该案例主要包含着:
1、不平衡样本的采样方法
2、sklearn中进行模型训练的整个过程(从单一模块组合到优化方法都包括了)
import pandas as pd
import matplotlib.pyplot as plt
import numpy as np
%matplotlib inline
data = pd.read_csv("creditcard.csv")
data.head()
Time | V1 | V2 | V3 | V4 | V5 | V6 | V7 | V8 | V9 | … | V21 | V22 | V23 | V24 | V25 | V26 | V27 | V28 | Amount | Class | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
0 | 0.0 | -1.359807 | -0.072781 | 2.536347 | 1.378155 | -0.338321 | 0.462388 | 0.239599 | 0.098698 | 0.363787 | … | -0.018307 | 0.277838 | -0.110474 | 0.066928 | 0.128539 | -0.189115 | 0.133558 | -0.021053 | 149.62 | 0 |
5 rows × 31 columns
一、 按照类别统计数目,观察样本是否平衡
count_classes = pd.value_counts(data['Class'], sort = True).sort_index()
count_classes.plot(kind = 'bar')
plt.title("Fraud class histogram")
plt.xlabel("Class")
plt.ylabel("Frequency")
二、规约化震荡数据,生成新的特征
from sklearn.preprocessing import StandardScaler
data['normAmount'] = StandardScaler().fit_transform(data['Amount'].reshape(-1, 1))
data = data.drop(['Time','Amount'],axis=1)
data.head()
V1 | V2 | V3 | V4 | V5 | V6 | V7 | V8 | V9 | V10 | … | V21 | V22 | V23 | V24 | V25 | V26 | V27 | V28 | Class | normAmount | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
0 | -1.359807 | -0.072781 | 2.536347 | 1.378155 | -0.338321 | 0.462388 | 0.239599 | 0.098698 | 0.363787 | 0.090794 | … | -0.018307 | 0.277838 | -0.110474 | 0.066928 | 0.128539 | -0.189115 | 0.133558 | -0.021053 | 0 | 0.244964 |
5 rows × 30 columns
下采样过程(始终关注于下标)
X = data.ix[:, data.columns != 'Class']
y = data.ix[:, data.columns == 'Class']
# Number of data points in the minority class
number_records_fraud = len(data[data.Class == 1])
fraud_indices = np.array(data[data.Class == 1].index)
# Picking the indices of the normal classes
normal_indices = data[data.Class == 0].index
# Out of the indices we picked, randomly select "x" number (number_records_fraud)
random_normal_indices = np.random.choice(normal_indices, number_records_fraud, replace = False)
random_normal_indices = np.array(random_normal_indices)
# Appending the 2 indices
under_sample_indices = np.concatenate([fraud_indices,random_normal_indices])
# Under sample dataset
under_sample_data = data.iloc[under_sample_indices,:]
X_undersample = under_sample_data.ix[:, under_sample_data.columns != 'Class']
y_undersample = under_sample_data.ix[:, under_sample_data.columns == 'Class']
# Showing ratio
print("Percentage of normal transactions: ", len(under_sample_data[under_sample_data.Class == 0])/len(under_sample_data))
print("Percentage of fraud transactions: ", len(under_sample_data[under_sample_data.Class == 1])/len(under_sample_data))
print("Total number of transactions in resampled data: ", len(under_sample_data))
三、数据集切分
from sklearn.cross_validation import train_test_split
# Whole dataset
X_train, X_test, y_train, y_test = train_test_split(X,y,test_size = 0.3, random_state = 0)
print("Number transactions train dataset: ", len(X_train))
print("Number transactions test dataset: ", len(X_test))
print("Total number of transactions: ", len(X_train)+len(X_test))
# Undersampled dataset
X_train_undersample, X_test_undersample, y_train_undersample, y_test_undersample = train_test_split(X_undersample
,y_undersample
,test_size = 0.3
,random_state = 0)
print("")
print("Number transactions train dataset: ", len(X_train_undersample))
print("Number transactions test dataset: ", len(X_test_undersample))
print("Total number of transactions: ", len(X_train_undersample)+len(X_test_undersample))
('Number transactions train dataset: ', 199364)
('Number transactions test dataset: ', 85443)
('Total number of transactions: ', 284807)
('Number transactions train dataset: ', 688)
('Number transactions test dataset: ', 296)
('Total number of transactions: ', 984)
#Recall = TP/(TP+FN)
from sklearn.linear_model import LogisticRegression
from sklearn.cross_validation import KFold, cross_val_score
from sklearn.model_selection import cross_validate
