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# Authors: The scikit-learn developers
# SPDX-License-Identifier: BSD-3-Clause
"""Recursive feature elimination for feature ranking"""
import warnings
from copy import deepcopy
from numbers import Integral
import numpy as np
from joblib import effective_n_jobs
from sklearn.base import (
BaseEstimator,
MetaEstimatorMixin,
_fit_context,
clone,
is_classifier,
)
from sklearn.feature_selection._base import SelectorMixin, _get_feature_importances
from sklearn.metrics import get_scorer
from sklearn.model_selection import check_cv
from sklearn.model_selection._validation import _score
from sklearn.utils import Bunch, metadata_routing
from sklearn.utils._metadata_requests import (
MetadataRouter,
MethodMapping,
_raise_for_params,
_routing_enabled,
process_routing,
)
from sklearn.utils._param_validation import HasMethods, Interval, RealNotInt
from sklearn.utils._tags import get_tags
from sklearn.utils.metaestimators import _safe_split, available_if
from sklearn.utils.parallel import Parallel, delayed
from sklearn.utils.validation import (
_check_method_params,
_estimator_has,
check_is_fitted,
validate_data,
)
def _rfe_single_fit(rfe, estimator, X, y, train, test, scorer, routed_params):
"""
Return the score and n_features per step 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)
fit_params = _check_method_params(
X, params=routed_params.estimator.fit, indices=train
)
score_params = _check_method_params(
X=X, params=routed_params.scorer.score, indices=test
)
rfe._fit(
X_train,
y_train,
lambda estimator, features: _score(
estimator,
X_test[:, features],
y_test,
scorer,
score_params=score_params,
),
**fit_params,
)
return rfe.step_scores_, rfe.step_support_, rfe.step_ranking_, rfe.step_n_features_
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])
"""
_parameter_constraints: dict = {
"estimator": [HasMethods(["fit"])],
"n_features_to_select": [
None,
Interval(RealNotInt, 0, 1, closed="right"),
Interval(Integral, 0, None, closed="neither"),
],
"step": [
Interval(Integral, 0, None, closed="neither"),
Interval(RealNotInt, 0, 1, closed="neither"),
],
"verbose": ["verbose"],
"importance_getter": [str, callable],
}
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 classes_(self):
"""Classes labels available when `estimator` is a classifier.
Returns
-------
ndarray of shape (n_classes,)
"""
return self.estimator_.classes_
@_fit_context(
# RFE.estimator is not validated yet
prefer_skip_nested_validation=False
)
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
- If `enable_metadata_routing=False` (default): Parameters directly passed
to the ``fit`` method of the underlying estimator.
- If `enable_metadata_routing=True`: Parameters safely routed to the ``fit``
method of the underlying estimator.
.. versionchanged:: 1.6
See :ref:`Metadata Routing User Guide <metadata_routing>`
for more details.
Returns
-------
self : object
Fitted estimator.
"""
if _routing_enabled():
routed_params = process_routing(self, "fit", **fit_params)
else:
routed_params = Bunch(estimator=Bunch(fit=fit_params))
return self._fit(X, y, **routed_params.estimator.fit)
def _fit(self, X, y, step_score=None, **fit_params):
# Parameter step_score controls the calculation of self.step_scores_
# step_score is not exposed to users and is used when implementing RFECV
# self.step_scores_ will not be calculated when calling _fit through fit
X, y = validate_data(
self,
X,
y,
accept_sparse="csc",
ensure_min_features=2,
ensure_all_finite=False,
multi_output=True,
)
# Initialization
n_features = X.shape[1]
if self.n_features_to_select is None:
n_features_to_select = n_features // 2
elif isinstance(self.n_features_to_select, Integral): # int
n_features_to_select = self.n_features_to_select
if n_features_to_select > n_features:
warnings.warn(
(
f"Found {n_features_to_select=} > {n_features=}. There will be"
" no feature selection and all features will be kept."
),
UserWarning,
)
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)
support_ = np.ones(n_features, dtype=bool)
ranking_ = np.ones(n_features, dtype=int)
if step_score:
self.step_n_features_ = []
self.step_scores_ = []
self.step_support_ = []
self.step_ranking_ = []
# 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)
# Compute step values on the previous selection iteration because
# 'estimator' must use features that have not been eliminated yet
if step_score:
self.step_n_features_.append(len(features))
self.step_scores_.append(step_score(estimator, features))
self.step_support_.append(list(support_))
self.step_ranking_.append(list(ranking_))
# 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)
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 values when only n_features_to_select features left
if step_score:
self.step_n_features_.append(len(features))
self.step_scores_.append(step_score(self.estimator_, features))
self.step_support_.append(support_)
self.step_ranking_.append(ranking_)
self.n_features_ = support_.sum()
self.support_ = support_
self.ranking_ = ranking_
return self
@available_if(_estimator_has("predict"))
def predict(self, X, **predict_params):
"""Reduce X to the selected features and predict using the estimator.
Parameters
----------
X : array of shape [n_samples, n_features]
The input samples.
**predict_params : dict
Parameters to route to the ``predict`` method of the
underlying estimator.
