关于xgboost的一些整理

XGBOOST的三大板块

XGBoost本身的核心是基于梯度提升树实现的集成算法，整体来说可以有三个核心部分：集成算法本身，用于集成的
弱评估器，以及应用中的其他过程。三个部分中，前两个部分包含了XGBoost的核心原理以及数学过程，最后的部分
主要是在XGBoost应用中占有一席之地。我们的课程会主要集中在前两部分，最后一部分内容将会在应用中少量给大
家提及。接下来，我们就针对这三个部分，来进行一一的讲解

from xgboost import XGBRegressor as XGBR
from sklearn.ensemble import RandomForestRegressor as RFR
from sklearn.linear_model import LinearRegression as LinearR
from sklearn.datasets import load_boston
from sklearn.model_selection import KFold,cross_val_score as CVS,train_test_split as TTS
from sklearn.metrics import mean_squared_error as MSE
import pandas as pd
import numpy as np
import os
import matplotlib.pyplot as plt
from time import time
import datetime

data = load_boston()

data

{'data': array([[6.3200e-03, 1.8000e+01, 2.3100e+00, ..., 1.5300e+01, 3.9690e+02,
         4.9800e+00],
        [2.7310e-02, 0.0000e+00, 7.0700e+00, ..., 1.7800e+01, 3.9690e+02,
         9.1400e+00],
        [2.7290e-02, 0.0000e+00, 7.0700e+00, ..., 1.7800e+01, 3.9283e+02,
         4.0300e+00],
        ...,
        [6.0760e-02, 0.0000e+00, 1.1930e+01, ..., 2.1000e+01, 3.9690e+02,
         5.6400e+00],
        [1.0959e-01, 0.0000e+00, 1.1930e+01, ..., 2.1000e+01, 3.9345e+02,
         6.4800e+00],
        [4.7410e-02, 0.0000e+00, 1.1930e+01, ..., 2.1000e+01, 3.9690e+02,
         7.8800e+00]]),
 'target': array([24. , 21.6, 34.7, 33.4, 36.2, 28.7, 22.9, 27.1, 16.5, 18.9, 15. ,
        18.9, 21.7, 20.4, 18.2, 19.9, 23.1, 17.5, 20.2, 18.2, 13.6, 19.6,
        15.2, 14.5, 15.6, 13.9, 16.6, 14.8, 18.4, 21. , 12.7, 14.5, 13.2,
        13.1, 13.5, 18.9, 20. , 21. , 24.7, 30.8, 34.9, 26.6, 25.3, 24.7,
        21.2, 19.3, 20. , 16.6, 14.4, 19.4, 19.7, 20.5, 25. , 23.4, 18.9,
        35.4, 24.7, 31.6, 23.3, 19.6, 18.7, 16. , 22.2, 25. , 33. , 23.5,
        19.4, 22. , 17.4, 20.9, 24.2, 21.7, 22.8, 23.4, 24.1, 21.4, 20. ,
        20.8, 21.2, 20.3, 28. , 23.9, 24.8, 22.9, 23.9, 26.6, 22.5, 22.2,
        23.6, 28.7, 22.6, 22. , 22.9, 25. , 20.6, 28.4, 21.4, 38.7, 43.8,
        33.2, 27.5, 26.5, 18.6, 19.3, 20.1, 19.5, 19.5, 20.4, 19.8, 19.4,
        21.7, 22.8, 18.8, 18.7, 18.5, 18.3, 21.2, 19.2, 20.4, 19.3, 22. ,
        20.3, 20.5, 17.3, 18.8, 21.4, 15.7, 16.2, 18. , 14.3, 19.2, 19.6,
        23. , 18.4, 15.6, 18.1, 17.4, 17.1, 13.3, 17.8, 14. , 14.4, 13.4,
        15.6, 11.8, 13.8, 15.6, 14.6, 17.8, 15.4, 21.5, 19.6, 15.3, 19.4,
        17. , 15.6, 13.1, 41.3, 24.3, 23.3, 27. , 50. , 50. , 50. , 22.7,
