本文仿照知乎一位大神的文章，基于理解的基础上，修改了部分代码~感谢前辈的分享~
参考文献：
https://zhuanlan.zhihu.com/p/56864235
原始数据来源：
https://www.kesci.com/home/competition/56cd5f02b89b5bd026cb39c9/content/1
数据集构成：
三万条已知标签的训练集，二万条不知标签的测试集
训练集和测试集均有三种表：
Master（主要的特征表），Log_Info（用户登陆信息表）,Userupdate_Info（客户信息修改更新表）
（1）
- Master
每一行代表一个样本（一笔成功成交借款），每个样本包含200多个各类字段。
idx：每一笔贷款的unique key，可以与另外2个文件里的idx相匹配。
UserInfo_*：借款人特征字段
WeblogInfo_*：Info网络行为字段
Education_Info*：学历学籍字段
ThirdParty_Info_PeriodN_*：第三方数据时间段N字段
SocialNetwork_*：社交网络字段
LinstingInfo：借款成交时间
Target：违约标签（1 = 贷款违约，0 = 正常还款）。
测试集里不包含target字段。
（2）
- Log_Info
借款人的登陆信息。
ListingInfo：借款成交时间
LogInfo1：操作代码
LogInfo2：操作类别
LogInfo3：登陆时间
idx：每一笔贷款的unique key
（3）
- Userupdate_Info
借款人修改信息
ListingInfo1：借款成交时间
UserupdateInfo1：修改内容
UserupdateInfo2：修改时间
idx：每一笔贷款的unique key
本文大体的步骤是：
1）训练数据和测试数据的合并（为了一起对特征进行处理）
2）分类型变量的清洗
3）基于一些分类型变量和其他表数据（登陆信息表、修改信息表）的特征衍生
4）数值型变量不做处理，缺失值不填充，因为lightgbm可以自行处理缺失值
5）最后对特征工程后的数据集进行特征筛选
6）筛选完后进行建模预测
7）通过调整lightgbm的参数，来提高模型的精度
代码如下：
import numpy as np
import pandas as pd
import warnings
import matplotlib.pyplot as plt
import seaborn as sns
import os
# os.chdir()用于改变当前工作目录到指定路径
os.chdir("D:\Py_Data\拍拍贷“魔镜杯”风控初赛数据")
######################################数据的合并#########################################
# 训练集
train_LogInfo = pd.read_csv('.\Training Set\PPD_LogInfo_3_1_Training_Set.csv',encoding='gbk')
train_Master = pd.read_csv('.\Training Set\PPD_Training_Master_GBK_3_1_Training_Set.csv',encoding='gbk')
train_Userupdate = pd.read_csv('.\Training Set\PPD_Userupdate_Info_3_1_Training_Set.csv',encoding='gbk')
# 测试集
test_LogInfo = pd.read_csv('.\Test Set\PPD_LogInfo_2_Test_Set.csv',encoding='gbk')
test_Master = pd.read_csv('.\Test Set\PPD_Master_GBK_2_Test_Set.csv',encoding='gb18030')
test_Userupdate = pd.read_csv('.\Test Set\PPD_Userupdate_Info_2_Test_Set.csv',encoding='gbk')
# 合并时用于标记哪些样本来自训练集和测试集
train_Master['sample_status']='train'
test_Master['sample_status']='test'
# 训练集和测试集的合并(axis=0,增加行）
df_Master = pd.concat([train_Master,test_Master],axis=0).reset_index(drop=True)
df_LogInfo=pd.concat([train_LogInfo,test_LogInfo],axis=0).reset_index(drop=True)
df_Userupdate=pd.concat([train_Userupdate,test_Userupdate],axis=0).reset_index(drop=True)
df_Master.to_csv("D:\Py_Data\拍拍贷“魔镜杯”风控初赛数据\df_Master.csv",encoding='gb18030',index=False)
df_LogInfo.to_csv("D:\Py_Data\拍拍贷“魔镜杯”风控初赛数据\df_LogInfo.csv",encoding='gb18030',index=False)
df_Userupdate.to_csv("D:\Py_Data\拍拍贷“魔镜杯”风控初赛数据\df_Userupdate.csv",encoding='gb18030',index=False)
#####################################数据的探索行分析#####################################
# 导入合并后的数据
df_Master = pd.read_csv('df_Master.csv',encoding='gb18030')
df_LogInfo = pd.read_csv('df_LogInfo.csv',encoding='gb18030')
df_Userupdate = pd.read_csv('df_Userupdate.csv',encoding='gb18030')
# 定义显示形式
pd.set_option("display.max_columns",len(train_Master.columns))
df_Master.head(20)
# 可以看到的是，数据主要分为：
# 教育信息、第三方信息、社交网络信息、用户信息、网络博客信息、目标标签（target)和sample_status(自定义，用于区分数据来源于测试/训练集)
# 察看训练集中好坏样本比例，1为坏样本
df_Master.target.value_counts()
# 每个个体都是独一的
len(np.unique(df_Master.Idx))
#######################################（1）缺失值处理###################################
# 原始中大量的缺失值用-1标识，我们将其替换成np.nan
df_Master = df_Master.replace({-1:np.nan})
df_Master.head(15)
# 缺失值的可视化——白色越多，代表变量缺失越多
import missingno as msno
%matplotlib inline
msno.bar(df_Master)
# 缺失占比超过80%的变量列表
missing_columns=[]
for column in df_Master.columns:
if sum(pd.isnull(df_Master[column]))/len(df_Master)>=0.8:
missing_columns.append(column)
print(len(missing_columns))
print(missing_columns)
# 筛掉缺失大于80%的变量
df_Master = df_Master.loc[:,list(~df_Master.columns.isin(missing_columns))]
