数据挖掘项目（二）

特征选择( Feature Selection )也称特征子集选择( Feature Subset Selection , FSS )，或属性选择( Attribute Selection )。是指从已有的M个特征(Feature)中选择N个特征使得系统的特定指标最优化，是从原始特征中选择出一些最有效特征以降低数据集维度的过程,是提高学习算法性能的一个重要手段。

IV值进行特征选择

import math
import numpy as np
from scipy import stats
from sklearn.utils.multiclass import type_of_target

def woe(X, y, event=1):  
    res_woe = []
    iv_dict = {}
    for feature in X.columns:
        x = X[feature].values
        # 1) 连续特征离散化
        if type_of_target(x) == 'continuous':
            x = discrete(x)
        # 2) 计算该特征的woe和iv
        # woe_dict, iv = woe_single_x(x, y, feature, event)
        woe_dict, iv = woe_single_x(x, y, feature, event)
        iv_dict[feature] = iv
        res_woe.append(woe_dict) 
        
    return iv_dict
        
def discrete(x):
    # 使用5等分离散化特征
    res = np.zeros(x.shape)
    for i in range(5):
        point1 = stats.scoreatpercentile(x, i * 20)
        point2 = stats.scoreatpercentile(x, (i + 1) * 20)
        x1 = x[np.where((x >= point1) & (x <= point2))]
        mask = np.in1d(x, x1)
        res[mask] = i + 1    # 将[i, i+1]块内的值标记成i+1
    return res

def woe_single_x(x, y, feature,event = 1):
    # event代表预测正例的标签
    event_total = sum(y == event)
    non_event_total = y.shape[-1] - event_total
    
    iv = 0
    woe_dict = {}
    for x1 in set(x):    # 遍历各个块
        y1 = y.reindex(np.where(x == x1)[0])
        event_count = sum(y1 == event)
        non_event_count = y1.shape[-1] - event_count
        rate_event = event_count / event_total    
        rate_non_event = non_event_count / non_event_total
        
        if rate_event == 0:
            rate_event = 0.0001
            # woei = -20
        elif rate_non_event == 0:
            rate_non_event = 0.0001
            # woei = 20
        woei = math.log(rate_event / rate_non_event)
        woe_dict[x1] = woei
        iv += (rate_event - rate_non_event) * woei
    return woe_dict, iv

import warnings
warnings.filterwarnings("ignore")

iv_dict = woe(X_train, y_train)
iv = sorted(iv_dict.items(), key = lambda x:x[1],reverse = True)
iv

随机森林挑选特征

import warnings
warnings.filterwarnings("ignore")
from sklearn.model_selection import GridSearchCV
from sklearn.ensemble import RandomForestClassifier

# 观察默认参数的性能
rf0 = RandomForestClassifier(oob_score=True, random_state=2333)
rf0.fit(X_train, y_train)
print('袋外分数：', rf0.oob_score_)
model_metrics(rf0, X_train, X_test, y_train, y_test)

rf = RandomForestClassifier(n_estimators=120, max_depth=9, min_samples_split=50,
                            min_samples_leaf=20, max_features = 9,oob_score=True, random_state=2333)
rf.fit(X_train, y_train)
print('袋外分数：', rf.oob_score_)
model_metrics(rf, X_train, X_test, y_train, y_test)

需要学习了解的东西太多。虚心借鉴前辈的力量。
参考原文：https://blog.csdn.net/a786150017/article/details/84573202