||||
Returns
|
||||
-------
|
||||
score : array, shape = [n_samples, n_classes] or [n_samples]
|
||||
The decision function of the input samples. The order of the
|
||||
classes corresponds to that in the attribute :term:`classes_`.
|
||||
Regression and binary classification produce an array of shape
|
||||
[n_samples].
|
||||
"""
|
||||
check_is_fitted(self)
|
||||
return self.estimator_.decision_function(self.transform(X))
|
||||
|
||||
@available_if(_estimator_has("predict_proba"))
|
||||
def predict_proba(self, X):
|
||||
"""Predict class probabilities for X.
|
||||
|
||||
Parameters
|
||||
----------
|
||||
X : {array-like or sparse matrix} of shape (n_samples, n_features)
|
||||
The input samples. Internally, it will be converted to
|
||||
``dtype=np.float32`` and if a sparse matrix is provided
|
||||
to a sparse ``csr_matrix``.
|
||||
|
||||
Returns
|
||||
-------
|
||||
p : array of shape (n_samples, n_classes)
|
||||
The class probabilities of the input samples. The order of the
|
||||
classes corresponds to that in the attribute :term:`classes_`.
|
||||
"""
|
||||
check_is_fitted(self)
|
||||
return self.estimator_.predict_proba(self.transform(X))
|
||||
|
||||
@available_if(_estimator_has("predict_log_proba"))
|
||||
def predict_log_proba(self, X):
|
||||
"""Predict class log-probabilities for X.
|
||||
|
||||
Parameters
|
||||
----------
|
||||
X : array of shape [n_samples, n_features]
|
||||
The input samples.
|
||||
|
||||
Returns
|
||||
-------
|
||||
p : array of shape (n_samples, n_classes)
|
||||
The class log-probabilities of the input samples. The order of the
|
||||
classes corresponds to that in the attribute :term:`classes_`.
|
||||
"""
|
||||
check_is_fitted(self)
|
||||
return self.estimator_.predict_log_proba(self.transform(X))
|
||||
|
||||
def _more_tags(self):
|
||||
return {
|
||||
"poor_score": True,
|
||||
"allow_nan": _safe_tags(self.estimator, key="allow_nan"),
|
||||
"requires_y": True,
|
||||
}
|
||||
|
||||
|
||||
class RFECV(RFE):
|
||||
"""Recursive feature elimination with cross-validation to select the number of features.
|
||||
|
||||
See glossary entry for :term:`cross-validation estimator`.
|
||||
|
||||
Read more in the :ref:`User Guide <rfe>`.
|
||||
|
||||
Parameters
|
||||
----------
|
||||
estimator : ``Estimator`` instance
|
||||
A supervised learning estimator with a ``fit`` method that provides
|
||||
information about feature importance either through a ``coef_``
|
||||
attribute or through a ``feature_importances_`` attribute.
|
||||
|
||||
step : int or float, default=1
|
||||
If greater than or equal to 1, then ``step`` corresponds to the
|
||||
(integer) number of features to remove at each iteration.
|
||||
If within (0.0, 1.0), then ``step`` corresponds to the percentage
|
||||
(rounded down) of features to remove at each iteration.
|
||||
Note that the last iteration may remove fewer than ``step`` features in
|
||||
order to reach ``min_features_to_select``.
|
||||
|
||||
min_features_to_select : int, default=1
|
||||
The minimum number of features to be selected. This number of features
|
||||
will always be scored, even if the difference between the original
|
||||
feature count and ``min_features_to_select`` isn't divisible by
|
||||
``step``.
|
||||
|
||||
.. versionadded:: 0.20
|
||||
|
||||
cv : int, cross-validation generator or an iterable, default=None
|
||||
Determines the cross-validation splitting strategy.
|
||||
Possible inputs for cv are:
|
||||
|
||||
- None, to use the default 5-fold cross-validation,
|
||||
- integer, to specify the number of folds.
|
||||
- :term:`CV splitter`,
|
||||
- An iterable yielding (train, test) splits as arrays of indices.
|
||||
|
||||
For integer/None inputs, if ``y`` is binary or multiclass,
|
||||
:class:`~sklearn.model_selection.StratifiedKFold` is used. If the
|
||||
estimator is a classifier or if ``y`` is neither binary nor multiclass,
|
||||
:class:`~sklearn.model_selection.KFold` is used.
|
||||
|
||||
Refer :ref:`User Guide <cross_validation>` for the various
|
||||
cross-validation strategies that can be used here.
|
||||
|
||||
.. versionchanged:: 0.22
|
||||
``cv`` default value of None changed from 3-fold to 5-fold.
|
||||
|
||||
scoring : str, callable or None, default=None
|
||||
A string (see model evaluation documentation) or
|
||||
a scorer callable object / function with signature
|
||||
``scorer(estimator, X, y)``.
|
||||
|
||||
verbose : int, default=0
|
||||
Controls verbosity of output.
|
||||
|
||||
n_jobs : int or None, default=None
|
||||
Number of cores to run in parallel while fitting across folds.
|
||||
``None`` means 1 unless in a :obj:`joblib.parallel_backend` context.
|
||||
``-1`` means using all processors. See :term:`Glossary <n_jobs>`
|
||||
for more details.
|
||||
|
||||
.. versionadded:: 0.18
|
||||
|
||||
importance_getter : str or callable, default='auto'
|
||||
If 'auto', uses the feature importance either through a `coef_`
|
||||
or `feature_importances_` attributes of estimator.
|
||||
|
||||
Also accepts a string that specifies an attribute name/path
|
||||
for extracting feature importance.
|
||||
For example, give `regressor_.coef_` in case of
|
||||
:class:`~sklearn.compose.TransformedTargetRegressor` or
|
||||
`named_steps.clf.feature_importances_` in case of
|
||||
:class:`~sklearn.pipeline.Pipeline` with its last step named `clf`.
|
||||
|
||||
If `callable`, overrides the default feature importance getter.
|
||||
The callable is passed with the fitted estimator and it should
|
||||
return importance for each feature.
|
||||
|
||||
.. versionadded:: 0.24
|
||||
|
||||
Attributes
|
||||
----------
|
||||
classes_ : ndarray of shape (n_classes,)
|
||||
The classes labels. Only available when `estimator` is a classifier.
|
||||
|
||||
estimator_ : ``Estimator`` instance
|
||||
The fitted estimator used to select features.
|
||||
|
||||
grid_scores_ : ndarray of shape (n_subsets_of_features,)
|
||||
The cross-validation scores such that
|
||||
``grid_scores_[i]`` corresponds to
|
||||
the CV score of the i-th subset of features.
|
||||
|
||||
.. deprecated:: 1.0
|
||||
The `grid_scores_` attribute is deprecated in version 1.0 in favor
|
||||
of `cv_results_` and will be removed in version 1.2.
|
||||
|
||||
cv_results_ : dict of ndarrays
|
||||
A dict with keys:
|
||||
|
||||
split(k)_test_score : ndarray of shape (n_features,)
|
||||
The cross-validation scores across (k)th fold.
|
||||
|
||||
mean_test_score : ndarray of shape (n_features,)
|
||||
Mean of scores over the folds.
|
||||
|
||||
std_test_score : ndarray of shape (n_features,)
|
||||
Standard deviation of scores over the folds.
|
||||
|
||||
.. versionadded:: 1.0
|
||||
|
||||
n_features_ : int
|
||||
The number of selected features with cross-validation.
|
||||
|
||||
n_features_in_ : int
|
||||
Number of features seen during :term:`fit`. Only defined if the
|
||||
underlying estimator exposes such an attribute when fit.
|
||||
|
||||
.. versionadded:: 0.24
|
||||
|
||||
feature_names_in_ : ndarray of shape (`n_features_in_`,)
|
||||
Names of features seen during :term:`fit`. Defined only when `X`
|
||||
has feature names that are all strings.
|
||||
|
||||
.. versionadded:: 1.0
|
||||
|
||||
ranking_ : narray of shape (n_features,)
|
||||
The feature ranking, such that `ranking_[i]`
|
||||
corresponds to the ranking
|
||||
position of the i-th feature.
|
||||
Selected (i.e., estimated best)
|
||||
features are assigned rank 1.
|
||||
|
||||
support_ : ndarray of shape (n_features,)
|
||||
The mask of selected features.
|
||||
|
||||
See Also
|
||||
--------
|
||||
RFE : Recursive feature elimination.
|
||||
|
||||
Notes
|
||||
-----
|
||||
The size of ``grid_scores_`` is equal to
|
||||
``ceil((n_features - min_features_to_select) / step) + 1``,
|
||||
where step is the number of features removed at each iteration.
|
||||
|
||||
Allows NaN/Inf in the input if the underlying estimator does as well.
|
||||
|
||||
References
|
||||
----------
|
||||
|
||||
.. [1] Guyon, I., Weston, J., Barnhill, S., & Vapnik, V., "Gene selection
|
||||
for cancer classification using support vector machines",
|
||||
Mach. Learn., 46(1-3), 389--422, 2002.
|
||||
|
||||
Examples
|
||||
--------
|
||||
The following example shows how to retrieve the a-priori not known 5
|
||||
informative features in the Friedman #1 dataset.
|
||||
|
||||
>>> from sklearn.datasets import make_friedman1
|
||||
>>> from sklearn.feature_selection import RFECV
|
||||
>>> from sklearn.svm import SVR
|
||||
>>> X, y = make_friedman1(n_samples=50, n_features=10, random_state=0)
|
||||
>>> estimator = SVR(kernel="linear")
|
||||
>>> selector = RFECV(estimator, step=1, cv=5)
|
||||
>>> selector = selector.fit(X, y)
|
||||
>>> selector.support_
|
||||
array([ True, True, True, True, True, False, False, False, False,
|
||||
False])
|
||||
>>> selector.ranking_
|
||||
array([1, 1, 1, 1, 1, 6, 4, 3, 2, 5])
|
||||
"""
|
||||
|
||||
def __init__(
|
||||
self,
|
||||
estimator,
|
||||
*,
|
||||
step=1,
|
||||
min_features_to_select=1,
|
||||
cv=None,
|
||||
scoring=None,
|
||||
verbose=0,
|
||||
n_jobs=None,
|
||||
importance_getter="auto",
|
||||
):
|
||||
self.estimator = estimator
|
||||
self.step = step
|
||||
self.importance_getter = importance_getter
|
||||
self.cv = cv
|
||||
self.scoring = scoring
|
||||
self.verbose = verbose
|
||||
self.n_jobs = n_jobs
|
||||
self.min_features_to_select = min_features_to_select
|
||||
|
||||
def fit(self, X, y, groups=None):
|
||||
"""Fit the RFE model and automatically tune the number of selected features.
|
||||
|
||||
Parameters
|
||||
----------
|
||||
X : {array-like, sparse matrix} of shape (n_samples, n_features)
|
||||
Training vector, where `n_samples` is the number of samples and
|
||||
`n_features` is the total number of features.
|
||||
|
||||
y : array-like of shape (n_samples,)
|
||||
Target values (integers for classification, real numbers for
|
||||
regression).
|
||||
|
||||
groups : array-like of shape (n_samples,) or None, default=None
|
||||
Group labels for the samples used while splitting the dataset into
|
||||
train/test set. Only used in conjunction with a "Group" :term:`cv`
|
||||
instance (e.g., :class:`~sklearn.model_selection.GroupKFold`).
|
||||
|
||||
.. versionadded:: 0.20
|
||||
|
||||
Returns
|
||||
-------
|
||||
self : object
|
||||
Fitted estimator.
|
||||
"""
|
||||
tags = self._get_tags()
|
||||
X, y = self._validate_data(
|
||||
X,
|
||||
y,
|
||||
accept_sparse="csr",
|
||||
ensure_min_features=2,
|
||||
force_all_finite=not tags.get("allow_nan", True),
|
||||
multi_output=True,
|
||||
)
|
||||
|
||||
# Initialization
|
||||
cv = check_cv(self.cv, y, classifier=is_classifier(self.estimator))
|
||||
scorer = check_scoring(self.estimator, scoring=self.scoring)
|
||||
n_features = X.shape[1]
|
||||
|
||||
if 0.0 < self.step < 1.0:
|
||||
step = int(max(1, self.step * n_features))
|
||||
else:
|
||||
step = int(self.step)
|
||||
if step <= 0:
|
||||
raise ValueError("Step must be >0")
|
||||
|
||||
# Build an RFE object, which will evaluate and score each possible
|
||||
# feature count, down to self.min_features_to_select
|
||||
rfe = RFE(
|
||||
estimator=self.estimator,
|
||||
n_features_to_select=self.min_features_to_select,
|
||||
importance_getter=self.importance_getter,
|
||||
step=self.step,
|
||||
verbose=self.verbose,
|
||||
)
|
||||
|
||||
# Determine the number of subsets of features by fitting across
|
||||
# the train folds and choosing the "features_to_select" parameter
|
||||
# that gives the least averaged error across all folds.
|
||||
|
||||
# Note that joblib raises a non-picklable error for bound methods
|
||||
# even if n_jobs is set to 1 with the default multiprocessing
|
||||
# backend.
|
||||
# This branching is done so that to
|
||||
# make sure that user code that sets n_jobs to 1
|
||||
# and provides bound methods as scorers is not broken with the
|
||||
# addition of n_jobs parameter in version 0.18.
|
||||
|
||||
if effective_n_jobs(self.n_jobs) == 1:
|
||||
parallel, func = list, _rfe_single_fit
|
||||
else:
|
||||
parallel = Parallel(n_jobs=self.n_jobs)
|
||||
func = delayed(_rfe_single_fit)
|
||||
|
||||
scores = parallel(
|
||||
func(rfe, self.estimator, X, y, train, test, scorer)
|
||||
for train, test in cv.split(X, y, groups)
|
||||
)
|
||||
|
||||
scores = np.array(scores)
|
||||
scores_sum = np.sum(scores, axis=0)
|
||||
scores_sum_rev = scores_sum[::-1]
|
||||
argmax_idx = len(scores_sum) - np.argmax(scores_sum_rev) - 1
|
||||
n_features_to_select = max(
|
||||
n_features - (argmax_idx * step), self.min_features_to_select
|
||||
)
|
||||
|
||||
# Re-execute an elimination with best_k over the whole set
|
||||
rfe = RFE(
|
||||
estimator=self.estimator,
|
||||
n_features_to_select=n_features_to_select,
|
||||
step=self.step,
|
||||
importance_getter=self.importance_getter,
|
||||
verbose=self.verbose,
|
||||
)
|
||||
|
||||
rfe.fit(X, y)
|
||||
|
||||
# Set final attributes
|
||||
self.support_ = rfe.support_
|
||||
self.n_features_ = rfe.n_features_
|
||||
self.ranking_ = rfe.ranking_
|
||||
self.estimator_ = clone(self.estimator)
|
||||
self.estimator_.fit(self._transform(X), y)
|
||||
|
||||
# reverse to stay consistent with before
|
||||
scores_rev = scores[:, ::-1]
|
||||
self.cv_results_ = {}
|
||||
self.cv_results_["mean_test_score"] = np.mean(scores_rev, axis=0)
|
||||
self.cv_results_["std_test_score"] = np.std(scores_rev, axis=0)
|
||||
|
||||
for i in range(scores.shape[0]):
|
||||
self.cv_results_[f"split{i}_test_score"] = scores_rev[i]
|
||||
|
||||
return self
|
||||
|
||||
# TODO: Remove in v1.2 when grid_scores_ is removed
|
||||
# mypy error: Decorated property not supported
|
||||
@deprecated( # type: ignore
|
||||
"The `grid_scores_` attribute is deprecated in version 1.0 in favor "
|
||||
"of `cv_results_` and will be removed in version 1.2."
|
||||
)
|
||||
@property
|
||||
def grid_scores_(self):
|
||||
# remove 2 for mean_test_score, std_test_score
|
||||
grid_size = len(self.cv_results_) - 2
|
||||
return np.asarray(
|
||||
[self.cv_results_[f"split{i}_test_score"] for i in range(grid_size)]
|
||||
).T
|
||||
@@ -0,0 +1,309 @@
|
||||
"""
|
||||
Sequential feature selection
|
||||
"""
|
||||
import numbers
|
||||
|
||||
import numpy as np
|
||||
|
||||
import warnings
|
||||
|
||||
from ._base import SelectorMixin
|
||||
from ..base import BaseEstimator, MetaEstimatorMixin, clone
|
||||
from ..utils._tags import _safe_tags
|
||||
from ..utils.validation import check_is_fitted
|
||||
from ..model_selection import cross_val_score
|
||||
|
||||
|
||||
class SequentialFeatureSelector(SelectorMixin, MetaEstimatorMixin, BaseEstimator):
|
||||
"""Transformer that performs Sequential Feature Selection.
|
||||
|
||||
This Sequential Feature Selector adds (forward selection) or
|
||||
removes (backward selection) features to form a feature subset in a
|
||||
greedy fashion. At each stage, this estimator chooses the best feature to
|
||||
add or remove based on the cross-validation score of an estimator. In
|
||||
the case of unsupervised learning, this Sequential Feature Selector
|
||||
looks only at the features (X), not the desired outputs (y).
|
||||
|
||||
Read more in the :ref:`User Guide <sequential_feature_selection>`.
|
||||
|
||||
.. versionadded:: 0.24
|
||||
|
||||
Parameters
|
||||
----------
|
||||
estimator : estimator instance
|
||||
An unfitted estimator.
|
||||
|
||||
n_features_to_select : "auto", int or float, default='warn'
|
||||
If `"auto"`, the behaviour depends on the `tol` parameter:
|
||||
|
||||
- if `tol` is not `None`, then features are selected until the score
|
||||
improvement does not exceed `tol`.
|
||||
- otherwise, half of the features are selected.
|
||||
|
||||
If integer, the parameter is the absolute number of features to select.
|
||||
If float between 0 and 1, it is the fraction of features to select.
|
||||
|
||||
.. versionadded:: 1.1
|
||||
The option `"auto"` was added in version 1.1.
|
||||
|
||||
.. deprecated:: 1.1
|
||||
The default changed from `None` to `"warn"` in 1.1 and will become
|
||||
`"auto"` in 1.3. `None` and `'warn'` will be removed in 1.3.
|
||||
To keep the same behaviour as `None`, set
|
||||
`n_features_to_select="auto" and `tol=None`.
|
||||
|
||||
tol : float, default=None
|
||||
If the score is not incremented by at least `tol` between two
|
||||
consecutive feature additions or removals, stop adding or removing.
|
||||
`tol` is enabled only when `n_features_to_select` is `"auto"`.
|
||||
|
||||
.. versionadded:: 1.1
|
||||
|
||||
direction : {'forward', 'backward'}, default='forward'
|
||||
Whether to perform forward selection or backward selection.
|
||||
|
||||
scoring : str, callable, list/tuple or dict, default=None
|
||||
A single str (see :ref:`scoring_parameter`) or a callable
|
||||
(see :ref:`scoring`) to evaluate the predictions on the test set.
|
||||
|
||||
NOTE that when using custom scorers, each scorer should return a single
|
||||
value. Metric functions returning a list/array of values can be wrapped
|
||||
into multiple scorers that return one value each.
|
||||
|
||||
If None, the estimator's score method is used.
|
||||
|
||||
cv : int, cross-validation generator or an iterable, default=None
|
||||
Determines the cross-validation splitting strategy.
|
||||
Possible inputs for cv are:
|
||||
|
||||
- None, to use the default 5-fold cross validation,
|
||||
- integer, to specify the number of folds in a `(Stratified)KFold`,
|
||||
- :term:`CV splitter`,
|
||||
- An iterable yielding (train, test) splits as arrays of indices.
|
||||
|
||||
For integer/None inputs, if the estimator is a classifier and ``y`` is
|
||||
either binary or multiclass, :class:`StratifiedKFold` is used. In all
|
||||
other cases, :class:`KFold` is used. These splitters are instantiated
|
||||
with `shuffle=False` so the splits will be the same across calls.
|
||||
|
||||
Refer :ref:`User Guide <cross_validation>` for the various
|
||||
cross-validation strategies that can be used here.
|
||||
|
||||
n_jobs : int, default=None
|
||||
Number of jobs to run in parallel. When evaluating a new feature to
|
||||
add or remove, the cross-validation procedure is parallel over the
|
||||
folds.
|
||||
``None`` means 1 unless in a :obj:`joblib.parallel_backend` context.
|
||||
``-1`` means using all processors. See :term:`Glossary <n_jobs>`
|
||||
for more details.
|
||||
|
||||
Attributes
|
||||
----------
|
||||
n_features_in_ : int
|
||||
Number of features seen during :term:`fit`. Only defined if the
|
||||
underlying estimator exposes such an attribute when fit.
|
||||
|
||||
.. versionadded:: 0.24
|
||||
|
||||
feature_names_in_ : ndarray of shape (`n_features_in_`,)
|
||||
Names of features seen during :term:`fit`. Defined only when `X`
|
||||
has feature names that are all strings.
|
||||
|
||||
.. versionadded:: 1.0
|
||||
|
||||
n_features_to_select_ : int
|
||||
The number of features that were selected.
|
||||
|
||||
support_ : ndarray of shape (n_features,), dtype=bool
|
||||
The mask of selected features.
|
||||
|
||||
See Also
|
||||
--------
|
||||
GenericUnivariateSelect : Univariate feature selector with configurable
|
||||
strategy.
|
||||
RFE : Recursive feature elimination based on importance weights.
|
||||
RFECV : Recursive feature elimination based on importance weights, with
|
||||
automatic selection of the number of features.
|
||||
SelectFromModel : Feature selection based on thresholds of importance
|
||||
weights.
|
||||
|
||||
Examples
|
||||
--------
|
||||
>>> from sklearn.feature_selection import SequentialFeatureSelector
|
||||
>>> from sklearn.neighbors import KNeighborsClassifier
|
||||
>>> from sklearn.datasets import load_iris
|
||||
>>> X, y = load_iris(return_X_y=True)
|
||||
>>> knn = KNeighborsClassifier(n_neighbors=3)
|
||||
>>> sfs = SequentialFeatureSelector(knn, n_features_to_select=3)
|
||||
>>> sfs.fit(X, y)
|
||||
SequentialFeatureSelector(estimator=KNeighborsClassifier(n_neighbors=3),
|
||||
n_features_to_select=3)
|
||||
>>> sfs.get_support()
|
||||
array([ True, False, True, True])
|
||||
>>> sfs.transform(X).shape
|
||||
(150, 3)
|
||||
"""
|
||||
|
||||
def __init__(
|
||||
self,
|
||||
estimator,
|
||||
*,
|
||||
n_features_to_select="warn",
|
||||
tol=None,
|
||||
direction="forward",
|
||||
scoring=None,
|
||||
cv=5,
|
||||
n_jobs=None,
|
||||
):
|
||||
|
||||
self.estimator = estimator
|
||||
self.n_features_to_select = n_features_to_select
|
||||
self.tol = tol
|
||||
self.direction = direction
|
||||
self.scoring = scoring
|
||||
self.cv = cv
|
||||
self.n_jobs = n_jobs
|
||||
|
||||
def fit(self, X, y=None):
|
||||
"""Learn the features to select from X.
|
||||
|
||||
Parameters
|
||||
----------
|
||||
X : array-like of shape (n_samples, n_features)
|
||||
Training vectors, where `n_samples` is the number of samples and
|
||||
`n_features` is the number of predictors.
|
||||
|
||||
y : array-like of shape (n_samples,), default=None
|
||||
Target values. This parameter may be ignored for
|
||||
unsupervised learning.
|
||||
|
||||
Returns
|
||||
-------
|
||||
self : object
|
||||
Returns the instance itself.
|
||||
"""
|
||||
# FIXME: to be removed in 1.3
|
||||
if self.n_features_to_select in ("warn", None):
|
||||
# for backwards compatibility
|
||||
warnings.warn(
|
||||
"Leaving `n_features_to_select` to "
|
||||
"None is deprecated in 1.0 and will become 'auto' "
|
||||
"in 1.3. To keep the same behaviour as with None "
|
||||
"(i.e. select half of the features) and avoid "
|
||||
"this warning, you should manually set "
|
||||
"`n_features_to_select='auto'` and set tol=None "
|
||||
"when creating an instance.",
|
||||
FutureWarning,
|
||||
)
|
||||
|
||||
tags = self._get_tags()
|
||||
X = self._validate_data(
|
||||
X,
|
||||
accept_sparse="csc",
|
||||
ensure_min_features=2,
|
||||
force_all_finite=not tags.get("allow_nan", True),
|
||||
)
|
||||
n_features = X.shape[1]
|
||||
|
||||
# FIXME: to be fixed in 1.3
|
||||
error_msg = (
|
||||
"n_features_to_select must be either 'auto', 'warn', "
|
||||
"None, an integer in [1, n_features - 1] "
|
||||
"representing the absolute "
|
||||
"number of features, or a float in (0, 1] "
|
||||
"representing a percentage of features to "
|
||||
f"select. Got {self.n_features_to_select}"
|
||||
)
|
||||
if self.n_features_to_select in ("warn", None):
|
||||
if self.tol is not None:
|
||||
raise ValueError("tol is only enabled if `n_features_to_select='auto'`")
|
||||
self.n_features_to_select_ = n_features // 2
|
||||
elif self.n_features_to_select == "auto":
|
||||
if self.tol is not None:
|
||||
# With auto feature selection, `n_features_to_select_` will be updated
|
||||
# to `support_.sum()` after features are selected.
|
||||
self.n_features_to_select_ = n_features - 1
|
||||
else:
|
||||
self.n_features_to_select_ = n_features // 2
|
||||
elif isinstance(self.n_features_to_select, numbers.Integral):
|
||||
if not 0 < self.n_features_to_select < n_features:
|
||||
raise ValueError(error_msg)
|
||||
self.n_features_to_select_ = self.n_features_to_select
|
||||
elif isinstance(self.n_features_to_select, numbers.Real):
|
||||
if not 0 < self.n_features_to_select <= 1:
|
||||
raise ValueError(error_msg)
|
||||
self.n_features_to_select_ = int(n_features * self.n_features_to_select)
|
||||
else:
|
||||
raise ValueError(error_msg)
|
||||
|
||||
if self.direction not in ("forward", "backward"):
|
||||
raise ValueError(
|
||||
"direction must be either 'forward' or 'backward'. "
|
||||
f"Got {self.direction}."
|
||||
)
|
||||
|
||||
cloned_estimator = clone(self.estimator)
|
||||
|
||||
# the current mask corresponds to the set of features:
|
||||
# - that we have already *selected* if we do forward selection
|
||||
# - that we have already *excluded* if we do backward selection
|
||||
current_mask = np.zeros(shape=n_features, dtype=bool)
|
||||
n_iterations = (
|
||||
self.n_features_to_select_
|
||||
if self.n_features_to_select == "auto" or self.direction == "forward"
|
||||
else n_features - self.n_features_to_select_
|
||||
)
|
||||
|
||||
old_score = -np.inf
|
||||
is_auto_select = self.tol is not None and self.n_features_to_select == "auto"
|
||||
for _ in range(n_iterations):
|
||||
new_feature_idx, new_score = self._get_best_new_feature_score(
|
||||
cloned_estimator, X, y, current_mask
|
||||
)
|
||||
if is_auto_select and ((new_score - old_score) < self.tol):
|
||||
break
|
||||
|
||||
old_score = new_score
|
||||
current_mask[new_feature_idx] = True
|
||||
|
||||
if self.direction == "backward":
|
||||
current_mask = ~current_mask
|
||||
|
||||
self.support_ = current_mask
|
||||
self.n_features_to_select_ = self.support_.sum()
|
||||
|
||||
return self
|
||||
|
||||
def _get_best_new_feature_score(self, estimator, X, y, current_mask):
|
||||
# Return the best new feature and its score to add to the current_mask,
|
||||
# i.e. return the best new feature and its score to add (resp. remove)
|
||||
# when doing forward selection (resp. backward selection).
|
||||
# Feature will be added if the current score and past score are greater
|
||||
# than tol when n_feature is auto,
|
||||
candidate_feature_indices = np.flatnonzero(~current_mask)
|
||||
scores = {}
|
||||
for feature_idx in candidate_feature_indices:
|
||||
candidate_mask = current_mask.copy()
|
||||
candidate_mask[feature_idx] = True
|
||||
if self.direction == "backward":
|
||||
candidate_mask = ~candidate_mask
|
||||
X_new = X[:, candidate_mask]
|
||||
scores[feature_idx] = cross_val_score(
|
||||
estimator,
|
||||
X_new,
|
||||
y,
|
||||
cv=self.cv,
|
||||
scoring=self.scoring,
|
||||
n_jobs=self.n_jobs,
|
||||
).mean()
|
||||
new_feature_idx = max(scores, key=lambda feature_idx: scores[feature_idx])
|
||||
return new_feature_idx, scores[new_feature_idx]
|
||||
|
||||
def _get_support_mask(self):
|
||||
check_is_fitted(self)
|
||||
return self.support_
|
||||
|
||||
def _more_tags(self):
|
||||
return {
|
||||
"allow_nan": _safe_tags(self.estimator, key="allow_nan"),
|
||||
}
|
||||
File diff suppressed because it is too large
Load Diff
@@ -0,0 +1,130 @@
|
||||
# Author: Lars Buitinck
|
||||
# License: 3-clause BSD
|
||||
|
||||
import numpy as np
|
||||
from ..base import BaseEstimator
|
||||
from ._base import SelectorMixin
|
||||
from ..utils.sparsefuncs import mean_variance_axis, min_max_axis
|
||||
from ..utils.validation import check_is_fitted
|
||||
|
||||
|
||||
class VarianceThreshold(SelectorMixin, BaseEstimator):
|
||||
"""Feature selector that removes all low-variance features.
|
||||
|
||||
This feature selection algorithm looks only at the features (X), not the
|
||||
desired outputs (y), and can thus be used for unsupervised learning.
|
||||
|
||||
Read more in the :ref:`User Guide <variance_threshold>`.
|
||||
|
||||
Parameters
|
||||
----------
|
||||
threshold : float, default=0
|
||||
Features with a training-set variance lower than this threshold will
|
||||
be removed. The default is to keep all features with non-zero variance,
|
||||
i.e. remove the features that have the same value in all samples.
|
||||
|
||||
Attributes
|
||||
----------
|
||||
variances_ : array, shape (n_features,)
|
||||
Variances of individual features.
|
||||
|
||||
n_features_in_ : int
|
||||
Number of features seen during :term:`fit`.
|
||||
|
||||
.. versionadded:: 0.24
|
||||
|
||||
feature_names_in_ : ndarray of shape (`n_features_in_`,)
|
||||
Names of features seen during :term:`fit`. Defined only when `X`
|
||||
has feature names that are all strings.
|
||||
|
||||
.. versionadded:: 1.0
|
||||
|
||||
See Also
|
||||
--------
|
||||
SelectFromModel: Meta-transformer for selecting features based on
|
||||
importance weights.
|
||||
SelectPercentile : Select features according to a percentile of the highest
|
||||
scores.
|
||||
SequentialFeatureSelector : Transformer that performs Sequential Feature
|
||||
Selection.
|
||||
|
||||
Notes
|
||||
-----
|
||||
Allows NaN in the input.
|
||||
Raises ValueError if no feature in X meets the variance threshold.
|
||||
|
||||
Examples
|
||||
--------
|
||||
The following dataset has integer features, two of which are the same
|
||||
in every sample. These are removed with the default setting for threshold::
|
||||
|
||||
>>> from sklearn.feature_selection import VarianceThreshold
|
||||
>>> X = [[0, 2, 0, 3], [0, 1, 4, 3], [0, 1, 1, 3]]
|
||||
>>> selector = VarianceThreshold()
|
||||
>>> selector.fit_transform(X)
|
||||
array([[2, 0],
|
||||
[1, 4],
|
||||
[1, 1]])
|
||||
"""
|
||||
|
||||
def __init__(self, threshold=0.0):
|
||||
self.threshold = threshold
|
||||
|
||||
def fit(self, X, y=None):
|
||||
"""Learn empirical variances from X.
|
||||
|
||||
Parameters
|
||||
----------
|
||||
X : {array-like, sparse matrix}, shape (n_samples, n_features)
|
||||
Data from which to compute variances, where `n_samples` is
|
||||
the number of samples and `n_features` is the number of features.
|
||||
|
||||
y : any, default=None
|
||||
Ignored. This parameter exists only for compatibility with
|
||||
sklearn.pipeline.Pipeline.
|
||||
|
||||
Returns
|
||||
-------
|
||||
self : object
|
||||
Returns the instance itself.
|
||||
"""
|
||||
X = self._validate_data(
|
||||
X,
|
||||
accept_sparse=("csr", "csc"),
|
||||
dtype=np.float64,
|
||||
force_all_finite="allow-nan",
|
||||
)
|
||||
|
||||
if hasattr(X, "toarray"): # sparse matrix
|
||||
_, self.variances_ = mean_variance_axis(X, axis=0)
|
||||
if self.threshold == 0:
|
||||
mins, maxes = min_max_axis(X, axis=0)
|
||||
peak_to_peaks = maxes - mins
|
||||
else:
|
||||
self.variances_ = np.nanvar(X, axis=0)
|
||||
if self.threshold == 0:
|
||||
peak_to_peaks = np.ptp(X, axis=0)
|
||||
|
||||
if self.threshold == 0:
|
||||
# Use peak-to-peak to avoid numeric precision issues
|
||||
# for constant features
|
||||
compare_arr = np.array([self.variances_, peak_to_peaks])
|
||||
self.variances_ = np.nanmin(compare_arr, axis=0)
|
||||
elif self.threshold < 0.0:
|
||||
raise ValueError(f"Threshold must be non-negative. Got: {self.threshold}")
|
||||
|
||||
if np.all(~np.isfinite(self.variances_) | (self.variances_ <= self.threshold)):
|
||||
msg = "No feature in X meets the variance threshold {0:.5f}"
|
||||
if X.shape[0] == 1:
|
||||
msg += " (X contains only one sample)"
|
||||
raise ValueError(msg.format(self.threshold))
|
||||
|
||||
return self
|
||||
|
||||
def _get_support_mask(self):
|
||||
check_is_fitted(self)
|
||||
|
||||
return self.variances_ > self.threshold
|
||||
|
||||
def _more_tags(self):
|
||||
return {"allow_nan": True}
|
||||
Binary file not shown.
Binary file not shown.
Binary file not shown.
Binary file not shown.
Binary file not shown.
Binary file not shown.
Binary file not shown.
Binary file not shown.
Binary file not shown.
@@ -0,0 +1,116 @@
|
||||
import numpy as np
|
||||
import pytest
|
||||
from scipy import sparse as sp
|
||||
|
||||
from numpy.testing import assert_array_equal
|
||||
|
||||
from sklearn.base import BaseEstimator
|
||||
from sklearn.feature_selection._base import SelectorMixin
|
||||
from sklearn.utils import check_array
|
||||
|
||||
|
||||
class StepSelector(SelectorMixin, BaseEstimator):
|
||||
"""Retain every `step` features (beginning with 0)"""
|
||||
|
||||
def __init__(self, step=2):
|
||||
self.step = step
|
||||
|
||||
def fit(self, X, y=None):
|
||||
X = check_array(X, accept_sparse="csc")
|
||||
self.n_input_feats = X.shape[1]
|
||||
return self
|
||||
|
||||
def _get_support_mask(self):
|
||||
mask = np.zeros(self.n_input_feats, dtype=bool)
|
||||
mask[:: self.step] = True
|
||||
return mask
|
||||
|
||||
|
||||
support = [True, False] * 5
|
||||
support_inds = [0, 2, 4, 6, 8]
|
||||
X = np.arange(20).reshape(2, 10)
|
||||
Xt = np.arange(0, 20, 2).reshape(2, 5)
|
||||
Xinv = X.copy()
|
||||
Xinv[:, 1::2] = 0
|
||||
y = [0, 1]
|
||||
feature_names = list("ABCDEFGHIJ")
|
||||
feature_names_t = feature_names[::2]
|
||||
feature_names_inv = np.array(feature_names)
|
||||
feature_names_inv[1::2] = ""
|
||||
|
||||
|
||||
def test_transform_dense():
|
||||
sel = StepSelector()
|
||||
Xt_actual = sel.fit(X, y).transform(X)
|
||||
Xt_actual2 = StepSelector().fit_transform(X, y)
|
||||
assert_array_equal(Xt, Xt_actual)
|
||||
assert_array_equal(Xt, Xt_actual2)
|
||||
|
||||
# Check dtype matches
|
||||
assert np.int32 == sel.transform(X.astype(np.int32)).dtype
|
||||
assert np.float32 == sel.transform(X.astype(np.float32)).dtype
|
||||
|
||||
# Check 1d list and other dtype:
|
||||
names_t_actual = sel.transform([feature_names])
|
||||
assert_array_equal(feature_names_t, names_t_actual.ravel())
|
||||
|
||||
# Check wrong shape raises error
|
||||
with pytest.raises(ValueError):
|
||||
sel.transform(np.array([[1], [2]]))
|
||||
|
||||
|
||||
def test_transform_sparse():
|
||||
sparse = sp.csc_matrix
|
||||
sel = StepSelector()
|
||||
Xt_actual = sel.fit(sparse(X)).transform(sparse(X))
|
||||
Xt_actual2 = sel.fit_transform(sparse(X))
|
||||
assert_array_equal(Xt, Xt_actual.toarray())
|
||||
assert_array_equal(Xt, Xt_actual2.toarray())
|
||||
|
||||
# Check dtype matches
|
||||
assert np.int32 == sel.transform(sparse(X).astype(np.int32)).dtype
|
||||
assert np.float32 == sel.transform(sparse(X).astype(np.float32)).dtype
|
||||
|
||||
# Check wrong shape raises error
|
||||
with pytest.raises(ValueError):
|
||||
sel.transform(np.array([[1], [2]]))
|
||||
|
||||
|
||||
def test_inverse_transform_dense():
|
||||
sel = StepSelector()
|
||||
Xinv_actual = sel.fit(X, y).inverse_transform(Xt)
|
||||
assert_array_equal(Xinv, Xinv_actual)
|
||||
|
||||
# Check dtype matches
|
||||
assert np.int32 == sel.inverse_transform(Xt.astype(np.int32)).dtype
|
||||
assert np.float32 == sel.inverse_transform(Xt.astype(np.float32)).dtype
|
||||
|
||||
# Check 1d list and other dtype:
|
||||
names_inv_actual = sel.inverse_transform([feature_names_t])
|
||||
assert_array_equal(feature_names_inv, names_inv_actual.ravel())
|
||||
|
||||
# Check wrong shape raises error
|
||||
with pytest.raises(ValueError):
|
||||
sel.inverse_transform(np.array([[1], [2]]))
|
||||
|
||||
|
||||
def test_inverse_transform_sparse():
|
||||
sparse = sp.csc_matrix
|
||||
sel = StepSelector()
|
||||
Xinv_actual = sel.fit(sparse(X)).inverse_transform(sparse(Xt))
|
||||
assert_array_equal(Xinv, Xinv_actual.toarray())
|
||||
|
||||
# Check dtype matches
|
||||
assert np.int32 == sel.inverse_transform(sparse(Xt).astype(np.int32)).dtype
|
||||
assert np.float32 == sel.inverse_transform(sparse(Xt).astype(np.float32)).dtype
|
||||
|
||||
# Check wrong shape raises error
|
||||
with pytest.raises(ValueError):
|
||||
sel.inverse_transform(np.array([[1], [2]]))
|
||||
|
||||
|
||||
def test_get_support():
|
||||
sel = StepSelector()
|
||||
sel.fit(X, y)
|
||||
assert_array_equal(support, sel.get_support())
|
||||
assert_array_equal(support_inds, sel.get_support(indices=True))
|
||||
@@ -0,0 +1,91 @@
|
||||
"""
|
||||
Tests for chi2, currently the only feature selection function designed
|
||||
specifically to work with sparse matrices.
