from dataclasses import dataclass
from typing import Dict, List, Optional, Tuple, Union
import numpy as np
import pandas as pd
import xgboost as xgb
from matplotlib.figure import Figure
from slickml.regression._xgboost import XGBoostRegressor
from slickml.utils import Colors, check_var
from slickml.visualization import plot_xgb_cv_results
[docs]
@dataclass
class XGBoostCVRegressor(XGBoostRegressor):
"""XGBoost CV Regressor.
This is wrapper using ``XGBoostRegressor`` to train a XGBoost [xgboost-api]_ model with using the optimum
number of boosting rounds from the inputs. It used ``xgboost.cv()`` model with n-folds
cross-validation and train model based on the best number of boosting round to avoid over-fitting.
Parameters
----------
num_boost_round : int, optional
Number of boosting rounds to fit a model, by default 200
n_splits : int, optional
Number of folds for cross-validation, by default 4
metrics : str, optional
Metrics to be tracked at cross-validation fitting time with possible values of ``"rmse"``,
``"rmsle"``, ``"mae"``. Note this is different than `eval_metric` that needs to be passed to
`params` dict, by default "rmse"
early_stopping_rounds : int, optional
The criterion to early abort the ``xgboost.cv()`` phase if the test metric is not improved,
by default 20
random_state : int, optional
Random seed number, by default 1367
shuffle : bool, optional
Whether to shuffle data to have the ability of building stratified folds in ``xgboost.cv()``,
by default True
sparse_matrix : bool, optional
Whether to convert the input features to sparse matrix with csr format or not. This would
increase the speed of feature selection for relatively large/sparse datasets. Consequently,
this would actually act like an un-optimize solution for dense feature matrix. Additionally,
this feature cannot be used along with ``scale_mean=True`` standardizing the feature matrix
to have a mean value of zeros would turn the feature matrix into a dense matrix. Therefore,
by default our API banned this feature, by default False
scale_mean : bool, optional
Whether to standarize the feauture matrix to have a mean value of zero per feature (center
the features before scaling). As laid out in ``sparse_matrix``, ``scale_mean=False`` when
using ``sparse_matrix=True``, since centering the feature matrix would decrease the sparsity
and in practice it does not make any sense to use sparse matrix method and it would make
it worse. The ``StandardScaler`` object can be accessed via ``cls.scaler_`` if ``scale_mean`` or
``scale_strd`` is used unless it is ``None``, by default False
scale_std : bool, optional
Whether to scale the feauture matrix to have unit variance (or equivalently, unit standard
deviation) per feature. The ``StandardScaler`` object can be accessed via ``cls.scaler_``
if ``scale_mean`` or ``scale_strd`` is used unless it is ``None``, by default False
importance_type : str, optional
Importance type of ``xgboost.train()`` with possible values ``"weight"``, ``"gain"``,
``"total_gain"``, ``"cover"``, ``"total_cover"``, by default "total_gain"
params : Dict[str, Union[str, float, int]], optional
Set of parameters required for fitting a Booster, by default {"eval_metric": "rmse",
"tree_method": "hist", "objective": "reg:squarederror", "learning_rate": 0.05,
"max_depth": 2, "min_child_weight": 1, "gamma": 0.0, "reg_alpha": 0.0, "reg_lambda": 1.0,
"subsample": 0.9, "max_delta_step": 1, "verbosity": 0, "nthread": 4}
Other options for objective: ``"reg:logistic"``, ``"reg:squaredlogerror"``
verbose : bool, optional
Whether to log the final results of ``xgboost.cv()``, by default True
callbacks : bool, optional
Whether to logging standard deviation of metrics on train data and track the early stopping
criterion, by default False
Methods
-------
fit(X_train, y_train)
Fits a ``XGBoost.Booster`` to input training data. Proper ``dtrain_`` matrix based on chosen
options i.e. ``sparse_matrix``, ``scale_mean``, ``scale_std`` is being created based on the
passed ``X_train`` and ``y_train``
predict(X_test, y_test)
Returns prediction target values
get_cv_results()
Returns the mean value of the metrics in ``n_splits`` cross-validation for each boosting round