from sklearn.metrics import confusion_matrix,recall_score,classification_report
三、(1)传统的模型选择方法
def select_model_by_traditional(x_train_data,y_train_data):
fold = KFold(len(y_train_data),5,shuffle = False)
# Different C parameters
c_param_range = [0.01,0.1,1,10,100]
results_table = pd.DataFrame(index = range(len(c_param_range),2), columns = ['C_parameter','Mean recall score'])
# the k-fold will give 2 lists: train_indices = indices[0], test_indices = indices[1]
j = 0
for c_param in c_param_range:
print('-------------------------------------------')
print('C parameter: ', c_param)
print('-------------------------------------------')
print('')
recall_accs = []
# enumerate(a,b)
# list1 = ["这", "是", "一个", "测试"]
#for index, item in enumerate(list1, 1):
#print index, item
#1 这
#2 是
#3 一个
for iteration, indices in enumerate(fold,start=1):
lr = LogisticRegression(C = c_param, penalty = 'l1')
# Use the training data to fit the model. In this case, we use the portion of the fold to train the model
# with indices[0]. We then predict on the portion assigned as the 'test cross validation' with indices[1]
lr.fit(x_train_data.iloc[indices[0],:],y_train_data.iloc[indices[0],:].values.ravel())
# Predict values using the test indices in the training data
y_pred_undersample = lr.predict(x_train_data.iloc[indices[1],:].values)
# Calculate the recall score and append it to a list for recall scores representing the current c_parameter
recall_acc = recall_score(y_train_data.iloc[indices[1],:].values,y_pred_undersample)
recall_accs.append(recall_acc)
print('Iteration ', iteration,': recall score = ', recall_acc)
# The mean value of those recall scores is the metric we want to save and get hold of.
results_table.loc[j,'C_parameter'] = c_param
results_table.loc[j,'Mean recall score'] = np.mean(recall_accs)
print results_table.iloc[j]
j += 1
print('')
print('Mean recall score ', np.mean(recall_accs))
print('')
best_c = results_table.iloc[results_table['Mean recall score'].idxmax()]['C_parameter']
# Finally, we can check which C parameter is the best amongst the chosen.
print('*********************************************************************************')
print('Best model to choose from cross validation is with C parameter = ', best_c)
print('*********************************************************************************')
return best_c
best_c = select_model_by_traditional(X_train_undersample,y_train_undersample)
-------------------------------------------
('C parameter: ', 0.01)
-------------------------------------------
('Iteration ', 1, ': recall score = ', 0.93150684931506844)
('Iteration ', 2, ': recall score = ', 0.9178082191780822)
('Iteration ', 3, ': recall score = ', 1.0)
('Iteration ', 4, ': recall score = ', 0.97297297297297303)
('Iteration ', 5, ': recall score = ', 0.95454545454545459)
C_parameter 0.01
Mean recall score 0.955367
Name: 0, dtype: object
('Mean recall score ', 0.95536669920231565)
-------------------------------------------
('C parameter: ', 0.1)
-------------------------------------------
('Iteration ', 1, ': recall score = ', 0.84931506849315064)
('Iteration ', 2, ': recall score = ', 0.86301369863013699)
('Iteration ', 3, ': recall score = ', 0.94915254237288138)
('Iteration ', 4, ': recall score = ', 0.94594594594594594)
('Iteration ', 5, ': recall score = ', 0.90909090909090906)
C_parameter 0.1
Mean recall score 0.903304
Name: 1, dtype: object
('Mean recall score ', 0.90330363290660487)
-------------------------------------------
('C parameter: ', 1)
-------------------------------------------
('Iteration ', 1, ': recall score = ', 0.84931506849315064)
('Iteration ', 2, ': recall score = ', 0.87671232876712324)
('Iteration ', 3, ': recall score = ', 0.98305084745762716)
('Iteration ', 4, ': recall score = ', 0.94594594594594594)
('Iteration ', 5, ': recall score = ', 0.90909090909090906)
C_parameter 1
Mean recall score 0.912823
Name: 2, dtype: object