df_Master.shape
# 再来看样本的特征缺失（行缺失）
# 对于某个样本，特征缺失大于100
missing_index=[]
for i in np.arange(df_Master.shape[0]):
if list(df_Master.loc[i,:].isnull()).count(True)>100:
missing_index.append(i)
print(missing_index)
# 删除特征缺失超过100的行
df_Master = df_Master.drop(missing_index).reset_index(drop=True)
df_Master.shape
# 单变量占比分析
print("原变量总数：",'\n',len(df_Master.columns))
cols = [col for col in df_Master.columns if col not in ('target','sample_status')]
print("排除目标标签和标记训练集和测试集来源的变量总数：",'\n',len(cols))
# 某个变量的某个取值占比超过90%，说明信息含量低，可以删除
drop_cols_simple=[]
for col in cols:
if max(df_Master[col].value_counts())/len(df_Master)>0.9:
drop_cols_simple.append(col)
print(drop_cols_simple)
print(len(drop_cols_simple))
df_Master = df_Master.drop(drop_cols_simple,axis=1)
df_Master.shape
df_Master = df_Master.reset_index(drop=True)
# 剩下的变量的类型
df_Master.dtypes.value_counts()
objectcol = df_Master.select_dtypes(include=["object"]).columns
numcol = df_Master.select_dtypes(include=[np.float64]).columns
# 分类型变量只有12个，我们来看一下这些变量有什么规律
df_Master[objectcol]
# 可以看到的是
# 表示省份的有
# UserInfo_19和UserInfo_7
# 表示城市的有
# UserInfo_2,UserInfo_20,UserInfo_4,UserInfo_8
city_feature = ['UserInfo_2','UserInfo_20','UserInfo_4','UserInfo_8']
province_feature=['UserInfo_7','UserInfo_19']
print("城市特征：")
for col in city_feature:
print(col,":",df_Master[col].nunique())
print('\n')
print("省份特征：")
for col in province_feature:
print(col,":",df_Master[col].nunique())
print(df_Master.UserInfo_8.unique()[:50])
# 可以看到，同一个城市表达不一
# 去掉字段中的“市”，保持统一
df_Master['UserInfo_8'] = [a[:-1] if a.find('市')!= -1 else a[:] for a in df_Master['UserInfo_8']]
# 清理后非重复计数减小
df_Master['UserInfo_8'].nunique()
# 再来看看数值型变量
df_Master[numcol].head(20)
# 这里我们不对数值变量进行缺失值插值或者填充，直接用于后期建模
# 再来看看其他的表——该表显示了客户修改信息的日志
df_Userupdate
# 将上表的大小写进行统一
df_Userupdate['UserupdateInfo1'] = df_Userupdate.UserupdateInfo1.map(lambda s:s.lower())
######################################特征工程阶段#######################################
# 至此，我们进入特征处理阶段
# 首先对类别变量进行变换
df_Master[objectcol]
# 1)省份特征————————推测可能一个是籍贯省份，一个是居住省份
# 首先看看各省份好坏样本的分布占比
def get_badrate(df,col):
'''
根据某个变量计算违约率
'''
group = df.groupby(col)
df=pd.DataFrame()
df['total'] = group.target.count()
df['bad'] = group.target.sum()
df['badrate'] = round(df['bad']/df['total'],4)*100 # 百分比形式
return df.sort_values('badrate',ascending=False)
# 户籍省份的违约率计算
province_original = get_badrate(df_Master,'UserInfo_19')
province_original 
# 居住地省份的违约率计算
province_current = get_badrate(df_Master,'UserInfo_7')
province_current 
# 各取前5名的省份进行二值化
province_original.iloc[:5,]
province_current.iloc[:5,]
# 分别对户籍省份和居住省份排名前五的省份进行二值化
# 户籍省份的二值化
df_Master['is_tianjin_UserInfo_19']=df_Master.apply(lambda x:1 if x.UserInfo_19=='天津市' else 0,axis=1)
df_Master['is_shandong_UserInfo_19']=df_Master.apply(lambda x:1 if x.UserInfo_19=='山东省' else 0,axis=1)
df_Master['is_jilin_UserInfo_19']=df_Master.apply(lambda x:1 if x.UserInfo_19=='吉林省' else 0,axis=1)
df_Master['is_heilongjiang_UserInfo_19']=df_Master.apply(lambda x:1 if x.UserInfo_19=='黑龙江省' else 0,axis=1)
df_Master['is_hunan_UserInfo_19']=df_Master.apply(lambda x:1 if x.UserInfo_19=='湖南省' else 0,axis=1)
# 居住省份的二值化
df_Master['is_tianjin_UserInfo_7']=df_Master.apply(lambda x:1 if x.UserInfo_7=='天津' else 0,axis=1)
df_Master['is_shandong_UserInfo_7']=df_Master.apply(lambda x:1 if x.UserInfo_7=='山东' else 0,axis=1)
df_Master['is_sichuan_UserInfo_7']=df_Master.apply(lambda x:1 if x.UserInfo_7=='四川' else 0,axis=1)
df_Master['is_hainan_UserInfo_7']=df_Master.apply(lambda x:1 if x.UserInfo_7=='海南' else 0,axis=1)
df_Master['is_hunan_UserInfo_7']=df_Master.apply(lambda x:1 if x.UserInfo_7=='湖南' else 0,axis=1)
# 户籍省份和居住地省份不一致的特征衍生
print(df_Master.UserInfo_19.unique())
print('\n')
print(df_Master.UserInfo_7.unique())
# 首先将两者改成相同的形式
UserInfo_19_change = []
for i in df_Master.UserInfo_19:
if i in ('内蒙古自治区','黑龙江省'):
j = i[:3]
else:
j = i[:2]
UserInfo_19_change.append(j)
print(np.unique(UserInfo_19_change))
# 判断UserInfo_7和UserInfo_19是否一致
is_same_province=[]
for i,j in zip(df_Master.UserInfo_7,UserInfo_19_change):
if i==j:
a=1
else:
a=0
is_same_province.append(a)
df_Master['is_same_province'] = is_same_province
# 2)城市特征
# 原数据中有四个城市特征,推测为用户常登陆的IP地址城市
# 特征衍生思路:
# 一,通过xgboost挑选重要的城市,进行二值化
# 二,由四个城市特征的非重复计数衍生生成登陆IP地址的变更次数
# 根据xgboost变量重要性的输出对城市作二值化衍生
df_Master_temp = df_Master[['UserInfo_2','UserInfo_4','UserInfo_8','UserInfo_20','target']]
df_Master_temp.head()
area_list=[]
# 将四个城市特征都进行哑变量处理
for col in df_Master_temp:
dummy_df = pd.get_dummies(df_Master_temp[col])
dummy_df = pd.concat([dummy_df,df_Master_temp['target']],axis=1)
area_list.append(dummy_df)
df_area1 = area_list[0]
df_area2 = area_list[1]
df_area3 = area_list[2]
df_area4 = area_list[3]
df_area1
# 使用xgboost筛选出重要的城市
from xgboost.sklearn import XGBClassifier
from xgboost import plot_importance
# 注意,这里需要把合并后的没有目标标签的行数据删除
# df_area1[~(df_area1['target'].isnull())]
x_area1 = df_area1[~(df_area1['target'].isnull())].drop(['target'],axis=1)
y_area1 = df_area1[~(df_area1['target'].isnull())]['target']
x_area2 = df_area2[~(df_area2['target'].isnull())].drop(['target'],axis=1)
y_area2 = df_area2[~(df_area2['target'].isnull())]['target']
x_area3 = df_area3[~(df_area3['target'].isnull())].drop(['target'],axis=1)
y_area3 = df_area3[~(df_area3['target'].isnull())]['target']
x_area4 = df_area4[~(df_area4['target'].isnull())].drop(['target'],axis=1)
y_area4 = df_area4[~(df_area4['target'].isnull())]['target']
xg_area1 = XGBClassifier(random_state=0).fit(x_area1,y_area1)
xg_area2 = XGBClassifier(random_state=0).fit(x_area2,y_area2)
xg_area3 = XGBClassifier(random_state=0).fit(x_area3,y_area3)
xg_area4 = XGBClassifier(random_state=0).fit(x_area4,y_area4)
plt.rcParams['font.sans-serif'] = ['Microsoft YaHei']
fig = plt.figure(figsize=(20,8))
ax1 = fig.add_subplot(2,2,1)
ax2 = fig.add_subplot(2,2,2)
ax3 = fig.add_subplot(2,2,3)
ax4 = fig.add_subplot(2,2,4)
plot_importance(xg_area1,ax=ax1,max_num_features=10,height=0.4)
plot_importance(xg_area2,ax=ax2,max_num_features=10,height=0.4)
plot_importance(xg_area3,ax=ax3,max_num_features=10,height=0.4)
plot_importance(xg_area4,ax=ax4,max_num_features=10,height=0.4)
# 将特征重要性排名前三的城市进行二值化：
df_Master['is_zibo_UserInfo_2'] = df_Master.apply(lambda x:1 if x.UserInfo_2=='淄博' else 0,axis=1)
df_Master['is_chengdu_UserInfo_2'] = df_Master.apply(lambda x:1 if x.UserInfo_2=='成都' else 0,axis=1)
df_Master['is_yantai_UserInfo_2'] = df_Master.apply(lambda x:1 if x.UserInfo_2=='烟台' else 0,axis=1)
df_Master['is_zibo_UserInfo_4'] = df_Master.apply(lambda x:1 if x.UserInfo_4=='淄博' else 0,axis=1)
df_Master['is_qingdao_UserInfo_4'] = df_Master.apply(lambda x:1 if x.UserInfo_4=='青岛' else 0,axis=1)
df_Master['is_shantou_UserInfo_4'] = df_Master.apply(lambda x:1 if x.UserInfo_4=='汕头' else 0,axis=1)
df_Master['is_zibo_UserInfo_8'] = df_Master.apply(lambda x:1 if x.UserInfo_8=='淄博' else 0,axis=1)
df_Master['is_chengdu_UserInfo_8'] = df_Master.apply(lambda x:1 if x.UserInfo_8=='成都' else 0,axis=1)
df_Master['is_heze_UserInfo_8'] = df_Master.apply(lambda x:1 if x.UserInfo_8=='菏泽' else 0,axis=1)
df_Master['is_ziboshi_UserInfo_20'] = df_Master.apply(lambda x:1 if x.UserInfo_20=='淄博市' else 0,axis=1)
df_Master['is_chengdushi_UserInfo_20'] = df_Master.apply(lambda x:1 if x.UserInfo_20=='成都市' else 0,axis=1)
df_Master['is_sanmenxiashi_UserInfo_20'] = df_Master.apply(lambda x:1 if x.UserInfo_20=='三门峡市' else 0,axis=1)
#特征衍生-IP地址变更次数特征
df_Master['UserInfo_20'] = [a[:-1] if a.find('市')!= -1 else i[:] for a in df_Master.UserInfo_20]
city_df = df_Master[['UserInfo_2','UserInfo_4','UserInfo_8','UserInfo_20']]
city_change_cnt =[]
for i in range(city_df.shape[0]):
a = list(city_df.iloc[i])
city_count = len(set(a))
city_change_cnt.append(city_count)
df_Master['city_count_cnt'] = city_change_cnt
# 3)运营商种类少,直接将其转换成哑变量
print(df_Master.UserInfo_9.value_counts())
print(set(df_Master.UserInfo_9))
df_Master['UserInfo_9'] = df_Master.UserInfo_9.replace({'中国联通 ':'china_unicom',
'中国联通':'china_unicom',
'中国移动':'china_mobile',
'中国移动 ':'china_mobile',
'中国电信':'china_telecom',
'中国电信 ':'china_telecom',
'不详':'operator_unknown'
})
operator_dummy = pd.get_dummies(df_Master.UserInfo_9)
df_Master = pd.concat([df_Master,operator_dummy],axis=1)
# 删除原变量
df_Master = df_Master.drop(['UserInfo_9'],axis=1)
df_Master = df_Master.drop(['UserInfo_19','UserInfo_2','UserInfo_4','UserInfo_7','UserInfo_8','UserInfo_20'],axis=1)
# 看看还剩下哪些类型变量要处理
df_Master.dtypes.value_counts()
df_Master.select_dtypes(include='object')
# 可以看到,我们要将这些weibo变量进行处理
# 4) 微博特征
for col in ['WeblogInfo_19','WeblogInfo_20','WeblogInfo_21']:
df_Master[col].replace({'nan':np.nan}) # 将字符型的nan,利用众数填充
df_Master[col] = df_Master[col].fillna(df_Master[col].mode()[0])
# 看看这些变量有几种类型的值
for col in ['WeblogInfo_19','WeblogInfo_20','WeblogInfo_21']:
print(df_Master[col].value_counts())
print('\n')
# 这里我们猜测WeblogInfo_20是WeblogInfo_19和21的更细化表达,这里直接删除该变量
# 对其他变量进行哑变量处理
df_Master['WeblogInfo_19'] = ['WeblogInfo_19'+ i for i in df_Master.WeblogInfo_19]
df_Master['WeblogInfo_21'] = ['WeblogInfo_21'+ i for i in df_Master.WeblogInfo_21]
for col in ['WeblogInfo_19','WeblogInfo_21']:
weibo_dummy = pd.get_dummies(df_Master[col])
df_Master = pd.concat([df_Master,weibo_dummy],axis=1)
# 删除原变量
df_Master = df_Master.drop(['WeblogInfo_19','WeblogInfo_21','WeblogInfo_20'],axis=1)
# 至此,类别变量处理完毕
df_Master.dtypes.value_counts()# 我们来看看借款的成交时间趋势
# 首先将字符型的日期转换成时间戳形式
import datetime
from datetime import datetime
df_Master['ListingInfo'] = pd.to_datetime(df_Master.ListingInfo)
df_Master["Month"] = df_Master.ListingInfo.apply(lambda x:datetime.strftime(x,"%Y-%m"))
plt.figure(figsize=(20,4))
plt.title("借款成功的时间趋势变化")
plt.rcParams['font.sans-serif']=['Microsoft YaHei']
sns.countplot(data=df_Master.sort_values('Month'),x='Month')
plt.show()
# 也可以看看违约率的月变化趋势
month_group = df_Master.groupby('Month')
df_badrate_month = pd.DataFrame()
df_badrate_month['total'] = month_group.target.count()
df_badrate_month['bad'] = month_group.target.sum()
df_badrate_month['badrate'] = df_badrate_month['bad']/df_badrate_month['total']
df_badrate_month=df_badrate_month.reset_index()
plt.figure(figsize=(12,4))
plt.title('违约率的时间趋势图')
sns.pointplot(data=df_badrate_month,x='Month',y='badrate',linestyles='-')
plt.show()
# 注:空值的部分代表的是预测样本
# 我们不对数值型变量的缺失值做处理
df_Master = df_Master.drop('Month',axis=1)
# LogInfo表
df_LogInfo
# 衍生的变量有
# 1)累计登陆次数
# 2)登陆时间的平均间隔
# 3)最近一次的登陆时间距离成交时间差
# 1)累计登陆次数
log_cnt = df_LogInfo.groupby('Idx',as_index=False).LogInfo3.count().rename(
columns={'LogInfo3':'log_cnt'})
log_cnt.head(10)
# 2)最近一次的登陆时间距离成交时间差
# 最近一次的登录时间距离当前时间差
df_LogInfo['Listinginfo1']=pd.to_datetime(df_LogInfo.Listinginfo1)
df_LogInfo['LogInfo3'] = pd.to_datetime(df_LogInfo.LogInfo3)
time_log_span = df_LogInfo.groupby('Idx',as_index=False).agg({'Listinginfo1':np.max,
'LogInfo3':np.max})
time_log_span.head()