|
||||
"""
|
||||
|
||||
import warnings
|
||||
|
||||
import numpy as np
|
||||
import pytest
|
||||
from scipy.sparse import coo_matrix, csr_matrix
|
||||
import scipy.stats
|
||||
|
||||
from sklearn.feature_selection import SelectKBest, chi2
|
||||
from sklearn.feature_selection._univariate_selection import _chisquare
|
||||
from sklearn.utils._testing import assert_array_almost_equal
|
||||
from sklearn.utils._testing import assert_array_equal
|
||||
|
||||
# Feature 0 is highly informative for class 1;
|
||||
# feature 1 is the same everywhere;
|
||||
# feature 2 is a bit informative for class 2.
|
||||
X = [[2, 1, 2], [9, 1, 1], [6, 1, 2], [0, 1, 2]]
|
||||
y = [0, 1, 2, 2]
|
||||
|
||||
|
||||
def mkchi2(k):
|
||||
"""Make k-best chi2 selector"""
|
||||
return SelectKBest(chi2, k=k)
|
||||
|
||||
|
||||
def test_chi2():
|
||||
# Test Chi2 feature extraction
|
||||
|
||||
chi2 = mkchi2(k=1).fit(X, y)
|
||||
chi2 = mkchi2(k=1).fit(X, y)
|
||||
assert_array_equal(chi2.get_support(indices=True), [0])
|
||||
assert_array_equal(chi2.transform(X), np.array(X)[:, [0]])
|
||||
|
||||
chi2 = mkchi2(k=2).fit(X, y)
|
||||
assert_array_equal(sorted(chi2.get_support(indices=True)), [0, 2])
|
||||
|
||||
Xsp = csr_matrix(X, dtype=np.float64)
|
||||
chi2 = mkchi2(k=2).fit(Xsp, y)
|
||||
assert_array_equal(sorted(chi2.get_support(indices=True)), [0, 2])
|
||||
Xtrans = chi2.transform(Xsp)
|
||||
assert_array_equal(Xtrans.shape, [Xsp.shape[0], 2])
|
||||
|
||||
# == doesn't work on scipy.sparse matrices
|
||||
Xtrans = Xtrans.toarray()
|
||||
Xtrans2 = mkchi2(k=2).fit_transform(Xsp, y).toarray()
|
||||
assert_array_almost_equal(Xtrans, Xtrans2)
|
||||
|
||||
|
||||
def test_chi2_coo():
|
||||
# Check that chi2 works with a COO matrix
|
||||
# (as returned by CountVectorizer, DictVectorizer)
|
||||
Xcoo = coo_matrix(X)
|
||||
mkchi2(k=2).fit_transform(Xcoo, y)
|
||||
# if we got here without an exception, we're safe
|
||||
|
||||
|
||||
def test_chi2_negative():
|
||||
# Check for proper error on negative numbers in the input X.
|
||||
X, y = [[0, 1], [-1e-20, 1]], [0, 1]
|
||||
for X in (X, np.array(X), csr_matrix(X)):
|
||||
with pytest.raises(ValueError):
|
||||
chi2(X, y)
|
||||
|
||||
|
||||
def test_chi2_unused_feature():
|
||||
# Unused feature should evaluate to NaN
|
||||
# and should issue no runtime warning
|
||||
with warnings.catch_warnings(record=True) as warned:
|
||||
warnings.simplefilter("always")
|
||||
chi, p = chi2([[1, 0], [0, 0]], [1, 0])
|
||||
for w in warned:
|
||||
if "divide by zero" in repr(w):
|
||||
raise AssertionError("Found unexpected warning %s" % w)
|
||||
assert_array_equal(chi, [1, np.nan])
|
||||
assert_array_equal(p[1], np.nan)
|
||||
|
||||
|
||||
def test_chisquare():
|
||||
# Test replacement for scipy.stats.chisquare against the original.
|
||||
obs = np.array([[2.0, 2.0], [1.0, 1.0]])
|
||||
exp = np.array([[1.5, 1.5], [1.5, 1.5]])
|
||||
# call SciPy first because our version overwrites obs
|
||||
chi_scp, p_scp = scipy.stats.chisquare(obs, exp)
|
||||
chi_our, p_our = _chisquare(obs, exp)
|
||||
|
||||
assert_array_almost_equal(chi_scp, chi_our)
|
||||
assert_array_almost_equal(p_scp, p_our)
|
||||
@@ -0,0 +1,973 @@
|
||||
"""
|
||||
Todo: cross-check the F-value with stats model
|
||||
"""
|
||||
import itertools
|
||||
import warnings
|
||||
import numpy as np
|
||||
from numpy.testing import assert_allclose
|
||||
from scipy import stats, sparse
|
||||
|
||||
import pytest
|
||||
|
||||
from sklearn.utils._testing import assert_almost_equal, _convert_container
|
||||
from sklearn.utils._testing import assert_array_equal
|
||||
from sklearn.utils._testing import assert_array_almost_equal
|
||||
from sklearn.utils._testing import ignore_warnings
|
||||
from sklearn.utils import safe_mask
|
||||
|
||||
from sklearn.datasets import make_classification, make_regression
|
||||
from sklearn.feature_selection import (
|
||||
chi2,
|
||||
f_classif,
|
||||
f_oneway,
|
||||
f_regression,
|
||||
GenericUnivariateSelect,
|
||||
mutual_info_classif,
|
||||
mutual_info_regression,
|
||||
r_regression,
|
||||
SelectPercentile,
|
||||
SelectKBest,
|
||||
SelectFpr,
|
||||
SelectFdr,
|
||||
SelectFwe,
|
||||
)
|
||||
|
||||
|
||||
##############################################################################
|
||||
# Test the score functions
|
||||
|
||||
|
||||
def test_f_oneway_vs_scipy_stats():
|
||||
# Test that our f_oneway gives the same result as scipy.stats
|
||||
rng = np.random.RandomState(0)
|
||||
X1 = rng.randn(10, 3)
|
||||
X2 = 1 + rng.randn(10, 3)
|
||||
f, pv = stats.f_oneway(X1, X2)
|
||||
f2, pv2 = f_oneway(X1, X2)
|
||||
assert np.allclose(f, f2)
|
||||
assert np.allclose(pv, pv2)
|
||||
|
||||
|
||||
def test_f_oneway_ints():
|
||||
# Smoke test f_oneway on integers: that it does raise casting errors
|
||||
# with recent numpys
|
||||
rng = np.random.RandomState(0)
|
||||
X = rng.randint(10, size=(10, 10))
|
||||
y = np.arange(10)
|
||||
fint, pint = f_oneway(X, y)
|
||||
|
||||
# test that is gives the same result as with float
|
||||
f, p = f_oneway(X.astype(float), y)
|
||||
assert_array_almost_equal(f, fint, decimal=4)
|
||||
assert_array_almost_equal(p, pint, decimal=4)
|
||||
|
||||
|
||||
def test_f_classif():
|
||||
# Test whether the F test yields meaningful results
|
||||
# on a simple simulated classification problem
|
||||
X, y = make_classification(
|
||||
n_samples=200,
|
||||
n_features=20,
|
||||
n_informative=3,
|
||||
n_redundant=2,
|
||||
n_repeated=0,
|
||||
n_classes=8,
|
||||
n_clusters_per_class=1,
|
||||
flip_y=0.0,
|
||||
class_sep=10,
|
||||
shuffle=False,
|
||||
random_state=0,
|
||||
)
|
||||
|
||||
F, pv = f_classif(X, y)
|
||||
F_sparse, pv_sparse = f_classif(sparse.csr_matrix(X), y)
|
||||
assert (F > 0).all()
|
||||
assert (pv > 0).all()
|
||||
assert (pv < 1).all()
|
||||
assert (pv[:5] < 0.05).all()
|
||||
assert (pv[5:] > 1.0e-4).all()
|
||||
assert_array_almost_equal(F_sparse, F)
|
||||
assert_array_almost_equal(pv_sparse, pv)
|
||||
|
||||
|
||||
@pytest.mark.parametrize("center", [True, False])
|
||||
def test_r_regression(center):
|
||||
X, y = make_regression(
|
||||
n_samples=2000, n_features=20, n_informative=5, shuffle=False, random_state=0
|
||||
)
|
||||
|
||||
corr_coeffs = r_regression(X, y, center=center)
|
||||
assert (-1 < corr_coeffs).all()
|
||||
assert (corr_coeffs < 1).all()
|
||||
|
||||
sparse_X = _convert_container(X, "sparse")
|
||||
|
||||
sparse_corr_coeffs = r_regression(sparse_X, y, center=center)
|
||||
assert_allclose(sparse_corr_coeffs, corr_coeffs)
|
||||
|
||||
# Testing against numpy for reference
|
||||
Z = np.hstack((X, y[:, np.newaxis]))
|
||||
correlation_matrix = np.corrcoef(Z, rowvar=False)
|
||||
np_corr_coeffs = correlation_matrix[:-1, -1]
|
||||
assert_array_almost_equal(np_corr_coeffs, corr_coeffs, decimal=3)
|
||||
|
||||
|
||||
def test_f_regression():
|
||||
# Test whether the F test yields meaningful results
|
||||
# on a simple simulated regression problem
|
||||
X, y = make_regression(
|
||||
n_samples=200, n_features=20, n_informative=5, shuffle=False, random_state=0
|
||||
)
|
||||
|
||||
F, pv = f_regression(X, y)
|
||||
assert (F > 0).all()
|
||||
assert (pv > 0).all()
|
||||
assert (pv < 1).all()
|
||||
assert (pv[:5] < 0.05).all()
|
||||
assert (pv[5:] > 1.0e-4).all()
|
||||
|
||||
# with centering, compare with sparse
|
||||
F, pv = f_regression(X, y, center=True)
|
||||
F_sparse, pv_sparse = f_regression(sparse.csr_matrix(X), y, center=True)
|
||||
assert_allclose(F_sparse, F)
|
||||
assert_allclose(pv_sparse, pv)
|
||||
|
||||
# again without centering, compare with sparse
|
||||
F, pv = f_regression(X, y, center=False)
|
||||
F_sparse, pv_sparse = f_regression(sparse.csr_matrix(X), y, center=False)
|
||||
assert_allclose(F_sparse, F)
|
||||
assert_allclose(pv_sparse, pv)
|
||||
|
||||
|
||||
def test_f_regression_input_dtype():
|
||||
# Test whether f_regression returns the same value
|
||||
# for any numeric data_type
|
||||
rng = np.random.RandomState(0)
|
||||
X = rng.rand(10, 20)
|
||||
y = np.arange(10).astype(int)
|
||||
|
||||
F1, pv1 = f_regression(X, y)
|
||||
F2, pv2 = f_regression(X, y.astype(float))
|
||||
assert_allclose(F1, F2, 5)
|
||||
assert_allclose(pv1, pv2, 5)
|
||||
|
||||
|
||||
def test_f_regression_center():
|
||||
# Test whether f_regression preserves dof according to 'center' argument
|
||||
# We use two centered variates so we have a simple relationship between
|
||||
# F-score with variates centering and F-score without variates centering.
|
||||
# Create toy example
|
||||
X = np.arange(-5, 6).reshape(-1, 1) # X has zero mean
|
||||
n_samples = X.size
|
||||
Y = np.ones(n_samples)
|
||||
Y[::2] *= -1.0
|
||||
Y[0] = 0.0 # have Y mean being null
|
||||
|
||||
F1, _ = f_regression(X, Y, center=True)
|
||||
F2, _ = f_regression(X, Y, center=False)
|
||||
assert_allclose(F1 * (n_samples - 1.0) / (n_samples - 2.0), F2)
|
||||
assert_almost_equal(F2[0], 0.232558139) # value from statsmodels OLS
|
||||
|
||||
|
||||
@pytest.mark.parametrize(
|
||||
"X, y, expected_corr_coef, force_finite",
|
||||
[
|
||||
(
|
||||
# A feature in X is constant - forcing finite
|
||||
np.array([[2, 1], [2, 0], [2, 10], [2, 4]]),
|
||||
np.array([0, 1, 1, 0]),
|
||||
np.array([0.0, 0.32075]),
|
||||
True,
|
||||
),
|
||||
(
|
||||
# The target y is constant - forcing finite
|
||||
np.array([[5, 1], [3, 0], [2, 10], [8, 4]]),
|
||||
np.array([0, 0, 0, 0]),
|
||||
np.array([0.0, 0.0]),
|
||||
True,
|
||||
),
|
||||
(
|
||||
# A feature in X is constant - not forcing finite
|
||||
np.array([[2, 1], [2, 0], [2, 10], [2, 4]]),
|
||||
np.array([0, 1, 1, 0]),
|
||||
np.array([np.nan, 0.32075]),
|
||||
False,
|
||||
),
|
||||
(
|
||||
# The target y is constant - not forcing finite
|
||||
np.array([[5, 1], [3, 0], [2, 10], [8, 4]]),
|
||||
np.array([0, 0, 0, 0]),
|
||||
np.array([np.nan, np.nan]),
|
||||
False,
|
||||
),
|
||||
],
|
||||
)
|
||||
def test_r_regression_force_finite(X, y, expected_corr_coef, force_finite):
|
||||
"""Check the behaviour of `force_finite` for some corner cases with `r_regression`.
|
||||
|
||||
Non-regression test for:
|
||||
https://github.com/scikit-learn/scikit-learn/issues/15672
|
||||
"""
|
||||
with warnings.catch_warnings():
|
||||
warnings.simplefilter("error", RuntimeWarning)
|
||||
corr_coef = r_regression(X, y, force_finite=force_finite)
|
||||
np.testing.assert_array_almost_equal(corr_coef, expected_corr_coef)
|
||||
|
||||
|
||||
@pytest.mark.parametrize(
|
||||
"X, y, expected_f_statistic, expected_p_values, force_finite",
|
||||
[
|
||||
(
|
||||
# A feature in X is constant - forcing finite
|
||||
np.array([[2, 1], [2, 0], [2, 10], [2, 4]]),
|
||||
np.array([0, 1, 1, 0]),
|
||||
np.array([0.0, 0.2293578]),
|
||||
np.array([1.0, 0.67924985]),
|
||||
True,
|
||||
),
|
||||
(
|
||||
# The target y is constant - forcing finite
|
||||
np.array([[5, 1], [3, 0], [2, 10], [8, 4]]),
|
||||
np.array([0, 0, 0, 0]),
|
||||
np.array([0.0, 0.0]),
|
||||
np.array([1.0, 1.0]),
|
||||
True,
|
||||
),
|
||||
(
|
||||
# Feature in X correlated with y - forcing finite
|
||||
np.array([[0, 1], [1, 0], [2, 10], [3, 4]]),
|
||||
np.array([0, 1, 2, 3]),
|
||||
np.array([np.finfo(np.float64).max, 0.845433]),
|
||||
np.array([0.0, 0.454913]),
|
||||
True,
|
||||
),
|
||||
(
|
||||
# Feature in X anti-correlated with y - forcing finite
|
||||
np.array([[3, 1], [2, 0], [1, 10], [0, 4]]),
|
||||
np.array([0, 1, 2, 3]),
|
||||
np.array([np.finfo(np.float64).max, 0.845433]),
|
||||
np.array([0.0, 0.454913]),
|
||||
True,
|
||||
),
|
||||
(
|
||||
# A feature in X is constant - not forcing finite
|
||||
np.array([[2, 1], [2, 0], [2, 10], [2, 4]]),
|
||||
np.array([0, 1, 1, 0]),
|
||||
np.array([np.nan, 0.2293578]),
|
||||
np.array([np.nan, 0.67924985]),
|
||||
False,
|
||||
),
|
||||
(
|
||||
# The target y is constant - not forcing finite
|
||||
np.array([[5, 1], [3, 0], [2, 10], [8, 4]]),
|
||||
np.array([0, 0, 0, 0]),
|
||||
np.array([np.nan, np.nan]),
|
||||
np.array([np.nan, np.nan]),
|
||||
False,
|
||||
),
|
||||
(
|
||||
# Feature in X correlated with y - not forcing finite
|
||||
np.array([[0, 1], [1, 0], [2, 10], [3, 4]]),
|
||||
np.array([0, 1, 2, 3]),
|
||||
np.array([np.inf, 0.845433]),
|
||||
np.array([0.0, 0.454913]),
|
||||
False,
|
||||
),
|
||||
(
|
||||
# Feature in X anti-correlated with y - not forcing finite
|
||||
np.array([[3, 1], [2, 0], [1, 10], [0, 4]]),
|
||||
np.array([0, 1, 2, 3]),
|
||||
np.array([np.inf, 0.845433]),
|
||||
np.array([0.0, 0.454913]),
|
||||
False,
|
||||
),
|
||||
],
|
||||
)
|
||||
def test_f_regression_corner_case(
|
||||
X, y, expected_f_statistic, expected_p_values, force_finite
|
||||
):
|
||||
"""Check the behaviour of `force_finite` for some corner cases with `f_regression`.
|
||||
|
||||
Non-regression test for:
|
||||
https://github.com/scikit-learn/scikit-learn/issues/15672
|
||||
"""
|
||||
with warnings.catch_warnings():
|
||||
warnings.simplefilter("error", RuntimeWarning)
|
||||
f_statistic, p_values = f_regression(X, y, force_finite=force_finite)
|
||||
np.testing.assert_array_almost_equal(f_statistic, expected_f_statistic)
|
||||
np.testing.assert_array_almost_equal(p_values, expected_p_values)
|
||||
|
||||
|
||||
def test_f_classif_multi_class():
|
||||
# Test whether the F test yields meaningful results
|
||||
# on a simple simulated classification problem
|
||||
X, y = make_classification(
|
||||
n_samples=200,
|
||||
n_features=20,
|
||||
n_informative=3,
|
||||
n_redundant=2,
|
||||
n_repeated=0,
|
||||
n_classes=8,
|
||||
n_clusters_per_class=1,
|
||||
flip_y=0.0,
|
||||
class_sep=10,
|
||||
shuffle=False,
|
||||
random_state=0,
|
||||
)
|
||||
|
||||
F, pv = f_classif(X, y)
|
||||
assert (F > 0).all()
|
||||
assert (pv > 0).all()
|
||||
assert (pv < 1).all()
|
||||
assert (pv[:5] < 0.05).all()
|
||||
assert (pv[5:] > 1.0e-4).all()
|
||||
|
||||
|
||||
def test_select_percentile_classif():
|
||||
# Test whether the relative univariate feature selection
|
||||
# gets the correct items in a simple classification problem
|
||||
# with the percentile heuristic
|
||||
X, y = make_classification(
|
||||
n_samples=200,
|
||||
n_features=20,
|
||||
n_informative=3,
|
||||
n_redundant=2,
|
||||
n_repeated=0,
|
||||
n_classes=8,
|
||||
n_clusters_per_class=1,
|
||||
flip_y=0.0,
|
||||
class_sep=10,
|
||||
shuffle=False,
|
||||
random_state=0,
|
||||
)
|
||||
|
||||
univariate_filter = SelectPercentile(f_classif, percentile=25)
|
||||
X_r = univariate_filter.fit(X, y).transform(X)
|
||||
X_r2 = (
|
||||
GenericUnivariateSelect(f_classif, mode="percentile", param=25)
|
||||
.fit(X, y)
|
||||
.transform(X)
|
||||
)
|
||||
assert_array_equal(X_r, X_r2)
|
||||
support = univariate_filter.get_support()
|
||||
gtruth = np.zeros(20)
|
||||
gtruth[:5] = 1
|
||||
assert_array_equal(support, gtruth)
|
||||
|
||||
|
||||
def test_select_percentile_classif_sparse():
|
||||
# Test whether the relative univariate feature selection
|
||||
# gets the correct items in a simple classification problem
|
||||
# with the percentile heuristic
|
||||
X, y = make_classification(
|
||||
n_samples=200,
|
||||
n_features=20,
|
||||
n_informative=3,
|
||||
n_redundant=2,
|
||||
n_repeated=0,
|
||||
n_classes=8,
|
||||
n_clusters_per_class=1,
|
||||
flip_y=0.0,
|
||||
class_sep=10,
|
||||
shuffle=False,
|
||||
random_state=0,
|
||||
)
|
||||
X = sparse.csr_matrix(X)
|
||||
univariate_filter = SelectPercentile(f_classif, percentile=25)
|
||||
X_r = univariate_filter.fit(X, y).transform(X)
|
||||
X_r2 = (
|
||||
GenericUnivariateSelect(f_classif, mode="percentile", param=25)
|
||||
.fit(X, y)
|
||||
.transform(X)
|
||||
)
|
||||
assert_array_equal(X_r.toarray(), X_r2.toarray())
|
||||
support = univariate_filter.get_support()
|
||||
gtruth = np.zeros(20)
|
||||
gtruth[:5] = 1
|
||||
assert_array_equal(support, gtruth)
|
||||
|
||||
X_r2inv = univariate_filter.inverse_transform(X_r2)
|
||||
assert sparse.issparse(X_r2inv)
|
||||
support_mask = safe_mask(X_r2inv, support)
|
||||
assert X_r2inv.shape == X.shape
|
||||
assert_array_equal(X_r2inv[:, support_mask].toarray(), X_r.toarray())
|
||||
# Check other columns are empty
|
||||
assert X_r2inv.getnnz() == X_r.getnnz()
|
||||
|
||||
|
||||
##############################################################################
|
||||
# Test univariate selection in classification settings
|
||||
|
||||
|
||||
def test_select_kbest_classif():
|
||||
# Test whether the relative univariate feature selection
|
||||
# gets the correct items in a simple classification problem
|
||||
# with the k best heuristic
|
||||
X, y = make_classification(
|
||||
n_samples=200,
|
||||
n_features=20,
|
||||
n_informative=3,
|
||||
n_redundant=2,
|
||||
n_repeated=0,
|
||||
n_classes=8,
|
||||
n_clusters_per_class=1,
|
||||
flip_y=0.0,
|
||||
class_sep=10,
|
||||
shuffle=False,
|
||||
random_state=0,
|
||||
)
|
||||
|
||||
univariate_filter = SelectKBest(f_classif, k=5)
|
||||
X_r = univariate_filter.fit(X, y).transform(X)
|
||||
X_r2 = (
|
||||
GenericUnivariateSelect(f_classif, mode="k_best", param=5)
|
||||
.fit(X, y)
|
||||
.transform(X)
|
||||
)
|
||||
assert_array_equal(X_r, X_r2)
|
||||
support = univariate_filter.get_support()
|
||||
gtruth = np.zeros(20)
|
||||
gtruth[:5] = 1
|
||||
assert_array_equal(support, gtruth)
|
||||
|
||||
|
||||
def test_select_kbest_all():
|
||||
# Test whether k="all" correctly returns all features.
|
||||
X, y = make_classification(
|
||||
n_samples=20, n_features=10, shuffle=False, random_state=0
|
||||
)
|
||||
|
||||
univariate_filter = SelectKBest(f_classif, k="all")
|
||||
X_r = univariate_filter.fit(X, y).transform(X)
|
||||
assert_array_equal(X, X_r)
|
||||
|
||||
|
||||
@pytest.mark.parametrize("dtype_in", [np.float32, np.float64])
|
||||
def test_select_kbest_zero(dtype_in):
