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b/python/feature_selection.py |
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from sklearn.feature_selection import SelectFromModel |
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from sklearn.linear_model import LassoCV |
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from sklearn.feature_selection import SelectPercentile, f_classif |
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from sklearn.feature_selection import SelectKBest |
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from sklearn.feature_selection import chi2 |
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import numpy as np |
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# https://machinelearningmastery.com/feature-selection-machine-learning-python/ |
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def run_feature_selection(features, labels, feature_selection, best_features): |
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if feature_selection == 'select_K_Best': |
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# feature extraction |
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selector = SelectKBest(score_func=f_classif, k=4) # score_func=chi2 : only for non-negative features |
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selector.fit(features, labels) |
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# summarize scores |
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scores = selector.scores_ |
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features_index_sorted = np.argsort(-scores) |
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features_selected = features[:, features_index_sorted[0:best_features]] |
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# SelectFromModel and LassoCV |
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# We use the base estimator LassoCV since the L1 norm promotes sparsity of features. |
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if feature_selection == 'LassoCV': |
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clf = LassoCV() |
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# Set a minimum threshold of 0.25 |
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sfm = SelectFromModel(clf, threshold=0.95) |
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sfm.fit(features, labels) |
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features_selected = sfm.transform(features).shape[1] |
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""" |
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# Reset the threshold till the number of features equals two. |
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# Note that the attribute can be set directly instead of repeatedly |
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# fitting the metatransformer. |
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while n_features > 2: |
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sfm.threshold += 0.1 |
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X_transform = sfm.transform(X) |
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n_features = X_transform.shape[1] |
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""" |
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# Univariate feature selection |
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# Univariate feature selection works by selecting the best features based on univariate statistical tests. |
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# It can be seen as a preprocessing step to an estimator. |
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# Scikit-learn exposes feature selection routines as objects that implement the transform method: |
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# - SelectKBest removes all but the k highest scoring features |
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# - SelectPercentile removes all but a user-specified highest scoring percentage of features |
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# common univariate statistical tests for each feature: false positive rate SelectFpr, false discovery rate SelectFdr, or family wise error SelectFwe. |
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# - GenericUnivariateSelect allows to perform univariate feature selection with a configurable strategy. This allows to select the best univariate selection strategy with hyper-parameter search estimator. |
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if feature_selection == 'slct_percentile': |
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selector = SelectPercentile(f_classif, percentile=10) |
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selector.fit(features, labels) |
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# The percentile not affect. |
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# Just select in order the top features by number or threshold |
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# Keep best 8 values? |
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scores = selector.scores_ |
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features_index_sorted = np.argsort(-scores) |
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# scores = selector.scores_ |
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# scores = -np.log10(selector.pvalues_) |
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# scores /= scores.max() |
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features_selected = features[:, features_index_sorted[0:best_features]] |
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print("Selected only " + str(features_selected.shape) + " features ") |
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return features_selected, features_index_sorted |