time_log_span['log_timespan'] = time_log_span['Listinginfo1']-time_log_span['LogInfo3']
time_log_span['log_timespan'] = time_log_span['log_timespan'].map(lambda x:str(x))
time_log_span['log_timespan'] = time_log_span['log_timespan'].map(lambda x:int(x[:x.find('d')]))
time_log_span= time_log_span[['Idx','log_timespan']]
time_log_span.head()
# 3)登陆时间的平均时间间隔
df_temp_timeinterval = df_LogInfo.sort_values(by=['Idx','LogInfo3'],ascending=['True','True'])
df_temp_timeinterval['LogInfo4'] = df_temp_timeinterval.groupby('Idx')['LogInfo3'].apply(lambda x:x.shift(1))
df_temp_timeinterval
df_temp_timeinterval['time_span'] = df_temp_timeinterval['LogInfo3'] - df_temp_timeinterval['LogInfo4']
df_temp_timeinterval['time_span'] = df_temp_timeinterval['time_span'] .map(lambda x:str(x))
df_temp_timeinterval['time_span'] = df_temp_timeinterval['time_span'].replace({'NaT':'0 days 00:00:00'})
df_temp_timeinterval['time_span'] = df_temp_timeinterval['time_span'].map(lambda x:int(x[:x.find('d')]))
df_temp_timeinterval
avg_log_timespan = df_temp_timeinterval.groupby('Idx',as_index=False).time_span.mean().rename(columns={'time_span':'avg_log_timespan'})
log_info = pd.merge(log_cnt,time_log_span,how='left',on='Idx')
log_info = pd.merge(log_info,avg_log_timespan,how='left',on='Idx')
log_info.head()
log_info.to_csv('D:\Py_Data\拍拍贷“魔镜杯”风控初赛数据\log_info_feature.csv',encoding='gbk',index=False)
# 修改信息表
# 衍生变量:
# 1)最近的修改时间距离成交时间差;
# 2)修改信息总次数
# 3)每种信息修改的次数
# 4)按照日期修改的次数
# 1)最近的修改时间距离成交时间差;
df_Userupdate['ListingInfo1']=pd.to_datetime(df_Userupdate['ListingInfo1'])
df_Userupdate['UserupdateInfo2']=pd.to_datetime(df_Userupdate['UserupdateInfo2'])
time_span = df_Userupdate.groupby('Idx',as_index=False).agg({'UserupdateInfo2':np.max,'ListingInfo1':np.max})
time_span['update_timespan'] = time_span['ListingInfo1']-time_span['UserupdateInfo2']
time_span['update_timespan'] = time_span['update_timespan'].map(lambda x:str(x))
time_span['update_timespan'] = time_span['update_timespan'].map(lambda x:int(x[:x.find('d')]))
time_span = time_span[['Idx','update_timespan']]
# 2）计算每个用户修改不同类别信息的次数
group = df_Userupdate.groupby(['Idx','UserupdateInfo1'],as_index=False).agg({'UserupdateInfo2':pd.Series.nunique})
# 3）每种信息修改的次数的衍生
user_df_list=[]
for idx in group.Idx.unique():
user_df = group[group.Idx==idx]
change_cate = list(user_df.UserupdateInfo1)
change_cnt = list(user_df.UserupdateInfo2)
user_col = ['Idx']+change_cate
user_value = [user_df.iloc[0]['Idx']]+change_cnt
user_df2 = pd.DataFrame(np.array(user_value).reshape(1,len(user_value)),columns=user_col)
user_df_list.append(user_df2)
cate_change_df = pd.concat(user_df_list,axis=0)
cate_change_df.head()
# 将cate_change_df里的空值填为0
cate_change_df = cate_change_df.fillna(0)
cate_change_df.shape
df_Userupdate
# 4）修改信息的总次数，按照日期修改的次数的衍生
update_cnt = df_Userupdate.groupby('Idx',as_index=False).agg({'UserupdateInfo2':pd.Series.nunique,
'ListingInfo1':pd.Series.count}).\
rename(columns={'UserupdateInfo2':'update_time_cnt',
'ListingInfo1':'update_all_cnt'})
update_cnt.head()
# 将三个衍生特征的临时表进行关联
update_info = pd.merge(time_span,cate_change_df,on='Idx',how='left')
update_info = pd.merge(update_info,update_cnt,on='Idx',how='left')
update_info.head()
# 保存数据至本地
update_info.to_csv(r'D:\Py_Data\拍拍贷“魔镜杯”风控初赛数据\update_feature.csv',encoding='gbk',index=False)
df_Master.to_csv(r'D:\Py_Data\拍拍贷“魔镜杯”风控初赛数据\df_Master_tackled.csv',encoding='gbk',index=False)# 合并三个表的数据
df_Master_tackled= pd.read_csv('df_Master_tackled.csv',encoding='gbk')
df_LogInfo_tackled = pd.read_csv('log_info_feature.csv',encoding='gbk')
df_Userupdate_tackled = pd.read_csv('update_feature.csv',encoding='gbk')
