Source code for category_encoders.woe

"""Weight of Evidence"""
import numpy as np
from category_encoders.ordinal import OrdinalEncoder
import category_encoders.utils as util
from sklearn.utils.random import check_random_state

__author__ = 'Jan Motl'


[docs]class WOEEncoder(util.BaseEncoder, util.SupervisedTransformerMixin): """Weight of Evidence coding for categorical features. Supported targets: binomial. For polynomial target support, see PolynomialWrapper. 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 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 will assume WOE=0. handle_unknown: str options are 'return_nan', 'error' and 'value', defaults to 'value', which will assume WOE=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. regularization: float the purpose of regularization is mostly to prevent division by zero. When regularization is 0, you may encounter division by zero. 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 = WOEEncoder(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] Weight of Evidence (WOE) and Information Value Explained, from https://www.listendata.com/2015/03/weight-of-evidence-woe-and-information.html """ 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, regularization=1.0): 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._sum = None self._count = None self.random_state = random_state self.randomized = randomized self.sigma = sigma self.regularization = regularization def _fit(self, X, y, **kwargs): # The label must be binary with values {0,1} unique = y.unique() if len(unique) != 2: raise ValueError("The target column y must be binary. But the target contains " + str(len(unique)) + " unique value(s).") if y.isnull().any(): raise ValueError("The target column y must not contain missing values.") if np.max(unique) < 1: raise ValueError("The target column y must be binary with values {0, 1}. Value 1 was not found in the target.") if np.min(unique) > 0: raise ValueError("The target column y must be binary with values {0, 1}. Value 0 was not found in the target.") 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 columns and replace nominal values with WOE X = self._score(X, y) return X def _train(self, X, y): # Initialize the output mapping = {} # Calculate global statistics self._sum = y.sum() self._count = y.count() for switch in self.ordinal_encoder.category_mapping: col = switch.get('col') values = switch.get('mapping') # Calculate sum and count of the target for each unique value in the feature col stats = y.groupby(X[col]).agg(['sum', 'count']) # Count of x_{i,+} and x_i # Create a new column with regularized WOE. # Regularization helps to avoid division by zero. # Pre-calculate WOEs because logarithms are slow. nominator = (stats['sum'] + self.regularization) / (self._sum + 2*self.regularization) denominator = ((stats['count'] - stats['sum']) + self.regularization) / (self._count - self._sum + 2*self.regularization) woe = np.log(nominator / denominator) # Ignore unique values. This helps to prevent overfitting on id-like columns. woe[stats['count'] == 1] = 0 if self.handle_unknown == 'return_nan': woe.loc[-1] = np.nan elif self.handle_unknown == 'value': woe.loc[-1] = 0 if self.handle_missing == 'return_nan': woe.loc[values.loc[np.nan]] = np.nan elif self.handle_missing == 'value': woe.loc[-2] = 0 # Store WOE for transform() function mapping[col] = woe 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