我有两个目标。我要：
我知道如何仅针对1个固定功能执行此操作，如下面的代码所示。我曾尝试在selector = RFE(regr, n_features_to_select, step=1)中循环播放，但我想我缺少这个难题的关键部分。谢谢！
from sklearn.feature_selection import RFE
regr = LinearRegression()
#parameters: estimator, n_features_to_select=None, step=1
selector = RFE(regr, 5, step=1)
selector.fit(x_train, y_train)
selector.support_
def show_best_model(support_array, columns, model):
y_pred = model.predict(X_test.iloc[:, support_array])
r2 = r2_score(y_test, y_pred)
n = len(y_pred) #size of test set
p = len(model.coef_) #number of features
adjusted_r2 = 1-(1-r2)*(n-1)/(n-p-1)
print('Adjusted R-squared: %.2f' % adjusted_r2)
j = 0;
for i in range(len(support_array)):
if support_array[i] == True:
print(columns[i], model.coef_[j])
j +=1
show_best_model(selector.support_, x_train.columns, selector.estimator_)
答案 0 :(得分：1)
您可以创建自定义GridSearchCV，该自定义GridSearchCV对估计器的指定参数值进行详尽搜索。
您还可以在Scikit学习中选择任何可用的得分功能，例如R2 Score。不过，您可以使用给出的简单公式here从R 2 得分计算 Adjusted R 2 ，然后在自定义{ {1}}。
from collections import OrderedDict
from itertools import product
from sklearn.feature_selection import RFE
from sklearn.linear_model import LinearRegression
from sklearn.datasets import load_iris
from sklearn.metrics import r2_score
from sklearn.model_selection import StratifiedKFold
def customR2Score(y_true, y_pred, n, p):
"""
Workaround for the adjusted R^2 score
:param y_true: Ground Truth during iterations
:param y_pred: Y predicted during iterations
:param n: the sample size
:param p: the total number of explanatory variables in the model
:return: float, adjusted R^2 score
"""
r2 = r2_score(y_true, y_pred)
return 1 - (1 - r2) * (n - 1) / (n - p - 1)
def CustomGridSearchCV(X, Y, param_grid, n_splits=10, n_repeats=3):
"""
Perform GridSearchCV using adjusted R^2 as Scoring.
Note here we are performing GridSearchCV MANUALLY because adjusted R^2
cannot be used directly in the GridSearchCV function builtin in Scikit-learn
:param X: array_like, shape (n_samples, n_features), Samples.
:param Y: array_like, shape (n_samples, ), Target values.
:param param_grid: Dictionary with parameters names (string) as keys and lists
of parameter settings to try as values, or a list of such
dictionaries, in which case the grids spanned by each dictionary
in the list are explored. This enables searching over any
sequence of parameter settings.
:param n_splits: Number of folds. Must be at least 2. default=10
:param n_repeats: Number of times cross-validator needs to be repeated. default=3
:return: an Ordered Dictionary of the model object and information and best parameters
"""
best_model = OrderedDict()
best_model['best_params'] = {}
best_model['best_train_AdjR2'], best_model['best_cross_AdjR2'] = 0, 0
best_model['best_model'] = None
allParams = OrderedDict()
for key, value in param_grid.items():
allParams[key] = value
for items in product(*allParams.values()):
params = {}
i = 0
for k in allParams.keys():
params[k] = items[i]
i += 1
# at this point, we get different combination of parameters
model_ = RFE(**params)
avg_AdjR2_train = 0.
avg_AdjR2_cross = 0.
for rep in range(n_repeats):
skf = StratifiedKFold(n_splits=n_splits, shuffle=True)
AdjR2_train = 0.