df_final = pd.merge(df_Master_tackled,df_LogInfo_tackled,on='Idx',how='left')
df_final = pd.merge(df_final,df_Userupdate_tackled,on='Idx',how='left')
df_final.shape#########################################特征筛选#######################################
# 用lightGBM筛选特征,
# 这里训练10个模型,并对10个模型输出的特征重要性取平均,最后对特征重要性的值进行归一化
# 以上将训练集和测试集合并是为了处理特征,现在再将两者划分开,用于模型训练
# 将三万训练集划分成训练集和测试集,没有目标标签的2万样本作为预测集
from sklearn.model_selection import train_test_split
X_train,X_test, y_train, y_test = train_test_split(df_final[df_final.sample_status=='train'].drop(['Idx','sample_status','target','ListingInfo'],axis=1),
df_final[df_final.sample_status=='train']['target'],
test_size=0.3,
random_state=0)
train_fea = np.array(X_train)
test_fea = np.array(X_test)
evaluate_fea = np.array(df_final[df_final.sample_status=='test'].drop(['Idx','sample_status','target','ListingInfo'],axis=1))
# # reshape(-1,1转成一列
train_label = np.array(y_train).reshape(-1,1)
test_label = np.array(y_test).reshape(-1,1)
evaluate_label = np.array(df_final[df_final.sample_status=='test']['target']).reshape(-1,1)
fea_names = list(X_train.columns)
feature_importance_values = np.zeros(len(fea_names))
# 训练10个lightgbm，并对10个模型输出的feature_importances_取平均
import lightgbm as lgb
from lightgbm import plot_importance
for i in np.arange(10):
model = lgb.LGBMClassifier(n_estimators=1000,
learning_rate=0.05,
n_jobs=-1,
verbose=-1)
model.fit(train_fea,train_label,
eval_metric='auc',
eval_set = [(test_fea, test_label)],
early_stopping_rounds=100,
verbose = -1)
feature_importance_values += model.feature_importances_/10
# 将feature_importance_values存成临时表
fea_imp_df1 = pd.DataFrame({'feature':fea_names,
'fea_importance':feature_importance_values})
fea_imp_df1 = fea_imp_df1.sort_values('fea_importance',ascending=False).reset_index(drop=True)
fea_imp_df1['norm_importance'] = fea_imp_df1['fea_importance']/fea_imp_df1['fea_importance'].sum() # 特征重要性value的归一化
fea_imp_df1['cum_importance'] = np.cumsum(fea_imp_df1['norm_importance'])# 特征重要性value的累加值
fea_imp_df1
# 特征重要性可视化
plt.figure(figsize=(16,16))
plt.rcParams['font.sans-serif']=['Microsoft YaHei']
plt.subplot(3,1,1)
plt.title('特征重要性')
sns.barplot(data=fea_imp_df1.iloc[:10,:],x='norm_importance',y='feature')
plt.subplot(3,1,2)
plt.title('特征重要性累加图')
plt.xlabel('特征个数')
plt.ylabel('cum_importance')
plt.plot(list(range(1, len(fea_names)+1)),fea_imp_df1['cum_importance'], 'r-')
plt.subplot(3,1,3)
plt.title('各个特征的归一化得分')
plt.xlabel('特征')
plt.ylabel('norm_importance')
plt.plot(fea_imp_df1.feature,fea_imp_df1['norm_importance'], 'b*-')
plt.show()
# 剔除特征重要性为0的变量
zero_imp_col = list(fea_imp_df1[fea_imp_df1.fea_importance==0].feature)
fea_imp_df11 = fea_imp_df1[~(fea_imp_df1.feature.isin(zero_imp_col))]
print('特征重要性为0的变量个数为 ：{}'.format(len(zero_imp_col)))
print(zero_imp_col)# 剔除特征重要性比较弱的变量
low_imp_col = list(fea_imp_df11[fea_imp_df11.cum_importance>=0.99].feature)
print('特征重要性比较弱的变量个数为：{}'.format(len(low_imp_col)))
print(low_imp_col)
# 删除特征重要性为0和比较弱的特征
drop_imp_col = zero_imp_col+low_imp_col
mydf_final_fea_selected = df_final.drop(drop_imp_col,axis=1)
mydf_final_fea_selected.shape
# (49701, 160)
mydf_final_fea_selected.to_csv(
r'D:\Py_Data\拍拍贷“魔镜杯”风控初赛数据\mydf_final_fea_selected.csv',encoding='gbk',index=False)
##############################################建模######################################
# 筛选完特征后,再将该数据集切分成训练集和测试集,并通过调参提高精度,然后使用精度最高的模型预测2万个样本的标签
# 导入数据.用于建模
df = pd.read_csv('mydf_final_fea_selected.csv',encoding='gbk')
x_data = df[df.sample_status=='train'].drop(['Idx','sample_status','target','ListingInfo'],axis=1)
y_data = df[df.sample_status=='train']['target']