.. versionadded:: 1.6
Only available if `enable_metadata_routing=True`,
which can be set by using
``sklearn.set_config(enable_metadata_routing=True)``.
See :ref:`Metadata Routing User Guide <metadata_routing>`
for more details.
Returns
-------
y : array of shape [n_samples]
The predicted target values.
"""
_raise_for_params(predict_params, self, "predict")
check_is_fitted(self)
if _routing_enabled():
routed_params = process_routing(self, "predict", **predict_params)
else:
routed_params = Bunch(estimator=Bunch(predict={}))
return self.estimator_.predict(
self.transform(X), **routed_params.estimator.predict
)
@available_if(_estimator_has("score"))
def score(self, X, y, **score_params):
"""Reduce X to the selected features and return the score of the estimator.
Parameters
----------
X : array of shape [n_samples, n_features]
The input samples.
y : array of shape [n_samples]
The target values.
**score_params : dict
- If `enable_metadata_routing=False` (default): Parameters directly passed
to the ``score`` method of the underlying estimator.
- If `enable_metadata_routing=True`: Parameters safely routed to the `score`
method of the underlying estimator.
.. versionadded:: 1.0
.. versionchanged:: 1.6
See :ref:`Metadata Routing User Guide <metadata_routing>`
for more details.
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)
if _routing_enabled():
routed_params = process_routing(self, "score", **score_params)
else:
routed_params = Bunch(estimator=Bunch(score=score_params))
return self.estimator_.score(
self.transform(X), y, **routed_params.estimator.score
)
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 __sklearn_tags__(self):
tags = super().__sklearn_tags__()
sub_estimator_tags = get_tags(self.estimator)
tags.estimator_type = sub_estimator_tags.estimator_type
tags.classifier_tags = deepcopy(sub_estimator_tags.classifier_tags)
tags.regressor_tags = deepcopy(sub_estimator_tags.regressor_tags)
if tags.classifier_tags is not None:
tags.classifier_tags.poor_score = True
if tags.regressor_tags is not None:
tags.regressor_tags.poor_score = True
tags.target_tags.required = True
tags.input_tags.sparse = sub_estimator_tags.input_tags.sparse
tags.input_tags.allow_nan = sub_estimator_tags.input_tags.allow_nan
return tags
def get_metadata_routing(self):
"""Get metadata routing of this object.
Please check :ref:`User Guide <metadata_routing>` on how the routing
mechanism works.
.. versionadded:: 1.6
Returns
-------
routing : MetadataRouter
A :class:`~sklearn.utils.metadata_routing.MetadataRouter` encapsulating
routing information.
"""
router = MetadataRouter(owner=self).add(
estimator=self.estimator,
method_mapping=MethodMapping()
.add(caller="fit", callee="fit")
.add(caller="predict", callee="predict")
.add(caller="score", callee="score"),
)
return router
class RFECV(RFE):
"""Recursive feature elimination with cross-validation to select features.
The number of features selected is tuned automatically by fitting an :class:`RFE`
selector on the different cross-validation splits (provided by the `cv` parameter).
The performance of each :class:`RFE` selector is evaluated using `scoring` for
different numbers of selected features and aggregated together. Finally, the scores
are averaged across folds and the number of features selected is set to the number
of features that maximize the cross-validation score.
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 not 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 or callable, default=None
Scoring method to evaluate the :class:`RFE` selectors' performance. Options:
- str: see :ref:`scoring_string_names` for options.
- callable: a scorer callable object (e.g., function) with signature
``scorer(estimator, X, y)``. See :ref:`scoring_callable` for details.
- `None`: the `estimator`'s
:ref:`default evaluation criterion <scoring_api_overview>` is used.
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.
cv_results_ : dict of ndarrays
All arrays (values of the dictionary) are sorted in ascending order
by the number of features used (i.e., the first element of the array
represents the models that used the least number of features, while the
last element represents the models that used all available features).
.. versionadded:: 1.0
This dictionary contains the following keys:
split(k)_test_score : ndarray of shape (n_subsets_of_features,)
The cross-validation scores across (k)th fold.
mean_test_score : ndarray of shape (n_subsets_of_features,)
Mean of scores over the folds.
std_test_score : ndarray of shape (n_subsets_of_features,)
Standard deviation of scores over the folds.
n_features : ndarray of shape (n_subsets_of_features,)
Number of features used at each step.
.. versionadded:: 1.5
split(k)_ranking : ndarray of shape (n_subsets_of_features,)
The cross-validation rankings across (k)th fold.
Selected (i.e., estimated best) features are assigned rank 1.
Illustration in
:ref:`sphx_glr_auto_examples_feature_selection_plot_rfe_with_cross_validation.py`
.. versionadded:: 1.7
split(k)_support : ndarray of shape (n_subsets_of_features,)
The cross-validation supports across (k)th fold. The support
is the mask of selected features.
.. versionadded:: 1.7
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 all values in ``cv_results_`` 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])
For a detailed example of using RFECV to select features when training a
:class:`~sklearn.linear_model.LogisticRegression`, see
:ref:`sphx_glr_auto_examples_feature_selection_plot_rfe_with_cross_validation.py`.