        25. , 50. , 23.8, 23.8, 22.3, 17.4, 19.1, 23.1, 23.6, 22.6, 29.4,
        23.2, 24.6, 29.9, 37.2, 39.8, 36.2, 37.9, 32.5, 26.4, 29.6, 50. ,
        32. , 29.8, 34.9, 37. , 30.5, 36.4, 31.1, 29.1, 50. , 33.3, 30.3,
        34.6, 34.9, 32.9, 24.1, 42.3, 48.5, 50. , 22.6, 24.4, 22.5, 24.4,
        20. , 21.7, 19.3, 22.4, 28.1, 23.7, 25. , 23.3, 28.7, 21.5, 23. ,
        26.7, 21.7, 27.5, 30.1, 44.8, 50. , 37.6, 31.6, 46.7, 31.5, 24.3,
        31.7, 41.7, 48.3, 29. , 24. , 25.1, 31.5, 23.7, 23.3, 22. , 20.1,
        22.2, 23.7, 17.6, 18.5, 24.3, 20.5, 24.5, 26.2, 24.4, 24.8, 29.6,
        42.8, 21.9, 20.9, 44. , 50. , 36. , 30.1, 33.8, 43.1, 48.8, 31. ,
        36.5, 22.8, 30.7, 50. , 43.5, 20.7, 21.1, 25.2, 24.4, 35.2, 32.4,
        32. , 33.2, 33.1, 29.1, 35.1, 45.4, 35.4, 46. , 50. , 32.2, 22. ,
        20.1, 23.2, 22.3, 24.8, 28.5, 37.3, 27.9, 23.9, 21.7, 28.6, 27.1,
        20.3, 22.5, 29. , 24.8, 22. , 26.4, 33.1, 36.1, 28.4, 33.4, 28.2,
        22.8, 20.3, 16.1, 22.1, 19.4, 21.6, 23.8, 16.2, 17.8, 19.8, 23.1,
        21. , 23.8, 23.1, 20.4, 18.5, 25. , 24.6, 23. , 22.2, 19.3, 22.6,
        19.8, 17.1, 19.4, 22.2, 20.7, 21.1, 19.5, 18.5, 20.6, 19. , 18.7,
        32.7, 16.5, 23.9, 31.2, 17.5, 17.2, 23.1, 24.5, 26.6, 22.9, 24.1,
        18.6, 30.1, 18.2, 20.6, 17.8, 21.7, 22.7, 22.6, 25. , 19.9, 20.8,
        16.8, 21.9, 27.5, 21.9, 23.1, 50. , 50. , 50. , 50. , 50. , 13.8,
        13.8, 15. , 13.9, 13.3, 13.1, 10.2, 10.4, 10.9, 11.3, 12.3,  8.8,
         7.2, 10.5,  7.4, 10.2, 11.5, 15.1, 23.2,  9.7, 13.8, 12.7, 13.1,
        12.5,  8.5,  5. ,  6.3,  5.6,  7.2, 12.1,  8.3,  8.5,  5. , 11.9,
        27.9, 17.2, 27.5, 15. , 17.2, 17.9, 16.3,  7. ,  7.2,  7.5, 10.4,
         8.8,  8.4, 16.7, 14.2, 20.8, 13.4, 11.7,  8.3, 10.2, 10.9, 11. ,
         9.5, 14.5, 14.1, 16.1, 14.3, 11.7, 13.4,  9.6,  8.7,  8.4, 12.8,
        10.5, 17.1, 18.4, 15.4, 10.8, 11.8, 14.9, 12.6, 14.1, 13. , 13.4,
        15.2, 16.1, 17.8, 14.9, 14.1, 12.7, 13.5, 14.9, 20. , 16.4, 17.7,
        19.5, 20.2, 21.4, 19.9, 19. , 19.1, 19.1, 20.1, 19.9, 19.6, 23.2,
        29.8, 13.8, 13.3, 16.7, 12. , 14.6, 21.4, 23. , 23.7, 25. , 21.8,
        20.6, 21.2, 19.1, 20.6, 15.2,  7. ,  8.1, 13.6, 20.1, 21.8, 24.5,
        23.1, 19.7, 18.3, 21.2, 17.5, 16.8, 22.4, 20.6, 23.9, 22. , 11.9]),
 'feature_names': array(['CRIM', 'ZN', 'INDUS', 'CHAS', 'NOX', 'RM', 'AGE', 'DIS', 'RAD',
        'TAX', 'PTRATIO', 'B', 'LSTAT'], dtype='<U7'),

