如何解决有没有办法自动从 XGBoost 中提取重要特征并用于预测?
我正在尝试使用 XG Boost 开发预测模型。我的基本想法是开发一个自动预测模型,该模型使用从数据集(700 多行和 90 多列)派生的前 10 个重要特征,并将它们用于值的预测。输入数据每周更新一次,因此应该使用当前周值来预测下周的预测。 我已经从我的 XGBoost 模型中提取了重要的特征,但由于错误而无法自动化。
import xgboost as xgb
from sklearn.metrics import mean_squared_error
from sklearn.metrics import accuracy_score
from sklearn.model_selection import train_test_split
X_train,X_test,y_train,y_test = train_test_split(X,Y,test_size=0.2,random_state=100)
eval_set = [(X_train,y_train),(X_test,y_test)]
xg_reg = MyXGBRegressor(objective ='reg:squarederror',colsample_bytree = 0.3,learning_rate = 0.01,max_depth = 6,reg_alpha = 15,n_estimators = 1000,subsample = 0.5)
predictions = xg_reg.fit(X_train,early_stopping_rounds=30,eval_metric=["rmse","mae"],eval_set=eval_set,verbose=True)
import xgboost as xgb
from xgboost import XGBRegressor
class MyXGBRegressor(XGBRegressor):
@property
def coef_(self):
return None
thresholds = np.sort(xg_reg.feature_importances_)
from sklearn.feature_selection import SelectFromModel
for thresh in thresholds:
selection = SelectFromModel(xg_reg,threshold=thresh,prefit = True)
selected_dataset = selection.transform(X_test)
feature_idx = selection.get_support()
feature_name = X.columns[feature_idx]
selected_dataset = pd.DataFrame(selected_dataset)
selected_dataset.columns = feature_name
错误如下:
---------------------------------------------------------------------------
AttributeError Traceback (most recent call last)
<ipython-input-11-a42c3ed80da2> in <module>
3 for thresh in thresholds:
4 selection = SelectFromModel(xg_reg,prefit = True)
----> 5 selected_dataset = selection.transform(X_test)
6
7 feature_idx = selection.get_support()
~\Anaconda3\lib\site-packages\sklearn\feature_selection\_base.py in transform(self,X)
86 force_all_finite=not _safe_tags(self,key="allow_nan"),87 )
---> 88 mask = self.get_support()
89 if not mask.any():
90 warn("No features were selected: either the data is"
~\Anaconda3\lib\site-packages\sklearn\feature_selection\_base.py in get_support(self,indices)
50 values are indices into the input feature vector.
51 """
---> 52 mask = self._get_support_mask()
53 return mask if not indices else np.where(mask)[0]
54
~\Anaconda3\lib\site-packages\sklearn\feature_selection\_from_model.py in _get_support_mask(self)
186 ' "prefit=True" while passing the fitted'
187 ' estimator to the constructor.')
--> 188 scores = _get_feature_importances(
189 estimator=estimator,getter=self.importance_getter,190 transform_func='norm',norm_order=self.norm_order)
~\Anaconda3\lib\site-packages\sklearn\feature_selection\_base.py in _get_feature_importances(estimator,getter,transform_func,norm_order)
189 return importances
190 elif transform_func == "norm":
--> 191 if importances.ndim == 1:
192 importances = np.abs(importances)
193 else:
AttributeError: 'nonetype' object has no attribute 'ndim'
解决方法
问题是 coef_
的 MyXGBRegressor
属性设置为 None
。如果您使用 XGBRegressor
而不是 MyXGBRegressor
,那么 SelectFromModel
将使用 feature_importances_
的 XGBRegressor
属性并且您的代码将起作用。
import numpy as np
from xgboost import XGBRegressor
from sklearn.datasets import make_regression
from sklearn.model_selection import train_test_split
from sklearn.feature_selection import SelectFromModel
# generate some data
X,y = make_regression(n_samples=1000,n_features=5,random_state=100)
# split the data
X_train,X_test,y_train,y_test = train_test_split(X,y,test_size=0.2,random_state=100)
# instantiate the model
model = XGBRegressor(objective="reg:squarederror",colsample_bytree=0.3,learning_rate=0.01,max_depth=6,reg_alpha=15,n_estimators=1000,subsample=0.5)
# fit the model
model.fit(X_train,early_stopping_rounds=30,eval_metric=["rmse","mae"],eval_set=[(X_train,y_train),(X_test,y_test)],verbose=True)
# extract the feature importances
thresholds = np.sort(model.feature_importances_)
# select the features
selection = SelectFromModel(model,threshold=thresholds[2],prefit=True)
feature_idx = selection.get_support()
print(feature_idx)
# array([ True,True,False,False])
selected_dataset = selection.transform(X_test)
print(selected_dataset.shape)
# (200,3)
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