"""
_parameter_constraints: dict = {
**RFE._parameter_constraints,
"min_features_to_select": [Interval(Integral, 0, None, closed="neither")],
"cv": ["cv_object"],
"scoring": [None, str, callable],
"n_jobs": [None, Integral],
}
_parameter_constraints.pop("n_features_to_select")
__metadata_request__fit = {"groups": metadata_routing.UNUSED}
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
@_fit_context(
# RFECV.estimator is not validated yet
prefer_skip_nested_validation=False
)
def fit(self, X, y, **params):
"""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).
**params : dict of str -> object
Parameters passed to the ``fit`` method of the estimator,
the scorer, and the CV splitter.
.. versionadded:: 1.6
Only available if `enable_metadata_routing=True`,
which can be set by using
``sklearn.set_config(enable_metadata_routing=True)``.
See :ref:`Metadata Routing User Guide <metadata_routing>`
for more details.
Returns
-------
self : object
Fitted estimator.
"""
_raise_for_params(params, self, "fit", allow=["groups"])
X, y = validate_data(
self,
X,
y,
accept_sparse="csr",
ensure_min_features=2,
ensure_all_finite=False,
multi_output=True,
)
if _routing_enabled():
routed_params = process_routing(self, "fit", **params)
else:
routed_params = Bunch(
estimator=Bunch(fit={}),
splitter=Bunch(split={"groups": params.pop("groups", None)}),
scorer=Bunch(score={}),
)
# Initialization
cv = check_cv(self.cv, y, classifier=is_classifier(self.estimator))
scorer = self._get_scorer()
# Build an RFE object, which will evaluate and score each possible
# feature count, down to self.min_features_to_select
n_features = X.shape[1]
if self.min_features_to_select > n_features:
warnings.warn(
(
f"Found min_features_to_select={self.min_features_to_select} > "
f"{n_features=}. There will be no feature selection and all "
"features will be kept."
),
UserWarning,
)
rfe = RFE(
estimator=self.estimator,
n_features_to_select=min(self.min_features_to_select, n_features),
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)
step_results = parallel(
func(clone(rfe), self.estimator, X, y, train, test, scorer, routed_params)
for train, test in cv.split(X, y, **routed_params.splitter.split)
)
scores, supports, rankings, step_n_features = zip(*step_results)
step_n_features_rev = np.array(step_n_features[0])[::-1]
scores = np.array(scores)
rankings = np.array(rankings)
supports = np.array(supports)
# Reverse order such that lowest number of features is selected in case of tie.
scores_sum_rev = np.sum(scores, axis=0)[::-1]
n_features_to_select = step_n_features_rev[np.argmax(scores_sum_rev)]
# 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, **routed_params.estimator.fit)
# 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, **routed_params.estimator.fit)
# reverse to stay consistent with before
scores_rev = scores[:, ::-1]
supports_rev = supports[:, ::-1]
rankings_rev = rankings[:, ::-1]
self.cv_results_ = {
"mean_test_score": np.mean(scores_rev, axis=0),
"std_test_score": np.std(scores_rev, axis=0),
**{f"split{i}_test_score": scores_rev[i] for i in range(scores.shape[0])},
**{f"split{i}_ranking": rankings_rev[i] for i in range(rankings.shape[0])},
**{f"split{i}_support": supports_rev[i] for i in range(supports.shape[0])},
"n_features": step_n_features_rev,
}
return self
def score(self, X, y, **score_params):
"""Score using the `scoring` option on the given test data and labels.
Parameters
----------
X : array-like of shape (n_samples, n_features)
Test samples.
y : array-like of shape (n_samples,)
True labels for X.
**score_params : dict
Parameters to pass to the `score` method of the underlying scorer.
.. versionadded:: 1.6
Only available if `enable_metadata_routing=True`,
which can be set by using
``sklearn.set_config(enable_metadata_routing=True)``.
See :ref:`Metadata Routing User Guide <metadata_routing>`
for more details.
Returns
-------
score : float
Score of self.predict(X) w.r.t. y defined by `scoring`.
"""
_raise_for_params(score_params, self, "score")
scoring = self._get_scorer()
if _routing_enabled():
routed_params = process_routing(self, "score", **score_params)
else:
routed_params = Bunch()
routed_params.scorer = Bunch(score={})
return scoring(self, X, y, **routed_params.scorer.score)
def get_metadata_routing(self):
"""Get metadata routing of this object.
Please check :ref:`User Guide <metadata_routing>` on how the routing
mechanism works.
.. versionadded:: 1.6
Returns
-------
routing : MetadataRouter
A :class:`~sklearn.utils.metadata_routing.MetadataRouter` encapsulating
routing information.
"""
router = MetadataRouter(owner=self)
router.add(
estimator=self.estimator,
method_mapping=MethodMapping().add(caller="fit", callee="fit"),
)
router.add(
splitter=check_cv(self.cv),
method_mapping=MethodMapping().add(
caller="fit",
callee="split",
),
)
router.add(