|
||||
# Test whether k=0 correctly returns no features.
|
||||
X, y = make_classification(
|
||||
n_samples=20, n_features=10, shuffle=False, random_state=0
|
||||
)
|
||||
X = X.astype(dtype_in)
|
||||
|
||||
univariate_filter = SelectKBest(f_classif, k=0)
|
||||
univariate_filter.fit(X, y)
|
||||
support = univariate_filter.get_support()
|
||||
gtruth = np.zeros(10, dtype=bool)
|
||||
assert_array_equal(support, gtruth)
|
||||
with pytest.warns(UserWarning, match="No features were selected"):
|
||||
X_selected = univariate_filter.transform(X)
|
||||
assert X_selected.shape == (20, 0)
|
||||
assert X_selected.dtype == dtype_in
|
||||
|
||||
|
||||
def test_select_heuristics_classif():
|
||||
# Test whether the relative univariate feature selection
|
||||
# gets the correct items in a simple classification problem
|
||||
# with the fdr, fwe and fpr heuristics
|
||||
X, y = make_classification(
|
||||
n_samples=200,
|
||||
n_features=20,
|
||||
n_informative=3,
|
||||
n_redundant=2,
|
||||
n_repeated=0,
|
||||
n_classes=8,
|
||||
n_clusters_per_class=1,
|
||||
flip_y=0.0,
|
||||
class_sep=10,
|
||||
shuffle=False,
|
||||
random_state=0,
|
||||
)
|
||||
|
||||
univariate_filter = SelectFwe(f_classif, alpha=0.01)
|
||||
X_r = univariate_filter.fit(X, y).transform(X)
|
||||
gtruth = np.zeros(20)
|
||||
gtruth[:5] = 1
|
||||
for mode in ["fdr", "fpr", "fwe"]:
|
||||
X_r2 = (
|
||||
GenericUnivariateSelect(f_classif, mode=mode, param=0.01)
|
||||
.fit(X, y)
|
||||
.transform(X)
|
||||
)
|
||||
assert_array_equal(X_r, X_r2)
|
||||
support = univariate_filter.get_support()
|
||||
assert_allclose(support, gtruth)
|
||||
|
||||
|
||||
##############################################################################
|
||||
# Test univariate selection in regression settings
|
||||
|
||||
|
||||
def assert_best_scores_kept(score_filter):
|
||||
scores = score_filter.scores_
|
||||
support = score_filter.get_support()
|
||||
assert_allclose(np.sort(scores[support]), np.sort(scores)[-support.sum() :])
|
||||
|
||||
|
||||
def test_select_percentile_regression():
|
||||
# Test whether the relative univariate feature selection
|
||||
# gets the correct items in a simple regression problem
|
||||
# with the percentile heuristic
|
||||
X, y = make_regression(
|
||||
n_samples=200, n_features=20, n_informative=5, shuffle=False, random_state=0
|
||||
)
|
||||
|
||||
univariate_filter = SelectPercentile(f_regression, percentile=25)
|
||||
X_r = univariate_filter.fit(X, y).transform(X)
|
||||
assert_best_scores_kept(univariate_filter)
|
||||
X_r2 = (
|
||||
GenericUnivariateSelect(f_regression, mode="percentile", param=25)
|
||||
.fit(X, y)
|
||||
.transform(X)
|
||||
)
|
||||
assert_array_equal(X_r, X_r2)
|
||||
support = univariate_filter.get_support()
|
||||
gtruth = np.zeros(20)
|
||||
gtruth[:5] = 1
|
||||
assert_array_equal(support, gtruth)
|
||||
X_2 = X.copy()
|
||||
X_2[:, np.logical_not(support)] = 0
|
||||
assert_array_equal(X_2, univariate_filter.inverse_transform(X_r))
|
||||
# Check inverse_transform respects dtype
|
||||
assert_array_equal(
|
||||
X_2.astype(bool), univariate_filter.inverse_transform(X_r.astype(bool))
|
||||
)
|
||||
|
||||
|
||||
def test_select_percentile_regression_full():
|
||||
# Test whether the relative univariate feature selection
|
||||
# selects all features when '100%' is asked.
|
||||
X, y = make_regression(
|
||||
n_samples=200, n_features=20, n_informative=5, shuffle=False, random_state=0
|
||||
)
|
||||
|
||||
univariate_filter = SelectPercentile(f_regression, percentile=100)
|
||||
X_r = univariate_filter.fit(X, y).transform(X)
|
||||
assert_best_scores_kept(univariate_filter)
|
||||
X_r2 = (
|
||||
GenericUnivariateSelect(f_regression, mode="percentile", param=100)
|
||||
.fit(X, y)
|
||||
.transform(X)
|
||||
)
|
||||
assert_array_equal(X_r, X_r2)
|
||||
support = univariate_filter.get_support()
|
||||
gtruth = np.ones(20)
|
||||
assert_array_equal(support, gtruth)
|
||||
|
||||
|
||||
def test_invalid_percentile():
|
||||
X, y = make_regression(
|
||||
n_samples=10, n_features=20, n_informative=2, shuffle=False, random_state=0
|
||||
)
|
||||
|
||||
with pytest.raises(ValueError):
|
||||
SelectPercentile(percentile=-1).fit(X, y)
|
||||
with pytest.raises(ValueError):
|
||||
SelectPercentile(percentile=101).fit(X, y)
|
||||
with pytest.raises(ValueError):
|
||||
GenericUnivariateSelect(mode="percentile", param=-1).fit(X, y)
|
||||
with pytest.raises(ValueError):
|
||||
GenericUnivariateSelect(mode="percentile", param=101).fit(X, y)
|
||||
|
||||
|
||||
def test_select_kbest_regression():
|
||||
# Test whether the relative univariate feature selection
|
||||
# gets the correct items in a simple regression problem
|
||||
# with the k best heuristic
|
||||
X, y = make_regression(
|
||||
n_samples=200,
|
||||
n_features=20,
|
||||
n_informative=5,
|
||||
shuffle=False,
|
||||
random_state=0,
|
||||
noise=10,
|
||||
)
|
||||
|
||||
univariate_filter = SelectKBest(f_regression, k=5)
|
||||
X_r = univariate_filter.fit(X, y).transform(X)
|
||||
assert_best_scores_kept(univariate_filter)
|
||||
X_r2 = (
|
||||
GenericUnivariateSelect(f_regression, mode="k_best", param=5)
|
||||
.fit(X, y)
|
||||
.transform(X)
|
||||
)
|
||||
assert_array_equal(X_r, X_r2)
|
||||
support = univariate_filter.get_support()
|
||||
gtruth = np.zeros(20)
|
||||
gtruth[:5] = 1
|
||||
assert_array_equal(support, gtruth)
|
||||
|
||||
|
||||
def test_select_heuristics_regression():
|
||||
# Test whether the relative univariate feature selection
|
||||
# gets the correct items in a simple regression problem
|
||||
# with the fpr, fdr or fwe heuristics
|
||||
X, y = make_regression(
|
||||
n_samples=200,
|
||||
n_features=20,
|
||||
n_informative=5,
|
||||
shuffle=False,
|
||||
random_state=0,
|
||||
noise=10,
|
||||
)
|
||||
|
||||
univariate_filter = SelectFpr(f_regression, alpha=0.01)
|
||||
X_r = univariate_filter.fit(X, y).transform(X)
|
||||
gtruth = np.zeros(20)
|
||||
gtruth[:5] = 1
|
||||
for mode in ["fdr", "fpr", "fwe"]:
|
||||
X_r2 = (
|
||||
GenericUnivariateSelect(f_regression, mode=mode, param=0.01)
|
||||
.fit(X, y)
|
||||
.transform(X)
|
||||
)
|
||||
assert_array_equal(X_r, X_r2)
|
||||
support = univariate_filter.get_support()
|
||||
assert_array_equal(support[:5], np.ones((5,), dtype=bool))
|
||||
assert np.sum(support[5:] == 1) < 3
|
||||
|
||||
|
||||
def test_boundary_case_ch2():
|
||||
# Test boundary case, and always aim to select 1 feature.
|
||||
X = np.array([[10, 20], [20, 20], [20, 30]])
|
||||
y = np.array([[1], [0], [0]])
|
||||
scores, pvalues = chi2(X, y)
|
||||
assert_array_almost_equal(scores, np.array([4.0, 0.71428571]))
|
||||
assert_array_almost_equal(pvalues, np.array([0.04550026, 0.39802472]))
|
||||
|
||||
filter_fdr = SelectFdr(chi2, alpha=0.1)
|
||||
filter_fdr.fit(X, y)
|
||||
support_fdr = filter_fdr.get_support()
|
||||
assert_array_equal(support_fdr, np.array([True, False]))
|
||||
|
||||
filter_kbest = SelectKBest(chi2, k=1)
|
||||
filter_kbest.fit(X, y)
|
||||
support_kbest = filter_kbest.get_support()
|
||||
assert_array_equal(support_kbest, np.array([True, False]))
|
||||
|
||||
filter_percentile = SelectPercentile(chi2, percentile=50)
|
||||
filter_percentile.fit(X, y)
|
||||
support_percentile = filter_percentile.get_support()
|
||||
assert_array_equal(support_percentile, np.array([True, False]))
|
||||
|
||||
filter_fpr = SelectFpr(chi2, alpha=0.1)
|
||||
filter_fpr.fit(X, y)
|
||||
support_fpr = filter_fpr.get_support()
|
||||
assert_array_equal(support_fpr, np.array([True, False]))
|
||||
|
||||
filter_fwe = SelectFwe(chi2, alpha=0.1)
|
||||
filter_fwe.fit(X, y)
|
||||
support_fwe = filter_fwe.get_support()
|
||||
assert_array_equal(support_fwe, np.array([True, False]))
|
||||
|
||||
|
||||
@pytest.mark.parametrize("alpha", [0.001, 0.01, 0.1])
|
||||
@pytest.mark.parametrize("n_informative", [1, 5, 10])
|
||||
def test_select_fdr_regression(alpha, n_informative):
|
||||
# Test that fdr heuristic actually has low FDR.
|
||||
def single_fdr(alpha, n_informative, random_state):
|
||||
X, y = make_regression(
|
||||
n_samples=150,
|
||||
n_features=20,
|
||||
n_informative=n_informative,
|
||||
shuffle=False,
|
||||
random_state=random_state,
|
||||
noise=10,
|
||||
)
|
||||
|
||||
with warnings.catch_warnings(record=True):
|
||||
# Warnings can be raised when no features are selected
|
||||
# (low alpha or very noisy data)
|
||||
univariate_filter = SelectFdr(f_regression, alpha=alpha)
|
||||
X_r = univariate_filter.fit(X, y).transform(X)
|
||||
X_r2 = (
|
||||
GenericUnivariateSelect(f_regression, mode="fdr", param=alpha)
|
||||
.fit(X, y)
|
||||
.transform(X)
|
||||
)
|
||||
|
||||
assert_array_equal(X_r, X_r2)
|
||||
support = univariate_filter.get_support()
|
||||
num_false_positives = np.sum(support[n_informative:] == 1)
|
||||
num_true_positives = np.sum(support[:n_informative] == 1)
|
||||
|
||||
if num_false_positives == 0:
|
||||
return 0.0
|
||||
false_discovery_rate = num_false_positives / (
|
||||
num_true_positives + num_false_positives
|
||||
)
|
||||
return false_discovery_rate
|
||||
|
||||
# As per Benjamini-Hochberg, the expected false discovery rate
|
||||
# should be lower than alpha:
|
||||
# FDR = E(FP / (TP + FP)) <= alpha
|
||||
false_discovery_rate = np.mean(
|
||||
[single_fdr(alpha, n_informative, random_state) for random_state in range(100)]
|
||||
)
|
||||
assert alpha >= false_discovery_rate
|
||||
|
||||
# Make sure that the empirical false discovery rate increases
|
||||
# with alpha:
|
||||
if false_discovery_rate != 0:
|
||||
assert false_discovery_rate > alpha / 10
|
||||
|
||||
|
||||
def test_select_fwe_regression():
|
||||
# Test whether the relative univariate feature selection
|
||||
# gets the correct items in a simple regression problem
|
||||
# with the fwe heuristic
|
||||
X, y = make_regression(
|
||||
n_samples=200, n_features=20, n_informative=5, shuffle=False, random_state=0
|
||||
)
|
||||
|
||||
univariate_filter = SelectFwe(f_regression, alpha=0.01)
|
||||
X_r = univariate_filter.fit(X, y).transform(X)
|
||||
X_r2 = (
|
||||
GenericUnivariateSelect(f_regression, mode="fwe", param=0.01)
|
||||
.fit(X, y)
|
||||
.transform(X)
|
||||
)
|
||||
assert_array_equal(X_r, X_r2)
|
||||
support = univariate_filter.get_support()
|
||||
gtruth = np.zeros(20)
|
||||
gtruth[:5] = 1
|
||||
assert_array_equal(support[:5], np.ones((5,), dtype=bool))
|
||||
assert np.sum(support[5:] == 1) < 2
|
||||
|
||||
|
||||
def test_selectkbest_tiebreaking():
|
||||
# Test whether SelectKBest actually selects k features in case of ties.
|
||||
# Prior to 0.11, SelectKBest would return more features than requested.
|
||||
Xs = [[0, 1, 1], [0, 0, 1], [1, 0, 0], [1, 1, 0]]
|
||||
y = [1]
|
||||
dummy_score = lambda X, y: (X[0], X[0])
|
||||
for X in Xs:
|
||||
sel = SelectKBest(dummy_score, k=1)
|
||||
X1 = ignore_warnings(sel.fit_transform)([X], y)
|
||||
assert X1.shape[1] == 1
|
||||
assert_best_scores_kept(sel)
|
||||
|
||||
sel = SelectKBest(dummy_score, k=2)
|
||||
X2 = ignore_warnings(sel.fit_transform)([X], y)
|
||||
assert X2.shape[1] == 2
|
||||
assert_best_scores_kept(sel)
|
||||
|
||||
|
||||
def test_selectpercentile_tiebreaking():
|
||||
# Test if SelectPercentile selects the right n_features in case of ties.
|
||||
Xs = [[0, 1, 1], [0, 0, 1], [1, 0, 0], [1, 1, 0]]
|
||||
y = [1]
|
||||
dummy_score = lambda X, y: (X[0], X[0])
|
||||
for X in Xs:
|
||||
sel = SelectPercentile(dummy_score, percentile=34)
|
||||
X1 = ignore_warnings(sel.fit_transform)([X], y)
|
||||
assert X1.shape[1] == 1
|
||||
assert_best_scores_kept(sel)
|
||||
|
||||
sel = SelectPercentile(dummy_score, percentile=67)
|
||||
X2 = ignore_warnings(sel.fit_transform)([X], y)
|
||||
assert X2.shape[1] == 2
|
||||
assert_best_scores_kept(sel)
|
||||
|
||||
|
||||
def test_tied_pvalues():
|
||||
# Test whether k-best and percentiles work with tied pvalues from chi2.
|
||||
# chi2 will return the same p-values for the following features, but it
|
||||
# will return different scores.
|
||||
X0 = np.array([[10000, 9999, 9998], [1, 1, 1]])
|
||||
y = [0, 1]
|
||||
|
||||
for perm in itertools.permutations((0, 1, 2)):
|
||||
X = X0[:, perm]
|
||||
Xt = SelectKBest(chi2, k=2).fit_transform(X, y)
|
||||
assert Xt.shape == (2, 2)
|
||||
assert 9998 not in Xt
|
||||
|
||||
Xt = SelectPercentile(chi2, percentile=67).fit_transform(X, y)
|
||||
assert Xt.shape == (2, 2)
|
||||
assert 9998 not in Xt
|
||||
|
||||
|
||||
def test_scorefunc_multilabel():
|
||||
# Test whether k-best and percentiles works with multilabels with chi2.
|
||||
|
||||
X = np.array([[10000, 9999, 0], [100, 9999, 0], [1000, 99, 0]])
|
||||
y = [[1, 1], [0, 1], [1, 0]]
|
||||
|
||||
Xt = SelectKBest(chi2, k=2).fit_transform(X, y)
|
||||
assert Xt.shape == (3, 2)
|
||||
assert 0 not in Xt
|
||||
|
||||
Xt = SelectPercentile(chi2, percentile=67).fit_transform(X, y)
|
||||
assert Xt.shape == (3, 2)
|
||||
assert 0 not in Xt
|
||||
|
||||
|
||||
def test_tied_scores():
|
||||
# Test for stable sorting in k-best with tied scores.
|
||||
X_train = np.array([[0, 0, 0], [1, 1, 1]])
|
||||
y_train = [0, 1]
|
||||
|
||||
for n_features in [1, 2, 3]:
|
||||
sel = SelectKBest(chi2, k=n_features).fit(X_train, y_train)
|
||||
X_test = sel.transform([[0, 1, 2]])
|
||||
assert_array_equal(X_test[0], np.arange(3)[-n_features:])
|
||||
|
||||
|
||||
def test_nans():
|
||||
# Assert that SelectKBest and SelectPercentile can handle NaNs.
|
||||
# First feature has zero variance to confuse f_classif (ANOVA) and
|
||||
# make it return a NaN.
|
||||
X = [[0, 1, 0], [0, -1, -1], [0, 0.5, 0.5]]
|
||||
y = [1, 0, 1]
|
||||
|
||||
for select in (
|
||||
SelectKBest(f_classif, k=2),
|
||||
SelectPercentile(f_classif, percentile=67),
|
||||
):
|
||||
ignore_warnings(select.fit)(X, y)
|
||||
assert_array_equal(select.get_support(indices=True), np.array([1, 2]))
|
||||
|
||||
|
||||
def test_score_func_error():
|
||||
X = [[0, 1, 0], [0, -1, -1], [0, 0.5, 0.5]]
|
||||
y = [1, 0, 1]
|
||||
|
||||
for SelectFeatures in [
|
||||
SelectKBest,
|
||||
SelectPercentile,
|
||||
SelectFwe,
|
||||
SelectFdr,
|
||||
SelectFpr,
|
||||
GenericUnivariateSelect,
|
||||
]:
|
||||
with pytest.raises(TypeError):
|
||||
SelectFeatures(score_func=10).fit(X, y)
|
||||
|
||||
|
||||
def test_invalid_k():
|
||||
X = [[0, 1, 0], [0, -1, -1], [0, 0.5, 0.5]]
|
||||
y = [1, 0, 1]
|
||||
|
||||
with pytest.raises(ValueError):
|
||||
SelectKBest(k=-1).fit(X, y)
|
||||
with pytest.raises(ValueError):
|
||||
SelectKBest(k=4).fit(X, y)
|
||||
with pytest.raises(ValueError):
|
||||
GenericUnivariateSelect(mode="k_best", param=-1).fit(X, y)
|
||||
with pytest.raises(ValueError):
|
||||
GenericUnivariateSelect(mode="k_best", param=4).fit(X, y)
|
||||
|
||||
|
||||
def test_f_classif_constant_feature():
|
||||
# Test that f_classif warns if a feature is constant throughout.
|
||||
|
||||
X, y = make_classification(n_samples=10, n_features=5)
|
||||
X[:, 0] = 2.0
|
||||
with pytest.warns(UserWarning):
|
||||
f_classif(X, y)
|
||||
|
||||
|
||||
def test_no_feature_selected():
|
||||
rng = np.random.RandomState(0)
|
||||
|
||||
# Generate random uncorrelated data: a strict univariate test should
|
||||
# rejects all the features
|
||||
X = rng.rand(40, 10)
|
||||
y = rng.randint(0, 4, size=40)
|
||||
strict_selectors = [
|
||||
SelectFwe(alpha=0.01).fit(X, y),
|
||||
SelectFdr(alpha=0.01).fit(X, y),
|
||||
SelectFpr(alpha=0.01).fit(X, y),
|
||||
SelectPercentile(percentile=0).fit(X, y),
|
||||
SelectKBest(k=0).fit(X, y),
|
||||
]
|
||||
for selector in strict_selectors:
|
||||
assert_array_equal(selector.get_support(), np.zeros(10))
|
||||
with pytest.warns(UserWarning, match="No features were selected"):
|
||||
X_selected = selector.transform(X)
|
||||
assert X_selected.shape == (40, 0)
|
||||
|
||||
|
||||
def test_mutual_info_classif():
|
||||
X, y = make_classification(
|
||||
n_samples=100,
|
||||
n_features=5,
|
||||
n_informative=1,
|
||||
n_redundant=1,
|
||||
n_repeated=0,
|
||||
n_classes=2,
|
||||
n_clusters_per_class=1,
|
||||
flip_y=0.0,
|
||||
class_sep=10,
|
||||
shuffle=False,
|
||||
random_state=0,
|
||||
)
|
||||
|
||||
# Test in KBest mode.
|
||||
univariate_filter = SelectKBest(mutual_info_classif, k=2)
|
||||
X_r = univariate_filter.fit(X, y).transform(X)
|
||||
X_r2 = (
|
||||
GenericUnivariateSelect(mutual_info_classif, mode="k_best", param=2)
|
||||
.fit(X, y)
|
||||
.transform(X)
|
||||
)
|
||||
assert_array_equal(X_r, X_r2)
|
||||
support = univariate_filter.get_support()
|
||||
gtruth = np.zeros(5)
|
||||
gtruth[:2] = 1
|
||||
assert_array_equal(support, gtruth)
|
||||
|
||||
# Test in Percentile mode.
|
||||
univariate_filter = SelectPercentile(mutual_info_classif, percentile=40)
|
||||
X_r = univariate_filter.fit(X, y).transform(X)
|
||||
X_r2 = (
|
||||
GenericUnivariateSelect(mutual_info_classif, mode="percentile", param=40)
|
||||
.fit(X, y)
|
||||
.transform(X)
|
||||
)
|
||||
assert_array_equal(X_r, X_r2)
|
||||
support = univariate_filter.get_support()
|
||||
gtruth = np.zeros(5)
|
||||
gtruth[:2] = 1
|
||||
assert_array_equal(support, gtruth)
|
||||
|
||||
|
||||
def test_mutual_info_regression():
|
||||
X, y = make_regression(
|
||||
n_samples=100,
|
||||
n_features=10,
|
||||
n_informative=2,
|
||||
shuffle=False,
|
||||
random_state=0,
|
||||
noise=10,
|
||||
)
|
||||
|
||||
# Test in KBest mode.
|
||||
univariate_filter = SelectKBest(mutual_info_regression, k=2)
|
||||
X_r = univariate_filter.fit(X, y).transform(X)
|
||||
assert_best_scores_kept(univariate_filter)
|
||||
X_r2 = (
|
||||
GenericUnivariateSelect(mutual_info_regression, mode="k_best", param=2)
|
||||
.fit(X, y)
|
||||
.transform(X)
|
||||
)
|
||||
assert_array_equal(X_r, X_r2)
|
||||
support = univariate_filter.get_support()
|
||||
gtruth = np.zeros(10)
|
||||
gtruth[:2] = 1
|
||||
assert_array_equal(support, gtruth)
