add TreeBasedFeatureReduction + tests

matbench/preprocessing/feature_selection.py

@@ -0,0 +1,136 @@
+from matbench.utils.utils import setup_custom_logger, MatbenchError
+from sklearn.base import is_classifier
+from sklearn.ensemble import RandomForestRegressor, RandomForestClassifier, \
+    GradientBoostingClassifier, GradientBoostingRegressor
+from sklearn.model_selection import check_cv
+
+class TreeBasedFeatureReduction(object):
+    """
+    Tree-based feature reduction tools based on sklearn models that have
+        the .feature_importances_ attribute.
+
+    Args:
+        mode (str): "regression" or "classification"
+        importance_percentile (float): the selected percentile of the features
+            sorted (descending) based on their importance.
+        random_state (int): relevant if non-deterministic algorithms such as
+            random forest are used.
+    """
+    def __init__(self, mode, importance_percentile=0.95, loglevel=None,
+                 logpath='.', random_state=0):
+        self.mode = mode
+        self.logger = setup_custom_logger(filepath=logpath, level=loglevel)
+        self.importance_percentile = importance_percentile
+        self.selected_features = None
+        self.rs = random_state
+
+    def get_top_features(self, feat_importance):
+        """
+        Simple function to through a sorted list of features and select top
+            percentiles.
+
+        Args:
+            feat_importance ([(str, float)]): a sorted list of
+                (feature, importance) tuples
+
+        Returns ([str]): list of the top * percentile of features. * determined
+            by importance_percentile argument.
+
+        """
+        selected_feats = []
+        frac = 0.0
+        for feat in feat_importance:
+            selected_feats.append(feat[0])
+            frac += feat[1]
+            if frac >= self.importance_percentile:
+                break
+        return selected_feats
+
+    def get_reduced_features(self, tree_model, X, y, recursive=True):
+        """
+        Gives a reduced list of feature names given a tree-based model that
+            has the .feature_importances_ attribute.
+
+        Args:
+            tree_model (instantiated sklearn tree-based model):
+            X (pandas.dataframe):
+            y (pandas.Series or numpy.ndarray): the target column
+            recursive (bool):
+
+        Returns ([str]): list of the top * percentile of features. * determined
+            by importance_percentile argument.
+        """
+        m_curr = 0  # current number of top/important features
+        m_prev = len(X.columns)
+        while m_curr < m_prev:
+            tree_model.fit(X, y)
+            fimportance = sorted(zip(X.columns, tree_model.feature_importances_),
+                                 key=lambda x: x[1], reverse=True)
+            tfeats = self.get_top_features(fimportance)
+            m_curr = len(tfeats)
+            m_prev = len(X.columns)
+            self.logger.debug(
+                'nfeatures: {}->{}'.format(len(X.columns), m_curr))
+            X = X[tfeats]
+            if not recursive:
+                break
+        return tfeats
+
+    def fit(self, X, y, tree='rf', recursive=True, cv=5):
+        """
+        Fits to the data (X) and target (y) to determine the selected_features.
+
+        Args:
+            X (pandas.DataFrame): input data, note that numpy matrix is NOT
+                accepted since the X.columns is used for feature names
+            y (pandas.Series or np.ndarray): list of outputs used for fitting
+                the tree model
+            tree (str or instantiated sklearn tree-based model): if a model is
+                directly fed, it must have the .feature_importances_ attribute
+            recursive (bool): whether to recursively reduce the features (True)
+                or just do it once (False)
+
+        Returns (None):
+            sets the class attribute .selected_features
+        """
+        m0 = len(X.columns)
+        if isinstance(tree, str):
+            if tree.lower() in ['rf', 'random forest', 'randomforest']:
+                if self.mode.lower() in ['classification', 'classifier']:
+                    tree = RandomForestClassifier(random_state=self.rs)
+                else:
+                    tree = RandomForestRegressor(random_state=self.rs)
+            elif tree.lower() in ['gb', 'gbt', 'gradiet boosting']:
+                if self.mode.lower() in ['classification', 'classifier']:
+                    tree = GradientBoostingClassifier(random_state=self.rs)
+                else:
+                    tree = GradientBoostingRegressor(random_state=self.rs)
+            else:
+                raise MatbenchError('Unsupported tree_type {}!'.format(tree))
+
+        cv = check_cv(cv=cv, y=y, classifier=is_classifier(tree))
+        all_feats = []
+        for train, test in cv.split(X, y, groups=None):
+            Xtrn = X.iloc[train]
+            ytrn = y[train]
+            all_feats += self.get_reduced_features(tree, Xtrn, ytrn, recursive)
+        # take the union of selected features of each fold
+        self.selected_features = list(set(all_feats))
+        self.logger.info('Finished tree-based feature reduction of {} intial '
+                         'features to {}'.format(m0, len(self.selected_features)))
+
+    def transform(self, X, y=None):
+        """
+        Transforms the data with the subset of features determined after
+            calling the fit method on the data.
+
+        Args:
+            X (pandas.DataFrame): input data, note that numpy matrix is NOT
+                accepted since the X.columns is used for feature names
+            y (placeholder): ignored input (for consistency in notation)
+
+        Returns (pandas.DataFrame): the data with reduced number of features.
+        """
+        if self.selected_features is None:
+            raise MatbenchError('The fit method should be called first!')
+        return X[self.selected_features]