X = data.data
Y = data.target

print('X',X.shape,'Y',Y.shape)

X (506, 13) Y (506,)

x_train,x_valid,y_train,y_valid = TTS(X,Y,test_size=0.3,random_state=420)

reg = XGBR(n_estimators = 100).fit(x_train,y_train)  #train

y_pred = reg.predict(x_valid)

reg.score(x_valid,y_valid)

0.9050988954757183

MSE(y_pred,y_valid)

8.830916470718748

reg.feature_importances_

array([0.01902167, 0.0042109 , 0.01478317, 0.00553536, 0.02222195,
       0.37914094, 0.01679687, 0.04698721, 0.04073574, 0.05491758,
       0.0668422 , 0.00869463, 0.32011184], dtype=float32)

试试交叉验证以及随机森林和lr的对比

# 交叉验证导入的都是没有经过fit的模型
reg = XGBR(n_estimators = 100)

CVS(reg,x_train,y_train,cv = 5).mean()

0.7995062802699481

#查看一下sklearn中所有的模型评估指标
import sklearn 
sorted(sklearn.metrics.SCORERS.keys())

['accuracy',
 'adjusted_mutual_info_score',
 'adjusted_rand_score',
 'average_precision',
 'balanced_accuracy',
 'completeness_score',
 'explained_variance',
 'f1',
 'f1_macro',
 'f1_micro',
 'f1_samples',
 'f1_weighted',
 'fowlkes_mallows_score',
 'homogeneity_score',
 'jaccard',
 'jaccard_macro',
 'jaccard_micro',
 'jaccard_samples',
 'jaccard_weighted',
 'max_error',
 'mutual_info_score',
 'neg_brier_score',
 'neg_log_loss',
 'neg_mean_absolute_error',
 'neg_mean_gamma_deviance',
 'neg_mean_poisson_deviance',
 'neg_mean_squared_error',
 'neg_mean_squared_log_error',
 'neg_median_absolute_error',
 'neg_root_mean_squared_error',
 'normalized_mutual_info_score',
 'precision',
 'precision_macro',
 'precision_micro',
 'precision_samples',
 'precision_weighted',
 'r2',
 'recall',
 'recall_macro',
 'recall_micro',
 'recall_samples',
 'recall_weighted',
 'roc_auc',
 'roc_auc_ovo',
 'roc_auc_ovo_weighted',
 'roc_auc_ovr',
 'roc_auc_ovr_weighted',
 'v_measure_score']

使用随机森林和lr进行对比

clf = RFR(n_estimators=100)
CVS(clf,x_train,y_train,cv = 5).mean()

0.7973593265910643

clf = LinearR()
CVS(clf,x_train,y_train,cv = 5).mean()

