Question

我希望将XGBoost模型与PCA的输入缩放和特征空间缩减相结合。此外，应使用交叉验证来调整模型的超参数以及PCA中使用的组件数量。并且为了防止模型过度拟合，应该添加早期停止。

为了结合各个步骤，我决定使用sklearn的Pipeline功能。

一开始，我遇到了一些问题，确保PCA也适用于验证集。但我认为使用XGB__eval_set可以达成协议。

代码实际上没有任何错误地运行，但似乎永远运行（在某些时候，所有核心的CPU使用率降至零，但进程继续运行数小时;必须在某个时刻终止会话）。

from sklearn.model_selection import GridSearchCV, train_test_split
from sklearn.decomposition import PCA
from sklearn.pipeline import Pipeline
from sklearn.preprocessing import StandardScaler
from xgboost import XGBRegressor   

# Train / Test split
X_train, X_test, y_train, y_test = train_test_split(X_with_features, y, test_size=0.2, random_state=123)

# Train / Validation split
X_train, X_val, y_train, y_val = train_test_split(X_train, y_train, test_size=0.2, random_state=123)

# Pipeline
pipe = Pipeline(steps=[("Scale", StandardScaler()),
                       ("PCA", PCA()),
                       ("XGB", XGBRegressor())])

# Hyper-parameter grid (Test only)
grid_param_pipe = {'PCA__n_components': [5],
                   'XGB__n_estimators': [1000],
                   'XGB__max_depth': [3],
                   'XGB__reg_alpha': [0.1],
                   'XGB__reg_lambda': [0.1]}

# Grid object
grid_search_pipe = GridSearchCV(estimator=pipe,
                                param_grid=grid_param_pipe,
                                scoring="neg_mean_squared_error",
                                cv=5,
                                n_jobs=5,
                                verbose=3)

# Run CV
grid_search_pipe.fit(X_train, y_train, XGB__early_stopping_rounds=10, XGB__eval_metric="rmse", XGB__eval_set=[[X_val, y_val]])

Answer 1

问题在于<?xml version="1.0" encoding="utf-8"?> <selector xmlns:android="http://schemas.android.com/apk/res/android"> <item android:drawable="@drawable/drawable_selected_indicator" android:state_selected="true"/> <item android:drawable="@drawable/drawable_default_indicator"/> </selector>方法需要在外部创建一个评估集，但是我们不能在通过管道进行转换之前创建一个评估集。

这有点棘手，但是我们的想法是为xgboost回归器/分类器创建一个薄包装器，为内部的评估集做准备。

fit

下面是一个测试。

from sklearn.base import BaseEstimator
from sklearn.model_selection import train_test_split
from xgboost import XGBRegressor, XGBClassifier

class XGBoostWithEarlyStop(BaseEstimator):
    def __init__(self, early_stopping_rounds=5, test_size=0.1, 
                 eval_metric='mae', **estimator_params):
        self.early_stopping_rounds = early_stopping_rounds
        self.test_size = test_size
        self.eval_metric=eval_metric='mae'        
        if self.estimator is not None:
            self.set_params(**estimator_params)

    def set_params(self, **params):
        return self.estimator.set_params(**params)

    def get_params(self, **params):
        return self.estimator.get_params()

    def fit(self, X, y):
        x_train, x_val, y_train, y_val = train_test_split(X, y, test_size=self.test_size)
        self.estimator.fit(x_train, y_train, 
                           early_stopping_rounds=self.early_stopping_rounds, 
                           eval_metric=self.eval_metric, eval_set=[(x_val, y_val)])
        return self

    def predict(self, X):
        return self.estimator.predict(X)

class XGBoostRegressorWithEarlyStop(XGBoostWithEarlyStop):
    def __init__(self, *args, **kwargs):
        self.estimator = XGBRegressor()
        super(XGBoostRegressorWithEarlyStop, self).__init__(*args, **kwargs)

class XGBoostClassifierWithEarlyStop(XGBoostWithEarlyStop):
    def __init__(self, *args, **kwargs):
        self.estimator = XGBClassifier()
        super(XGBoostClassifierWithEarlyStop, self).__init__(*args, **kwargs)

如果向开发人员请求功能请求，最简单的扩展是允许from sklearn.datasets import load_diabetes from sklearn.pipeline import Pipeline from sklearn.decomposition import PCA from sklearn.model_selection import GridSearchCV x, y = load_diabetes(return_X_y=True) print(x.shape, y.shape) # (442, 10) (442,) pipe = Pipeline([ ('pca', PCA(5)), ('xgb', XGBoostRegressorWithEarlyStop()) ]) param_grid = { 'pca__n_components': [3, 5, 7], 'xgb__n_estimators': [10, 20, 30, 50] } grid = GridSearchCV(pipe, param_grid, scoring='neg_mean_absolute_error') grid.fit(x, y) print(grid.best_params_)在未提供时在内部创建评估集。这样，无需扩展scikit-learn（我想）。

在sklearn管道中使用GridSearchCV，Scaling，PCA和Early-Stopping进行XGBoost

1 个答案: