Datawhale组队学习-金融时序数据挖掘实践-Task05特征工程
# 为方面后面操作，设置全局index变量
labels = ['total_purchase_amt','total_redeem_amt']
date_indexs = ['week','year','month','weekday','day']# Load the balance data
def load_data(path: str = 'user_balance_table.csv')->pd.DataFrame:
data_balance = pd.read_csv(path)
return data_balance.reset_index(drop=True)
# add tiemstamp to dataset
def add_timestamp(data: pd.DataFrame, time_index: str = 'report_date')->pd.DataFrame:
data_balance = data.copy()
data_balance['date'] = pd.to_datetime(data_balance[time_index], format= "%Y%m%d")
data_balance['day'] = data_balance['date'].dt.day
data_balance['month'] = data_balance['date'].dt.month
data_balance['year'] = data_balance['date'].dt.year
data_balance['week'] = data_balance['date'].dt.week
data_balance['weekday'] = data_balance['date'].dt.weekday
return data_balance.reset_index(drop=True)
# total amount
def get_total_balance(data: pd.DataFrame, date: str = '2014-03-31')->pd.DataFrame:
df_tmp = data.copy()
df_tmp = df_tmp.groupby(['date'])['total_purchase_amt','total_redeem_amt'].sum()
df_tmp.reset_index(inplace=True)
return df_tmp[(df_tmp['date']>= date)].reset_index(drop=True)
# Generate the test data
def generate_test_data(data: pd.DataFrame)->pd.DataFrame:
total_balance = data.copy()
start = datetime.datetime(2014,9,1)
testdata = []
while start != datetime.datetime(2014,10,15):
temp = [start, np.nan, np.nan]
testdata.append(temp)
start += datetime.timedelta(days = 1)
testdata = pd.DataFrame(testdata)
testdata.columns = total_balance.columns
total_balance = pd.concat([total_balance, testdata], axis = 0)
total_balance = total_balance.reset_index(drop=True)
return total_balance.reset_index(drop=True)
# Load user's information
def load_user_information(path: str = 'user_profile_table.csv')->pd.DataFrame:
return pd.read_csv(path)# 读取数据集
balance_data = load_data('Data/user_balance_table.csv')
balance_data = add_timestamp(balance_data, time_index='report_date')
total_balance = get_total_balance(balance_data)
total_balance = generate_test_data(total_balance)
total_balance = add_timestamp(total_balance, 'date')
user_information = load_user_information('Data/user_profile_table.csv')特征提取
一、基于日期的静态特征
1.1 提取 is 特征
# 获取节假日集合
def get_holiday_set()->Set[datetime.date]:
holiday_set = set()
# 清明节
holiday_set = holiday_set | {datetime.date(2014,4,5), datetime.date(2014,4,6), datetime.date(2014,4,7)}
# 劳动节
holiday_set = holiday_set | {datetime.date(2014,5,1), datetime.date(2014,5,2), datetime.date(2014,5,3)}
# 端午节
holiday_set = holiday_set | {datetime.date(2014,5,31), datetime.date(2014,6,1), datetime.date(2014,6,2)}
# 中秋节
holiday_set = holiday_set | {datetime.date(2014,9,6), datetime.date(2014,9,7), datetime.date(2014,9,8)}
# 国庆节
holiday_set = holiday_set | {datetime.date(2014,10,1), datetime.date(2014,10,2), datetime.date(2014,10,3),\
datetime.date(2014,10,4), datetime.date(2014,10,5), datetime.date(2014,10,6),\
datetime.date(2014,10,7)}
# 中秋节
holiday_set = holiday_set | {datetime.date(2013,9,19), datetime.date(2013,9,20), datetime.date(2013,9,21)}
# 国庆节
holiday_set = holiday_set | {datetime.date(2013,10,1), datetime.date(2013,10,2), datetime.date(2013,10,3),\
datetime.date(2013,10,4), datetime.date(2013,10,5), datetime.date(2013,10,6),\
datetime.date(2013,10,7)}
return holiday_set# 提取所有 is特征
def extract_is_feature(data: pd.DataFrame)->pd.DataFrame:
total_balance = data.copy().reset_index(drop=True)
# 是否是Weekend
total_balance['is_weekend'] = 0
total_balance.loc[total_balance['weekday'].isin((5,6)), 'is_weekend'] = 1
# 是否是假期
total_balance['is_holiday'] = 0
total_balance.loc[total_balance['date'].isin(get_holiday_set()), 'is_holiday'] = 1
# 是否是节假日的第一天
last_day_flag = 0
total_balance['is_firstday_of_holiday'] = 0
for index, row in total_balance.iterrows():
if last_day_flag == 0 and row['is_holiday'] == 1:
total_balance.loc[index, 'is_firstday_of_holiday'] = 1
last_day_flag = row['is_holiday']
# 是否是节假日的最后一天
total_balance['is_lastday_of_holiday'] = 0
for index, row in total_balance.iterrows():
if row['is_holiday'] == 1 and total_balance.loc[index+1, 'is_holiday'] == 0:
total_balance.loc[index, 'is_lastday_of_holiday'] = 1
# 是否是节假日后的上班第一天
total_balance['is_firstday_of_work'] = 0
last_day_flag = 0
for index, row in total_balance.iterrows():
if last_day_flag == 1 and row['is_holiday'] == 0:
total_balance.loc[index, 'is_firstday_of_work'] = 1
last_day_flag = row['is_lastday_of_holiday']
# 是否不用上班
total_balance['is_work'] = 1
total_balance.loc[(total_balance['is_holiday'] == 1) | (total_balance['is_weekend'] == 1), 'is_work'] = 0
special_work_day_set = {datetime.date(2014,5,4), datetime.date(2014,9,28)}
total_balance.loc[total_balance['date'].isin(special_work_day_set), 'is_work'] = 1
# 是否明天要上班
total_balance['is_gonna_work_tomorrow'] = 0
for index, row in total_balance.iterrows():
if index == len(total_balance)-1:
break
if row['is_work'] == 0 and total_balance.loc[index+1, 'is_work'] == 1:
total_balance.loc[index, 'is_gonna_work_tomorrow'] = 1
# 昨天上班了吗
total_balance['is_worked_yestday'] = 0
for index, row in total_balance.iterrows():
if index <= 1:
continue
if total_balance.loc[index-1, 'is_work'] == 1:
total_balance.loc[index, 'is_worked_yestday'] = 1
# 是否是放假前一天
total_balance['is_lastday_of_workday'] = 0
for index, row in total_balance.iterrows():
if index == len(total_balance)-1:
break
if row['is_holiday'] == 0 and total_balance.loc[index+1, 'is_holiday'] == 1:
total_balance.loc[index, 'is_lastday_of_workday'] = 1
# 是否周日要上班
total_balance['is_work_on_sunday'] = 0
for index, row in total_balance.iterrows():
if index == len(total_balance)-1:
break
if row['weekday'] == 6 and row['is_work'] == 1:
total_balance.loc[index, 'is_work_on_sunday'] = 1
# 是否是月初第一天
total_balance['is_firstday_of_month'] = 0
total_balance.loc[total_balance['day'] == 1, 'is_firstday_of_month'] = 1
# 是否是月初第二天
total_balance['is_secday_of_month'] = 0
total_balance.loc[total_balance['day'] == 2, 'is_secday_of_month'] = 1
# 是否是月初
total_balance['is_premonth'] = 0
total_balance.loc[total_balance['day'] <= 10, 'is_premonth'] = 1
# 是否是月中
total_balance['is_midmonth'] = 0
total_balance.loc[(10 < total_balance['day']) & (total_balance['day'] <= 20), 'is_midmonth'] = 1
# 是否是月末
total_balance['is_tailmonth'] = 0
total_balance.loc[20 < total_balance['day'], 'is_tailmonth'] = 1
# 是否是每个月第一个周
total_balance['is_first_week'] = 0
total_balance.loc[total_balance['week'] % 4 == 1, 'is_first_week'] = 1
# 是否是每个月第一个周
total_balance['is_second_week'] = 0
total_balance.loc[total_balance['week'] % 4 == 2, 'is_second_week'] = 1
# 是否是每个月第一个周
total_balance['is_third_week'] = 0
total_balance.loc[total_balance['week'] % 4 == 3, 'is_third_week'] = 1
# 是否是每个月第四个周
total_balance['is_fourth_week'] = 0
total_balance.loc[total_balance['week'] % 4 == 0, 'is_fourth_week'] = 1
return total_balance.reset_index(drop=True)# 提取is特征到数据集
total_balance = extract_is_feature(total_balance)# 编码翌日特征
def encode_data(data: pd.DataFrame, feature_name:str = 'weekday', encoder=OneHotEncoder())->pd.DataFrame():
total_balance = data.copy()
week_feature = encoder.fit_transform(np.array(total_balance[feature_name]).reshape(-1, 1)).toarray()
week_feature = pd.DataFrame(week_feature,columns= [feature_name + '_onehot_'+ str(x) for x in range(len(week_feature[0]))])
#featureWeekday = pd.concat([total_balance, week_feature], axis = 1).drop(feature_name, axis=1)
featureWeekday = pd.concat([total_balance, week_feature], axis = 1)
return featureWeekday# 编码翌日特征到数据集
total_balance = encode_data(total_balance)# 生成is特征集合
feature = total_balance[[x for x in total_balance.columns if x not in date_indexs]]1.2 is特征的下标签分布分析
# 绘制箱型图
def draw_boxplot(data: pd.DataFrame)->None:
f, axes = plt.subplots(7, 4, figsize=(18, 24))
global date_indexs, labels
count = 0
for i in [x for x in data.columns if x not in date_indexs + labels + ['date']]:
sns.boxenplot(x=i, y='total_redeem_amt', data=data, ax=axes[count // 4][count % 4])
count += 1draw_boxplot(feature)## 剔除看起来较差的特征
redeem_feature_seems_useless = [
#样本量太少，建模时无效；但若确定这是一个有用规则，可以对结果做修正
'is_work_on_sunday',
#中位数差异不明显
'is_first_week'
]
1.3 IS 特征的相关性分析
# 画相关性热力图
def draw_correlation_heatmap(data: pd.DataFrame, way:str = 'pearson')->None:
feature = data.copy()
plt.figure(figsize=(20,10))
plt.title('The ' + way +' coleration between total redeem and each feature')
sns.heatmap(feature[[x for x in feature.columns if x not in ['total_redeem_amt', 'date'] ]].corr(way),linecolor='white',
linewidths=0.1,
cmap="RdBu")
draw_correlation_heatmap(feature, 'spearman')# 剔除相关性较低的特征
temp = np.abs(feature[[x for x in feature.columns
if x not in ['total_purchase_amt', 'date'] ]].corr('spearman')['total_redeem_amt'])
feature_low_correlation = list(set(temp[temp < 0.1].index))二、基于距离的特征
2.1 距离特征提取
# 提取距离特征
def extract_distance_feature(data: pd.DataFrame)->pd.DataFrame:
total_balance = data.copy()
# 距离放假还有多少天
total_balance['dis_to_nowork'] = 0
for index, row in total_balance.iterrows():
if row['is_work'] == 0:
step = 1
flag = 1
while flag:
if index - step >= 0 and total_balance.loc[index - step, 'is_work'] == 1:
total_balance.loc[index - step, 'dis_to_nowork'] = step
step += 1
else:
flag = 0
total_balance['dis_from_nowork'] = 0
step = 0
for index, row in total_balance.iterrows():
step += 1
if row['is_work'] == 1:
total_balance.loc[index, 'dis_from_nowork'] = step
else:
step = 0
# 距离上班还有多少天
total_balance['dis_to_work'] = 0
for index, row in total_balance.iterrows():
if row['is_work'] == 1:
step = 1
flag = 1
while flag:
if index - step >= 0 and total_balance.loc[index - step, 'is_work'] == 0:
total_balance.loc[index - step, 'dis_to_work'] = step
step += 1
else:
flag = 0
total_balance['dis_from_work'] = 0
step = 0
for index, row in total_balance.iterrows():
step += 1
if row['is_work'] == 0:
total_balance.loc[index, 'dis_from_work'] = step
else:
step = 0
# 距离节假日还有多少天
total_balance['dis_to_holiday'] = 0
for index, row in total_balance.iterrows():
if row['is_holiday'] == 1:
step = 1
flag = 1
while flag:
if index - step >= 0 and total_balance.loc[index - step, 'is_holiday'] == 0:
total_balance.loc[index - step, 'dis_to_holiday'] = step
step += 1
else:
flag = 0
total_balance['dis_from_holiday'] = 0
step = 0
for index, row in total_balance.iterrows():
step += 1
if row['is_holiday'] == 0:
total_balance.loc[index, 'dis_from_holiday'] = step
else:
step = 0
# 距离节假日最后一天还有多少天
total_balance['dis_to_holiendday'] = 0
for index, row in total_balance.iterrows():
if row['is_lastday_of_holiday'] == 1:
step = 1
flag = 1
while flag:
if index - step >= 0 and total_balance.loc[index - step, 'is_lastday_of_holiday'] == 0:
total_balance.loc[index - step, 'dis_to_holiendday'] = step
step += 1
else:
flag = 0
total_balance['dis_from_holiendday'] = 0
step = 0
for index, row in total_balance.iterrows():
step += 1
if row['is_lastday_of_holiday'] == 0:
total_balance.loc[index, 'dis_from_holiendday'] = step
else:
step = 0
# 距离月初第几天
total_balance['dis_from_startofmonth'] = np.abs(total_balance['day'])
# 距离月的中心点有几天
total_balance['dis_from_middleofmonth'] = np.abs(total_balance['day'] - 15)
# 距离星期的中心有几天
total_balance['dis_from_middleofweek'] = np.abs(total_balance['weekday'] - 3)
# 距离星期日有几天
total_balance['dis_from_endofweek'] = np.abs(total_balance['weekday'] - 6)
return total_balance# 拼接距离特征到原数据集
total_balance = extract_distance_feature(total_balance)2.2 距离特征分析
# 获取距离特征的列名
feature = total_balance[[x for x in total_balance.columns if x not in date_indexs]]
dis_feature_indexs = [x for x in feature.columns if (x not in date_indexs + labels + ['date']) & ('dis' in x)]# 画点线
def draw_point_feature(data: pd.DataFrame)->None:
feature = data.copy()
f, axes = plt.subplots(data.shape[1] // 3, 3, figsize=(30, data.shape[1] // 3 * 4))
count = 0
for i in [x for x in feature.columns if (x not in date_indexs + labels + ['date'])]:
sns.pointplot(x=i, y="total_redeem_amt",
markers=["^", "o"], linestyles=["-", "--"],
kind="point", data=feature, ax=axes[count // 3][count % 3] if data.shape[1] > 3 else axes[count])
count += 1draw_point_feature(feature[['total_redeem_amt'] + dis_feature_indexs])# 处理距离过远的时间点
def dis_change(x):
if x > 5:
x = 10
return x# 处理特殊距离
dis_holiday_feature = [x for x in total_balance.columns if 'dis' in x and 'holi' in x]
dis_month_feature = [x for x in total_balance.columns if 'dis' in x and 'month' in x]
total_balance[dis_holiday_feature] = total_balance[dis_holiday_feature].applymap(dis_change)
total_balance[dis_month_feature] = total_balance[dis_month_feature].applymap(dis_change)feature = total_balance[[x for x in total_balance.columns if x not in date_indexs]]# 画处理后的点线图
draw_point_feature(feature[['total_redeem_amt'] + dis_feature_indexs])## 剔除看起来用处不大的特征
redeem_feature_seems_useless += [
#即使做了处理，但方差太大，不可信，规律不明显
'dis_to_holiday',
#方差太大，不可信
'dis_from_startofmonth',
#方差太大，不可信
'dis_from_middleofmonth'
]# 画出相关性图
draw_correlation_heatmap(feature[['total_redeem_amt'] + dis_feature_indexs])# 剔除相关性较差的特征
temp = np.abs(feature[[x for x in feature.columns
if ('dis' in x) | (x in ['total_redeem_amt']) ]].corr()['total_redeem_amt'])
feature_low_correlation += list(set(temp[temp < 0.1].index) )三、波峰波谷特征
3.1 提取波峰特征
# 观察波峰特点
fig = plt.figure(figsize=(15,15))
for i in range(6, 10):
plt.subplot(5,1,i - 5)
total_balance_2 = total_balance[(total_balance['date'] >= datetime.datetime(2014,8,1)) & (total_balance['date'] < datetime.datetime(2014,9,1))]
sns.pointplot(x=total_balance_2['day'],y=total_balance_2['total_redeem_amt'])
plt.legend().set_title('Month:' + str(i))No handles with labels found to put in legend.
No handles with labels found to put in legend.
No handles with labels found to put in legend.
No handles with labels found to put in legend.
#redeem
#0401(周二) 0406（周日，清明节第二天）
#0410(周四，与周二近似) 0412（周六，与周日近似）
#0415（周二） 0420（周日）
#0424（周四，与周二在近似水平） 0427（周日）
#0429（周二） 0502（周五，劳动节第二天）
#0507（周三，与周二差异较大，可能受劳务节影响） 0511（周日）
#0512（周一，与周二有一定差距） 0518（周日）
#0519（周二） 0525（周日）
#0526（周一，与周二有一定差距） 0531（周六，月末）
#0605（周四，与周二差异大，可能受端午节影响） 0607（周六，可能受端午节影响）
#0609（周一，与周二近似） 0615（周日）
#0616（周一，与周二差异大） 0622（周日）
#0626（周四，与周二差异不大） 0629（周日）
#0701（周二） 0705（周六，与周日差距不大）
#0707（周一，与周二有差距） 0713（周日）
#0716（周三，与周二有一定差距） 0720（周日）
#0721（周一，与周二有明显差距） 0726（周六，与周日近似）
#0728（周一，与周二有明显差距） 0803（周日）
#0805（周二） 0809（周六，与周日有较大差距）
#0811（周一，有周二有较大差距） 0817（周日）
#0818（周一，与周二差距不大） 0824（周日）# 设定波峰日期
def extract_peak_feature(data: pd.DataFrame)->pd.DataFrame:
total_balance = data.copy()
# 距离redeem波峰（即周二）有几天
total_balance['dis_from_redeem_peak'] = np.abs(total_balance['weekday'] - 1)
# 距离redeem波谷（即周日）有几天，与dis_from_endofweek相同
total_balance['dis_from_redeem_valley'] = np.abs(total_balance['weekday'] - 6)
return total_balance# 提取波峰特征
total_balance = extract_peak_feature(total_balance)
feature = total_balance[[x for x in total_balance.columns if x not in date_indexs]]3.2 分析波峰特征
draw_point_feature(feature[['total_redeem_amt'] + ['dis_from_redeem_peak','dis_from_redeem_valley']])3.3 分析波峰特征相关性
temp = np.abs(feature[[x for x in feature.columns if ('peak' in x) or ('valley' in x) or (x in ['total_redeem_amt']) ]].corr()['total_redeem_amt'])四、加入周期因子作为特征
4.1 提取周期因子
def generate_rate(df, month_index):
total_balance = df.copy()
pure_balance = total_balance[['date','total_purchase_amt','total_redeem_amt']]
pure_balance = pure_balance[(pure_balance['date'] >= datetime.datetime(2014,3,1)) & (pure_balance['date'] < datetime.datetime(2014, month_index, 1))]
pure_balance['weekday'] = pure_balance['date'].dt.weekday
pure_balance['day'] = pure_balance['date'].dt.day
pure_balance['week'] = pure_balance['date'].dt.week
pure_balance['month'] = pure_balance['date'].dt.month
weekday_rate = pure_balance[['weekday']+labels].groupby('weekday',as_index=False).mean()
for name in labels:
weekday_rate = weekday_rate.rename(columns={name: name+'_weekdaymean'})
weekday_rate['total_purchase_amt_weekdaymean'] /= np.mean(pure_balance['total_purchase_amt'])
weekday_rate['total_redeem_amt_weekdaymean'] /= np.mean(pure_balance['total_redeem_amt'])
pure_balance = pd.merge(pure_balance, weekday_rate, on='weekday', how='left')
weekday_count = pure_balance[['day','weekday','date']].groupby(['day','weekday'],as_index=False).count()
weekday_count = pd.merge(weekday_count, weekday_rate, on = 'weekday')
weekday_count['total_purchase_amt_weekdaymean'] *= weekday_count['date'] / (len(set(pure_balance['month'])) - 1)
weekday_count['total_redeem_amt_weekdaymean'] *= weekday_count['date'] / (len(set(pure_balance['month'])) - 1)
day_rate = weekday_count.drop(['weekday','date'],axis=1).groupby('day',as_index=False).sum()
weekday_rate.columns = ['weekday','purchase_weekdayrate','redeem_weekdayrate']
day_rate.columns = ['day','purchase_dayrate','redeem_dayrate']
day_rate['date'] = datetime.datetime(2014, month_index, 1)
for index, row in day_rate.iterrows():
if month_index in (2,4,6,9) and row['day'] == 31:
continue
day_rate.loc[index, 'date'] = datetime.datetime(2014, month_index, int(row['day']))
day_rate['weekday'] = day_rate['date'].dt.weekday
day_rate = pd.merge(day_rate, weekday_rate, on='weekday')
day_rate['purchase_dayrate'] = day_rate['purchase_weekdayrate'] / day_rate['purchase_dayrate']
day_rate['redeem_dayrate'] = day_rate['redeem_weekdayrate'] / day_rate['redeem_dayrate']
weekday_rate['month'] = month_index
day_rate['month'] = month_index
return weekday_rate, day_rate[['day','purchase_dayrate','redeem_dayrate','month']].sort_values('day')# 生成周期因子并合并到数据集
weekday_rate_list = []
day_rate_list = []
for i in range(3, 10):
weekday_rate, day_rate = generate_rate(total_balance, i)
weekday_rate_list.append(weekday_rate.reset_index(drop=True))
day_rate_list.append(day_rate.reset_index(drop=True))
weekday_rate_list = pd.concat(weekday_rate_list).reset_index(drop=True)
day_rate_list = pd.concat(day_rate_list).reset_index(drop=True)
total_balance = pd.merge(total_balance, weekday_rate_list, on=['weekday','month'], how='left')
total_balance = pd.merge(total_balance, day_rate_list, on=['day','month'], how='left')# 对周期因子进行特殊处理
for i in [x for x in total_balance.columns
if 'rate' in x and x not in labels + date_indexs]:
total_balance[i] = total_balance[i].fillna(np.nanmedian(total_balance[i]))4.2 分析周期因子的相关性
# 画出相关性图
draw_correlation_heatmap(total_balance[['total_redeem_amt']
+ [x for x in total_balance.columns
if 'rate' in x and x not in labels + date_indexs]])# 剔除相关性低的特征
feature = total_balance.drop(date_indexs, axis=1)五、加入动态时序特征
5.1 提取动态特征
## 提取动态特征
def get_amtfeature_with_time(data: pd.DataFrame)->pd.DataFrame:
df_tmp_ = data[labels + date_indexs + ['date']].copy()
total_balance = data.copy()
df_tmp_ = df_tmp_[(df_tmp_['date']>=datetime.datetime(2014,3,3))]
df_tmp_['weekday'] = df_tmp_['date'].dt.weekday + 1
df_tmp_['week'] = df_tmp_['date'].dt.week - min(df_tmp_['date'].dt.week) + 1
df_tmp_['day'] = df_tmp_['date'].dt.day
df_tmp_['month'] = df_tmp_['date'].dt.month
df_tmp_.reset_index(inplace=True)
del df_tmp_['index']
df_redeem = pd.DataFrame(columns = ['weekday1','weekday2','weekday3','weekday4',
'weekday5','weekday6','weekday7'])
count = 0
for i in range(len(df_tmp_)):
df_redeem.loc[count,'weekday'+str(df_tmp_.loc[i,'weekday'])] = df_tmp_.loc[i,'total_redeem_amt']
if df_tmp_.loc[i,'weekday'] == 7:
count = count + 1
df_tmp_['redeem_weekday_median'] = np.nan
df_tmp_['redeem_weekday_mean'] = np.nan
df_tmp_['redeem_weekday_min'] = np.nan
df_tmp_['redeem_weekday_max'] = np.nan
df_tmp_['redeem_weekday_std'] = np.nan
df_tmp_['redeem_weekday_skew'] = np.nan
for i in range(len(df_tmp_)):
#从2014年3月31日开始统计
if i > 4*7-1:
df_tmp_.loc[i,'redeem_weekday_median'] = df_redeem.loc[:df_tmp_.loc[i,'week']-2,
'weekday'+str(df_tmp_.loc[i,'weekday'])].median()
df_tmp_.loc[i,'redeem_weekday_mean'] = df_redeem.loc[:df_tmp_.loc[i,'week']-2,
