金融模型python,金融风控（五）模型融合

简单加权平均融合

from xgboost import XGBClassifier

from sklearn.linear_model import LogisticRegression

from sklearn.ensemble import RandomForestClassifier, VotingClassifier

clf1 = LogisticRegression(random_state=1)

clf2 = RandomForestClassifier(random_state=1)

clf3 = XGBClassifier(learning_rate=0.1, n_estimators=150, max_depth=4, min_child_weight=2, subsample=0.7,objective='binary:logistic')

vclf = VotingClassifier(estimators=[('lr', clf1), ('rf', clf2), ('xgb', clf3)])

vclf = vclf .fit(x_train,y_train)

print(vclf .predict(x_test))

#加权投票

在VotingClassifier中加入参数 voting='soft', weights=[2, 1, 1]，weights用于调节基模型的权重

from xgboost import XGBClassifier

from sklearn.linear_model import LogisticRegression

from sklearn.ensemble import RandomForestClassifier, VotingClassifier

clf1 = LogisticRegression(random_state=1)

clf2 = RandomForestClassifier(random_state=1)

clf3 = XGBClassifier(learning_rate=0.1, n_estimators=150, max_depth=4, min_child_weight=2, subsample=0.7,objective='binary:logistic')

vclf = VotingClassifier(estimators=[('lr', clf1), ('rf', clf2), ('xgb', clf3)], voting='soft', weights=[2, 1, 1])

vclf = vclf .fit(x_train,y_train)

print(vclf .predict(x_test))

Stacking：

import warnings

warnings.filterwarnings('ignore')

import itertools

import numpy as np

import seaborn as sns

import matplotlib.pyplot as plt

import matplotlib.gridspec as gridspec

from sklearn import datasets

from sklearn.linear_model import LogisticRegression

from sklearn.neighbors import KNeighborsClassifier

from sklearn.naive_bayes import GaussianNB

from sklearn.ensemble import RandomForestClassifier

from mlxtend.classifier import StackingClassifier

from sklearn.model_selection import cross_val_score, train_test_split

from mlxtend.plotting import plot_learning_curves

from mlxtend.plotting import plot_decision_regions

# 以python自带的鸢尾花数据集为例

iris = datasets.load_iris()

X, y = iris.data[:, 1:3], iris.target

clf1 = KNeighborsClassifier(n_neighbors=1)

clf2 = RandomForestClassifier(random_state=1)

clf3 = GaussianNB()

lr = LogisticRegression()

sclf = StackingClassifier(classifiers=[clf1, clf2, clf3],

meta_classifier=lr)

label = ['KNN', 'Random Forest', 'Naive Bayes', 'Stacking Classifier']

clf_list = [clf1, clf2, clf3, sclf]

fig = plt.figure(figsize=(10,8))

gs = gridspec.GridSpec(2, 2)

grid = itertools.product([0,1],repeat=2)

clf_cv_mean = []

clf_cv_std = []

for clf, label, grd in zip(clf_list, label, grid):

scores = cross_val_score(clf, X, y, cv=5, scoring='accuracy')

print("Accuracy: %.2f (+/- %.2f) [%s]" %(scores.mean(), scores.std(), label))

clf_cv_mean.append(scores.mean())

clf_cv_std.append(scores.std())

clf.fit(X, y)

ax = plt.subplot(gs[grd[0], grd[1]])

fig = plot_decision_regions(X=X, y=y, clf=clf)

plt.title(label)

plt.show()

blending

// A code block

var foo = 'bar';

一级标题```

以python自带的鸢尾花数据集为例

data_0 = iris.data

data = data_0[:100,:]

target_0 = iris.target

target = target_0[:100]

#模型融合中基学习器

clfs = [LogisticRegression(),

RandomForestClassifier(),

ExtraTreesClassifier(),

GradientBoostingClassifier()]

#切分一部分数据作为测试集

X, X_predict, y, y_predict = train_test_split(data, target, test_size=0.3, random_state=914)

#切分训练数据集为d1,d2两部分

X_d1, X_d2, y_d1, y_d2 = train_test_split(X, y, test_size=0.5, random_state=914)

dataset_d1 = np.zeros((X_d2.shape[0], len(clfs)))

dataset_d2 = np.zeros((X_predict.shape[0], len(clfs)))

for j, clf in enumerate(clfs):

#依次训练各个单模型

clf.fit(X_d1, y_d1)

y_submission = clf.predict_proba(X_d2)[:, 1]

dataset_d1[:, j] = y_submission

#对于测试集，直接用这k个模型的预测值作为新的特征。

dataset_d2[:, j] = clf.predict_proba(X_predict)[:, 1]

print("val auc Score: %f" % roc_auc_score(y_predict, dataset_d2[:, j]))

#融合使用的模型

clf = GradientBoostingClassifier()

clf.fit(dataset_d1, y_d2)

y_submission = clf.predict_proba(dataset_d2)[:, 1]

print("Val auc Score of Blending: %f" % (roc_auc_score(y_predict, y_submission)))