AdjR2_cross = 0.
for train_index, cross_index in skf.split(X, Y):
x_train, x_cross = X[train_index], X[cross_index]
y_train, y_cross = Y[train_index], Y[cross_index]
model_.fit(x_train, y_train)
# find Adjusted R2 of train and cross
y_pred_train = model_.predict(x_train)
y_pred_cross = model_.predict(x_cross)
AdjR2_train += customR2Score(y_train, y_pred_train, len(y_train), model_.n_features_)
AdjR2_cross += customR2Score(y_cross, y_pred_cross, len(y_cross), model_.n_features_)
AdjR2_train /= n_splits
AdjR2_cross /= n_splits
avg_AdjR2_train += AdjR2_train
avg_AdjR2_cross += AdjR2_cross
avg_AdjR2_train /= n_repeats
avg_AdjR2_cross /= n_repeats
# store the results of the first set of parameters combination
if abs(avg_AdjR2_cross) >= abs(best_model['best_cross_AdjR2']):
best_model['best_params'] = params
best_model['best_train_AdjR2'] = avg_AdjR2_train
best_model['best_cross_AdjR2'] = avg_AdjR2_cross
best_model['best_model'] = model_
return best_model
# Dataset for testing
iris = load_iris()
X = iris.data
Y = iris.target
regr = LinearRegression()
param_grid = {'estimator': [regr], # you can try different estimator
'n_features_to_select': range(1, X.shape[1] + 1)}
best_model = CustomGridSearchCV(X, Y, param_grid, n_splits=5, n_repeats=2)
print(best_model)
print(best_model['best_model'].ranking_)
print(best_model['best_model'].support_)
OrderedDict([
('best_params', {'n_features_to_select': 3, 'estimator':
LinearRegression(copy_X=True, fit_intercept=True, n_jobs=1, normalize=False)}),
('best_train_AdjR2', 0.9286382985850505), ('best_cross_AdjR2', 0.9188172567358479),
('best_model', RFE(estimator=LinearRegression(copy_X=True, fit_intercept=True,
n_jobs=1, normalize=False), n_features_to_select=3, step=1, verbose=0))])
[1 2 1 1]
[ True False True True]
答案 1 :(得分：0)
感谢Yahya的回复。我没有机会进行测试。我是python的新手，所以我将尝试从您的反馈中学习。
话说回来，我找到了解决问题的办法。这是给未来的学习者的。
def show_best_model(support_array, columns, model):
y_pred = model.predict(X_test.iloc[:, support_array])
r2 = r2_score(y_test, y_pred)
n = len(y_pred) #size of test set
p = len(model.coef_) #number of features
adjusted_r2 = 1-(1-r2)*(n-1)/(n-p-1)
print('Adjusted R-squared: %.2f' % adjusted_r2)
j = 0;
for i in range(len(support_array)):
if support_array[i] == True:
print(columns[i], model.coef_[j])
j +=1
from sklearn.feature_selection import RFE
regr = LinearRegression()
for m in range(1,11):
selector = RFE(regr, m, step=1)
selector.fit(x_train, y_train)
if m<11:
show_best_model(selector.support_, x_train.columns, selector.estimator_)
X = df.loc[:,['Age_08_04', 'KM', 'HP', 'Weight', 'Automatic_airco']]
x_train, X_test, y_train, y_test = train_test_split(X, y,
test_size =.4,
random_state = 20)
regr = LinearRegression()
regr.fit(x_train, y_train)
y_pred = regr.predict(X_test)
print('Average error: %.2f' %mean(y_test - y_pred))
print('Mean absolute error: %.2f' %mean_absolute_error(y_test, y_pred))
print('Mean absolute error: %.2f' %(mean(abs(y_test - y_pred))))
print("Root mean squared error: %.2f"
% math.sqrt(mean_squared_error(y_test, y_pred)))
print('percentage absolute error: %.2f' %mean(abs((y_test - y_pred)/y_test)))
print('percentage absolute error: %.2f' %(mean(abs(y_test - y_pred))/mean(y_test)))
print('R-squared: %.2f' % r2_score(y_test, y_pred))
x_train = x_train.loc[:,
['Age_08_04', 'KM' , 'HP',
'Weight', 'Automatic_airco']]
X_test = X_test.loc[:,
['Age_08_04', 'KM' , 'HP',
'Weight', 'Automatic_airco']]
selector = RFE(regr, 5, step=1)
selector.fit(x_train, y_train)
show_best_model(selector.support_, x_train.columns, selector.estimator_)