0.6835070597278079

4.定义绘制以训练样本数为横坐标的学习曲线的函数

def plot_learning_curve(estimator,title,X,y,ax = None,#选择子图
                        ylim = None,#设置纵坐标取值范围
                        cv = None,#交叉验证
                        n_jobs = None#设定所要使用的线程
                       ):
    from sklearn.model_selection import learning_curve
    train_sizes,train_scores,test_scores = learning_curve(estimator,X,y,shuffle = True,cv = cv,random_state=2020,n_jobs = n_jobs)
    if ax == None:
        ax = plt.gca()
    else:
        ax = plt.figure()
    ax.set_title(title)
    if ylim is not None:
        ax.set_ylim(*ylim)
    ax.set_xlabel('Training examples')
    ax.set_ylabel('Score')
    ax.grid()#绘制表格，不是必须
    ax.plot(train_sizes,np.mean(train_scores,axis = 1),'o-',color='r',label='Training score')
    ax.plot(train_sizes,np.mean(test_scores,axis = 1),'o-',color='g',label='Test score')
    ax.legend(loc = 'best')
    return ax  

cv = KFold(n_splits=5, shuffle = True, random_state=42) #交叉验证模式

plot_learning_curve(XGBR(n_estimators = 100,random_state = 2020),'XGB',x_train,y_train,ax = None,cv = cv)

axisx = range(10,1010,50)
rs = []
for i in axisx:
    reg = XGBR(n_estimators = i,random_state = 2020)
    rs.append(CVS(reg,x_train,y_train,cv =cv).mean())
print(axisx[rs.index(max(rs))],max(rs))
plt.figure(figsize = (20,5))
plt.plot(axisx,rs,c = 'red',label = 'XGB')
plt.legend()
plt.show()

60 0.8160306064219636

7.进化的学习曲线：方差与泛化误差

一个集成模型(f)在未知数据集（D）上的泛化误差E(f;D),由方差(var)，偏差(bais)和噪声共同决定。其中偏差就是训练集上的拟合程度决定，
方差是模型的稳定性决定，噪音是不可控的。而泛化误差越小，模型就越理想。

# %%time
# axisx = range(50,1050,50)
# rs = []
# var = []
# ge = []
# for i in axisx:
#     reg = XGBR(n_estimators = i,random_state = 2020)
#     cvresult = CVS(reg,x_train,y_train,cv = cv)
#     # 1。记录偏差
#     rs.append(cvresult.mean())
# #     2.记录方差
#     var.append(cvresult.var())
# #     3.计算泛化误差的可控部分
#     ge.append(cvresult.mean()**2+cvresult.var())
# #     打印R平方所对应最高的参数取值
# print(axisx[rs.index(max(rs))],max(rs),var[rs.index(max(rs))])
# # 打印方差最低时所对应的参数取值，并打印这个参数下的R平方
# print(axisx[var.index(min(var))],rs[var.index(min(var))],min(var))
# # 打印泛化误差可控部分的参数取值，并打印这个参数的R平方，方差以及泛化误差的可控部分
# print(axisx[ge.index(min(ge))],rs[ge.index(min(ge))],var[ge.index(min(ge))],min(ge))
# plt.figure(figsize = (20,5))
# plt.plot(axisx,rs,c = 'red',label='XGB')
# plt.legend()
# plt.show()
#======【TIME WARNING: 20s】=======#
axisx = range(50,1050,50)
rs = []
var = []
ge = []
for i in axisx:
    reg = XGBR(n_estimators=i,random_state=420)
    cvresult = CVS(reg,x_train,y_train,cv=cv)
    #记录1-偏差
    rs.append(cvresult.mean())
    #记录方差
    var.append(cvresult.var())
    #计算泛化误差的可控部分
    ge.append((1 - cvresult.mean())**2+cvresult.var())
#打印R2最高所对应的参数取值，并打印这个参数下的方差
print(axisx[rs.index(max(rs))],max(rs),var[rs.index(max(rs))])
#打印方差最低时对应的参数取值，并打印这个参数下的R2
print(axisx[var.index(min(var))],rs[var.index(min(var))],min(var))
#打印泛化误差可控部分的参数取值，并打印这个参数下的R2，方差以及泛化误差的可控部分
print(axisx[ge.index(min(ge))],rs[ge.index(min(ge))],var[ge.index(min(ge))],min(ge))
plt.figure(figsize=(20,5))
plt.plot(axisx,rs,c="red",label="XGB"