RelboostTimeSeries¶

class getml.feature_learning.RelboostTimeSeries(horizon=0.0, memory=0.0, self_join_keys=None, ts_name='', allow_lagged_targets=True, allow_null_weights=False, delta_t=0.0, gamma=0.0, loss_function='SquareLoss', max_depth=3, min_num_samples=1, num_features=100, num_subfeatures=100, num_threads=0, reg_lambda=0.0, sampling_factor=1.0, seed=None, shrinkage=0.1, silent=True, use_timestamps=True)¶

Bases: getml.feature_learning.feature_learner._FeatureLearner

Feature learning for time series based on Gradient Boosting.

RelboostTimeSeries automates feature learning for time series. It adds a convenience layer over RelboostModel which abstracts away the self-join over the population table.

For more information on the underlying feature learning algorithm, check out Relboost.

Parameters

horizon (float, optional) – The period of time you want to look ahead to generate the predictions.
memory (float, optional) – The period of time you want to the to look back until the algorithm “forgets” the data. If you set memory to 0.0, then there will be no limit.
self_join_keys (List[str], optional) – A list of the join keys to use for the self-join. If none are passed, then the self join will take place on the entire population table.
ts_name (str, optional) – The name of the time stamp column to be used. If none is passed, then the row ID will be used.
allow_lagged_targets (bool, optional) – In some time series problems, it is allowed to aggregate over target variables from the past. In others, this is not allowed. If allow_lagged_targets is set to True, you must pass a horizon that is greater than zero, otherwise you would have a data leak (an exception will be thrown to prevent this).
allow_null_weights (bool, optional) – Whether you want to allow RelboostTimeSeries to set weights to NULL.
delta_t (float, optional) –
Frequency with which lag variables will be explored in a time series setting. When set to 0.0, there will be no lag variables.

For more information, please refer to Time series. Range: [0, $\infty$ ]
gamma (float, optional) – During the training of Relboost, which is based on gradient tree boosting, this value serves as the minimum improvement in terms of the loss_function required for a split of the tree to be applied. Larger gamma will lead to fewer partitions of the tree and a more conservative algorithm. Range: [0, $\infty$ ]
include_categorical (bool, optional) – Whether you want to pass categorical columns from the population table to the feature_selector and predictor. Passing columns directly allows you to include handcrafted feature as well as raw data. Note, however, that this does not guarantee their presence in the resulting features because it is the task of the feature_selector to pick only the best performing ones.
loss_function (loss_functions, optional) – Objective function used by the feature learning algorithm to optimize your features. For regression problems use SquareLoss and for classification problems use CrossEntropyLoss.
max_depth (int, optional) – Maximum depth of the trees generated during the gradient tree boosting. Deeper trees will result in more complex models and increase the risk of overfitting. Range: [0, $\infty$ ]
min_num_samples (int, optional) – Determines the minimum number of samples a subcondition should apply to in order for it to be considered. Higher values lead to less complex statements and less danger of overfitting. Range: [1, $\infty$ ]
num_features (int, optional) – Number of features generated by the feature learning algorithm. Range: [1, $\infty$ ]
num_subfeatures (int, optional) – The number of subfeatures you would like to extract in a subensemble (for snowflake data model only). See The snowflake schema for more information. Range: [1, $\infty$ ]
num_threads (int, optional) – Number of threads used by the feature learning algorithm. If set to zero or a negative value, the number of threads will be determined automatically by the getML engine. Range: [ $\infty$ , $\infty$ ]
reg_lambda (float, optional) – L2 regularization on the weights in the gradient boosting routine. This is one of the most important hyperparameters in the RelboostTimeSeries as it allows for the most direct regularization. Larger values will make the resulting model more conservative. Range: [0, $\infty$ ]
sampling_factor (float, optional) – Relboost uses a bootstrapping procedure (sampling with replacement) to train each of the features. The sampling factor is proportional to the share of the samples randomly drawn from the population table every time Relboost generates a new feature. A lower sampling factor (but still greater than 0.0), will lead to less danger of overfitting, less complex statements and faster training. When set to 1.0, roughly 20,000 samples are drawn from the population table. If the population table contains less than 20,000 samples, it will use standard bagging. When set to 0.0, there will be no sampling at all. Range: [0, $\infty$ ]
seed (Union[int,None], optional) – Seed used for the random number generator that underlies the sampling procedure to make the calculation reproducible. Due to nature of the underlying algorithm this is only the case if the fit is done without multithreading. To reflect this, a seed of None does represent an unreproducible and is only allowed to be set to an actual integer if both num_threads and n_jobs instance variables of the predictor and feature_selector - if they are instances of either XGBoostRegressor or XGBoostClassifier - are set to 1. Internally, a seed of None will be mapped to 5543. Range: [0, $\infty$ ]
shrinkage (float, optional) – Since Relboost works using a gradient-boosting-like algorithm, shrinkage (or learning rate) scales down the weights and thus the impact of each new tree. This gives more room for future ones to improve the overall performance of the model in this greedy algorithm. It must be between 0.0 and 1.0 with higher values leading to more danger of overfitting. Range: [0, 1]
silent (bool, optional) – Controls the logging during training.
use_timestamps (bool, optional) –
Whether you want to ignore all elements in the peripheral tables where the time stamp is greater than the one in the corresponding elements of the population table. In other words, this determines whether you want add the condition
```
t2.time_stamp <= t1.time_stamp
```
at the very end of each feature. It is strongly recommend to enable this behavior.
Raises –

TypeError:
If any of the input arguments is of wrong type.

KeyError:
If an unsupported instance variable is encountered.

TypeError:
If any instance variable is of wrong type.

ValueError:
If any instance variable does not match its possible choices (string) or is out of the expected bounds (numerical).

Example

# Our forecast horizon is 0.
# We do not predict the future, instead we infer
# the present state from current and past sensor data.
horizon = 0.0

# We do not allow the time series features
# to use target values from the past.
# (Otherwise, we would need the horizon to
# be greater than 0.0).
allow_lagged_targets = False

# We want our time series features to only use
# data from the last 15 minutes
memory = getml.data.time.minutes(15)

feature_learner = getml.feature_learning.RelboostTimeSeries(
        ts_name="date",
        horizon=horizon,
        memory=memory,
        allow_lagged_targets=allow_lagged_targets,
        num_features=30,
        loss_function=getml.feature_learning.loss_functions.CrossEntropyLoss
)

predictor = getml.predictors.XGBoostClassifier(reg_lambda=500)

pipe = getml.pipeline.Pipeline(
    tags=["memory=15", "no ts_name", "multirel"],
    feature_learners=[feature_learner],
    predictors=[predictor]
)

pipe.check(data_train)

pipe = pipe.fit(data_train)

predictions = pipe.predict(data_test)

scores = pipe.score(data_test)

Methods Summary

validate([params])

Checks both the types and the values of all instance variables and raises an exception if something is off.

Methods Documentation

validate(params=None)¶

Checks both the types and the values of all instance variables and raises an exception if something is off.

Parameters

params (dict, optional) – A dictionary containing the parameters to validate. If not is passed, the own parameters will be validated.

Raises

KeyError – If an unsupported instance variable is encountered.
TypeError – If any instance variable is of wrong type.
ValueError – If any instance variable does not match its possible choices (string) or is out of the expected bounds (numerical).