'weekday'+str(df_tmp_.loc[i,'weekday'])].mean()
df_tmp_.loc[i,'redeem_weekday_min'] = df_redeem.loc[:df_tmp_.loc[i,'week']-2,
'weekday'+str(df_tmp_.loc[i,'weekday'])].min()
df_tmp_.loc[i,'redeem_weekday_max'] = df_redeem.loc[:df_tmp_.loc[i,'week']-2,
'weekday'+str(df_tmp_.loc[i,'weekday'])].max()
df_tmp_.loc[i,'redeem_weekday_std'] = df_redeem.loc[:df_tmp_.loc[i,'week']-2,
'weekday'+str(df_tmp_.loc[i,'weekday'])].std()
df_tmp_.loc[i,'redeem_weekday_skew'] = df_redeem.loc[:df_tmp_.loc[i,'week']-2,
'weekday'+str(df_tmp_.loc[i,'weekday'])].skew()
colList = ['redeem_weekday_median','redeem_weekday_mean','redeem_weekday_min',
'redeem_weekday_max','redeem_weekday_std','redeem_weekday_skew']
total_balance = pd.merge(total_balance, df_tmp_[colList+['day','month']], on=['day','month'], how='left')
return total_balance# 合并特征到数据集
total_balance = get_amtfeature_with_time(total_balance)# 对动态特征做特殊处理
for i in [x for x in total_balance.columns
if '_weekday_' in x and x not in labels + date_indexs]:
total_balance[i] = total_balance[i].fillna(np.nanmedian(total_balance[i]))5.2 分析动态特征相关性
# 绘制动态特征的相关性图
draw_correlation_heatmap(total_balance[['total_redeem_amt'] +
['redeem_weekday_median',
'redeem_weekday_mean','redeem_weekday_min',
'redeem_weekday_max','redeem_weekday_std',
'redeem_weekday_skew'
]])feature[labels + ['dis_to_nowork', 'dis_to_work', 'dis_from_work', 'purchase_weekdayrate',
'redeem_dayrate', 'weekday_onehot_5', 'weekday_onehot_6',
'dis_from_nowork', 'is_holiday', 'weekday_onehot_1', 'weekday_onehot_2',
'weekday_onehot_0', 'dis_from_middleofweek', 'dis_from_holiendday',
'weekday_onehot_3', 'is_lastday_of_holiday', 'is_firstday_of_holiday',
'weekday_onehot_4', 'is_worked_yestday', 'is_second_week',
'is_third_week', 'dis_from_startofmonth', 'dis_from_holiday', 'total_purchase_amt',
'total_redeem_amt', 'date']].to_csv('Feature/0615_residual_redeem_origined.csv', index=False)特征劣汰剔除
1.1 剔除无法有效分割数据集的特征
feature.info()<class 'pandas.core.frame.DataFrame'>
Int64Index: 198 entries, 0 to 197
Data columns (total 47 columns):
# Column Non-Null Count Dtype
--- ------ -------------- -----
0 date 198 non-null datetime64[ns]
1 total_purchase_amt 154 non-null float64
2 total_redeem_amt 154 non-null float64
3 is_weekend 198 non-null int64
4 is_holiday 198 non-null int64
5 is_firstday_of_holiday 198 non-null int64
6 is_lastday_of_holiday 198 non-null int64
7 is_firstday_of_work 198 non-null int64
8 is_work 198 non-null int64
9 is_gonna_work_tomorrow 198 non-null int64
10 is_worked_yestday 198 non-null int64
11 is_lastday_of_workday 198 non-null int64
12 is_work_on_sunday 198 non-null int64
13 is_firstday_of_month 198 non-null int64
14 is_secday_of_month 198 non-null int64
15 is_premonth 198 non-null int64
16 is_midmonth 198 non-null int64
17 is_tailmonth 198 non-null int64
18 is_first_week 198 non-null int64
19 is_second_week 198 non-null int64
20 is_third_week 198 non-null int64
21 is_fourth_week 198 non-null int64
22 weekday_onehot_0 198 non-null float64
23 weekday_onehot_1 198 non-null float64
24 weekday_onehot_2 198 non-null float64
25 weekday_onehot_3 198 non-null float64
26 weekday_onehot_4 198 non-null float64
27 weekday_onehot_5 198 non-null float64
28 weekday_onehot_6 198 non-null float64
29 dis_to_nowork 198 non-null int64
30 dis_from_nowork 198 non-null int64
31 dis_to_work 198 non-null int64
32 dis_from_work 198 non-null int64
33 dis_to_holiday 198 non-null int64
34 dis_from_holiday 198 non-null int64
35 dis_to_holiendday 198 non-null int64
36 dis_from_holiendday 198 non-null int64
37 dis_from_startofmonth 198 non-null int64
38 dis_from_middleofmonth 198 non-null int64
39 dis_from_middleofweek 198 non-null int64
40 dis_from_endofweek 198 non-null int64
41 dis_from_redeem_peak 198 non-null int64
42 dis_from_redeem_valley 198 non-null int64
43 purchase_weekdayrate 198 non-null float64
44 redeem_weekdayrate 198 non-null float64
45 purchase_dayrate 198 non-null float64
46 redeem_dayrate 198 non-null float64
dtypes: datetime64[ns](1), float64(13), int64(33)
memory usage: 74.2 KB
feature[feature['total_redeem_amt'].isna()]| date | total_purchase_amt | total_redeem_amt | is_weekend | is_holiday | is_firstday_of_holiday | is_lastday_of_holiday | is_firstday_of_work | is_work | is_gonna_work_tomorrow | ... | dis_from_startofmonth | dis_from_middleofmonth | dis_from_middleofweek | dis_from_endofweek | dis_from_redeem_peak | dis_from_redeem_valley | purchase_weekdayrate | redeem_weekdayrate | purchase_dayrate | redeem_dayrate | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 154 | 2014-09-01 | NaN | NaN | 0 | 0 | 0 | 0 | 0 | 1 | 0 | ... | 1 | 10 | 3 | 6 | 1 | 6 | 1.175273 | 1.238791 | 1.141740 | 1.216698 |
| 155 | 2014-09-02 | NaN | NaN | 0 | 0 | 0 | 0 | 0 | 1 | 0 | ... | 2 | 10 | 2 | 5 | 0 | 5 | 1.196545 | 1.173784 | 1.164936 | 1.128108 |