# 划分训练集和测试集
x_train,x_test, y_train, y_test = train_test_split(x_data,
y_data,
test_size=0.2)
# 训练模型
lgb_sklearn = lgb.LGBMClassifier(random_state=0).fit(x_train,y_train)
# # 预测测试集的样本
lgb_sklearn_pre = lgb_sklearn.predict_proba(x_test)
###计算roc和auc
from sklearn.metrics import roc_curve, auc
def acu_curve(y,prob):
# y真实,
# prob预测
fpr,tpr,threshold = roc_curve(y,prob) ###计算真阳性率(真正率)和假阳性率(假正率)
roc_auc = auc(fpr,tpr) ###计算auc的值
plt.figure()
lw = 2
plt.figure(figsize=(12,10))
plt.plot(fpr, tpr, color='darkorange',
lw=lw, label='ROC curve (AUC = %0.3f)' % roc_auc) ###假正率为横坐标，真正率为纵坐标做曲线
plt.plot([0, 1], [0, 1], color='navy', lw=lw, linestyle='--')
plt.xlim([0.0, 1.0])
plt.ylim([0.0, 1.05])
plt.xlabel('False Positive Rate')
plt.ylabel('True Positive Rate')
plt.title('AUC')
plt.legend(loc="lower right")
plt.show()
acu_curve(y_test,lgb_sklearn_pre[:,1])
# 以上是sklearn版,下面是原生版本
import time
# 原生的lightgbm
lgb_train = lgb.Dataset(x_train,y_train)
lgb_test = lgb.Dataset(x_test,y_test,reference=lgb_train)
lgb_origi_params = {'boosting_type':'gbdt',
'max_depth':-1,
'num_leaves':31,
'bagging_fraction':1.0,
'feature_fraction':1.0,
'learning_rate':0.1,
'metric': 'auc'}
start = time.time()
lgb_origi = lgb.train(train_set=lgb_train,
early_stopping_rounds=10,
num_boost_round=400,
params=lgb_origi_params,
valid_sets=lgb_test)
end = time.time()
print('运行时间为{}秒'.format(round(end-start,0)))
# 原生的lightgbm的AUC
lgb_origi_pre = lgb_origi.predict(x_test)
acu_curve(y_test,lgb_origi_pre)
########################################lightgbm尝试调参#################################
# 确定最大迭代次数，学习率设为0.1
base_parmas={'boosting_type':'gbdt', # 使用的算法,还有rf,dart,goss
'learning_rate':0.1,
'num_leaves':40, # 一棵树上的叶子数,默认31
'max_depth':-1, # 树的最大深度,0：无限制
'bagging_fraction':0.8, # 每次迭代随机选取部分数据
'feature_fraction':0.8, # 每次迭代随机选取部分特征
'lambda_l1':0, # 正则化,
'lambda_l2':0,
'min_data_in_leaf':20, # 一个叶子上数据的最小数量,默认20，处理过拟合，设置较大可以避免生成一个较深的树，
'min_sum_hessian_inleaf':0.001, # 一个叶子上最小hessian和,，处理过拟合
'metric':'auc'}
cv_result = lgb.cv(train_set=lgb_train,
num_boost_round=200, # 迭代次数,默认100
early_stopping_rounds=5, # 没有提高，模型将停止训练
nfold=5,
stratified=True,
shuffle=True,
params=base_parmas,
metrics='auc',
seed=0)
print('最大的迭代次数: {}'.format(len(cv_result['auc-mean'])))
print('交叉验证的AUC: {}'.format(max(cv_result['auc-mean'])))
# 输出
# 最大的迭代次数: 28
# 交叉验证的AUC: 0.7136171096752256# num_leaves ，步长设为5
from sklearn.model_selection import GridSearchCV
from sklearn.model_selection import cross_val_score
from sklearn.model_selection import StratifiedKFold
param_find1 = {'num_leaves':range(10,50,5)}
cv_fold = StratifiedKFold(n_splits=5,random_state=0,shuffle=True)
start = time.time()
grid_search1 = GridSearchCV(estimator=lgb.LGBMClassifier(learning_rate=0.1,
n_estimators = 28,
max_depth=-1,
min_child_weight=0.001,
min_child_samples=20,
subsample=0.8,
colsample_bytree=0.8,
reg_lambda=0,
reg_alpha=0),
cv = cv_fold,
n_jobs=-1,
param_grid = param_find1,
scoring='roc_auc')
grid_search1.fit(x_train,y_train)
end = time.time()
print('运行时间为:{}'.format(round(end-start,0)))
print(grid_search1.get_params)
print('\t')
print(grid_search1.best_params_)
print('\t')
print(grid_search1.best_score_)
grid_search1.get_params
# num_leaves,步长为1
param_find2 = {'num_leaves':range(40,50,1)}
grid_search2 = GridSearchCV(estimator=lgb.LGBMClassifier(n_estimators=28,
learning_rate=0.1,
min_child_weight=0.001,
min_child_samples=20,
subsample=0.8,
colsample_bytree=0.8,
reg_lambda=0,
reg_alpha=0
),
cv=cv_fold,
n_jobs=-1,
scoring='roc_auc',
param_grid = param_find2)
grid_search2.fit(x_train,y_train)
print(grid_search2.get_params)
print('\t')
print(grid_search2.best_params_)