|
||||
|
||||
# Test in Percentile mode.
|
||||
univariate_filter = SelectPercentile(mutual_info_regression, percentile=20)
|
||||
X_r = univariate_filter.fit(X, y).transform(X)
|
||||
X_r2 = (
|
||||
GenericUnivariateSelect(mutual_info_regression, mode="percentile", param=20)
|
||||
.fit(X, y)
|
||||
.transform(X)
|
||||
)
|
||||
assert_array_equal(X_r, X_r2)
|
||||
support = univariate_filter.get_support()
|
||||
gtruth = np.zeros(10)
|
||||
gtruth[:2] = 1
|
||||
assert_array_equal(support, gtruth)
|
||||
@@ -0,0 +1,646 @@
|
||||
import re
|
||||
import pytest
|
||||
import numpy as np
|
||||
import warnings
|
||||
from unittest.mock import Mock
|
||||
|
||||
from sklearn.utils._testing import assert_array_almost_equal
|
||||
from sklearn.utils._testing import assert_array_equal
|
||||
from sklearn.utils._testing import assert_allclose
|
||||
from sklearn.utils._testing import skip_if_32bit
|
||||
from sklearn.utils._testing import MinimalClassifier
|
||||
|
||||
from sklearn import datasets
|
||||
from sklearn.cross_decomposition import CCA, PLSCanonical, PLSRegression
|
||||
from sklearn.datasets import make_friedman1
|
||||
from sklearn.exceptions import NotFittedError
|
||||
from sklearn.linear_model import LogisticRegression, SGDClassifier, Lasso
|
||||
from sklearn.svm import LinearSVC
|
||||
from sklearn.feature_selection import SelectFromModel
|
||||
from sklearn.ensemble import RandomForestClassifier, HistGradientBoostingClassifier
|
||||
from sklearn.linear_model import PassiveAggressiveClassifier
|
||||
from sklearn.base import BaseEstimator
|
||||
from sklearn.pipeline import make_pipeline
|
||||
from sklearn.decomposition import PCA
|
||||
|
||||
|
||||
class NaNTag(BaseEstimator):
|
||||
def _more_tags(self):
|
||||
return {"allow_nan": True}
|
||||
|
||||
|
||||
class NoNaNTag(BaseEstimator):
|
||||
def _more_tags(self):
|
||||
return {"allow_nan": False}
|
||||
|
||||
|
||||
class NaNTagRandomForest(RandomForestClassifier):
|
||||
def _more_tags(self):
|
||||
return {"allow_nan": True}
|
||||
|
||||
|
||||
iris = datasets.load_iris()
|
||||
data, y = iris.data, iris.target
|
||||
rng = np.random.RandomState(0)
|
||||
|
||||
|
||||
def test_invalid_input():
|
||||
clf = SGDClassifier(
|
||||
alpha=0.1, max_iter=10, shuffle=True, random_state=None, tol=None
|
||||
)
|
||||
for threshold in ["gobbledigook", ".5 * gobbledigook"]:
|
||||
model = SelectFromModel(clf, threshold=threshold)
|
||||
model.fit(data, y)
|
||||
with pytest.raises(ValueError):
|
||||
model.transform(data)
|
||||
|
||||
|
||||
def test_input_estimator_unchanged():
|
||||
# Test that SelectFromModel fits on a clone of the estimator.
|
||||
est = RandomForestClassifier()
|
||||
transformer = SelectFromModel(estimator=est)
|
||||
transformer.fit(data, y)
|
||||
assert transformer.estimator is est
|
||||
|
||||
|
||||
@pytest.mark.parametrize(
|
||||
"max_features, err_type, err_msg",
|
||||
[
|
||||
(-1, ValueError, "max_features =="),
|
||||
(
|
||||
data.shape[1] + 1,
|
||||
ValueError,
|
||||
"max_features ==",
|
||||
),
|
||||
(
|
||||
lambda X: 1.5,
|
||||
TypeError,
|
||||
"max_features(X) must be an instance of int, not float.",
|
||||
),
|
||||
(
|
||||
"gobbledigook",
|
||||
TypeError,
|
||||
"'max_features' must be either an int or a callable",
|
||||
),
|
||||
(
|
||||
"all",
|
||||
TypeError,
|
||||
"'max_features' must be either an int or a callable",
|
||||
),
|
||||
],
|
||||
)
|
||||
def test_max_features_error(max_features, err_type, err_msg):
|
||||
err_msg = re.escape(err_msg)
|
||||
clf = RandomForestClassifier(n_estimators=5, random_state=0)
|
||||
|
||||
transformer = SelectFromModel(
|
||||
estimator=clf, max_features=max_features, threshold=-np.inf
|
||||
)
|
||||
with pytest.raises(err_type, match=err_msg):
|
||||
transformer.fit(data, y)
|
||||
|
||||
|
||||
@pytest.mark.parametrize("max_features", [0, 2, data.shape[1], None])
|
||||
def test_inferred_max_features_integer(max_features):
|
||||
"""Check max_features_ and output shape for integer max_features."""
|
||||
clf = RandomForestClassifier(n_estimators=5, random_state=0)
|
||||
transformer = SelectFromModel(
|
||||
estimator=clf, max_features=max_features, threshold=-np.inf
|
||||
)
|
||||
X_trans = transformer.fit_transform(data, y)
|
||||
if max_features is not None:
|
||||
assert transformer.max_features_ == max_features
|
||||
assert X_trans.shape[1] == transformer.max_features_
|
||||
else:
|
||||
assert not hasattr(transformer, "max_features_")
|
||||
assert X_trans.shape[1] == data.shape[1]
|
||||
|
||||
|
||||
@pytest.mark.parametrize(
|
||||
"max_features",
|
||||
[lambda X: 1, lambda X: X.shape[1], lambda X: min(X.shape[1], 10000)],
|
||||
)
|
||||
def test_inferred_max_features_callable(max_features):
|
||||
"""Check max_features_ and output shape for callable max_features."""
|
||||
clf = RandomForestClassifier(n_estimators=5, random_state=0)
|
||||
transformer = SelectFromModel(
|
||||
estimator=clf, max_features=max_features, threshold=-np.inf
|
||||
)
|
||||
X_trans = transformer.fit_transform(data, y)
|
||||
assert transformer.max_features_ == max_features(data)
|
||||
assert X_trans.shape[1] == transformer.max_features_
|
||||
|
||||
|
||||
@pytest.mark.parametrize("max_features", [lambda X: round(len(X[0]) / 2), 2])
|
||||
def test_max_features_array_like(max_features):
|
||||
X = [
|
||||
[0.87, -1.34, 0.31],
|
||||
[-2.79, -0.02, -0.85],
|
||||
[-1.34, -0.48, -2.55],
|
||||
[1.92, 1.48, 0.65],
|
||||
]
|
||||
y = [0, 1, 0, 1]
|
||||
|
||||
clf = RandomForestClassifier(n_estimators=5, random_state=0)
|
||||
transformer = SelectFromModel(
|
||||
estimator=clf, max_features=max_features, threshold=-np.inf
|
||||
)
|
||||
X_trans = transformer.fit_transform(X, y)
|
||||
assert X_trans.shape[1] == transformer.max_features_
|
||||
|
||||
|
||||
@pytest.mark.parametrize(
|
||||
"max_features",
|
||||
[lambda X: min(X.shape[1], 10000), lambda X: X.shape[1], lambda X: 1],
|
||||
)
|
||||
def test_max_features_callable_data(max_features):
|
||||
"""Tests that the callable passed to `fit` is called on X."""
|
||||
clf = RandomForestClassifier(n_estimators=50, random_state=0)
|
||||
m = Mock(side_effect=max_features)
|
||||
transformer = SelectFromModel(estimator=clf, max_features=m, threshold=-np.inf)
|
||||
transformer.fit_transform(data, y)
|
||||
m.assert_called_with(data)
|
||||
|
||||
|
||||
class FixedImportanceEstimator(BaseEstimator):
|
||||
def __init__(self, importances):
|
||||
self.importances = importances
|
||||
|
||||
def fit(self, X, y=None):
|
||||
self.feature_importances_ = np.array(self.importances)
|
||||
|
||||
|
||||
def test_max_features():
|
||||
# Test max_features parameter using various values
|
||||
X, y = datasets.make_classification(
|
||||
n_samples=1000,
|
||||
n_features=10,
|
||||
n_informative=3,
|
||||
n_redundant=0,
|
||||
n_repeated=0,
|
||||
shuffle=False,
|
||||
random_state=0,
|
||||
)
|
||||
max_features = X.shape[1]
|
||||
est = RandomForestClassifier(n_estimators=50, random_state=0)
|
||||
|
||||
transformer1 = SelectFromModel(estimator=est, threshold=-np.inf)
|
||||
transformer2 = SelectFromModel(
|
||||
estimator=est, max_features=max_features, threshold=-np.inf
|
||||
)
|
||||
X_new1 = transformer1.fit_transform(X, y)
|
||||
X_new2 = transformer2.fit_transform(X, y)
|
||||
assert_allclose(X_new1, X_new2)
|
||||
|
||||
# Test max_features against actual model.
|
||||
transformer1 = SelectFromModel(estimator=Lasso(alpha=0.025, random_state=42))
|
||||
X_new1 = transformer1.fit_transform(X, y)
|
||||
scores1 = np.abs(transformer1.estimator_.coef_)
|
||||
candidate_indices1 = np.argsort(-scores1, kind="mergesort")
|
||||
|
||||
for n_features in range(1, X_new1.shape[1] + 1):
|
||||
transformer2 = SelectFromModel(
|
||||
estimator=Lasso(alpha=0.025, random_state=42),
|
||||
max_features=n_features,
|
||||
threshold=-np.inf,
|
||||
)
|
||||
X_new2 = transformer2.fit_transform(X, y)
|
||||
scores2 = np.abs(transformer2.estimator_.coef_)
|
||||
candidate_indices2 = np.argsort(-scores2, kind="mergesort")
|
||||
assert_allclose(
|
||||
X[:, candidate_indices1[:n_features]], X[:, candidate_indices2[:n_features]]
|
||||
)
|
||||
assert_allclose(transformer1.estimator_.coef_, transformer2.estimator_.coef_)
|
||||
|
||||
|
||||
def test_max_features_tiebreak():
|
||||
# Test if max_features can break tie among feature importance
|
||||
X, y = datasets.make_classification(
|
||||
n_samples=1000,
|
||||
n_features=10,
|
||||
n_informative=3,
|
||||
n_redundant=0,
|
||||
n_repeated=0,
|
||||
shuffle=False,
|
||||
random_state=0,
|
||||
)
|
||||
max_features = X.shape[1]
|
||||
|
||||
feature_importances = np.array([4, 4, 4, 4, 3, 3, 3, 2, 2, 1])
|
||||
for n_features in range(1, max_features + 1):
|
||||
transformer = SelectFromModel(
|
||||
FixedImportanceEstimator(feature_importances),
|
||||
max_features=n_features,
|
||||
threshold=-np.inf,
|
||||
)
|
||||
X_new = transformer.fit_transform(X, y)
|
||||
selected_feature_indices = np.where(transformer._get_support_mask())[0]
|
||||
assert_array_equal(selected_feature_indices, np.arange(n_features))
|
||||
assert X_new.shape[1] == n_features
|
||||
|
||||
|
||||
def test_threshold_and_max_features():
|
||||
X, y = datasets.make_classification(
|
||||
n_samples=1000,
|
||||
n_features=10,
|
||||
n_informative=3,
|
||||
n_redundant=0,
|
||||
n_repeated=0,
|
||||
shuffle=False,
|
||||
random_state=0,
|
||||
)
|
||||
est = RandomForestClassifier(n_estimators=50, random_state=0)
|
||||
|
||||
transformer1 = SelectFromModel(estimator=est, max_features=3, threshold=-np.inf)
|
||||
X_new1 = transformer1.fit_transform(X, y)
|
||||
|
||||
transformer2 = SelectFromModel(estimator=est, threshold=0.04)
|
||||
X_new2 = transformer2.fit_transform(X, y)
|
||||
|
||||
transformer3 = SelectFromModel(estimator=est, max_features=3, threshold=0.04)
|
||||
X_new3 = transformer3.fit_transform(X, y)
|
||||
assert X_new3.shape[1] == min(X_new1.shape[1], X_new2.shape[1])
|
||||
selected_indices = transformer3.transform(np.arange(X.shape[1])[np.newaxis, :])
|
||||
assert_allclose(X_new3, X[:, selected_indices[0]])
|
||||
|
||||
|
||||
@skip_if_32bit
|
||||
def test_feature_importances():
|
||||
X, y = datasets.make_classification(
|
||||
n_samples=1000,
|
||||
n_features=10,
|
||||
n_informative=3,
|
||||
n_redundant=0,
|
||||
n_repeated=0,
|
||||
shuffle=False,
|
||||
random_state=0,
|
||||
)
|
||||
|
||||
est = RandomForestClassifier(n_estimators=50, random_state=0)
|
||||
for threshold, func in zip(["mean", "median"], [np.mean, np.median]):
|
||||
transformer = SelectFromModel(estimator=est, threshold=threshold)
|
||||
transformer.fit(X, y)
|
||||
assert hasattr(transformer.estimator_, "feature_importances_")
|
||||
|
||||
X_new = transformer.transform(X)
|
||||
assert X_new.shape[1] < X.shape[1]
|
||||
importances = transformer.estimator_.feature_importances_
|
||||
|
||||
feature_mask = np.abs(importances) > func(importances)
|
||||
assert_array_almost_equal(X_new, X[:, feature_mask])
|
||||
|
||||
|
||||
def test_sample_weight():
|
||||
# Ensure sample weights are passed to underlying estimator
|
||||
X, y = datasets.make_classification(
|
||||
n_samples=100,
|
||||
n_features=10,
|
||||
n_informative=3,
|
||||
n_redundant=0,
|
||||
n_repeated=0,
|
||||
shuffle=False,
|
||||
random_state=0,
|
||||
)
|
||||
|
||||
# Check with sample weights
|
||||
sample_weight = np.ones(y.shape)
|
||||
sample_weight[y == 1] *= 100
|
||||
|
||||
est = LogisticRegression(random_state=0, fit_intercept=False)
|
||||
transformer = SelectFromModel(estimator=est)
|
||||
transformer.fit(X, y, sample_weight=None)
|
||||
mask = transformer._get_support_mask()
|
||||
transformer.fit(X, y, sample_weight=sample_weight)
|
||||
weighted_mask = transformer._get_support_mask()
|
||||
assert not np.all(weighted_mask == mask)
|
||||
transformer.fit(X, y, sample_weight=3 * sample_weight)
|
||||
reweighted_mask = transformer._get_support_mask()
|
||||
assert np.all(weighted_mask == reweighted_mask)
|
||||
|
||||
|
||||
def test_coef_default_threshold():
|
||||
X, y = datasets.make_classification(
|
||||
n_samples=100,
|
||||
n_features=10,
|
||||
n_informative=3,
|
||||
n_redundant=0,
|
||||
n_repeated=0,
|
||||
shuffle=False,
|
||||
random_state=0,
|
||||
)
|
||||
|
||||
# For the Lasso and related models, the threshold defaults to 1e-5
|
||||
transformer = SelectFromModel(estimator=Lasso(alpha=0.1, random_state=42))
|
||||
transformer.fit(X, y)
|
||||
X_new = transformer.transform(X)
|
||||
mask = np.abs(transformer.estimator_.coef_) > 1e-5
|
||||
assert_array_almost_equal(X_new, X[:, mask])
|
||||
|
||||
|
||||
@skip_if_32bit
|
||||
def test_2d_coef():
|
||||
X, y = datasets.make_classification(
|
||||
n_samples=1000,
|
||||
n_features=10,
|
||||
n_informative=3,
|
||||
n_redundant=0,
|
||||
n_repeated=0,
|
||||
shuffle=False,
|
||||
random_state=0,
|
||||
n_classes=4,
|
||||
)
|
||||
|
||||
est = LogisticRegression()
|
||||
for threshold, func in zip(["mean", "median"], [np.mean, np.median]):
|
||||
for order in [1, 2, np.inf]:
|
||||
# Fit SelectFromModel a multi-class problem
|
||||
transformer = SelectFromModel(
|
||||
estimator=LogisticRegression(), threshold=threshold, norm_order=order
|
||||
)
|
||||
transformer.fit(X, y)
|
||||
assert hasattr(transformer.estimator_, "coef_")
|
||||
X_new = transformer.transform(X)
|
||||
assert X_new.shape[1] < X.shape[1]
|
||||
|
||||
# Manually check that the norm is correctly performed
|
||||
est.fit(X, y)
|
||||
importances = np.linalg.norm(est.coef_, axis=0, ord=order)
|
||||
feature_mask = importances > func(importances)
|
||||
assert_array_almost_equal(X_new, X[:, feature_mask])
|
||||
|
||||
|
||||
def test_partial_fit():
|
||||
est = PassiveAggressiveClassifier(
|
||||
random_state=0, shuffle=False, max_iter=5, tol=None
|
||||
)
|
||||
transformer = SelectFromModel(estimator=est)
|
||||
transformer.partial_fit(data, y, classes=np.unique(y))
|
||||
old_model = transformer.estimator_
|
||||
transformer.partial_fit(data, y, classes=np.unique(y))
|
||||
new_model = transformer.estimator_
|
||||
assert old_model is new_model
|
||||
|
||||
X_transform = transformer.transform(data)
|
||||
transformer.fit(np.vstack((data, data)), np.concatenate((y, y)))
|
||||
assert_array_almost_equal(X_transform, transformer.transform(data))
|
||||
|
||||
# check that if est doesn't have partial_fit, neither does SelectFromModel
|
||||
transformer = SelectFromModel(estimator=RandomForestClassifier())
|
||||
assert not hasattr(transformer, "partial_fit")
|
||||
|
||||
|
||||
def test_calling_fit_reinitializes():
|
||||
est = LinearSVC(random_state=0)
|
||||
transformer = SelectFromModel(estimator=est)
|
||||
transformer.fit(data, y)
|
||||
transformer.set_params(estimator__C=100)
|
||||
transformer.fit(data, y)
|
||||
assert transformer.estimator_.C == 100
|
||||
|
||||
|
||||
def test_prefit():
|
||||
# Test all possible combinations of the prefit parameter.
|
||||
|
||||
# Passing a prefit parameter with the selected model
|
||||
# and fitting a unfit model with prefit=False should give same results.
|
||||
clf = SGDClassifier(alpha=0.1, max_iter=10, shuffle=True, random_state=0, tol=None)
|
||||
model = SelectFromModel(clf)
|
||||
model.fit(data, y)
|
||||
X_transform = model.transform(data)
|
||||
clf.fit(data, y)
|
||||
model = SelectFromModel(clf, prefit=True)
|
||||
assert_array_almost_equal(model.transform(data), X_transform)
|
||||
model.fit(data, y)
|
||||
assert model.estimator_ is not clf
|
||||
|
||||
# Check that the model is rewritten if prefit=False and a fitted model is
|
||||
# passed
|
||||
model = SelectFromModel(clf, prefit=False)
|
||||
model.fit(data, y)
|
||||
assert_array_almost_equal(model.transform(data), X_transform)
|
||||
|
||||
# Check that passing an unfitted estimator with `prefit=True` raises a
|
||||
# `ValueError`
|
||||
clf = SGDClassifier(alpha=0.1, max_iter=10, shuffle=True, random_state=0, tol=None)
|
||||
model = SelectFromModel(clf, prefit=True)
|
||||
err_msg = "When `prefit=True`, `estimator` is expected to be a fitted estimator."
|
||||
with pytest.raises(NotFittedError, match=err_msg):
|
||||
model.fit(data, y)
|
||||
with pytest.raises(NotFittedError, match=err_msg):
|
||||
model.partial_fit(data, y)
|
||||
with pytest.raises(NotFittedError, match=err_msg):
|
||||
model.transform(data)
|
||||
|
||||
# Check that the internal parameters of prefitted model are not changed
|
||||
# when calling `fit` or `partial_fit` with `prefit=True`
|
||||
clf = SGDClassifier(alpha=0.1, max_iter=10, shuffle=True, tol=None).fit(data, y)
|
||||
model = SelectFromModel(clf, prefit=True)
|
||||
model.fit(data, y)
|
||||
assert_allclose(model.estimator_.coef_, clf.coef_)
|
||||
model.partial_fit(data, y)
|
||||
assert_allclose(model.estimator_.coef_, clf.coef_)
|
||||
|
||||
|
||||
def test_prefit_max_features():
|
||||
"""Check the interaction between `prefit` and `max_features`."""
|
||||
# case 1: an error should be raised at `transform` if `fit` was not called to
|
||||
# validate the attributes
|
||||
estimator = RandomForestClassifier(n_estimators=5, random_state=0)
|
||||
estimator.fit(data, y)
|
||||
model = SelectFromModel(estimator, prefit=True, max_features=lambda X: X.shape[1])
|
||||
|
||||
err_msg = (
|
||||
"When `prefit=True` and `max_features` is a callable, call `fit` "
|
||||
"before calling `transform`."
|
||||
)
|
||||
with pytest.raises(NotFittedError, match=err_msg):
|
||||
model.transform(data)
|
||||
|
||||
# case 2: `max_features` is not validated and different from an integer
|
||||
# FIXME: we cannot validate the upper bound of the attribute at transform
|
||||
# and we should force calling `fit` if we intend to force the attribute
|
||||
# to have such an upper bound.
|
||||
max_features = 2.5
|
||||
model.set_params(max_features=max_features)
|
||||
with pytest.raises(ValueError, match="`max_features` must be an integer"):
|
||||
model.transform(data)
|
||||
|
||||
|
||||
def test_prefit_get_feature_names_out():
|
||||
"""Check the interaction between prefit and the feature names."""
|
||||
clf = RandomForestClassifier(n_estimators=2, random_state=0)
|
||||
clf.fit(data, y)
|
||||
model = SelectFromModel(clf, prefit=True, max_features=1)
|
||||
|
||||
# FIXME: the error message should be improved. Raising a `NotFittedError`
|
||||
# would be better since it would force to validate all class attribute and
|
||||
# create all the necessary fitted attribute
|
||||
err_msg = "Unable to generate feature names without n_features_in_"
|
||||
with pytest.raises(ValueError, match=err_msg):
|
||||
model.get_feature_names_out()
|
||||
|
||||
model.fit(data, y)
|
||||
feature_names = model.get_feature_names_out()
|
||||
assert feature_names == ["x3"]
|
||||
|
||||
|
||||
def test_threshold_string():
|
||||
est = RandomForestClassifier(n_estimators=50, random_state=0)
|
||||
model = SelectFromModel(est, threshold="0.5*mean")
|
||||
model.fit(data, y)
|
||||
X_transform = model.transform(data)
|
||||
|
||||
# Calculate the threshold from the estimator directly.
|
||||
est.fit(data, y)
|
||||
threshold = 0.5 * np.mean(est.feature_importances_)
|
||||
mask = est.feature_importances_ > threshold
|
||||
assert_array_almost_equal(X_transform, data[:, mask])
|
||||
|
||||
|
||||
def test_threshold_without_refitting():
|
||||
# Test that the threshold can be set without refitting the model.
|
||||
clf = SGDClassifier(alpha=0.1, max_iter=10, shuffle=True, random_state=0, tol=None)
|
||||
model = SelectFromModel(clf, threshold="0.1 * mean")
|
||||
model.fit(data, y)
|
||||
X_transform = model.transform(data)
|
||||
|
||||
# Set a higher threshold to filter out more features.
|
||||
model.threshold = "1.0 * mean"
|
||||
assert X_transform.shape[1] > model.transform(data).shape[1]
|
||||
|
||||
|
||||
def test_fit_accepts_nan_inf():
|
||||
# Test that fit doesn't check for np.inf and np.nan values.
|
||||
clf = HistGradientBoostingClassifier(random_state=0)
|
||||
|
||||
model = SelectFromModel(estimator=clf)
|
||||
|
||||
nan_data = data.copy()
|
||||
nan_data[0] = np.NaN
|
||||
nan_data[1] = np.Inf
|
||||
|
||||
model.fit(data, y)
|
||||
|
||||
|
||||
def test_transform_accepts_nan_inf():
|
||||
# Test that transform doesn't check for np.inf and np.nan values.
|
||||
clf = NaNTagRandomForest(n_estimators=100, random_state=0)
|
||||
nan_data = data.copy()
|
||||
|
||||
model = SelectFromModel(estimator=clf)
|
||||
model.fit(nan_data, y)
|
||||
|
||||
nan_data[0] = np.NaN
|
||||
nan_data[1] = np.Inf
|
||||
|
||||
model.transform(nan_data)
|
||||
|
||||
|
||||
def test_allow_nan_tag_comes_from_estimator():
|
||||
allow_nan_est = NaNTag()
|
||||
model = SelectFromModel(estimator=allow_nan_est)
|
||||
assert model._get_tags()["allow_nan"] is True
|
||||
|
||||
no_nan_est = NoNaNTag()
|
||||
model = SelectFromModel(estimator=no_nan_est)
|
||||
assert model._get_tags()["allow_nan"] is False
|
||||
|
||||
|
||||
def _pca_importances(pca_estimator):
|
||||
return np.abs(pca_estimator.explained_variance_)
|
||||
|
||||
|
||||
@pytest.mark.parametrize(
|
||||
"estimator, importance_getter",
|
||||
[
|
||||
(
|
||||
make_pipeline(PCA(random_state=0), LogisticRegression()),
|
||||
"named_steps.logisticregression.coef_",
|
||||
),
|
||||
(PCA(random_state=0), _pca_importances),
|
||||
],
|
||||
)
|
||||
def test_importance_getter(estimator, importance_getter):
|
||||
selector = SelectFromModel(
|
||||
estimator, threshold="mean", importance_getter=importance_getter
|
||||
)
|
||||
selector.fit(data, y)
|
||||
assert selector.transform(data).shape[1] == 1
|
||||
|
||||
|
||||
@pytest.mark.parametrize("PLSEstimator", [CCA, PLSCanonical, PLSRegression])
|
||||
def test_select_from_model_pls(PLSEstimator):
|
||||
"""Check the behaviour of SelectFromModel with PLS estimators.
|
||||
|
||||
Non-regression test for:
|
||||
https://github.com/scikit-learn/scikit-learn/issues/12410
|
||||
"""
|
||||
X, y = make_friedman1(n_samples=50, n_features=10, random_state=0)
|
||||
estimator = PLSEstimator(n_components=1)
|
||||
model = make_pipeline(SelectFromModel(estimator), estimator).fit(X, y)
|
||||
assert model.score(X, y) > 0.5
|
||||
|
||||
|
||||
def test_estimator_does_not_support_feature_names():
|
||||
"""SelectFromModel works with estimators that do not support feature_names_in_.
|
||||
|
||||
Non-regression test for #21949.
|
||||
"""
|
||||
pytest.importorskip("pandas")
|
||||
X, y = datasets.load_iris(as_frame=True, return_X_y=True)
|
||||
all_feature_names = set(X.columns)
|
||||
|
||||
def importance_getter(estimator):
|
||||
return np.arange(X.shape[1])
|
||||
|
||||
selector = SelectFromModel(
|
||||
MinimalClassifier(), importance_getter=importance_getter
|
||||
).fit(X, y)
|
||||
|
||||
# selector learns the feature names itself
|
||||
assert_array_equal(selector.feature_names_in_, X.columns)
|
||||
|
||||
feature_names_out = set(selector.get_feature_names_out())
|
||||
assert feature_names_out < all_feature_names
|
||||
|
||||
with warnings.catch_warnings():
|
||||
warnings.simplefilter("error", UserWarning)
|
||||
|
||||
selector.transform(X.iloc[1:3])
|
||||
|
||||
|
||||
@pytest.mark.parametrize(
|
||||
"error, err_msg, max_features",
|
||||
(
|
||||
[ValueError, "max_features == 10, must be <= 4", 10],
|
||||
[TypeError, "'max_features' must be either an int or a callable", "a"],
|
||||
[ValueError, r"max_features\(X\) == 5, must be <= 4", lambda x: x.shape[1] + 1],
|
||||
),
|
||||
)
|
||||
def test_partial_fit_validate_max_features(error, err_msg, max_features):
|
||||
"""Test that partial_fit from SelectFromModel validates `max_features`."""
|
||||
X, y = datasets.make_classification(
|
||||
n_samples=100,
|
||||
n_features=4,
|
||||
random_state=0,
|
||||
)
|
||||
|
||||
with pytest.raises(error, match=err_msg):
|
||||
SelectFromModel(
|
||||
estimator=SGDClassifier(), max_features=max_features
|
||||
).partial_fit(X, y, classes=[0, 1])
|
||||
|
||||
|
||||
@pytest.mark.parametrize("as_frame", [True, False])
|
||||
def test_partial_fit_validate_feature_names(as_frame):
|
||||
"""Test that partial_fit from SelectFromModel validates `feature_names_in_`."""
|
||||
pytest.importorskip("pandas")
|
||||
X, y = datasets.load_iris(as_frame=as_frame, return_X_y=True)
|
||||
|
||||
selector = SelectFromModel(estimator=SGDClassifier(), max_features=4).partial_fit(
|
||||
X, y, classes=[0, 1, 2]
|
||||
)
|
||||
if as_frame:
|
||||
assert_array_equal(selector.feature_names_in_, X.columns)
|
||||
else:
|
||||
assert not hasattr(selector, "feature_names_in_")
|
||||
@@ -0,0 +1,209 @@
|
||||
import numpy as np
|
||||
import pytest
|
||||
from scipy.sparse import csr_matrix
|
||||
|
||||
from sklearn.utils import check_random_state
|
||||
from sklearn.utils._testing import (
|
||||
assert_array_equal,
|
||||
assert_allclose,
|
||||
)
|
||||
from sklearn.feature_selection._mutual_info import _compute_mi
|
||||
from sklearn.feature_selection import mutual_info_regression, mutual_info_classif
|
||||
|
||||
|
||||
def test_compute_mi_dd():
|
||||
# In discrete case computations are straightforward and can be done
|
||||
# by hand on given vectors.
|
||||
x = np.array([0, 1, 1, 0, 0])
|
||||
y = np.array([1, 0, 0, 0, 1])
|
||||
|
||||
H_x = H_y = -(3 / 5) * np.log(3 / 5) - (2 / 5) * np.log(2 / 5)
|
||||
H_xy = -1 / 5 * np.log(1 / 5) - 2 / 5 * np.log(2 / 5) - 2 / 5 * np.log(2 / 5)
|
||||
I_xy = H_x + H_y - H_xy
|
||||
|
||||
assert_allclose(_compute_mi(x, y, x_discrete=True, y_discrete=True), I_xy)
|
||||
|
||||
|
||||
def test_compute_mi_cc(global_dtype):
|
||||
# For two continuous variables a good approach is to test on bivariate
|
||||
# normal distribution, where mutual information is known.
|
||||
|
||||
# Mean of the distribution, irrelevant for mutual information.
|
||||
mean = np.zeros(2)
|
||||
|
||||
# Setup covariance matrix with correlation coeff. equal 0.5.
|
||||
sigma_1 = 1
|
||||
sigma_2 = 10
|
||||
corr = 0.5
|
||||
cov = np.array(
|
||||
[
|
||||
[sigma_1**2, corr * sigma_1 * sigma_2],
|
||||
[corr * sigma_1 * sigma_2, sigma_2**2],
|
||||
]
|
||||
)
|
||||
|
||||
# True theoretical mutual information.
|
||||
I_theory = np.log(sigma_1) + np.log(sigma_2) - 0.5 * np.log(np.linalg.det(cov))
|
||||
|
||||
rng = check_random_state(0)
|
||||
Z = rng.multivariate_normal(mean, cov, size=1000).astype(global_dtype, copy=False)
|
||||
|
||||
x, y = Z[:, 0], Z[:, 1]
|
||||
|
||||
# Theory and computed values won't be very close
|
||||
# We here check with a large relative tolerance
|
||||
for n_neighbors in [3, 5, 7]:
|
||||
I_computed = _compute_mi(
|
||||
x, y, x_discrete=False, y_discrete=False, n_neighbors=n_neighbors
|
||||
)
|
||||
assert_allclose(I_computed, I_theory, rtol=1e-1)
|
||||
|
||||
|
||||
def test_compute_mi_cd(global_dtype):
|
||||
# To test define a joint distribution as follows:
|
||||
# p(x, y) = p(x) p(y | x)
|
||||
# X ~ Bernoulli(p)
|
||||
# (Y | x = 0) ~ Uniform(-1, 1)
|
||||
# (Y | x = 1) ~ Uniform(0, 2)
|
||||
|
||||
# Use the following formula for mutual information:
|
||||
# I(X; Y) = H(Y) - H(Y | X)
|
||||
# Two entropies can be computed by hand:
|
||||
# H(Y) = -(1-p)/2 * ln((1-p)/2) - p/2*log(p/2) - 1/2*log(1/2)
|
||||
# H(Y | X) = ln(2)
|
||||
|
||||
# Now we need to implement sampling from out distribution, which is
|
||||
# done easily using conditional distribution logic.
|
||||
|
||||
n_samples = 1000
|
||||
rng = check_random_state(0)
|
||||
|
||||
for p in [0.3, 0.5, 0.7]:
|
||||
x = rng.uniform(size=n_samples) > p
|
||||
|
||||
y = np.empty(n_samples, global_dtype)
|
||||
mask = x == 0
|
||||
y[mask] = rng.uniform(-1, 1, size=np.sum(mask))
|
||||
y[~mask] = rng.uniform(0, 2, size=np.sum(~mask))
|
||||
|
||||
I_theory = -0.5 * (
|
||||
(1 - p) * np.log(0.5 * (1 - p)) + p * np.log(0.5 * p) + np.log(0.5)
|
||||
) - np.log(2)
|
||||
|
||||
# Assert the same tolerance.
|
||||
for n_neighbors in [3, 5, 7]:
|
||||
I_computed = _compute_mi(
|
||||
x, y, x_discrete=True, y_discrete=False, n_neighbors=n_neighbors
|
||||
)
|
||||
assert_allclose(I_computed, I_theory, rtol=1e-1)
|
||||
|
||||
|
||||
def test_compute_mi_cd_unique_label(global_dtype):
|
||||
# Test that adding unique label doesn't change MI.
|
||||
n_samples = 100
|
||||
x = np.random.uniform(size=n_samples) > 0.5
|
||||
|
||||
y = np.empty(n_samples, global_dtype)
|
||||
mask = x == 0
|
||||
y[mask] = np.random.uniform(-1, 1, size=np.sum(mask))
|
||||
y[~mask] = np.random.uniform(0, 2, size=np.sum(~mask))
|
||||
|
||||
mi_1 = _compute_mi(x, y, x_discrete=True, y_discrete=False)
|
||||
|
||||
x = np.hstack((x, 2))
|
||||
y = np.hstack((y, 10))
|
||||
mi_2 = _compute_mi(x, y, x_discrete=True, y_discrete=False)
|
||||
|
||||
assert_allclose(mi_1, mi_2)
|
||||
|
||||
|
||||
# We are going test that feature ordering by MI matches our expectations.
|
||||
def test_mutual_info_classif_discrete(global_dtype):
|
||||
X = np.array(
|
||||
[[0, 0, 0], [1, 1, 0], [2, 0, 1], [2, 0, 1], [2, 0, 1]], dtype=global_dtype
|
||||
)
|
||||
y = np.array([0, 1, 2, 2, 1])
|
||||
|
||||
# Here X[:, 0] is the most informative feature, and X[:, 1] is weakly
|
||||
# informative.
|
||||
mi = mutual_info_classif(X, y, discrete_features=True)
|
||||
assert_array_equal(np.argsort(-mi), np.array([0, 2, 1]))
|
||||
|
||||
|
||||
def test_mutual_info_regression(global_dtype):
|
||||
# We generate sample from multivariate normal distribution, using
|
||||
# transformation from initially uncorrelated variables. The zero
|
||||
# variables after transformation is selected as the target vector,
|
||||
# it has the strongest correlation with the variable 2, and
|
||||
# the weakest correlation with the variable 1.
|
||||
T = np.array([[1, 0.5, 2, 1], [0, 1, 0.1, 0.0], [0, 0.1, 1, 0.1], [0, 0.1, 0.1, 1]])
|
||||
cov = T.dot(T.T)
|
||||
mean = np.zeros(4)
|
||||
|
||||
rng = check_random_state(0)
|
||||
Z = rng.multivariate_normal(mean, cov, size=1000).astype(global_dtype, copy=False)
|
||||
X = Z[:, 1:]
|
||||
y = Z[:, 0]
|
||||
|
||||
mi = mutual_info_regression(X, y, random_state=0)
|
||||
assert_array_equal(np.argsort(-mi), np.array([1, 2, 0]))
|
||||
# XXX: should mutual_info_regression be fixed to avoid
|
||||
# up-casting float32 inputs to float64?
|
||||
assert mi.dtype == np.float64
|
||||
|
||||
|
||||
def test_mutual_info_classif_mixed(global_dtype):
|
||||
# Here the target is discrete and there are two continuous and one
|
||||
# discrete feature. The idea of this test is clear from the code.
|
||||
rng = check_random_state(0)
|
||||
X = rng.rand(1000, 3).astype(global_dtype, copy=False)
|
||||
X[:, 1] += X[:, 0]
|
||||
y = ((0.5 * X[:, 0] + X[:, 2]) > 0.5).astype(int)
|
||||
X[:, 2] = X[:, 2] > 0.5
|
||||
|
||||
mi = mutual_info_classif(X, y, discrete_features=[2], n_neighbors=3, random_state=0)
|
||||
assert_array_equal(np.argsort(-mi), [2, 0, 1])
|
||||
for n_neighbors in [5, 7, 9]:
|
||||
mi_nn = mutual_info_classif(
|
||||
X, y, discrete_features=[2], n_neighbors=n_neighbors, random_state=0
|
||||
)
|
||||
# Check that the continuous values have an higher MI with greater
|
||||
# n_neighbors
|
||||
assert mi_nn[0] > mi[0]
|
||||
assert mi_nn[1] > mi[1]
|
||||
# The n_neighbors should not have any effect on the discrete value
|
||||
# The MI should be the same
|
||||
assert mi_nn[2] == mi[2]
|
||||
|
||||
|
||||
def test_mutual_info_options(global_dtype):
|
||||
X = np.array(
|
||||
[[0, 0, 0], [1, 1, 0], [2, 0, 1], [2, 0, 1], [2, 0, 1]], dtype=global_dtype
|
||||
)
|
||||
y = np.array([0, 1, 2, 2, 1], dtype=global_dtype)
|
||||
X_csr = csr_matrix(X)
|
||||
|
||||
for mutual_info in (mutual_info_regression, mutual_info_classif):
|
||||
with pytest.raises(ValueError):
|
||||
mutual_info(X_csr, y, discrete_features=False)
|
||||
with pytest.raises(ValueError):
|
||||
mutual_info(X, y, discrete_features="manual")
|
||||
with pytest.raises(ValueError):
|
||||
mutual_info(X_csr, y, discrete_features=[True, False, True])
|
||||
with pytest.raises(IndexError):
|
||||
mutual_info(X, y, discrete_features=[True, False, True, False])
|
||||
with pytest.raises(IndexError):
|
||||
mutual_info(X, y, discrete_features=[1, 4])
|
||||
|
||||
mi_1 = mutual_info(X, y, discrete_features="auto", random_state=0)
|
||||
mi_2 = mutual_info(X, y, discrete_features=False, random_state=0)
|
||||
mi_3 = mutual_info(X_csr, y, discrete_features="auto", random_state=0)
|
||||
mi_4 = mutual_info(X_csr, y, discrete_features=True, random_state=0)
|
||||
mi_5 = mutual_info(X, y, discrete_features=[True, False, True], random_state=0)
|
||||
mi_6 = mutual_info(X, y, discrete_features=[0, 2], random_state=0)
|
||||
|
||||
assert_allclose(mi_1, mi_2)
|
||||
assert_allclose(mi_3, mi_4)
|
||||
assert_allclose(mi_5, mi_6)
|
||||
|
||||
assert not np.allclose(mi_1, mi_3)
|
||||
@@ -0,0 +1,630 @@
|
||||
"""
|
||||
Testing Recursive feature elimination
|
||||
"""
|
||||
|
||||
from operator import attrgetter
|
||||
|
||||
import pytest
|
||||
import numpy as np
|
||||
from numpy.testing import assert_array_almost_equal, assert_array_equal, assert_allclose
|
||||
from scipy import sparse
|
||||
|
||||
from sklearn.base import BaseEstimator, ClassifierMixin
|
||||
from sklearn.cross_decomposition import PLSCanonical, PLSRegression, CCA
|
||||
from sklearn.feature_selection import RFE, RFECV
|
||||
from sklearn.datasets import load_iris, make_friedman1
|
||||
from sklearn.metrics import zero_one_loss
|
||||
from sklearn.svm import SVC, SVR, LinearSVR
|
||||
from sklearn.linear_model import LogisticRegression
|
||||
from sklearn.ensemble import RandomForestClassifier
|
||||
from sklearn.model_selection import cross_val_score
|
||||
from sklearn.model_selection import GroupKFold
|
||||
from sklearn.compose import TransformedTargetRegressor
|
||||
from sklearn.pipeline import make_pipeline
|
||||
from sklearn.preprocessing import StandardScaler
|
||||
|
||||
from sklearn.utils import check_random_state
|
||||
from sklearn.utils._testing import ignore_warnings
|
||||
|
||||
from sklearn.metrics import make_scorer
|
||||
from sklearn.metrics import get_scorer
|
||||
|
||||
|
||||
class MockClassifier:
|
||||
"""
|
||||
Dummy classifier to test recursive feature elimination
|
||||
"""
|
||||
|
||||
def __init__(self, foo_param=0):
|
||||
self.foo_param = foo_param
|
||||
|
||||
def fit(self, X, y):
|
||||
assert len(X) == len(y)
|
||||
self.coef_ = np.ones(X.shape[1], dtype=np.float64)
|
||||
return self
|
||||
|
||||
def predict(self, T):
|
||||
return T.shape[0]
|
||||
|
||||
predict_proba = predict
|
||||
decision_function = predict
|
||||
transform = predict
|
||||
|
||||
def score(self, X=None, y=None):
|
||||
return 0.0
|
||||
|
||||
def get_params(self, deep=True):
|
||||
return {"foo_param": self.foo_param}
|
||||
|
||||
def set_params(self, **params):
|
||||
return self
|
||||
|
||||
def _more_tags(self):
|
||||
return {"allow_nan": True}
|
||||
|
||||
|
||||
def test_rfe_features_importance():
|
||||
generator = check_random_state(0)
|
||||
iris = load_iris()
|
||||
X = np.c_[iris.data, generator.normal(size=(len(iris.data), 6))]
|
||||
y = iris.target
|
||||
|
||||
clf = RandomForestClassifier(n_estimators=20, random_state=generator, max_depth=2)
|
||||
rfe = RFE(estimator=clf, n_features_to_select=4, step=0.1)
|
||||
rfe.fit(X, y)
|
||||
assert len(rfe.ranking_) == X.shape[1]
|
||||
|
||||
clf_svc = SVC(kernel="linear")
|
||||
rfe_svc = RFE(estimator=clf_svc, n_features_to_select=4, step=0.1)
|
||||
rfe_svc.fit(X, y)
|
||||
|
||||
# Check if the supports are equal
|
||||
assert_array_equal(rfe.get_support(), rfe_svc.get_support())
|
||||
|
||||
|
||||
def test_rfe():
|
||||
generator = check_random_state(0)
|
||||
iris = load_iris()
|
||||
X = np.c_[iris.data, generator.normal(size=(len(iris.data), 6))]
|
||||
X_sparse = sparse.csr_matrix(X)
|
||||
y = iris.target
|
||||
|
||||
# dense model
|
||||
clf = SVC(kernel="linear")
|
||||
rfe = RFE(estimator=clf, n_features_to_select=4, step=0.1)
|
||||
rfe.fit(X, y)
|
||||
X_r = rfe.transform(X)
|
||||
clf.fit(X_r, y)
|
||||
assert len(rfe.ranking_) == X.shape[1]
|
||||
|
||||
# sparse model
|
||||
clf_sparse = SVC(kernel="linear")
|
||||
rfe_sparse = RFE(estimator=clf_sparse, n_features_to_select=4, step=0.1)
|
||||
rfe_sparse.fit(X_sparse, y)
|
||||
X_r_sparse = rfe_sparse.transform(X_sparse)
|
||||
|
||||
assert X_r.shape == iris.data.shape
|
||||
assert_array_almost_equal(X_r[:10], iris.data[:10])
|
||||
|
||||
assert_array_almost_equal(rfe.predict(X), clf.predict(iris.data))
|
||||
assert rfe.score(X, y) == clf.score(iris.data, iris.target)
|
||||
assert_array_almost_equal(X_r, X_r_sparse.toarray())
|
||||
|
||||
|
||||
def test_RFE_fit_score_params():
|
||||
# Make sure RFE passes the metadata down to fit and score methods of the
|
||||
# underlying estimator
|
||||
class TestEstimator(BaseEstimator, ClassifierMixin):
|
||||
def fit(self, X, y, prop=None):
|
||||
if prop is None:
|
||||
raise ValueError("fit: prop cannot be None")
|
||||
self.svc_ = SVC(kernel="linear").fit(X, y)
|
||||
self.coef_ = self.svc_.coef_
|
||||
return self
|
||||
|
||||
def score(self, X, y, prop=None):
|
||||
if prop is None:
|
||||
raise ValueError("score: prop cannot be None")
|
||||
return self.svc_.score(X, y)
|
||||
|
||||
X, y = load_iris(return_X_y=True)
|
||||
with pytest.raises(ValueError, match="fit: prop cannot be None"):
|
||||
RFE(estimator=TestEstimator()).fit(X, y)
|
||||
with pytest.raises(ValueError, match="score: prop cannot be None"):
|
||||
RFE(estimator=TestEstimator()).fit(X, y, prop="foo").score(X, y)
|
||||
|
||||
RFE(estimator=TestEstimator()).fit(X, y, prop="foo").score(X, y, prop="foo")
|
||||
|
||||
|
||||
@pytest.mark.parametrize("n_features_to_select", [-1, 2.1])
|
||||
def test_rfe_invalid_n_features_errors(n_features_to_select):
|
||||
clf = SVC(kernel="linear")
|
||||
|
||||
iris = load_iris()
|
||||
rfe = RFE(estimator=clf, n_features_to_select=n_features_to_select, step=0.1)
|
||||
msg = f"n_features_to_select must be .+ Got {n_features_to_select}"
|
||||
with pytest.raises(ValueError, match=msg):
|
||||
rfe.fit(iris.data, iris.target)
|
||||
|
||||
|
||||
def test_rfe_percent_n_features():
|
||||
# test that the results are the same
|
||||
generator = check_random_state(0)
|
||||
iris = load_iris()
|
||||
X = np.c_[iris.data, generator.normal(size=(len(iris.data), 6))]