| 156 | 2014-09-03 | NaN | NaN | 0 | 0 | 0 | 0 | 0 | 1 | 0 | ... | 3 | 10 | 1 | 4 | 1 | 4 | 1.181454 | 1.150369 | 1.211171 | 1.230268 |
| 157 | 2014-09-04 | NaN | NaN | 0 | 0 | 0 | 0 | 0 | 1 | 0 | ... | 4 | 10 | 0 | 3 | 2 | 3 | 1.138572 | 1.033530 | 1.167422 | 1.019674 |
| 158 | 2014-09-05 | NaN | NaN | 0 | 0 | 0 | 0 | 0 | 1 | 0 | ... | 5 | 10 | 1 | 2 | 3 | 2 | 0.904524 | 0.969088 | 0.923676 | 1.002414 |
| 159 | 2014-09-06 | NaN | NaN | 1 | 1 | 1 | 0 | 0 | 0 | 0 | ... | 10 | 10 | 2 | 1 | 4 | 1 | 0.692967 | 0.693831 | 0.736595 | 0.726607 |
| 160 | 2014-09-07 | NaN | NaN | 1 | 1 | 0 | 0 | 0 | 0 | 0 | ... | 10 | 10 | 3 | 0 | 5 | 0 | 0.710665 | 0.740607 | 0.662496 | 0.691469 |
| 161 | 2014-09-08 | NaN | NaN | 0 | 1 | 0 | 1 | 0 | 0 | 1 | ... | 10 | 10 | 3 | 6 | 1 | 6 | 1.175273 | 1.238791 | 1.141740 | 1.216698 |
| 162 | 2014-09-09 | NaN | NaN | 0 | 0 | 0 | 0 | 1 | 1 | 0 | ... | 10 | 10 | 2 | 5 | 0 | 5 | 1.196545 | 1.173784 | 1.164936 | 1.128108 |
| 163 | 2014-09-10 | NaN | NaN | 0 | 0 | 0 | 0 | 0 | 1 | 0 | ... | 10 | 5 | 1 | 4 | 1 | 4 | 1.181454 | 1.150369 | 1.211171 | 1.230268 |
| 164 | 2014-09-11 | NaN | NaN | 0 | 0 | 0 | 0 | 0 | 1 | 0 | ... | 10 | 4 | 0 | 3 | 2 | 3 | 1.138572 | 1.033530 | 1.167422 | 1.019674 |
| 165 | 2014-09-12 | NaN | NaN | 0 | 0 | 0 | 0 | 0 | 1 | 0 | ... | 10 | 3 | 1 | 2 | 3 | 2 | 0.904524 | 0.969088 | 0.923676 | 1.002414 |
| 166 | 2014-09-13 | NaN | NaN | 1 | 0 | 0 | 0 | 0 | 0 | 0 | ... | 10 | 2 | 2 | 1 | 4 | 1 | 0.692967 | 0.693831 | 0.736595 | 0.726607 |
| 167 | 2014-09-14 | NaN | NaN | 1 | 0 | 0 | 0 | 0 | 0 | 1 | ... | 10 | 1 | 3 | 0 | 5 | 0 | 0.710665 | 0.740607 | 0.662496 | 0.691469 |
| 168 | 2014-09-15 | NaN | NaN | 0 | 0 | 0 | 0 | 0 | 1 | 0 | ... | 10 | 0 | 3 | 6 | 1 | 6 | 1.175273 | 1.238791 | 1.141740 | 1.216698 |
| 169 | 2014-09-16 | NaN | NaN | 0 | 0 | 0 | 0 | 0 | 1 | 0 | ... | 10 | 1 | 2 | 5 | 0 | 5 | 1.196545 | 1.173784 | 1.164936 | 1.128108 |
| 170 | 2014-09-17 | NaN | NaN | 0 | 0 | 0 | 0 | 0 | 1 | 0 | ... | 10 | 2 | 1 | 4 | 1 | 4 | 1.181454 | 1.150369 | 1.211171 | 1.230268 |
| 171 | 2014-09-18 | NaN | NaN | 0 | 0 | 0 | 0 | 0 | 1 | 0 | ... | 10 | 3 | 0 | 3 | 2 | 3 | 1.138572 | 1.033530 | 1.167422 | 1.019674 |
| 172 | 2014-09-19 | NaN | NaN | 0 | 0 | 0 | 0 | 0 | 1 | 0 | ... | 10 | 4 | 1 | 2 | 3 | 2 | 0.904524 | 0.969088 | 0.923676 | 1.002414 |
| 173 | 2014-09-20 | NaN | NaN | 1 | 0 | 0 | 0 | 0 | 0 | 0 | ... | 10 | 5 | 2 | 1 | 4 | 1 | 0.692967 | 0.693831 | 0.736595 | 0.726607 |
| 174 | 2014-09-21 | NaN | NaN | 1 | 0 | 0 | 0 | 0 | 0 | 1 | ... | 10 | 10 | 3 | 0 | 5 | 0 | 0.710665 | 0.740607 | 0.662496 | 0.691469 |
| 175 | 2014-09-22 | NaN | NaN | 0 | 0 | 0 | 0 | 0 | 1 | 0 | ... | 10 | 10 | 3 | 6 | 1 | 6 | 1.175273 | 1.238791 | 1.141740 | 1.216698 |
| 176 | 2014-09-23 | NaN | NaN | 0 | 0 | 0 | 0 | 0 | 1 | 0 | ... | 10 | 10 | 2 | 5 | 0 | 5 | 1.196545 | 1.173784 | 1.164936 | 1.128108 |
| 177 | 2014-09-24 | NaN | NaN | 0 | 0 | 0 | 0 | 0 | 1 | 0 | ... | 10 | 10 | 1 | 4 | 1 | 4 | 1.181454 | 1.150369 | 1.211171 | 1.230268 |
| 178 | 2014-09-25 | NaN | NaN | 0 | 0 | 0 | 0 | 0 | 1 | 0 | ... | 10 | 10 | 0 | 3 | 2 | 3 | 1.138572 | 1.033530 | 1.167422 | 1.019674 |
| 179 | 2014-09-26 | NaN | NaN | 0 | 0 | 0 | 0 | 0 | 1 | 0 | ... | 10 | 10 | 1 | 2 | 3 | 2 | 0.904524 | 0.969088 | 0.923676 | 1.002414 |
| 180 | 2014-09-27 | NaN | NaN | 1 | 0 | 0 | 0 | 0 | 0 | 1 | ... | 10 | 10 | 2 | 1 | 4 | 1 | 0.692967 | 0.693831 | 0.736595 | 0.726607 |
| 181 | 2014-09-28 | NaN | NaN | 1 | 0 | 0 | 0 | 0 | 1 | 0 | ... | 10 | 10 | 3 | 0 | 5 | 0 | 0.710665 | 0.740607 | 0.662496 | 0.691469 |
| 182 | 2014-09-29 | NaN | NaN | 0 | 0 | 0 | 0 | 0 | 1 | 0 | ... | 10 | 10 | 3 | 6 | 1 | 6 | 1.175273 | 1.238791 | 1.141740 | 1.216698 |
| 183 | 2014-09-30 | NaN | NaN | 0 | 0 | 0 | 0 | 0 | 1 | 0 | ... | 10 | 10 | 2 | 5 | 0 | 5 | 1.196545 | 1.173784 | 1.164936 | 1.128108 |
| 184 | 2014-10-01 | NaN | NaN | 0 | 1 | 1 | 0 | 0 | 0 | 0 | ... | 1 | 10 | 1 | 4 | 1 | 4 | 1.125999 | 1.014235 | 1.114807 | 1.013956 |
| 185 | 2014-10-02 | NaN | NaN | 0 | 1 | 0 | 0 | 0 | 0 | 0 | ... | 2 | 10 | 0 | 3 | 2 | 3 | 1.125999 | 1.014235 | 1.114807 | 1.013956 |
| 186 | 2014-10-03 | NaN | NaN | 0 | 1 | 0 | 0 | 0 | 0 | 0 | ... | 3 | 10 | 1 | 2 | 3 | 2 | 1.125999 | 1.014235 | 1.114807 | 1.013956 |
| 187 | 2014-10-04 | NaN | NaN | 1 | 1 | 0 | 0 | 0 | 0 | 0 | ... | 4 | 10 | 2 | 1 | 4 | 1 | 1.125999 | 1.014235 | 1.114807 | 1.013956 |
| 188 | 2014-10-05 | NaN | NaN | 1 | 1 | 0 | 0 | 0 | 0 | 0 | ... | 5 | 10 | 3 | 0 | 5 | 0 | 1.125999 | 1.014235 | 1.114807 | 1.013956 |
| 189 | 2014-10-06 | NaN | NaN | 0 | 1 | 0 | 0 | 0 | 0 | 0 | ... | 10 | 10 | 3 | 6 | 1 | 6 | 1.125999 | 1.014235 | 1.114807 | 1.013956 |
| 190 | 2014-10-07 | NaN | NaN | 0 | 1 | 0 | 1 | 0 | 0 | 1 | ... | 10 | 10 | 2 | 5 | 0 | 5 | 1.125999 | 1.014235 | 1.114807 | 1.013956 |
| 191 | 2014-10-08 | NaN | NaN | 0 | 0 | 0 | 0 | 1 | 1 | 0 | ... | 10 | 10 | 1 | 4 | 1 | 4 | 1.125999 | 1.014235 | 1.114807 | 1.013956 |
