Source code for category_encoders.glmm

"""Generalized linear mixed model"""
import warnings
import re
import numpy as np
import pandas as pd
from sklearn.utils.random import check_random_state
from category_encoders.ordinal import OrdinalEncoder
import category_encoders.utils as util
import statsmodels.formula.api as smf
from statsmodels.genmod.bayes_mixed_glm import BinomialBayesMixedGLM as bgmm

__author__ = 'Jan Motl'


[docs]class GLMMEncoder(util.BaseEncoder, util.SupervisedTransformerMixin): """Generalized linear mixed model. Supported targets: binomial and continuous. For polynomial target support, see PolynomialWrapper. This is a supervised encoder similar to TargetEncoder or MEstimateEncoder, but there are some advantages: 1. Solid statistical theory behind the technique. Mixed effects models are a mature branch of statistics. 2. No hyper-parameters to tune. The amount of shrinkage is automatically determined through the estimation process. In short, the less observations a category has and/or the more the outcome varies for a category then the higher the regularization towards "the prior" or "grand mean". 3. The technique is applicable for both continuous and binomial targets. If the target is continuous, the encoder returns regularized difference of the observation's category from the global mean. If the target is binomial, the encoder returns regularized log odds per category. In comparison to JamesSteinEstimator, this encoder utilizes generalized linear mixed models from statsmodels library. Note: This is an alpha implementation. The API of the method may change in the future. Parameters ---------- verbose: int integer indicating verbosity of the output. 0 for none. cols: list a list of columns to encode, if None, all string columns will be encoded. drop_invariant: bool boolean for whether or not to drop encoded columns with 0 variance. return_df: bool boolean for whether to return a pandas DataFrame from transform (otherwise it will be a numpy array). handle_missing: str options are 'return_nan', 'error' and 'value', defaults to 'value', which returns 0. handle_unknown: str options are 'return_nan', 'error' and 'value', defaults to 'value', which returns 0. randomized: bool, adds normal (Gaussian) distribution noise into training data in order to decrease overfitting (testing data are untouched). sigma: float standard deviation (spread or "width") of the normal distribution. binomial_target: bool if True, the target must be binomial with values {0, 1} and Binomial mixed model is used. If False, the target must be continuous and Linear mixed model is used. If None (the default), a heuristic is applied to estimate the target type. Example ------- >>> from category_encoders import * >>> import pandas as pd >>> from sklearn.datasets import load_boston >>> bunch = load_boston() >>> y = bunch.target > 22.5 >>> X = pd.DataFrame(bunch.data, columns=bunch.feature_names) >>> enc = GLMMEncoder(cols=['CHAS', 'RAD']).fit(X, y) >>> numeric_dataset = enc.transform(X) >>> print(numeric_dataset.info()) <class 'pandas.core.frame.DataFrame'> RangeIndex: 506 entries, 0 to 505 Data columns (total 13 columns): CRIM 506 non-null float64 ZN 506 non-null float64 INDUS 506 non-null float64 CHAS 506 non-null float64 NOX 506 non-null float64 RM 506 non-null float64 AGE 506 non-null float64 DIS 506 non-null float64 RAD 506 non-null float64 TAX 506 non-null float64 PTRATIO 506 non-null float64 B 506 non-null float64 LSTAT 506 non-null float64 dtypes: float64(13) memory usage: 51.5 KB None References ---------- .. [1] Data Analysis Using Regression and Multilevel/Hierarchical Models, page 253, from https://faculty.psau.edu.sa/filedownload/doc-12-pdf-a1997d0d31f84d13c1cdc44ac39a8f2c-original.pdf """ prefit_ordinal = True encoding_relation = util.EncodingRelation.ONE_TO_ONE def __init__(self, verbose=0, cols=None, drop_invariant=False, return_df=True, handle_unknown='value', handle_missing='value', random_state=None, randomized=False, sigma=0.05, binomial_target=None): super().__init__(verbose=verbose, cols=cols, drop_invariant=drop_invariant, return_df=return_df, handle_unknown=handle_unknown, handle_missing=handle_missing) self.ordinal_encoder = None self.mapping = None self.random_state = random_state self.randomized = randomized self.sigma = sigma self.binomial_target = binomial_target def _fit(self, X, y, **kwargs): y = y.astype(float) self.ordinal_encoder = OrdinalEncoder( verbose=self.verbose, cols=self.cols, handle_unknown='value', handle_missing='value' ) self.ordinal_encoder = self.ordinal_encoder.fit(X) X_ordinal = self.ordinal_encoder.transform(X) # Training self.mapping = self._train(X_ordinal, y) def _transform(self, X, y=None): X = self.ordinal_encoder.transform(X) if self.handle_unknown == 'error': if X[self.cols].isin([-1]).any().any(): raise ValueError('Unexpected categories found in dataframe') # Loop over the columns and replace the nominal values with the numbers X = self._score(X, y) return X def _more_tags(self): tags = super()._more_tags() tags["predict_depends_on_y"] = True return tags def _train(self, X, y): # Initialize the output mapping = {} # Estimate target type, if necessary if self.binomial_target is None: if len(y.unique()) <= 2: binomial_target = True else: binomial_target = False else: binomial_target = self.binomial_target # The estimation does not have to converge -> at least converge to the same value. original_state = np.random.get_state() np.random.seed(2001) # Reset random state on completion try: for switch in self.ordinal_encoder.category_mapping: col = switch.get('col') values = switch.get('mapping') data = self._rename_and_merge(X, y, col) try: with warnings.catch_warnings(): warnings.filterwarnings("ignore") if binomial_target: # Classification, returns (regularized) log odds per category as stored in vc_mean # Note: md.predict() returns: output = fe_mean + vcp_mean + vc_mean[category] md = bgmm.from_formula('target ~ 1', {'a': '0 + C(feature)'}, data).fit_vb() index_names = [int(float(re.sub(r'C\(feature\)\[(\S+)\]', r'\1', index_name))) for index_name in md.model.vc_names] estimate = pd.Series(md.vc_mean, index=index_names) else: # Regression, returns (regularized) mean deviation of the observation's category from the global mean md = smf.mixedlm('target ~ 1', data, groups=data['feature']).fit() tmp = dict() for key, value in md.random_effects.items(): tmp[key] = value[0] estimate = pd.Series(tmp) except np.linalg.LinAlgError: # Singular matrix -> just return all zeros estimate = pd.Series(np.zeros(len(values)), index=values) # Ignore unique columns. This helps to prevent overfitting on id-like columns if len(X[col].unique()) == len(y): estimate[:] = 0 if self.handle_unknown == 'return_nan': estimate.loc[-1] = np.nan elif self.handle_unknown == 'value': estimate.loc[-1] = 0 if self.handle_missing == 'return_nan': estimate.loc[values.loc[np.nan]] = np.nan elif self.handle_missing == 'value': estimate.loc[-2] = 0 mapping[col] = estimate finally: np.random.set_state(original_state) return mapping def _score(self, X, y): for col in self.cols: # Score the column X[col] = X[col].map(self.mapping[col]) # Randomization is meaningful only for training data -> we do it only if y is present if self.randomized and y is not None: random_state_generator = check_random_state(self.random_state) X[col] = (X[col] * random_state_generator.normal(1., self.sigma, X[col].shape[0])) return X def _rename_and_merge(self, X, y, col): """ Statsmodels requires: 1) unique column names 2) non-numeric columns names Solution: internally rename the columns. """ merged = pd.DataFrame() merged['feature'] = X[col] merged['target'] = y return merged