|
||||
y = iris.target
|
||||
# there are 10 features in the data. We select 40%.
|
||||
clf = SVC(kernel="linear")
|
||||
rfe_num = RFE(estimator=clf, n_features_to_select=4, step=0.1)
|
||||
rfe_num.fit(X, y)
|
||||
|
||||
rfe_perc = RFE(estimator=clf, n_features_to_select=0.4, step=0.1)
|
||||
rfe_perc.fit(X, y)
|
||||
|
||||
assert_array_equal(rfe_perc.ranking_, rfe_num.ranking_)
|
||||
assert_array_equal(rfe_perc.support_, rfe_num.support_)
|
||||
|
||||
|
||||
def test_rfe_mockclassifier():
|
||||
generator = check_random_state(0)
|
||||
iris = load_iris()
|
||||
X = np.c_[iris.data, generator.normal(size=(len(iris.data), 6))]
|
||||
y = iris.target
|
||||
|
||||
# dense model
|
||||
clf = MockClassifier()
|
||||
rfe = RFE(estimator=clf, n_features_to_select=4, step=0.1)
|
||||
rfe.fit(X, y)
|
||||
X_r = rfe.transform(X)
|
||||
clf.fit(X_r, y)
|
||||
assert len(rfe.ranking_) == X.shape[1]
|
||||
assert X_r.shape == iris.data.shape
|
||||
|
||||
|
||||
def test_rfecv():
|
||||
generator = check_random_state(0)
|
||||
iris = load_iris()
|
||||
X = np.c_[iris.data, generator.normal(size=(len(iris.data), 6))]
|
||||
y = list(iris.target) # regression test: list should be supported
|
||||
|
||||
# Test using the score function
|
||||
rfecv = RFECV(estimator=SVC(kernel="linear"), step=1)
|
||||
rfecv.fit(X, y)
|
||||
# non-regression test for missing worst feature:
|
||||
|
||||
# TODO: Remove in v1.2 when grid_scores_ is removed
|
||||
msg = (
|
||||
r"The `grid_scores_` attribute is deprecated in version 1\.0 in "
|
||||
r"favor of `cv_results_` and will be removed in version 1\.2."
|
||||
)
|
||||
with pytest.warns(FutureWarning, match=msg):
|
||||
assert len(rfecv.grid_scores_) == X.shape[1]
|
||||
|
||||
for key in rfecv.cv_results_.keys():
|
||||
assert len(rfecv.cv_results_[key]) == X.shape[1]
|
||||
|
||||
assert len(rfecv.ranking_) == X.shape[1]
|
||||
X_r = rfecv.transform(X)
|
||||
|
||||
# All the noisy variable were filtered out
|
||||
assert_array_equal(X_r, iris.data)
|
||||
|
||||
# same in sparse
|
||||
rfecv_sparse = RFECV(estimator=SVC(kernel="linear"), step=1)
|
||||
X_sparse = sparse.csr_matrix(X)
|
||||
rfecv_sparse.fit(X_sparse, y)
|
||||
X_r_sparse = rfecv_sparse.transform(X_sparse)
|
||||
assert_array_equal(X_r_sparse.toarray(), iris.data)
|
||||
|
||||
# Test using a customized loss function
|
||||
scoring = make_scorer(zero_one_loss, greater_is_better=False)
|
||||
rfecv = RFECV(estimator=SVC(kernel="linear"), step=1, scoring=scoring)
|
||||
ignore_warnings(rfecv.fit)(X, y)
|
||||
X_r = rfecv.transform(X)
|
||||
assert_array_equal(X_r, iris.data)
|
||||
|
||||
# Test using a scorer
|
||||
scorer = get_scorer("accuracy")
|
||||
rfecv = RFECV(estimator=SVC(kernel="linear"), step=1, scoring=scorer)
|
||||
rfecv.fit(X, y)
|
||||
X_r = rfecv.transform(X)
|
||||
assert_array_equal(X_r, iris.data)
|
||||
|
||||
# Test fix on cv_results_
|
||||
def test_scorer(estimator, X, y):
|
||||
return 1.0
|
||||
|
||||
rfecv = RFECV(estimator=SVC(kernel="linear"), step=1, scoring=test_scorer)
|
||||
rfecv.fit(X, y)
|
||||
|
||||
# TODO: Remove in v1.2 when grid_scores_ is removed
|
||||
with pytest.warns(FutureWarning, match=msg):
|
||||
assert_array_equal(rfecv.grid_scores_, np.ones(rfecv.grid_scores_.shape))
|
||||
|
||||
# In the event of cross validation score ties, the expected behavior of
|
||||
# RFECV is to return the FEWEST features that maximize the CV score.
|
||||
# Because test_scorer always returns 1.0 in this example, RFECV should
|
||||
# reduce the dimensionality to a single feature (i.e. n_features_ = 1)
|
||||
assert rfecv.n_features_ == 1
|
||||
|
||||
# Same as the first two tests, but with step=2
|
||||
rfecv = RFECV(estimator=SVC(kernel="linear"), step=2)
|
||||
rfecv.fit(X, y)
|
||||
|
||||
# TODO: Remove in v1.2 when grid_scores_ is removed
|
||||
with pytest.warns(FutureWarning, match=msg):
|
||||
assert len(rfecv.grid_scores_) == 6
|
||||
|
||||
for key in rfecv.cv_results_.keys():
|
||||
assert len(rfecv.cv_results_[key]) == 6
|
||||
|
||||
assert len(rfecv.ranking_) == X.shape[1]
|
||||
X_r = rfecv.transform(X)
|
||||
assert_array_equal(X_r, iris.data)
|
||||
|
||||
rfecv_sparse = RFECV(estimator=SVC(kernel="linear"), step=2)
|
||||
X_sparse = sparse.csr_matrix(X)
|
||||
rfecv_sparse.fit(X_sparse, y)
|
||||
X_r_sparse = rfecv_sparse.transform(X_sparse)
|
||||
assert_array_equal(X_r_sparse.toarray(), iris.data)
|
||||
|
||||
# Verifying that steps < 1 don't blow up.
|
||||
rfecv_sparse = RFECV(estimator=SVC(kernel="linear"), step=0.2)
|
||||
X_sparse = sparse.csr_matrix(X)
|
||||
rfecv_sparse.fit(X_sparse, y)
|
||||
X_r_sparse = rfecv_sparse.transform(X_sparse)
|
||||
assert_array_equal(X_r_sparse.toarray(), iris.data)
|
||||
|
||||
|
||||
def test_rfecv_mockclassifier():
|
||||
generator = check_random_state(0)
|
||||
iris = load_iris()
|
||||
X = np.c_[iris.data, generator.normal(size=(len(iris.data), 6))]
|
||||
y = list(iris.target) # regression test: list should be supported
|
||||
|
||||
# Test using the score function
|
||||
rfecv = RFECV(estimator=MockClassifier(), step=1)
|
||||
rfecv.fit(X, y)
|
||||
# non-regression test for missing worst feature:
|
||||
|
||||
# TODO: Remove in v1.2 when grid_scores_ is removed
|
||||
msg = (
|
||||
r"The `grid_scores_` attribute is deprecated in version 1\.0 in "
|
||||
r"favor of `cv_results_` and will be removed in version 1\.2."
|
||||
)
|
||||
with pytest.warns(FutureWarning, match=msg):
|
||||
assert len(rfecv.grid_scores_) == X.shape[1]
|
||||
|
||||
for key in rfecv.cv_results_.keys():
|
||||
assert len(rfecv.cv_results_[key]) == X.shape[1]
|
||||
|
||||
assert len(rfecv.ranking_) == X.shape[1]
|
||||
|
||||
|
||||
def test_rfecv_verbose_output():
|
||||
# Check verbose=1 is producing an output.
|
||||
from io import StringIO
|
||||
import sys
|
||||
|
||||
sys.stdout = StringIO()
|
||||
|
||||
generator = check_random_state(0)
|
||||
iris = load_iris()
|
||||
X = np.c_[iris.data, generator.normal(size=(len(iris.data), 6))]
|
||||
y = list(iris.target)
|
||||
|
||||
rfecv = RFECV(estimator=SVC(kernel="linear"), step=1, verbose=1)
|
||||
rfecv.fit(X, y)
|
||||
|
||||
verbose_output = sys.stdout
|
||||
verbose_output.seek(0)
|
||||
assert len(verbose_output.readline()) > 0
|
||||
|
||||
|
||||
def test_rfecv_cv_results_size():
|
||||
generator = check_random_state(0)
|
||||
iris = load_iris()
|
||||
X = np.c_[iris.data, generator.normal(size=(len(iris.data), 6))]
|
||||
y = list(iris.target) # regression test: list should be supported
|
||||
|
||||
# Non-regression test for varying combinations of step and
|
||||
# min_features_to_select.
|
||||
for step, min_features_to_select in [[2, 1], [2, 2], [3, 3]]:
|
||||
rfecv = RFECV(
|
||||
estimator=MockClassifier(),
|
||||
step=step,
|
||||
min_features_to_select=min_features_to_select,
|
||||
)
|
||||
rfecv.fit(X, y)
|
||||
|
||||
score_len = np.ceil((X.shape[1] - min_features_to_select) / step) + 1
|
||||
|
||||
# TODO: Remove in v1.2 when grid_scores_ is removed
|
||||
msg = (
|
||||
r"The `grid_scores_` attribute is deprecated in version 1\.0 in "
|
||||
r"favor of `cv_results_` and will be removed in version 1\.2."
|
||||
)
|
||||
with pytest.warns(FutureWarning, match=msg):
|
||||
assert len(rfecv.grid_scores_) == score_len
|
||||
|
||||
for key in rfecv.cv_results_.keys():
|
||||
assert len(rfecv.cv_results_[key]) == score_len
|
||||
|
||||
assert len(rfecv.ranking_) == X.shape[1]
|
||||
assert rfecv.n_features_ >= min_features_to_select
|
||||
|
||||
|
||||
def test_rfe_estimator_tags():
|
||||
rfe = RFE(SVC(kernel="linear"))
|
||||
assert rfe._estimator_type == "classifier"
|
||||
# make sure that cross-validation is stratified
|
||||
iris = load_iris()
|
||||
score = cross_val_score(rfe, iris.data, iris.target)
|
||||
assert score.min() > 0.7
|
||||
|
||||
|
||||
def test_rfe_min_step():
|
||||
n_features = 10
|
||||
X, y = make_friedman1(n_samples=50, n_features=n_features, random_state=0)
|
||||
n_samples, n_features = X.shape
|
||||
estimator = SVR(kernel="linear")
|
||||
|
||||
# Test when floor(step * n_features) <= 0
|
||||
selector = RFE(estimator, step=0.01)
|
||||
sel = selector.fit(X, y)
|
||||
assert sel.support_.sum() == n_features // 2
|
||||
|
||||
# Test when step is between (0,1) and floor(step * n_features) > 0
|
||||
selector = RFE(estimator, step=0.20)
|
||||
sel = selector.fit(X, y)
|
||||
assert sel.support_.sum() == n_features // 2
|
||||
|
||||
# Test when step is an integer
|
||||
selector = RFE(estimator, step=5)
|
||||
sel = selector.fit(X, y)
|
||||
assert sel.support_.sum() == n_features // 2
|
||||
|
||||
|
||||
def test_number_of_subsets_of_features():
|
||||
# In RFE, 'number_of_subsets_of_features'
|
||||
# = the number of iterations in '_fit'
|
||||
# = max(ranking_)
|
||||
# = 1 + (n_features + step - n_features_to_select - 1) // step
|
||||
# After optimization #4534, this number
|
||||
# = 1 + np.ceil((n_features - n_features_to_select) / float(step))
|
||||
# This test case is to test their equivalence, refer to #4534 and #3824
|
||||
|
||||
def formula1(n_features, n_features_to_select, step):
|
||||
return 1 + ((n_features + step - n_features_to_select - 1) // step)
|
||||
|
||||
def formula2(n_features, n_features_to_select, step):
|
||||
return 1 + np.ceil((n_features - n_features_to_select) / float(step))
|
||||
|
||||
# RFE
|
||||
# Case 1, n_features - n_features_to_select is divisible by step
|
||||
# Case 2, n_features - n_features_to_select is not divisible by step
|
||||
n_features_list = [11, 11]
|
||||
n_features_to_select_list = [3, 3]
|
||||
step_list = [2, 3]
|
||||
for n_features, n_features_to_select, step in zip(
|
||||
n_features_list, n_features_to_select_list, step_list
|
||||
):
|
||||
generator = check_random_state(43)
|
||||
X = generator.normal(size=(100, n_features))
|
||||
y = generator.rand(100).round()
|
||||
rfe = RFE(
|
||||
estimator=SVC(kernel="linear"),
|
||||
n_features_to_select=n_features_to_select,
|
||||
step=step,
|
||||
)
|
||||
rfe.fit(X, y)
|
||||
# this number also equals to the maximum of ranking_
|
||||
assert np.max(rfe.ranking_) == formula1(n_features, n_features_to_select, step)
|
||||
assert np.max(rfe.ranking_) == formula2(n_features, n_features_to_select, step)
|
||||
|
||||
# In RFECV, 'fit' calls 'RFE._fit'
|
||||
# 'number_of_subsets_of_features' of RFE
|
||||
# = the size of each score in 'cv_results_' of RFECV
|
||||
# = the number of iterations of the for loop before optimization #4534
|
||||
|
||||
# RFECV, n_features_to_select = 1
|
||||
# Case 1, n_features - 1 is divisible by step
|
||||
# Case 2, n_features - 1 is not divisible by step
|
||||
|
||||
n_features_to_select = 1
|
||||
n_features_list = [11, 10]
|
||||
step_list = [2, 2]
|
||||
for n_features, step in zip(n_features_list, step_list):
|
||||
generator = check_random_state(43)
|
||||
X = generator.normal(size=(100, n_features))
|
||||
y = generator.rand(100).round()
|
||||
rfecv = RFECV(estimator=SVC(kernel="linear"), step=step)
|
||||
rfecv.fit(X, y)
|
||||
|
||||
# TODO: Remove in v1.2 when grid_scores_ is removed
|
||||
msg = (
|
||||
r"The `grid_scores_` attribute is deprecated in version 1\.0 in "
|
||||
r"favor of `cv_results_` and will be removed in version 1\.2."
|
||||
)
|
||||
with pytest.warns(FutureWarning, match=msg):
|
||||
assert len(rfecv.grid_scores_) == formula1(
|
||||
n_features, n_features_to_select, step
|
||||
)
|
||||
assert len(rfecv.grid_scores_) == formula2(
|
||||
n_features, n_features_to_select, step
|
||||
)
|
||||
|
||||
for key in rfecv.cv_results_.keys():
|
||||
assert len(rfecv.cv_results_[key]) == formula1(
|
||||
n_features, n_features_to_select, step
|
||||
)
|
||||
assert len(rfecv.cv_results_[key]) == formula2(
|
||||
n_features, n_features_to_select, step
|
||||
)
|
||||
|
||||
|
||||
def test_rfe_cv_n_jobs():
|
||||
generator = check_random_state(0)
|
||||
iris = load_iris()
|
||||
X = np.c_[iris.data, generator.normal(size=(len(iris.data), 6))]
|
||||
y = iris.target
|
||||
|
||||
rfecv = RFECV(estimator=SVC(kernel="linear"))
|
||||
rfecv.fit(X, y)
|
||||
rfecv_ranking = rfecv.ranking_
|
||||
|
||||
# TODO: Remove in v1.2 when grid_scores_ is removed
|
||||
msg = (
|
||||
r"The `grid_scores_` attribute is deprecated in version 1\.0 in "
|
||||
r"favor of `cv_results_` and will be removed in version 1\.2."