get_params()
Returns final set of train parameters. The default set of parameters will be updated with
the new ones that passed to ``params``
get_default_params()
Returns the default set of train parameters. The default set of parameters will be used when
``params=None``
get_feature_importance()
Returns the feature importance of the trained booster based on the given ``importance_type``
get_shap_explainer()
Returns the ``shap.TreeExplainer``
plot_cv_results()
Visualizes cross-validation results
plot_shap_summary()
Visualizes Shapley values summary plot
plot_shap_waterfall()
Visualizes Shapley values waterfall plot
Attributes
----------
cv_results_ : pd.DataFrame
The mean value of the metrics in ``n_splits`` cross-validation for each boosting round
feature_importance_ : pd.DataFrame
Features importance based on the given ``importance_type``
scaler_ : StandardScaler, optional
Standardization object when ``scale_mean=True`` or ``scale_std=True`` unless it is ``None``
X_train_ : pd.DataFrame
Fitted and Transformed features when ``scale_mean=True`` or ``scale_std=True``. In other case, it will
be the same as the passed ``X_train`` features
X_test_ : pd.DataFrame
Transformed features when ``scale_mean=True`` or ``scale_std=True`` using `clf.scaler_` that
has be fitted on ``X_train`` and ``y_train`` data. In other case, it will be the same as the
passed ``X_train`` features
dtrain_ : xgb.DMatrix
Training data matrix via ``xgboost.DMatrix(clf.X_train_, clf.y_train)``
dtest_ : xgb.DMatrix
Testing data matrix via ``xgboost.DMatrix(clf.X_test_, clf.y_test)`` or
``xgboost.DMatrix(clf.X_test_, None)`` when ``y_test`` is not available in inference
shap_values_train_ : np.ndarray
Shapley values from ``TreeExplainer`` using ``X_train_``
shap_values_test_ : np.ndarray
Shapley values from ``TreeExplainer`` using ``X_test_``
shap_explainer_ : shap.TreeExplainer
Shap TreeExplainer object
model_ : xgboost.Booster
XGBoost Booster object
See Also
--------
:class:`slickml.regression.XGBoostRegressor`
References
----------
.. [callback-api] https://xgboost.readthedocs.io/en/latest/python/python_api.html#callback-api
.. [linestyles-api] https://matplotlib.org/3.1.0/gallery/lines_bars_and_markers/linestyles.html
"""
num_boost_round: Optional[int] = 200
n_splits: Optional[int] = 4
metrics: Optional[str] = "rmse"
early_stopping_rounds: Optional[int] = 20
random_state: Optional[int] = 1367
shuffle: Optional[bool] = True
sparse_matrix: Optional[bool] = False
scale_mean: Optional[bool] = False
scale_std: Optional[bool] = False
importance_type: Optional[str] = "total_gain"
params: Optional[Dict[str, Union[str, float, int]]] = None
verbose: Optional[bool] = True
callbacks: Optional[bool] = False
[docs]
def __post_init__(self) -> None:
"""Post instantiation validations and assignments."""
super().__post_init__()
check_var(
self.n_splits,
var_name="n_splits",
dtypes=int,
)
check_var(
self.metrics,
var_name="metrics",
dtypes=str,
values=(
"rmse",
"rmsle",
"mae",
),
)
check_var(
self.early_stopping_rounds,
var_name="early_stopping_rounds",
dtypes=int,
)
check_var(
self.random_state,
var_name="random_state",
dtypes=int,
)
check_var(
self.shuffle,
var_name="shuffle",
dtypes=bool,
)
check_var(
self.verbose,
var_name="verbose",
dtypes=bool,
)
check_var(
self.callbacks,
var_name="callbacks",
dtypes=bool,
)
self._callbacks()
[docs]
def fit(
self,
X_train: Union[pd.DataFrame, np.ndarray],
y_train: Union[List[float], np.ndarray, pd.Series],
) -> None:
"""Fits a ``XGBoost.Booster`` to input training data based on the best number of boostring round.
Parameters
----------
X_train : Union[pd.DataFrame, np.ndarray]
Input data for training (features)
y_train : Union[List[float], np.ndarray, pd.Series]
Input ground truth for training (targets)
See Also
--------
:meth:`xgboost.cv()`
:meth:`xgboost.train()`
Returns
-------
None
"""
self.dtrain_ = self._dtrain(
X_train=X_train,
y_train=y_train,
)
self.cv_results_ = self._cv()
if self.verbose:
self._verbose_log()
self.model_ = self._model()
self.feature_importance_ = self._imp_to_df()
return None
[docs]
def get_cv_results(self) -> pd.DataFrame:
"""Returns cross-validiation results.