print('\t')
print(grid_search2.best_score_)
# 确定num_leaves 为41 ，下面进行min_child_samples 和 min_child_weight的调参，设定步长为5
param_find3 = {'min_child_samples':range(15,35,5),
'min_child_weight':[x/1000 for x in range(1,4,1)]}
grid_search3 = GridSearchCV(estimator=lgb.LGBMClassifier(estimator=28,
learning_rate=0.1,
num_leaves=41,
subsample=0.8,
colsample_bytree=0.8,
reg_lambda=0,
reg_alpha=0
),
cv=cv_fold,
scoring='roc_auc',
param_grid = param_find3,
n_jobs=-1)
start = time.time()
grid_search3.fit(x_train,y_train)
end = time.time()
print('运行时间:{} 秒'.format(round(end-start,0)))
print(grid_search3.get_params)
print('\t')
print(grid_search3.best_params_)
print('\t')
print(grid_search3.best_score_)
# 确定min_child_weight为0.001，min_child_samples为20,下面对subsample和colsample_bytree进行调参
param_find4 = {'subsample':[x/10 for x in range(5,11,1)],
'colsample_bytree':[x/10 for x in range(5,11,1)]}
grid_search4 = GridSearchCV(estimator=lgb.LGBMClassifier(estimator=28,
learning_rate=0.1,
min_child_samples=20,
min_child_weight=0.001,
num_leaves=41,
reg_lambda=0,
reg_alpha=0
),
cv=cv_fold,
scoring='roc_auc',
param_grid = param_find4,
n_jobs=-1)
start = time.time()
grid_search4.fit(x_train,y_train)
end = time.time()
print('运行时间:{} 秒'.format(round(end-start,0)))
print(grid_search4.get_params)
print('\t')
print(grid_search4.best_params_)
print('\t')
print(grid_search4.best_score_)
# 再调整reg_lambda和reg_alpha
param_find5 = {'reg_lambda':[0.001,0.01,0.03,0.08,0.1,0.3],
'reg_alpha':[0.001,0.01,0.03,0.08,0.1,0.3]}
grid_search5 = GridSearchCV(estimator=lgb.LGBMClassifier(estimator=28,
learning_rate=0.1,
min_child_samples=20,
min_child_weight=0.001,
num_leaves=41,
subsample= 0.5,
colsample_bytree=0.8
),
cv=cv_fold,
scoring='roc_auc',
param_grid = param_find5,
n_jobs=-1)
start = time.time()
grid_search5.fit(x_train,y_train)
end = time.time()
print('运行时间:{} 秒'.format(round(end-start,0)))
print(grid_search5.get_params)
print('\t')
print(grid_search5.best_params_)
print('\t')
print(grid_search5.best_score_)
param_find6 = {'learning_rate':[0.001,0.002,0.003,0.004,0.005,0.01,0.03,0.08,0.1,0.3，0.5]}
grid_search6 = GridSearchCV(estimator=lgb.LGBMClassifier(estimator=28,
min_child_samples=20,
min_child_weight=0.001,
num_leaves=41,
subsample= 0.5,
colsample_bytree=0.8 ,
reg_alpha=0.1,
reg_lambda=0.3
),
cv=cv_fold,
scoring='roc_auc',
param_grid = param_find6,
n_jobs=-1)
start = time.time()
grid_search6.fit(x_train,y_train)
end = time.time()
print('运行时间:{} 秒'.format(round(end-start,0)))
print(grid_search6.get_params)
print('\t')
print(grid_search6.best_params_)
print('\t')
print(grid_search6.best_score_)
# 将最佳参数再次带入cv函数
best_params = {
'boosting_type':'gbdt',
'learning_rate': 0.08,
'num_leaves':41,
'max_depth':-1,
'bagging_fraction':0.5,
'feature_fraction':0.8,
'min_data_in_leaf':20,
'min_sum_hessian_in_leaf':0.001,
'lambda_l1':0.1,
'lambda_l2':0.3,
'metric':'auc'
}
best_cv = lgb.cv(train_set=lgb_train,
early_stopping_rounds=5,
num_boost_round=200,
nfold=5,
params=best_params,
metrics='auc',
stratified=True,
shuffle=True,
seed=0)
print('最佳参数的迭代次数: {}'.format(len(best_cv['auc-mean'])))
print('交叉验证的AUC: {}'.format(max(best_cv['auc-mean'])))
# 最佳参数的迭代次数: 50
# 交叉验证的AUC: 0.7167089545162871
lgb_single_model = lgb.LGBMClassifier(n_estimators=50,
learning_rate=0.08,
min_child_weight=0.001,
min_child_samples = 20,
subsample=0.5,
colsample_bytree=0.8,
num_leaves=41,
max_depth=-1,
reg_lambda=0.3,
reg_alpha=0.1,
random_state=0)
lgb_single_model.fit(x_train,y_train)
pre = lgb_single_model.predict_proba(x_test)[:,1]
acu_curve(y_test,pre)
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