本文主要介绍网格搜索、k折CV验证和嵌套CV验证(nested)
一、网格搜索
网格搜索的目的是对超参数调优,通过尝试列举所有超参数组合得到最好的模型best_estimator,使用best_estimator来做预测。
代码:
from sklearn import datasets
from sklearn.ensemble import RandomForestRegressor
from sklearn.model_selection import GridSearchCV
def run():
boston = datasets.load_boston()
X = boston['data']
y = boston['target']
print(X.shape, y.shape)
model = RandomForestRegressor()
n_estimators = [10, 20, 30]
max_depth = [10, 20, 30]
min_samples_split = [2, 4, 6]
param_grid = {'n_estimators': n_estimators, 'max_depth': max_depth, 'min_samples_split': min_samples_split}
grid = GridSearchCV(estimator=model, cv=3, param_grid=param_grid, scoring='neg_mean_absolute_error')
grid.fit(X, y)
print(grid.best_score_, grid.best_params_)
if __name__ == '__main__':
run()
二、k折CV验证
将训练数据分成k份,取其中一份作为验证集,其余k-1份作为训练集。重复k次,得到k个模型,每个模型都对测试集进行预测,将k个结果平均或者加权平均作为测试集最后预测结果,k个cv结果取平均作为最后cv结果。
代码:
import numpy as np
from sklearn.model_selection import KFold
from sklearn import datasets, metrics
from sklearn.ensemble import RandomForestRegressor
def run():
boston = datasets.load_boston()
X = boston['data']
y = boston['target']
print(X.shape, y.shape)
folds = KFold(n_splits=5, shuffle=True, random_state=42)
val_error = []
for _fold, (_train, _val) in enumerate(folds.split(X)):
print('Current fold:', _fold, end='\t')
x_train, y_train = X[_train], y[_train]
x_val, y_val = X[_val], y[_val]
model = RandomForestRegressor(n_estimators=16, max_depth=20, min_samples_split=2)
model.fit(x_train, y_train)
val_pred = model.predict(x_val)
error = metrics.mean_absolute_error(val_pred, y_val)
val_error.append(error)
print(', error:', error)
print('validation error:', np.mean(val_error), '+/-', np.std(val_error))
if __name__ == '__main__':
run()
三、嵌套CV验证
即将上面两种方式结合起来。
nested CV分为两层:
内层CV用来调优参数和选择模型
外层CV用来估计误差
代码:
import numpy as np
from sklearn.model_selection import KFold
from sklearn import datasets, metrics
from sklearn.ensemble import RandomForestRegressor
from sklearn.model_selection import GridSearchCV
import warnings
warnings.filterwarnings("ignore")
def run():
boston = datasets.load_boston()
X = boston['data']
y = boston['target']
print(X.shape, y.shape)
folds = KFold(n_splits=5, shuffle=True, random_state=42)
val_error = []
for _fold, (_train, _val) in enumerate(folds.split(X)):
print('Current fold:', _fold)
x_train, y_train = X[_train], y[_train]
x_val, y_val = X[_val], y[_val]
n_estimators = [10, 20, 30]
max_depth = [10, 20, 30]
min_samples_split = [2, 4, 6]
param_grid = {'n_estimators': n_estimators, 'max_depth': max_depth, 'min_samples_split': min_samples_split}
grid = GridSearchCV(estimator=RandomForestRegressor(), cv=3, param_grid=param_grid, scoring='neg_mean_absolute_error')
grid.fit(X, y)
print(grid.best_params_)
model = grid.best_estimator_
model.fit(x_train, y_train)
val_pred = model.predict(x_val)
error = metrics.mean_absolute_error(val_pred, y_val)
val_error.append(error)
print('error:', error)
print('validation error:', np.mean(val_error), '+/-', np.std(val_error))
if __name__ == '__main__':
run()
使用nested CV同时调优参数和选择不同模型(以下代码复制来自stack overflow:来源)
import numpy as np
import pandas as pd
from sklearn.datasets import load_iris
from sklearn.decomposition import KernelPCA
from sklearn.ensemble import RandomForestClassifier
from sklearn.model_selection import GridSearchCV, train_test_split
from sklearn.neighbors import KNeighborsClassifier
from sklearn.pipeline import Pipeline
from sklearn.preprocessing import StandardScaler
from sklearn.svm import SVC
iris_raw_data = load_iris()
iris_df = pd.DataFrame(np.c_[iris_raw_data.data, iris_raw_data.target],
columns=iris_raw_data.feature_names + ['target'])
iris_category_labels = {0:'setosa', 1:'versicolor', 2:'virginica'}
iris_df['species_name'] = iris_df['target'].apply(lambda l: iris_category_labels[int(l)])
features = ['sepal length (cm)', 'sepal width (cm)', 'petal length (cm)', 'petal width (cm)']
target = 'target'
X_train, X_test, y_train, y_test = train_test_split(iris_df[features], iris_df[target], test_size=.33)
pipe_knn = Pipeline(steps=[
('scaler', StandardScaler()),
('reduce_dim', KernelPCA(n_components=2)), # select feature 2 and 4
('clf', KNeighborsClassifier())
])
params_knn = dict(scaler=[None, StandardScaler()],
reduce_dim=[None, KernelPCA(n_components=2)],
clf__n_neighbors=[2, 5, 15])
grid_search_knn = GridSearchCV(pipe_knn, param_grid=params_knn)
pipe_svc = Pipeline(steps=[
('scaler', StandardScaler()),
('reduce_dim', KernelPCA(n_components=2)), # select feature 2 and 4
('clf', SVC())
])
params_svc = dict(scaler=[None, StandardScaler()],
reduce_dim=[None, KernelPCA(n_components=2)],
clf__C=[0.1, 1, 10, 100])
grid_search_svc = GridSearchCV(pipe_svc, param_grid=params_svc)
pipe_rf = Pipeline(steps=[
('clf', RandomForestClassifier())
])
params_rf = dict(clf__n_estimators=[10, 50, 100],
clf__min_samples_leaf=[2, 5, 10])
grid_search_rf = GridSearchCV(pipe_rf, param_grid=params_rf)
pipe_meta = Pipeline(steps=[('subpipes', pipe_knn)])
params_meta = dict(subpipes=[grid_search_svc, grid_search_knn, grid_search_rf])
grid_search_meta = GridSearchCV(pipe_meta, param_grid=params_meta)
grid_search_meta.fit(X_train, y_train)
print(grid_search_meta.best_estimator_)