【机器学习debug】使用SequentialFeatureSelector时，交叉验证方法选择GroupKFold时报错

背景：使用机器学习模型，根据不同的病人数据，进行疾病分类，一个病人可能存在多条数据，需进行特征选择以及分组交叉验证

环境

scikit-learn 1.1.1

报错情况

原代码：

    # k折-训练集，5折交叉
    gkf = GroupKFold(n_splits=5)
    gkfR = gkf.split(train_x, train_y, train_group)
    # 前向特征选择
    sfs = SequentialFeatureSelector(model,n_features_to_select="auto",n_jobs=4,cv=gkf,tol=1e-5,scoring='accuracy')
    sfs.fit(train_x,train_y)

报错：

原因分析

在fit函数中，调用了sklearn\model_selection_validation.py的cross_validate方法，其中根据cv取训练集测试集的代码片段的groups字段检查的内容为None，导致GroupKFold交叉验证无法取出训练集和测试集

解决方法

修改SequentialFeatureSelector的fit函数，加入groups值，并逐个修改调用文件，直至_validation.py的cross_validate方法能正确传入一个groups字段。修改后的代码如下：

1. 调用fit的main脚本：

    # k折-训练集，5折交叉
    gkf = GroupKFold(n_splits=5)
    gkfR = gkf.split(train_x, train_y, train_group)
    # 前向特征选择
    sfs = SequentialFeatureSelector(model,n_features_to_select="auto",n_jobs=4,cv=gkf,tol=1e-5,scoring='accuracy')
    sfs.fit(train_x,train_y,train_group)

2. sklearn库文件：sklearn\feature_selection_sequential.py中fit()

   def fit(self, X, y=None,groups=None):
        """Learn the features to select from X.

        Parameters
        ----------
        X : array-like of shape (n_samples, n_features)
            Training vectors, where `n_samples` is the number of samples and
            `n_features` is the number of predictors.

        y : array-like of shape (n_samples,), default=None
            Target values. This parameter may be ignored for
            unsupervised learning.

        Returns
        -------
        self : object
            Returns the instance itself.
        """
        # FIXME: to be removed in 1.3
        if self.n_features_to_select in ("warn", None):
            # for backwards compatibility
            warnings.warn(
                "Leaving `n_features_to_select` to "
                "None is deprecated in 1.0 and will become 'auto' "
                "in 1.3. To keep the same behaviour as with None "
                "(i.e. select half of the features) and avoid "
                "this warning, you should manually set "
                "`n_features_to_select='auto'` and set tol=None "
                "when creating an instance.",
                FutureWarning,
            )

        tags = self._get_tags()
        X = self._validate_data(
            X,
            accept_sparse="csc",
            ensure_min_features=2,
            force_all_finite=not tags.get("allow_nan", True),
        )
        n_features = X.shape[1]

        # FIXME: to be fixed in 1.3
        error_msg = (
            "n_features_to_select must be either 'auto', 'warn', "
            "None, an integer in [1, n_features - 1] "
            "representing the absolute "
            "number of features, or a float in (0, 1] "
            "representing a percentage of features to "
            f"select. Got {self.n_features_to_select}"
        )
        if self.n_features_to_select in ("warn", None):
            if self.tol is not None:
                raise ValueError("tol is only enabled if `n_features_to_select='auto'`")
            self.n_features_to_select_ = n_features // 2
        elif self.n_features_to_select == "auto":
            if self.tol is not None:
                # With auto feature selection, `n_features_to_select_` will be updated
                # to `support_.sum()` after features are selected.
                self.n_features_to_select_ = n_features - 1
            else:
                self.n_features_to_select_ = n_features // 2
        elif isinstance(self.n_features_to_select, numbers.Integral):
            if not 0 < self.n_features_to_select < n_features:
                raise ValueError(error_msg)
            self.n_features_to_select_ = self.n_features_to_select
        elif isinstance(self.n_features_to_select, numbers.Real):
            if not 0 < self.n_features_to_select <= 1:
                raise ValueError(error_msg)
            self.n_features_to_select_ = int(n_features * self.n_features_to_select)
        else:
            raise ValueError(error_msg)

        if self.direction not in ("forward", "backward"):
            raise ValueError(
                "direction must be either 'forward' or 'backward'. "
                f"Got {self.direction}."
            )

        cloned_estimator = clone(self.estimator)

        # the current mask corresponds to the set of features:
        # - that we have already *selected* if we do forward selection
        # - that we have already *excluded* if we do backward selection
        current_mask = np.zeros(shape=n_features, dtype=bool)
        n_iterations = (
            self.n_features_to_select_
            if self.n_features_to_select == "auto" or self.direction == "forward"
            else n_features - self.n_features_to_select_
        )

        old_score = -np.inf
        is_auto_select = self.tol is not None and self.n_features_to_select == "auto"
        for _ in range(n_iterations):
            new_feature_idx, new_score = self._get_best_new_feature_score(
                cloned_estimator, X, y,groups, current_mask
            )
            if is_auto_select and ((new_score - old_score) < self.tol):
                break

            old_score = new_score
            current_mask[new_feature_idx] = True

        if self.direction == "backward":
            current_mask = ~current_mask

        self.support_ = current_mask
        self.n_features_to_select_ = self.support_.sum()

        return self

3. sklearn库文件：sklearn\feature_selection_sequential.py中_get_best_new_feature_score()

    def _get_best_new_feature_score(self, estimator, X, y, groups,current_mask):
        # Return the best new feature and its score to add to the current_mask,
        # i.e. return the best new feature and its score to add (resp. remove)
        # when doing forward selection (resp. backward selection).
        # Feature will be added if the current score and past score are greater
        # than tol when n_feature is auto,
        candidate_feature_indices = np.flatnonzero(~current_mask)
        scores = {}
        for feature_idx in candidate_feature_indices:
            candidate_mask = current_mask.copy()
            candidate_mask[feature_idx] = True
            if self.direction == "backward":
                candidate_mask = ~candidate_mask
            X_new = X[:, candidate_mask]
            scores[feature_idx] = cross_val_score(
                estimator,
                X_new,
                y,
                groups,
                cv=self.cv,
                scoring=self.scoring,
                n_jobs=self.n_jobs,
            ).mean()
        new_feature_idx = max(scores, key=lambda feature_idx: scores[feature_idx])
        return new_feature_idx, scores[new_feature_idx]

4. sklearn库文件：sklearn\model_selection_validation.py中cross_val_score(),仅需修改下面的函数头，后边内容不需要调整

def cross_val_score(
    estimator,
    X,
    y=None,
    groups=None,
    *,
    scoring=None,
    cv=None,
    n_jobs=None,
    verbose=0,
    fit_params=None,
    pre_dispatch="2*n_jobs",
    error_score=np.nan,
):