('Mean recall score ', 0.91282301995095116)
-------------------------------------------
('C parameter: ', 10)
-------------------------------------------
('Iteration ', 1, ': recall score = ', 0.86301369863013699)
('Iteration ', 2, ': recall score = ', 0.87671232876712324)
('Iteration ', 3, ': recall score = ', 0.98305084745762716)
('Iteration ', 4, ': recall score = ', 0.94594594594594594)
('Iteration ', 5, ': recall score = ', 0.90909090909090906)
C_parameter 10
Mean recall score 0.915563
Name: 3, dtype: object
('Mean recall score ', 0.91556274597834852)
-------------------------------------------
('C parameter: ', 100)
-------------------------------------------
('Iteration ', 1, ': recall score = ', 0.86301369863013699)
('Iteration ', 2, ': recall score = ', 0.87671232876712324)
('Iteration ', 3, ': recall score = ', 0.98305084745762716)
('Iteration ', 4, ': recall score = ', 0.94594594594594594)
('Iteration ', 5, ': recall score = ', 0.90909090909090906)
C_parameter 100
Mean recall score 0.915563
Name: 4, dtype: object
('Mean recall score ', 0.91556274597834852)
*********************************************************************************
('Best model to choose from cross validation is with C parameter = ', 0.01)
*********************************************************************************
(2)通过cross_validate进行模型选择
def select_model_by_cross_validate(x_train_data,y_train_data):
fold = KFold(len(y_train_data),5,shuffle = False)
# Different C parameters
c_param_range = [0.01,0.1,1,10]
result_table = pd.DataFrame(index=range(len(c_param_range),2),columns=['C_parameter','Recall_score'])
i=0
for c_param in c_param_range:
print('-------------------------------------------')
print('C parameter: ', c_param)
print('-------------------------------------------')
print('')
lr = LogisticRegression(C = c_param,penalty='l1')
# 核心方法
scores = cross_validate(lr,x_train_data,y_train_data,scoring='recall',cv=fold,return_train_score=False)
mean_score = np.array(sorted(scores['test_score'])).mean()
print mean_score
result_table.loc[i,'C_parameter'] = c_param
result_table.loc[i,'Recall_score'] = mean_score
i+=1
best_sc = result_table.iloc[result_table['Recall_score'].idxmax()]['C_parameter']
#print result_table.head()
print ("the best C is",best_sc)
return best_sc
select_model_by_cross_validate(X_train_undersample,y_train_undersample)
-------------------------------------------
('C parameter: ', 0.01)
-------------------------------------------
0.955366699202
-------------------------------------------
('C parameter: ', 0.1)
-------------------------------------------
0.903303632907
-------------------------------------------
('C parameter: ', 1)
-------------------------------------------
0.912823019951
-------------------------------------------
('C parameter: ', 10)
-------------------------------------------
0.915562745978
('the best C is', 0.01)
0.01
(3)使用GridSearchCV()
from sklearn.model_selection import GridSearchCV
def select_model_by_gridSearchCV(x_train_data,y_train_data):
fold = KFold(len(y_train_data),5,shuffle = False)
c_param_range = {'C':[0.01,0.1,1,10]}
lr = LogisticRegression(penalty='l1')
grid = GridSearchCV(lr, c_param_range, cv=fold, scoring="recall")
grid.fit(x_train_data, y_train_data)
print grid.best_score_ #查看最佳分数(此处为f1_score)
print grid.best_params_
print grid.best_estimator_
return grid.best_params_
select_model_by_gridSearchCV(X_train_undersample,y_train_undersample)
0.955342302358
{'C': 0.01}
LogisticRegression(C=0.01, class_weight=None, dual=False, fit_intercept=True,intercept_scaling=1, max_iter=100, multi_class='ovr', n_jobs=1,penalty='l1', random_state=None, solver='liblinear', tol=0.0001,verbose=0, warm_start=False)
{'C': 0.01}
四、绘制混淆矩阵
我们观察混淆矩阵的时候关注于准确率和精度,也就是混淆矩阵右上角的值。
#draw the confusion_matrix
def plot_confusion_matrix(cm, classes,
title='Confusion matrix',
cmap=plt.cm.Blues):
"""
This function prints and plots the confusion matrix.
