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b/ensembling/NeuralNet.py |
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# -*- coding: utf-8 -*- |
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""" |
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Created on Sat Aug 15 18:18:11 2015 |
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@author: rc, alex |
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""" |
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import numpy as np |
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from sklearn.base import BaseEstimator, ClassifierMixin |
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from sklearn.metrics import roc_auc_score |
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from progressbar import Bar, ETA, Percentage, ProgressBar, RotatingMarker |
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from preprocessing.aux import delay_preds, delay_preds_2d |
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from utils.nn import buildNN |
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class NeuralNet(BaseEstimator,ClassifierMixin): |
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""" Ensembling with a Neural Network """ |
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def __init__(self,ensemble,architecture,training_params, |
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partsTrain=1,partsTest=1, |
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delay=4000,skip=100,jump=None,subsample=1, |
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smallEpochs=2,majorEpochs=20,checkEveryEpochs=2, |
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verbose=True): |
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"""Init.""" |
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### timecourse history parameters ### |
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# how many past time samples to include along with the most recent sample |
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self.delay = delay |
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# subsample above samples |
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self.skip = skip |
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# here can be set a custom subsampling scheme, it overrides previous params |
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self.jump = jump |
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### RAM saving ### |
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# due to RAM limitations the model is interchangeably trained on 'partsTrain' portions of the data |
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self.partsTrain = partsTrain |
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# also due to RAM limitations testing data has to be split into 'partsTest' parts |
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self.partsTest = partsTest |
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### training ### |
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# amounts of epochs to perform on the current portion of the training data |
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self.smallEpochs = smallEpochs |
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# amounts of major epochs to perform, |
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# i.e. on each major epoch a new portion of training data is obtained |
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self.majorEpochs = majorEpochs |
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# print AUC computed on test set every major epochs |
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self.checkEveryEpochs = checkEveryEpochs |
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# whether to calculate and print results during training |
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self.verbose = verbose |
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# used in bagging to set different starting points when subsampling the data |
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self.mdlNr = 0 |
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self.subsample = subsample |
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self.architecture = architecture |
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self.ensemble = ensemble |
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self.training_params = training_params |
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def fit(self,X,y,Xtest=None,ytest=None): |
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"""Fit.""" |
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input_dim = X.shape[1] |
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# set different data preparation schemes basing on what kind of NN is it |
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layers = [i.keys()[0] for i in self.architecture] |
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self.isCNN = 'Conv' in layers |
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self.isRecurrent = 'GRU' in layers or 'LSTM' in layers |
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if self.isCNN: |
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self.addDelay = delay_preds |
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self.training_params['num_strides'] = self.delay//self.skip |
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elif self.isRecurrent: |
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self.addDelay = delay_preds_2d |
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else: |
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input_dim *= self.delay/self.skip |
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input_dim = int( input_dim ) |
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self.addDelay = delay_preds |
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# create the model |
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self.model = buildNN(self.architecture, self.training_params, input_dim) |
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widgets = ['Training : ', Percentage(), ' ', Bar(marker=RotatingMarker()), |
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' ', ETA(), ' '] |
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pbar = ProgressBar(widgets=widgets, maxval=self.majorEpochs) |
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pbar.start() |
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# train the model on a portion of training data; that portion is changed each majorEpoch |
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for majorEpoch in range(self.majorEpochs): |
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startingPoint = majorEpoch%self.partsTrain or self.mdlNr%self.partsTrain |
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if self.jump is not None: |
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trainData = self.addDelay(X, delay=self.delay, skip=self.skip, |
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subsample=self.partsTrain,start=startingPoint, jump=self.jump) |
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else: |
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trainData = self.addDelay(X, delay=self.delay, skip=self.skip, |
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subsample=self.partsTrain,start=startingPoint) |
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if self.isCNN: |
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trainData = trainData.reshape((trainData.shape[0],1,trainData.shape[1],1)) |
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targets = y[startingPoint::self.partsTrain] |
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trainData = trainData[::self.subsample] |
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targets = targets[::self.subsample] |
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self.model.fit(trainData, targets, nb_epoch=self.smallEpochs, |
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batch_size=512,verbose=0,show_accuracy=True) |
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trainData=None |
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pbar.update(majorEpoch) |
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if self.verbose and majorEpoch%self.checkEveryEpochs == 0: |
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print("Total epochs: %d" % (self.smallEpochs*(majorEpoch+1))) |
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if Xtest is not None and ytest is not None: |
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pred = self._predict_proba_train(Xtest) |
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score = np.mean(roc_auc_score(ytest[0::self.partsTest],pred)) |
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print("Test AUC : %.5f" % (score)) |
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pred = None |
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if self.verbose: |
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print('Training finished after %d epochs'% (self.smallEpochs*(majorEpoch+1))) |
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def predict_proba(self,X): |
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"""Get predictions.""" |
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pred = [] |
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for part in range(self.partsTest): |
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start = part*len(X)//self.partsTest-self.delay*(part>0) |
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stop = (part+1)*len(X)//self.partsTest |
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testData = self.addDelay(X[slice(start,stop)], delay=self.delay, skip=self.skip, |
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jump=self.jump)[self.delay*(part>0):] |
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if self.isCNN: |
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testData = testData.reshape((testData.shape[0],1,testData.shape[1],1)) |
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pred.append(self.model.predict_proba(testData, batch_size=512,verbose=0)) |
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testData = None |
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pred = np.concatenate(pred) |
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return pred |
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def _predict_proba_train(self,X): |
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""" Only used internally during training - subsamples test data for speed """ |
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testData = self.addDelay(X, delay=self.delay, skip=self.skip,subsample=self.partsTest,start=0,jump=self.jump) |
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if self.isCNN: |
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testData = testData.reshape((testData.shape[0],1,testData.shape[1],1)) |
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pred = self.model.predict_proba(testData, batch_size=512,verbose=0) |
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testData = None |
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return pred |