几个重要的lightgbm自定义损失函数和评测函数（包括F1 score等）

f1_score自定义损失函数及评测函数

def custom_f1_eval(y_true, y_pred):
    num_TP = 0
    num_pred = 0
    threshold = 0.5
    for i in range(len(y_true)):
        if y_pred >= threshold:
            num_pred += 1
            if y_true == 1:
                num_TP += 1
    precision = num_TP / num_pred
    recall = num_TP / len(y_true[y_true == 1])
    f1 = 2 * precision * recall / (precision + recall)
    return "f1", f1_mean, True

def f1_loss(y, pred):
    beta = 2
    p = 1. / (1 + np.exp(-pred))
    grad = p * ((beta - 1) * y + 1) - beta * y
    hess = ((beta - 1) * y + 1) * p * (1.0 - p)

    return grad, hess

f1_lossfe

使用方法：

   clf = LGBMClassifier(
        learning_rate=0.001,
        n_estimators=n_estimators,
        num_leaves=127, # 20, max_depth:5
        subsample=0.8,
        colsample_bytree=0.8,
        random_state=2019,
        #scale_pos_weight=50,
        metric=None,
    )
    clf.set_params(**{"objective": f1_loss})
    clf.fit(X_train, y_train, eval_set=[(X_test, y_test)], 
            eval_metric=lambda y_true, y_pred: [custom_f1_eval(y_true, y_pred)], 
            early_stopping_rounds=early_stopping_rounds, verbose=10)

参考网址：

（1）https://jonuknownothingsnow.github.io/2019/01/09/%E8%B0%90%E9%97%A8%E6%AD%A6%E5%AD%A6%EF%BC%9A%E4%BD%9C%E4%B8%BAloss%E5%87%BD%E6%95%B0%E7%9A%84F1-score/