"""
plt.imshow(cm, interpolation='nearest', cmap=cmap)
plt.title(title)
plt.colorbar()
tick_marks = np.arange(len(classes))
plt.xticks(tick_marks, classes, rotation=0)
plt.yticks(tick_marks, classes)
thresh = cm.max() / 2.
for i, j in itertools.product(range(cm.shape[0]), range(cm.shape[1])):
plt.text(j, i, cm[i, j],
horizontalalignment="center",
color="white" if cm[i, j] > thresh else "black")
plt.tight_layout()
plt.ylabel('True label')
plt.xlabel('Predicted label')
绘制混淆矩阵
import itertools
lr = LogisticRegression(C = best_c, penalty = 'l1')
lr.fit(X_train_undersample,y_train_undersample.values.ravel())
y_pred_undersample = lr.predict(X_test_undersample.values)
# Compute confusion matrix
cnf_matrix = confusion_matrix(y_test_undersample,y_pred_undersample)
np.set_printoptions(precision=2)
print("Recall metric in the testing dataset: ", cnf_matrix[1,1]/(cnf_matrix[1,0]+cnf_matrix[1,1]))
# Plot non-normalized confusion matrix
class_names = [0,1]
plt.figure()
plot_confusion_matrix(cnf_matrix
, classes=class_names
, title='Confusion matrix')
plt.show()
Recall metric in the testing dataset: 0.931972789116
best_c = printing_Kfold_scores(X_train,y_train)
-------------------------------------------
C parameter: 0.01
-------------------------------------------
Iteration 1 : recall score = 0.492537313433
Iteration 2 : recall score = 0.602739726027
Iteration 3 : recall score = 0.683333333333
Iteration 4 : recall score = 0.569230769231
Iteration 5 : recall score = 0.45
Mean recall score 0.559568228405
-------------------------------------------
C parameter: 0.1
-------------------------------------------
Iteration 1 : recall score = 0.567164179104
Iteration 2 : recall score = 0.616438356164
Iteration 3 : recall score = 0.683333333333
Iteration 4 : recall score = 0.584615384615
Iteration 5 : recall score = 0.525
Mean recall score 0.595310250644
-------------------------------------------
C parameter: 1
-------------------------------------------
Iteration 1 : recall score = 0.55223880597
Iteration 2 : recall score = 0.616438356164
Iteration 3 : recall score = 0.716666666667
Iteration 4 : recall score = 0.615384615385
Iteration 5 : recall score = 0.5625
Mean recall score 0.612645688837
-------------------------------------------
C parameter: 10
-------------------------------------------
Iteration 1 : recall score = 0.55223880597
Iteration 2 : recall score = 0.616438356164
Iteration 3 : recall score = 0.733333333333
Iteration 4 : recall score = 0.615384615385
Iteration 5 : recall score = 0.575
Mean recall score 0.61847902217
-------------------------------------------
C parameter: 100
-------------------------------------------
Iteration 1 : recall score = 0.55223880597
Iteration 2 : recall score = 0.616438356164
Iteration 3 : recall score = 0.733333333333
Iteration 4 : recall score = 0.615384615385
Iteration 5 : recall score = 0.575
Mean recall score 0.61847902217
*********************************************************************************
Best model to choose from cross validation is with C parameter = 10.0
*********************************************************************************
五、返回概率值并设置阈值,通过设置阈值来进行分类划分。
lr = LogisticRegression(C = 0.01, penalty = 'l1')
lr.fit(X_train_undersample,y_train_undersample.values.ravel())
y_pred_undersample_proba = lr.predict_proba(X_test_undersample.values)
thresholds = [0.1,0.2,0.3,0.4,0.5,0.6,0.7,0.8,0.9]
plt.figure(figsize=(10,10))
j = 1
for i in thresholds:
y_test_predictions_high_recall = y_pred_undersample_proba[:,1] > i
plt.subplot(3,3,j)
j += 1
# Compute confusion matrix
cnf_matrix = confusion_matrix(y_test_undersample,y_test_predictions_high_recall)
np.set_printoptions(precision=2)
print("Recall metric in the testing dataset: ", cnf_matrix[1,1]/(cnf_matrix[1,0]+cnf_matrix[1,1]))
# Plot non-normalized confusion matrix
class_names = [0,1]
plot_confusion_matrix(cnf_matrix
, classes=class_names
, title='Threshold >= %s'%i)