|
||||
)
|
||||
with pytest.warns(FutureWarning, match=msg):
|
||||
rfecv_grid_scores = rfecv.grid_scores_
|
||||
|
||||
rfecv_cv_results_ = rfecv.cv_results_
|
||||
|
||||
rfecv.set_params(n_jobs=2)
|
||||
rfecv.fit(X, y)
|
||||
assert_array_almost_equal(rfecv.ranking_, rfecv_ranking)
|
||||
|
||||
# TODO: Remove in v1.2 when grid_scores_ is removed
|
||||
with pytest.warns(FutureWarning, match=msg):
|
||||
assert_array_almost_equal(rfecv.grid_scores_, rfecv_grid_scores)
|
||||
|
||||
assert rfecv_cv_results_.keys() == rfecv.cv_results_.keys()
|
||||
for key in rfecv_cv_results_.keys():
|
||||
assert rfecv_cv_results_[key] == pytest.approx(rfecv.cv_results_[key])
|
||||
|
||||
|
||||
def test_rfe_cv_groups():
|
||||
generator = check_random_state(0)
|
||||
iris = load_iris()
|
||||
number_groups = 4
|
||||
groups = np.floor(np.linspace(0, number_groups, len(iris.target)))
|
||||
X = iris.data
|
||||
y = (iris.target > 0).astype(int)
|
||||
|
||||
est_groups = RFECV(
|
||||
estimator=RandomForestClassifier(random_state=generator),
|
||||
step=1,
|
||||
scoring="accuracy",
|
||||
cv=GroupKFold(n_splits=2),
|
||||
)
|
||||
est_groups.fit(X, y, groups=groups)
|
||||
assert est_groups.n_features_ > 0
|
||||
|
||||
|
||||
@pytest.mark.parametrize(
|
||||
"importance_getter", [attrgetter("regressor_.coef_"), "regressor_.coef_"]
|
||||
)
|
||||
@pytest.mark.parametrize("selector, expected_n_features", [(RFE, 5), (RFECV, 4)])
|
||||
def test_rfe_wrapped_estimator(importance_getter, selector, expected_n_features):
|
||||
# Non-regression test for
|
||||
# https://github.com/scikit-learn/scikit-learn/issues/15312
|
||||
X, y = make_friedman1(n_samples=50, n_features=10, random_state=0)
|
||||
estimator = LinearSVR(random_state=0)
|
||||
|
||||
log_estimator = TransformedTargetRegressor(
|
||||
regressor=estimator, func=np.log, inverse_func=np.exp
|
||||
)
|
||||
|
||||
selector = selector(log_estimator, importance_getter=importance_getter)
|
||||
sel = selector.fit(X, y)
|
||||
assert sel.support_.sum() == expected_n_features
|
||||
|
||||
|
||||
@pytest.mark.parametrize(
|
||||
"importance_getter, err_type",
|
||||
[
|
||||
("auto", ValueError),
|
||||
("random", AttributeError),
|
||||
(lambda x: x.importance, AttributeError),
|
||||
([0], ValueError),
|
||||
],
|
||||
)
|
||||
@pytest.mark.parametrize("Selector", [RFE, RFECV])
|
||||
def test_rfe_importance_getter_validation(importance_getter, err_type, Selector):
|
||||
X, y = make_friedman1(n_samples=50, n_features=10, random_state=42)
|
||||
estimator = LinearSVR()
|
||||
log_estimator = TransformedTargetRegressor(
|
||||
regressor=estimator, func=np.log, inverse_func=np.exp
|
||||
)
|
||||
|
||||
with pytest.raises(err_type):
|
||||
model = Selector(log_estimator, importance_getter=importance_getter)
|
||||
model.fit(X, y)
|
||||
|
||||
|
||||
@pytest.mark.parametrize("cv", [None, 5])
|
||||
def test_rfe_allow_nan_inf_in_x(cv):
|
||||
iris = load_iris()
|
||||
X = iris.data
|
||||
y = iris.target
|
||||
|
||||
# add nan and inf value to X
|
||||
X[0][0] = np.NaN
|
||||
X[0][1] = np.Inf
|
||||
|
||||
clf = MockClassifier()
|
||||
if cv is not None:
|
||||
rfe = RFECV(estimator=clf, cv=cv)
|
||||
else:
|
||||
rfe = RFE(estimator=clf)
|
||||
rfe.fit(X, y)
|
||||
rfe.transform(X)
|
||||
|
||||
|
||||
def test_w_pipeline_2d_coef_():
|
||||
pipeline = make_pipeline(StandardScaler(), LogisticRegression())
|
||||
|
||||
data, y = load_iris(return_X_y=True)
|
||||
sfm = RFE(
|
||||
pipeline,
|
||||
n_features_to_select=2,
|
||||
importance_getter="named_steps.logisticregression.coef_",
|
||||
)
|
||||
|
||||
sfm.fit(data, y)
|
||||
assert sfm.transform(data).shape[1] == 2
|
||||
|
||||
|
||||
def test_rfecv_std_and_mean():
|
||||
generator = check_random_state(0)
|
||||
iris = load_iris()
|
||||
X = np.c_[iris.data, generator.normal(size=(len(iris.data), 6))]
|
||||
y = iris.target
|
||||
|
||||
rfecv = RFECV(estimator=SVC(kernel="linear"))
|
||||
rfecv.fit(X, y)
|
||||
n_split_keys = len(rfecv.cv_results_) - 2
|
||||
split_keys = [f"split{i}_test_score" for i in range(n_split_keys)]
|
||||
|
||||
cv_scores = np.asarray([rfecv.cv_results_[key] for key in split_keys])
|
||||
expected_mean = np.mean(cv_scores, axis=0)
|
||||
expected_std = np.std(cv_scores, axis=0)
|
||||
|
||||
assert_allclose(rfecv.cv_results_["mean_test_score"], expected_mean)
|
||||
assert_allclose(rfecv.cv_results_["std_test_score"], expected_std)
|
||||
|
||||
|
||||
@pytest.mark.parametrize("ClsRFE", [RFE, RFECV])
|
||||
def test_multioutput(ClsRFE):
|
||||
X = np.random.normal(size=(10, 3))
|
||||
y = np.random.randint(2, size=(10, 2))
|
||||
clf = RandomForestClassifier(n_estimators=5)
|
||||
rfe_test = ClsRFE(clf)
|
||||
rfe_test.fit(X, y)
|
||||
|
||||
|
||||
@pytest.mark.parametrize("ClsRFE", [RFE, RFECV])
|
||||
@pytest.mark.parametrize("PLSEstimator", [CCA, PLSCanonical, PLSRegression])
|
||||
def test_rfe_pls(ClsRFE, PLSEstimator):
|
||||
"""Check the behaviour of RFE with PLS estimators.
|
||||
|
||||
Non-regression test for:
|
||||
https://github.com/scikit-learn/scikit-learn/issues/12410
|
||||
"""
|
||||
X, y = make_friedman1(n_samples=50, n_features=10, random_state=0)
|
||||
estimator = PLSEstimator(n_components=1)
|
||||
selector = ClsRFE(estimator, step=1).fit(X, y)
|
||||
assert selector.score(X, y) > 0.5
|
||||
@@ -0,0 +1,295 @@
|
||||
import pytest
|
||||
import scipy
|
||||
import numpy as np
|
||||
from numpy.testing import assert_array_equal
|
||||
|
||||
from sklearn.preprocessing import StandardScaler
|
||||
from sklearn.pipeline import make_pipeline
|
||||
from sklearn.feature_selection import SequentialFeatureSelector
|
||||
from sklearn.datasets import make_regression, make_blobs
|
||||
from sklearn.linear_model import LinearRegression
|
||||
from sklearn.ensemble import HistGradientBoostingRegressor
|
||||
from sklearn.model_selection import cross_val_score
|
||||
from sklearn.cluster import KMeans
|
||||
|
||||
|
||||
@pytest.mark.parametrize("n_features_to_select", (0, 5, 0.0, -1, 1.1))
|
||||
def test_bad_n_features_to_select(n_features_to_select):
|
||||
X, y = make_regression(n_features=5)
|
||||
sfs = SequentialFeatureSelector(
|
||||
LinearRegression(), n_features_to_select=n_features_to_select
|
||||
)
|
||||
with pytest.raises(ValueError, match="must be either 'auto'"):
|
||||
sfs.fit(X, y)
|
||||
|
||||
|
||||
def test_bad_direction():
|
||||
X, y = make_regression(n_features=5)
|
||||
sfs = SequentialFeatureSelector(
|
||||
LinearRegression(), n_features_to_select="auto", direction="bad"
|
||||
)
|
||||
with pytest.raises(ValueError, match="must be either 'forward' or"):
|
||||
sfs.fit(X, y)
|
||||
|
||||
|
||||
@pytest.mark.filterwarnings("ignore:Leaving `n_features_to_select` to ")
|
||||
@pytest.mark.parametrize("direction", ("forward", "backward"))
|
||||
@pytest.mark.parametrize("n_features_to_select", (1, 5, 9, "auto", None))
|
||||
def test_n_features_to_select(direction, n_features_to_select):
|
||||
# Make sure n_features_to_select is respected
|
||||
|
||||
n_features = 10
|
||||
X, y = make_regression(n_features=n_features, random_state=0)
|
||||
sfs = SequentialFeatureSelector(
|
||||
LinearRegression(),
|
||||
n_features_to_select=n_features_to_select,
|
||||
direction=direction,
|
||||
cv=2,
|
||||
)
|
||||
sfs.fit(X, y)
|
||||
|
||||
if n_features_to_select in ("auto", None):
|
||||
n_features_to_select = n_features // 2
|
||||
|
||||
assert sfs.get_support(indices=True).shape[0] == n_features_to_select
|
||||
assert sfs.n_features_to_select_ == n_features_to_select
|
||||
assert sfs.transform(X).shape[1] == n_features_to_select
|
||||
|
||||
|
||||
@pytest.mark.parametrize("direction", ("forward", "backward"))
|
||||
def test_n_features_to_select_auto(direction):
|
||||
"""Check the behaviour of `n_features_to_select="auto"` with different
|
||||
values for the parameter `tol`.
|
||||
"""
|
||||
|
||||
n_features = 10
|
||||
tol = 1e-3
|
||||
X, y = make_regression(n_features=n_features, random_state=0)
|
||||
sfs = SequentialFeatureSelector(
|
||||
LinearRegression(),
|
||||
n_features_to_select="auto",
|
||||
tol=tol,
|
||||
direction=direction,
|
||||
cv=2,
|
||||
)
|
||||
sfs.fit(X, y)
|
||||
|
||||
max_features_to_select = n_features - 1
|
||||
|
||||
assert sfs.get_support(indices=True).shape[0] <= max_features_to_select
|
||||
assert sfs.n_features_to_select_ <= max_features_to_select
|
||||
assert sfs.transform(X).shape[1] <= max_features_to_select
|
||||
assert sfs.get_support(indices=True).shape[0] == sfs.n_features_to_select_
|
||||
|
||||
|
||||
@pytest.mark.parametrize("direction", ("forward", "backward"))
|
||||
def test_n_features_to_select_stopping_criterion(direction):
|
||||
"""Check the behaviour stopping criterion for feature selection
|
||||
depending on the values of `n_features_to_select` and `tol`.
|
||||
|
||||
When `direction` is `'forward'`, select a new features at random
|
||||
among those not currently selected in selector.support_,
|
||||
build a new version of the data that includes all the features
|
||||
in selector.support_ + this newly selected feature.
|
||||
And check that the cross-validation score of the model trained on
|
||||
this new dataset variant is lower than the model with
|
||||
the selected forward selected features or at least does not improve
|
||||
by more than the tol margin.
|
||||
|
||||
When `direction` is `'backward'`, instead of adding a new feature
|
||||
to selector.support_, try to remove one of those selected features at random
|
||||
And check that the cross-validation score is either decreasing or
|
||||
not improving by more than the tol margin.
|
||||
"""
|
||||
|
||||
X, y = make_regression(n_features=50, n_informative=10, random_state=0)
|
||||
|
||||
tol = 1e-3
|
||||
|
||||
sfs = SequentialFeatureSelector(
|
||||
LinearRegression(),
|
||||
n_features_to_select="auto",
|
||||
tol=tol,
|
||||
direction=direction,
|
||||
cv=2,
|
||||
)
|
||||
sfs.fit(X, y)
|
||||
selected_X = sfs.transform(X)
|
||||
|
||||
rng = np.random.RandomState(0)
|
||||
|
||||
added_candidates = list(set(range(X.shape[1])) - set(sfs.get_support(indices=True)))
|
||||
added_X = np.hstack(
|
||||
[
|
||||
selected_X,
|
||||
(X[:, rng.choice(added_candidates)])[:, np.newaxis],
|
||||
]
|
||||
)
|
||||
|
||||
removed_candidate = rng.choice(list(range(sfs.n_features_to_select_)))
|
||||
removed_X = np.delete(selected_X, removed_candidate, axis=1)
|
||||
|
||||
plain_cv_score = cross_val_score(LinearRegression(), X, y, cv=2).mean()
|
||||
sfs_cv_score = cross_val_score(LinearRegression(), selected_X, y, cv=2).mean()
|
||||
added_cv_score = cross_val_score(LinearRegression(), added_X, y, cv=2).mean()
|
||||
removed_cv_score = cross_val_score(LinearRegression(), removed_X, y, cv=2).mean()
|
||||
|
||||
assert sfs_cv_score >= plain_cv_score
|
||||
|
||||
if direction == "forward":
|
||||
assert (sfs_cv_score - added_cv_score) <= tol
|
||||
assert (sfs_cv_score - removed_cv_score) >= tol
|
||||
else:
|
||||
assert (added_cv_score - sfs_cv_score) <= tol
|
||||
assert (removed_cv_score - sfs_cv_score) <= tol
|
||||
|
||||
|
||||
# TODO: Remove test for n_features_to_select=None in 1.3
|
||||
@pytest.mark.filterwarnings("ignore:Leaving `n_features_to_select` to ")
|
||||
@pytest.mark.parametrize("direction", ("forward", "backward"))
|
||||
@pytest.mark.parametrize(
|
||||
"n_features_to_select, expected",
|
||||
(
|
||||
(0.1, 1),
|
||||
(1.0, 10),
|
||||
(0.5, 5),
|
||||
(None, 5),
|
||||
),
|
||||
)
|
||||
def test_n_features_to_select_float(direction, n_features_to_select, expected):
|
||||
# Test passing a float as n_features_to_select
|
||||
X, y = make_regression(n_features=10)
|
||||
sfs = SequentialFeatureSelector(
|
||||
LinearRegression(),
|
||||
n_features_to_select=n_features_to_select,
|
||||
direction=direction,
|
||||
cv=2,
|
||||
)
|
||||
sfs.fit(X, y)
|
||||
assert sfs.n_features_to_select_ == expected
|
||||
|
||||
|
||||
@pytest.mark.parametrize("seed", range(10))
|
||||
@pytest.mark.parametrize("direction", ("forward", "backward"))
|
||||
@pytest.mark.parametrize(
|
||||
"n_features_to_select, expected_selected_features",
|
||||
[
|
||||
(2, [0, 2]), # f1 is dropped since it has no predictive power
|
||||
(1, [2]), # f2 is more predictive than f0 so it's kept
|
||||
],
|
||||
)
|
||||
def test_sanity(seed, direction, n_features_to_select, expected_selected_features):
|
||||
# Basic sanity check: 3 features, only f0 and f2 are correlated with the
|
||||
# target, f2 having a stronger correlation than f0. We expect f1 to be
|
||||
# dropped, and f2 to always be selected.
|
||||
|
||||
rng = np.random.RandomState(seed)
|
||||
n_samples = 100
|
||||
X = rng.randn(n_samples, 3)
|
||||
y = 3 * X[:, 0] - 10 * X[:, 2]
|
||||
|
||||
sfs = SequentialFeatureSelector(
|
||||
LinearRegression(),
|
||||
n_features_to_select=n_features_to_select,
|
||||
direction=direction,
|
||||
cv=2,
|
||||
)
|
||||
sfs.fit(X, y)
|
||||
assert_array_equal(sfs.get_support(indices=True), expected_selected_features)
|
||||
|
||||
|
||||
# TODO: Remove test for n_features_to_select=None in 1.3
|
||||
@pytest.mark.filterwarnings("ignore:Leaving `n_features_to_select` to ")
|
||||
@pytest.mark.parametrize("n_features_to_select", ["auto", None])
|
||||
def test_sparse_support(n_features_to_select):
|
||||
# Make sure sparse data is supported
|
||||
|
||||
X, y = make_regression(n_features=10)
|
||||
X = scipy.sparse.csr_matrix(X)
|
||||
sfs = SequentialFeatureSelector(
|
||||
LinearRegression(), n_features_to_select=n_features_to_select, cv=2
|
||||
)
|
||||
sfs.fit(X, y)
|
||||
sfs.transform(X)
|
||||
|
||||
|
||||
def test_nan_support():
|
||||
# Make sure nans are OK if the underlying estimator supports nans
|
||||
|
||||
rng = np.random.RandomState(0)
|
||||
n_samples, n_features = 40, 4
|
||||
X, y = make_regression(n_samples, n_features, random_state=0)
|
||||
nan_mask = rng.randint(0, 2, size=(n_samples, n_features), dtype=bool)
|
||||
X[nan_mask] = np.nan
|
||||
sfs = SequentialFeatureSelector(
|
||||
HistGradientBoostingRegressor(), n_features_to_select="auto", cv=2
|
||||
)
|
||||
sfs.fit(X, y)
|
||||
sfs.transform(X)
|
||||
|
||||
with pytest.raises(ValueError, match="Input X contains NaN"):
|
||||
# LinearRegression does not support nans
|
||||
SequentialFeatureSelector(
|
||||
LinearRegression(), n_features_to_select="auto", cv=2
|
||||
).fit(X, y)
|
||||
|
||||
|
||||
def test_pipeline_support():
|
||||
# Make sure that pipelines can be passed into SFS and that SFS can be
|
||||
# passed into a pipeline
|
||||
|
||||
n_samples, n_features = 50, 3
|
||||
X, y = make_regression(n_samples, n_features, random_state=0)
|
||||
|
||||
# pipeline in SFS
|
||||
pipe = make_pipeline(StandardScaler(), LinearRegression())
|
||||
sfs = SequentialFeatureSelector(pipe, n_features_to_select="auto", cv=2)
|
||||
sfs.fit(X, y)
|
||||
sfs.transform(X)
|
||||
|
||||
# SFS in pipeline
|
||||
sfs = SequentialFeatureSelector(
|
||||
LinearRegression(), n_features_to_select="auto", cv=2
|
||||
)
|
||||
pipe = make_pipeline(StandardScaler(), sfs)
|
||||
pipe.fit(X, y)
|
||||
pipe.transform(X)
|
||||
|
||||
|
||||
# FIXME : to be removed in 1.3
|
||||
def test_raise_deprecation_warning():
|
||||
"""Check that we raise a FutureWarning with `n_features_to_select`."""
|
||||
n_samples, n_features = 50, 3
|
||||
X, y = make_regression(n_samples, n_features, random_state=0)
|
||||
|
||||
warn_msg = "Leaving `n_features_to_select` to None is deprecated"
|
||||
with pytest.warns(FutureWarning, match=warn_msg):
|
||||
SequentialFeatureSelector(LinearRegression()).fit(X, y)
|
||||
|
||||
|
||||
@pytest.mark.parametrize("n_features_to_select", (2, 3))
|
||||
def test_unsupervised_model_fit(n_features_to_select):
|
||||
# Make sure that models without classification labels are not being
|
||||
# validated
|
||||
|
||||
X, y = make_blobs(n_features=4)
|
||||
sfs = SequentialFeatureSelector(
|
||||
KMeans(n_init=1),
|
||||
n_features_to_select=n_features_to_select,
|
||||
)
|
||||
sfs.fit(X)
|
||||
assert sfs.transform(X).shape[1] == n_features_to_select
|
||||
|
||||
|
||||
@pytest.mark.parametrize("y", ("no_validation", 1j, 99.9, np.nan, 3))
|
||||
def test_no_y_validation_model_fit(y):
|
||||
# Make sure that other non-conventional y labels are not accepted
|
||||
|
||||
X, clusters = make_blobs(n_features=6)
|
||||
sfs = SequentialFeatureSelector(
|
||||
KMeans(),
|
||||
n_features_to_select=3,
|
||||
)
|
||||
|
||||
with pytest.raises((TypeError, ValueError)):
|
||||
sfs.fit(X, y)
|
||||
@@ -0,0 +1,72 @@
|
||||
import numpy as np
|
||||
import pytest
|
||||
|
||||
from sklearn.utils._testing import assert_array_equal
|
||||
|
||||
from scipy.sparse import bsr_matrix, csc_matrix, csr_matrix
|
||||
|
||||
from sklearn.feature_selection import VarianceThreshold
|
||||
|
||||
data = [[0, 1, 2, 3, 4], [0, 2, 2, 3, 5], [1, 1, 2, 4, 0]]
|
||||
|
||||
data2 = [[-0.13725701]] * 10
|
||||
|
||||
|
||||
def test_zero_variance():
|
||||
# Test VarianceThreshold with default setting, zero variance.
|
||||
|
||||
for X in [data, csr_matrix(data), csc_matrix(data), bsr_matrix(data)]:
|
||||
sel = VarianceThreshold().fit(X)
|
||||
assert_array_equal([0, 1, 3, 4], sel.get_support(indices=True))
|
||||
|
||||
with pytest.raises(ValueError):
|
||||
VarianceThreshold().fit([[0, 1, 2, 3]])
|
||||
with pytest.raises(ValueError):
|
||||
VarianceThreshold().fit([[0, 1], [0, 1]])
|
||||
|
||||
|
||||
def test_variance_threshold():
|
||||
# Test VarianceThreshold with custom variance.
|
||||
for X in [data, csr_matrix(data)]:
|
||||
X = VarianceThreshold(threshold=0.4).fit_transform(X)
|
||||
assert (len(data), 1) == X.shape
|
||||
|
||||
|
||||
@pytest.mark.parametrize("X", [data, csr_matrix(data)])
|
||||
def test_variance_negative(X):
|
||||
"""Test VarianceThreshold with negative variance."""
|
||||
var_threshold = VarianceThreshold(threshold=-1.0)
|
||||
msg = r"^Threshold must be non-negative. Got: -1.0$"
|
||||
with pytest.raises(ValueError, match=msg):
|
||||
var_threshold.fit(X)
|
||||
|
||||
|
||||
@pytest.mark.skipif(
|
||||
np.var(data2) == 0,
|
||||
reason=(
|
||||
"This test is not valid for this platform, "
|
||||
"as it relies on numerical instabilities."
|
||||
),
|
||||
)
|
||||
def test_zero_variance_floating_point_error():
|
||||
# Test that VarianceThreshold(0.0).fit eliminates features that have
|
||||
# the same value in every sample, even when floating point errors
|
||||
# cause np.var not to be 0 for the feature.
|
||||
# See #13691
|
||||
|
||||
for X in [data2, csr_matrix(data2), csc_matrix(data2), bsr_matrix(data2)]:
|
||||
msg = "No feature in X meets the variance threshold 0.00000"
|
||||
with pytest.raises(ValueError, match=msg):
|
||||
VarianceThreshold().fit(X)
|
||||
|
||||
|
||||
def test_variance_nan():
|
||||
arr = np.array(data, dtype=np.float64)
|
||||
# add single NaN and feature should still be included
|
||||
arr[0, 0] = np.NaN
|
||||
# make all values in feature NaN and feature should be rejected
|
||||
arr[:, 1] = np.NaN
|
||||
|
||||
for X in [arr, csr_matrix(arr), csc_matrix(arr), bsr_matrix(arr)]:
|
||||
sel = VarianceThreshold().fit(X)
|
||||
assert_array_equal([0, 3, 4], sel.get_support(indices=True))
|
||||
Reference in New Issue
Block a user