| 192 | 2014-10-09 | NaN | NaN | 0 | 0 | 0 | 0 | 0 | 1 | 0 | ... | 10 | 10 | 0 | 3 | 2 | 3 | 1.125999 | 1.014235 | 1.114807 | 1.013956 |
| 193 | 2014-10-10 | NaN | NaN | 0 | 0 | 0 | 0 | 0 | 1 | 0 | ... | 10 | 5 | 1 | 2 | 3 | 2 | 1.125999 | 1.014235 | 1.114807 | 1.013956 |
| 194 | 2014-10-11 | NaN | NaN | 1 | 0 | 0 | 0 | 0 | 0 | 0 | ... | 10 | 4 | 2 | 1 | 4 | 1 | 1.125999 | 1.014235 | 1.114807 | 1.013956 |
| 195 | 2014-10-12 | NaN | NaN | 1 | 0 | 0 | 0 | 0 | 0 | 1 | ... | 10 | 3 | 3 | 0 | 5 | 0 | 1.125999 | 1.014235 | 1.114807 | 1.013956 |
| 196 | 2014-10-13 | NaN | NaN | 0 | 0 | 0 | 0 | 0 | 1 | 0 | ... | 10 | 2 | 3 | 6 | 1 | 6 | 1.125999 | 1.014235 | 1.114807 | 1.013956 |
| 197 | 2014-10-14 | NaN | NaN | 0 | 0 | 0 | 0 | 0 | 1 | 0 | ... | 10 | 1 | 2 | 5 | 0 | 5 | 1.125999 | 1.014235 | 1.114807 | 1.013956 |
44 rows × 47 columns
feature1 = feature[(feature['date']<datetime.datetime(2014,9,1))]
feature1.info()<class 'pandas.core.frame.DataFrame'>
Int64Index: 154 entries, 0 to 153
Data columns (total 47 columns):
# Column Non-Null Count Dtype
--- ------ -------------- -----
0 date 154 non-null datetime64[ns]
1 total_purchase_amt 154 non-null float64
2 total_redeem_amt 154 non-null float64
3 is_weekend 154 non-null int64
4 is_holiday 154 non-null int64
5 is_firstday_of_holiday 154 non-null int64
6 is_lastday_of_holiday 154 non-null int64
7 is_firstday_of_work 154 non-null int64
8 is_work 154 non-null int64
9 is_gonna_work_tomorrow 154 non-null int64
10 is_worked_yestday 154 non-null int64
11 is_lastday_of_workday 154 non-null int64
12 is_work_on_sunday 154 non-null int64
13 is_firstday_of_month 154 non-null int64
14 is_secday_of_month 154 non-null int64
15 is_premonth 154 non-null int64
16 is_midmonth 154 non-null int64
17 is_tailmonth 154 non-null int64
18 is_first_week 154 non-null int64
19 is_second_week 154 non-null int64
20 is_third_week 154 non-null int64
21 is_fourth_week 154 non-null int64
22 weekday_onehot_0 154 non-null float64
23 weekday_onehot_1 154 non-null float64
24 weekday_onehot_2 154 non-null float64
25 weekday_onehot_3 154 non-null float64
26 weekday_onehot_4 154 non-null float64
27 weekday_onehot_5 154 non-null float64
28 weekday_onehot_6 154 non-null float64
29 dis_to_nowork 154 non-null int64
30 dis_from_nowork 154 non-null int64
31 dis_to_work 154 non-null int64
32 dis_from_work 154 non-null int64
33 dis_to_holiday 154 non-null int64
34 dis_from_holiday 154 non-null int64
35 dis_to_holiendday 154 non-null int64
36 dis_from_holiendday 154 non-null int64
37 dis_from_startofmonth 154 non-null int64
38 dis_from_middleofmonth 154 non-null int64
39 dis_from_middleofweek 154 non-null int64
40 dis_from_endofweek 154 non-null int64
41 dis_from_redeem_peak 154 non-null int64
42 dis_from_redeem_valley 154 non-null int64
43 purchase_weekdayrate 154 non-null float64
44 redeem_weekdayrate 154 non-null float64
45 purchase_dayrate 154 non-null float64
46 redeem_dayrate 154 non-null float64
dtypes: datetime64[ns](1), float64(13), int64(33)
memory usage: 57.8 KB
# 画出各个特征分割数据集的分布估计图
plt.figure(figsize=(4 * 6, 6 * len(feature1.columns) / 6))
count = 0
for i in [x for x in feature1.columns
if (x not in labels + date_indexs + ['date'])
& ('amt' not in x) & ('dis' not in x) & ('rate' not in x)]:
count += 1
if feature1[feature1[i] == 0].empty:
continue
plt.subplot(len(feature1.columns) / 4, 4, count)
ax = sns.kdeplot(feature1[feature1[i] == 0]['total_redeem_amt'], label= str(i) + ' == 0, redeem')
ax = sns.kdeplot(feature1[feature1[i] == 1]['total_redeem_amt'], label= str(i) + ' == 1, redeem')# 剔除对数据集划分不明显的特征
redeem_feature_seems_useless += ['is_gonna_work_tomorrow','is_fourth_week','weekday_onehot_4']1.2 使用MVTest挽回一些有依赖性但是不相关的特征
feature_low_correlation[‘is_firstday_of_month’, ‘weekday_onehot_3’, ‘is_second_week’, ‘weekday_onehot_4’, ‘is_fourth_week’, ‘is_third_week’, ‘is_first_week’, ‘is_worked_yestday’, ‘is_lastday_of_workday’, ‘is_premonth’, ‘dis_from_middleofweek’, ‘dis_from_middleofmonth’, ‘dis_from_holiendday’, ‘dis_from_startofmonth’]
# MVtest Ref: https://github.com/ChuanyuXue/MVTest
l = mvtest.mvtest()
name_list = []
Tn_list = []
p_list = []
for i in [i for i in feature_low_correlation if 'is' in i or 'discret' in i]:
pair = l.test(feature['total_redeem_amt'], feature[i])
name_list.append(str(i))
Tn_list.append(pair['Tn'])
p_list.append(pair['p-value'][0])
temp = pd.DataFrame([name_list,Tn_list]).T.sort_values(1)
temp[1] = np.abs(temp[1])
feature_saved_from_mv_redeem = list(temp.sort_values(1, ascending=False)[temp[1] > 0.5984][0])
1.3 剔除复共线特征
feature = feature[[x for x in feature.columns
if (x not in feature_low_correlation + redeem_feature_seems_useless) or\
(x in feature_saved_from_mv_redeem )]]redeem_cors = feature.corr()
redeem_cors['total_redeem_amt'] = np.abs(redeem_cors['total_redeem_amt'])
feature_lists = list(redeem_cors.sort_values(by='total_redeem_amt',ascending=False).index)[2:]