Recall metric in the testing dataset: 1.0
Recall metric in the testing dataset: 1.0
Recall metric in the testing dataset: 1.0
Recall metric in the testing dataset: 0.986394557823
Recall metric in the testing dataset: 0.931972789116
Recall metric in the testing dataset: 0.884353741497
Recall metric in the testing dataset: 0.836734693878
Recall metric in the testing dataset: 0.748299319728
Recall metric in the testing dataset: 0.571428571429
上采样
MOTE算法讲解博文:
import pandas as pd
from imblearn.over_sampling import SMOTE
from sklearn.ensemble import RandomForestClassifier
from sklearn.metrics import confusion_matrix
from sklearn.model_selection import train_test_split
credit_cards=pd.read_csv('creditcard.csv')
columns=credit_cards.columns
# The labels are in the last column ('Class'). Simply remove it to obtain features columns
features_columns=columns.delete(len(columns)-1)
features=credit_cards[features_columns]
labels=credit_cards['Class']
features_train, features_test, labels_train, labels_test = train_test_split(features,
labels,
test_size=0.2,
random_state=0)
oversampler=SMOTE(random_state=0)
os_features,os_labels=oversampler.fit_sample(features_train,labels_train)
len(os_labels[os_labels==1])
227454
os_features = pd.DataFrame(os_features)
os_labels = pd.DataFrame(os_labels)
best_c = printing_Kfold_scores(os_features,os_labels)
-------------------------------------------
C parameter: 0.01
-------------------------------------------
Iteration 1 : recall score = 0.890322580645
Iteration 2 : recall score = 0.894736842105
Iteration 3 : recall score = 0.968861347792
Iteration 4 : recall score = 0.957595541926
Iteration 5 : recall score = 0.958430881173
Mean recall score 0.933989438728
-------------------------------------------
C parameter: 0.1
-------------------------------------------
Iteration 1 : recall score = 0.890322580645
Iteration 2 : recall score = 0.894736842105
Iteration 3 : recall score = 0.970410534469
Iteration 4 : recall score = 0.959980655302
Iteration 5 : recall score = 0.960178498807
Mean recall score 0.935125822266
-------------------------------------------
C parameter: 1
-------------------------------------------
Iteration 1 : recall score = 0.890322580645
Iteration 2 : recall score = 0.894736842105
Iteration 3 : recall score = 0.970454796946
Iteration 4 : recall score = 0.96014552489
Iteration 5 : recall score = 0.960596168431
Mean recall score 0.935251182603
-------------------------------------------
C parameter: 10
-------------------------------------------
Iteration 1 : recall score = 0.890322580645
Iteration 2 : recall score = 0.894736842105
Iteration 3 : recall score = 0.97065397809
Iteration 4 : recall score = 0.960343368396
Iteration 5 : recall score = 0.960530220596
Mean recall score 0.935317397966
-------------------------------------------
C parameter: 100
-------------------------------------------
Iteration 1 : recall score = 0.890322580645
Iteration 2 : recall score = 0.894736842105
Iteration 3 : recall score = 0.970543321899
Iteration 4 : recall score = 0.960211472725
Iteration 5 : recall score = 0.960903924995
Mean recall score 0.935343628474
*********************************************************************************
Best model to choose from cross validation is with C parameter = 100.0
*********************************************************************************
lr = LogisticRegression(C = best_c, penalty = 'l1')
lr.fit(os_features,os_labels.values.ravel())
y_pred = lr.predict(features_test.values)
# Compute confusion matrix
cnf_matrix = confusion_matrix(labels_test,y_pred)
np.set_printoptions(precision=2)
print("Recall metric in the testing dataset: ", cnf_matrix[1,1]/(cnf_matrix[1,0]+cnf_matrix[1,1]))
# Plot non-normalized confusion matrix
class_names = [0,1]
plt.figure()
plot_confusion_matrix(cnf_matrix
, classes=class_names
, title='Confusion matrix')
plt.show()
Recall metric in the testing dataset: 0.90099009901