Returns
-------
pd.DataFrame
"""
return self.cv_results_
[docs]
def plot_cv_results(
self,
figsize: Optional[Tuple[Union[int, float], Union[int, float]]] = (8, 5),
linestyle: Optional[str] = "--",
train_label: Optional[str] = "Train",
test_label: Optional[str] = "Test",
train_color: Optional[str] = "navy",
train_std_color: Optional[str] = "#B3C3F3",
test_color: Optional[str] = "purple",
test_std_color: Optional[str] = "#D0AAF3",
save_path: Optional[str] = None,
display_plot: Optional[bool] = False,
return_fig: Optional[bool] = False,
) -> Optional[Figure]:
"""Visualizes the cross-validation results and evolution of metrics through number of boosting rounds.
Parameters
----------
cv_results : pd.DataFrame
Cross-validation results
figsize : Tuple[Union[int, float], Union[int, float]], optional
Figure size, by default (8, 5)
linestyle : str, optional
Style of lines [linestyles-api]_, by default "--"
train_label : str, optional
Label in the figure legend for the train line, by default "Train"
test_label : str, optional
Label in the figure legend for the test line, by default "Test"
train_color : str, optional
Color of the training line, by default "navy"
train_std_color : str, optional
Color of the edge color of the training std bars, by default "#B3C3F3"
test_color : str, optional
Color of the testing line, by default "purple"
test_std_color : str, optional
Color of the edge color of the testing std bars, by default "#D0AAF3"
save_path : str, optional
The full or relative path to save the plot including the image format such as
"myplot.png" or "../../myplot.pdf", by default None
display_plot : bool, optional
Whether to show the plot, by default False
return_fig : bool, optional
Whether to return figure object, by default False
Returns
-------
Figure, optional
"""
return plot_xgb_cv_results(
cv_results=self.cv_results_,
figsize=figsize,
linestyle=linestyle,
train_label=train_label,
test_label=test_label,
train_color=train_color,
train_std_color=train_std_color,
test_color=test_color,
test_std_color=test_std_color,
save_path=save_path,
display_plot=display_plot,
return_fig=return_fig,
)
def _cv(self) -> pd.DataFrame:
"""Returns the XGBoost cv_results based on the best number of boosting rounds.
Returns
-------
pd.DataFrame
"""
return xgb.cv(
params=self.params,
dtrain=self.dtrain_,
num_boost_round=self.num_boost_round,
nfold=self.n_splits,
metrics=self.metrics,
early_stopping_rounds=self.early_stopping_rounds,
seed=self.random_state,
shuffle=self.shuffle,
callbacks=self.callbacks,
as_pandas=True,
)
def _model(self) -> xgb.Booster:
"""Fits a ``XGBoost.Booster`` based on the best number of boosting round on ``dtrain_`` matrix.
Returns
-------
xgb.Booster
"""
return xgb.train(
params=self.params,
dtrain=self.dtrain_,
num_boost_round=len(self.cv_results_) - 1,
)
# TODO(amir): investigate more for other callback options ?
def _callbacks(self) -> None:
"""Returns a list of callbacks.
The implemented callbacks are including ``xgboost.callback.EvaluationMonitor`` and
``xgboost.callback.EarlyStopping`` [callback-api]_.
Returns
-------
None
"""
if self.callbacks:
# TODO(amir): same as classification; use type overload here
self.callbacks = [ # type: ignore
xgb.callback.EvaluationMonitor(
rank=0,
period=1,
show_stdv=True,
),
xgb.callback.EarlyStopping(
rounds=self.early_stopping_rounds,
),
]
else:
self.callbacks = None
return None
# TODO(amir): ditch print with logger
def _verbose_log(self) -> None:
"""Logs n-folds cross-validation results.
Returns
-------
None
"""
if self.metrics is not None:
print(
str(Colors.BOLD)
+ "*-* "
+ str(Colors.GREEN)
+ f"Best Boosting Round = {len(self.cv_results_) - 1}"
+ str(Colors.END)
+ str(Colors.BOLD)
+ " -*- "
+ str(Colors.F_Red)
+ f"{self.n_splits}-Folds CV {self.metrics.upper()}: "
+ str(Colors.END)
+ str(Colors.BOLD)
+ str(Colors.B_Blue)
+ f"Train = {self.cv_results_.iloc[-1][0]:.3f}"
+ " +/- "
+ f"{self.cv_results_.iloc[-1][1]:.3f}"
+ str(Colors.END)
+ str(Colors.BOLD)
+ " -*- "
+ str(Colors.B_Magenta)
+ f"Test = {self.cv_results_.iloc[-1][2]:.3f}"
+ " +/- "
+ f"{self.cv_results_.iloc[-1][3]:.3f}"
+ str(Colors.END)
+ str(Colors.BOLD)
+ " *-*",
)