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"""
Feature learning based on Gradient Boosting.
"""
from .feature_learner import _FeatureLearner
from .loss_functions import SquareLoss
from .validation import (
_validate_relboost_model_parameters
)
# --------------------------------------------------------------------
[docs]class RelMTModel(_FeatureLearner):
"""Feature learning based on relational linear model trees.
:class:`~getml.feature_learning.RelMTModel` automates feature learning
for relational data and time series. It is based on a
generalization of linear model trees to relational data, hence
the name. A linear model tree is a decision tree
with linear models on its leaves.
Args:
allow_avg (bool, optional):
Whether to allow an AVG aggregation. Particularly for time
series problems, AVG aggregations are not necessary and you
can save some time by taking them out.
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
:ref:`data_model_time_series`. Range: [0, :math:`\\infty`]
gamma (float, optional):
During the training of RelMT, 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, :math:`\\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 (:class:`~getml.models.loss_functions`, optional):
Objective function used by the feature learning algorithm
to optimize your features. For regression problems use
:class:`~getml.models.loss_functions.SquareLoss` and for
classification problems use
:class:`~getml.models.loss_functions.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,
:math:`\\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, :math:`\\infty`]
num_features (int, optional):
Number of features generated by the feature learning
algorithm. Range: [1, :math:`\\infty`]
num_subfeatures (int, optional):
The number of subfeatures you would like to extract in a
subensemble (for snowflake data model only). See
:ref:`data_model_snowflake_schema` for more
information. Range: [1, :math:`\\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:
[-:math:`\\infty`, :math:`\\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 :class:`~getml.feature_learning.RelMTModel` as it allows
for the most direct regularization. Larger values will
make the resulting model more conservative. Range: [0,
:math:`\\infty`]
sampling_factor (float, optional):
RelMT 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
RelMT 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, :math:`\\infty`]
seed (Union[int,None], optional):
Seed used for the random number generator that underlies
the sampling procedure to make the calculation
reproducible. Internally, a `seed` of None will be mapped to
5543. Range: [0, :math:`\\infty`]
shrinkage (float, optional):
Since RelMT 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
.. code-block:: sql
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:
.. code-block:: python
population_placeholder = getml.data.Placeholder("population")
order_placeholder = getml.data.Placeholder("order")
trans_placeholder = getml.data.Placeholder("trans")
population_placeholder.join(order_placeholder,
join_key="account_id")
population_placeholder.join(trans_placeholder,
join_key="account_id",
time_stamp="date")
feature_selector = getml.predictors.XGBoostClassifier(
reg_lambda=500
)
predictor = getml.predictors.XGBoostClassifier(
reg_lambda=500
)
feature_learner = getml.feature_learning.RelMTModel(
num_features=60,
loss_function=getml.feature_learning.loss_functions.CrossEntropyLoss
)
pipe = getml.pipeline.Pipeline(
tags=["relmt", "31 features"],
population=population_placeholder,
peripheral=[order_placeholder, trans_placeholder],
feature_learners=feature_learner,
feature_selectors=feature_selector,
predictors=predictor,
share_selected_features=0.5
)
pipe.check(
population_table=population_train,
peripheral_tables={"order": order, "trans": trans}
)
pipe = pipe.fit(
population_table=population_train,
peripheral_tables={"order": order, "trans": trans}
)
in_sample = pipe.score(
population_table=population_train,
peripheral_tables={"order": order, "trans": trans}
)
out_of_sample = pipe.score(
population_table=population_test,
peripheral_tables={"order": order, "trans": trans}
)
"""
# ------------------------------------------------------------
def __init__(self,
allow_avg=True,
delta_t=0.0,
gamma=0.0,
loss_function=SquareLoss,
max_depth=2,
min_num_samples=1,
num_features=30,
num_subfeatures=30,
num_threads=0,
reg_lambda=0.0,
sampling_factor=1.0,
seed=None,
shrinkage=0.1,
silent=True,
use_timestamps=True):
# ------------------------------------------------------------
self.type = "RelMTModel"
# ------------------------------------------------------------
self.allow_avg = allow_avg
self.delta_t = delta_t
self.gamma = gamma
self.loss_function = loss_function
self.max_depth = max_depth
self.min_num_samples = min_num_samples
self.num_features = num_features
self.num_subfeatures = num_subfeatures
self.num_threads = num_threads
self.reg_lambda = reg_lambda
self.sampling_factor = sampling_factor
self.seed = seed or 5543
self.shrinkage = shrinkage
self.silent = silent
self.use_timestamps = use_timestamps
# ------------------------------------------------------------
RelMTModel._supported_params = list(self.__dict__.keys())
# ------------------------------------------------------------
self.validate()
# ----------------------------------------------------------------
[docs] def validate(self, params=None):
"""Checks both the types and the values of all instance
variables and raises an exception if something is off.
Args:
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).
"""
# ------------------------------------------------------------
params = params or self.__dict__
if not isinstance(params, dict):
raise ValueError("params must be None or a dictionary!")
# ------------------------------------------------------------
for kkey in params:
if kkey not in RelMTModel._supported_params:
raise KeyError(
"""Instance variable [""" + kkey + """]
is not supported in RelMTModel.""")
# ------------------------------------------------------------
if not isinstance(params["silent"], bool):
raise TypeError("'silent' must be of type bool")
if params["type"] != "RelMTModel":
raise ValueError("'type' must be 'RelMTModel'")
# ------------------------------------------------------------
_validate_relboost_model_parameters(**params)
# ------------------------------------------------------------