feature_temp = feature.dropna()# 这里要注意 保留的时候按照相关性降序排序 剔除按照相关性升序排序的顺序
thershold = 0.8
for i in range(len(feature_lists)):
for k in range(len(feature_lists)-1, -1, -1):
if i >= len(feature_lists) or k >= len(feature_lists) or i == k:
break
if np.abs(np.corrcoef(feature_temp[feature_lists[i]], feature_temp[feature_lists[k]])[0][1]) > thershold:
higher_feature_temp = feature_temp[feature_lists[i]] * feature_temp[feature_lists[k]]
if np.abs(np.corrcoef(feature_temp[feature_lists[i]], higher_feature_temp)[0][1]) <= thershold:
name = str(feature_lists[i]) + '%%%%' + str(feature_lists[k])
feature_temp[name] = higher_feature_temp
feature[name] = feature[feature_lists[i]] * feature[feature_lists[k]]
feature_lists.append(name)
feature_temp = feature_temp.drop(feature_lists[k], axis=1)
feature_lists.remove(feature_lists[k])feature = feature[[x for x in feature_lists if x not in labels] + labels + ['date']]feature_lists[‘is_work’, ‘dis_from_redeem_valley’, ‘total_purchase_amt’, ‘purchase_weekdayrate’, ‘redeem_dayrate’, ‘weekday_onehot_5’, ‘weekday_onehot_6’, ‘is_holiday’, ‘dis_from_nowork’, ‘weekday_onehot_0’, ‘is_tailmonth’, ‘weekday_onehot_1’, ‘is_firstday_of_holiday’, ‘weekday_onehot_2’, ‘is_lastday_of_holiday’, ‘dis_from_holiday’, ‘is_firstday_of_work’, ‘is_secday_of_month’, ‘is_midmonth’, ‘dis_from_holiendday’, ‘is_work%%%%is_weekend’, ‘dis_from_redeem_valley%%%%dis_from_redeem_peak’]
feature.to_csv('Feature/redeem_feature_droped_0614.csv',index=False)选出优胜特征
# 分割数据集
def split_data_underline(data):
trainset = data[(datetime.datetime(2014,4,1) <= data['date']) & (data['date'] < datetime.datetime(2014,8,1))]
testset = data[(datetime.datetime(2014,8,1) <= data['date']) & (data['date'] < datetime.datetime(2014,9,1))]
return trainset, testset1.1 使用SHAP包获取优胜特征
SHAP testues represent the fair score of features depending on their contribution towards the total score in the set of features.
SHAP also can visualize how the score changes when the feature testue is low/high on each data.
shap.initjs()
from sklearn import tree
model = tree.DecisionTreeRegressor()
train, test = split_data_underline(feature.dropna())
features = [x for x in train.columns if x not in date_indexs]
model.fit(train[features].drop(labels+['date'], axis=1), train['total_redeem_amt'])
explainer = shap.TreeExplainer(model)
shap_testues = explainer.shap_values(test[features].drop(labels+['date'], axis=1))
shap.summary_plot(shap_testues, test[features].drop(labels+['date'], axis=1), plot_type='bar')
shap.summary_plot(shap_testues, test[features].drop(labels+['date'], axis=1))
tree_important_redeem = pd.DataFrame(np.mean(np.abs(shap_testues), axis=0),[x for x in features if x not in labels + date_indexs + ['date']]).reset_index()tree_important_redeem = tree_important_redeem.sort_values(0, ascending=False).reset_index(drop=True)
tree_important_redeem = list(tree_important_redeem[:20]['index'])tree_important_redeem[‘dis_from_nowork’, ‘is_tailmonth’, ‘redeem_dayrate’, ‘purchase_weekdayrate’, ‘is_midmonth’, ‘weekday_onehot_2’, ‘weekday_onehot_0’, ‘dis_from_redeem_valley%%%%dis_from_redeem_peak’, ‘dis_from_holiday’, ‘is_firstday_of_holiday’, ‘dis_from_redeem_valley’, ‘is_firstday_of_work’, ‘is_holiday’, ‘dis_from_holiendday’, ‘weekday_onehot_1’, ‘is_lastday_of_holiday’, ‘is_secday_of_month’, ‘weekday_onehot_5’, ‘weekday_onehot_6’, ‘is_work%%%%is_weekend’]
# 输出选择的特征
def draw_cloud(feature_index: List[str])->None:
plt.figure(figsize=(20,10))
plt.subplot(1,2,1)
ciyun = WordCloud(background_color='white', max_font_size=40)
ciyun.generate(text=''.join([x+' ' for x in feature_index if x != 'total_redeem_amt']))
plt.imshow(ciyun, interpolation='bilinear')
plt.axis("off")
draw_cloud(tree_important_redeem)1.2 使用Permutation importance包获取优胜特征
SHAP testues represent the fair score of features depending on their contribution towards the total score in the set of features.
SHAP also can visualize how the score changes when the feature testue is low/high on each data.
model = LinearRegression()
train, test = split_data_underline(feature.dropna())
model.fit(train[features].drop(labels+['date'], axis=1), train['total_redeem_amt'])
perm = PermutationImportance(model, random_state=42).fit(test[features].drop(labels+['date'], axis=1), test['total_redeem_amt'])
liner_important_redeem = pd.DataFrame(np.abs(perm.feature_importances_), [x for x in features if x not in labels + date_indexs + ['date']]).reset_index()
eli5.show_weights(perm, feature_names=list(str(x) for x in features if x not in labels + ['date']))
liner_important_redeem = liner_important_redeem.sort_values(0, ascending=False).reset_index(drop=True)
liner_important_redeem = list(liner_important_redeem[:20]['index'])
draw_cloud(liner_important_redeem)1.3 量特征集合取交集选出最终优胜特征
winer_features_redeem = list(set(tree_important_redeem)\
& set(liner_important_redeem))draw_cloud(winer_features_redeem)
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