WIP: having exhaustive feature selector take a custom iterator as input #834

jonathan-taylor · 2021-06-22T07:37:08Z

Code of Conduct

A working candidate for #833

Description

Related issues or pull requests

Pull Request Checklist

Added a note about the modification or contribution to the ./docs/sources/CHANGELOG.md file (if applicable)
Added appropriate unit test functions in the ./mlxtend/*/tests directories (if applicable)
Modify documentation in the corresponding Jupyter Notebook under mlxtend/docs/sources/ (if applicable)
Ran PYTHONPATH='.' pytest ./mlxtend -sv and make sure that all unit tests pass (for small modifications, it might be sufficient to only run the specific test file, e.g., PYTHONPATH='.' pytest ./mlxtend/classifier/tests/test_stacking_cv_classifier.py -sv)
Checked for style issues by running flake8 ./mlxtend

pep8speaks · 2021-06-22T07:37:11Z

Hello @jonathan-taylor! Thanks for updating this PR. We checked the lines you've touched for PEP 8 issues, and found:

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Comment last updated at 2021-11-29 18:26:37 UTC

…uential as special cases; allows for categorical variables

Generic feature selector with categorical features and pd.DataFrame support

jonathan-taylor · 2021-10-05T04:43:25Z

Obviously some linting needed, but have generalized the sequential / exhaustive feature selector to allow for categorical and custom search strategies. The previous searches default to special cases now. Post-processing of search results still need implementing.

…sion (1sd rule)

rasbt · 2021-10-06T01:11:49Z

mlxtend/feature_selection/columns.py

+from sklearn.exceptions import NotFittedError
+
+
+class Column(NamedTuple):


There is currently no type checking implemented in mlxtend, but maybe one day, so why not being proactive (or in other words, thanks for adhering to potential future best practices :)).

rasbt · 2021-10-06T01:13:36Z

mlxtend/feature_selection/tests/test_generic_selector.py

+
+    strategy = min_max(X,
+                       max_features=4,
+                       fixed_features=[2,3])


There are some pep8 issues, but we can fix them later, no worries.

jonathan-taylor · 2021-10-06T01:23:50Z

The type checking is more just a declaration of what a strategy is at this point. Will work on PEP8 issues and also will try to have EFS and SFS use the generic one. I think EFS is straightforward, but SFS I have to understand the "floating" logic a little better -- I gather this is just "search both forward and backward" but somehow in self.subsets_ we only keep a given model of a fixed size -- is this meant to be the best model of a fixed size? Or maybe I still have the logic wrong.

________________________________ From: Sebastian Raschka ***@***.***> Sent: Tuesday, October 5, 2021 6:20 PM To: rasbt/mlxtend ***@***.***> Cc: Jonathan Taylor ***@***.***>; Mention ***@***.***> Subject: Re: [rasbt/mlxtend] WIP: having exhaustive feature selector take a custom iterator as input (#834) @rasbt commented on this pull request.

________________________________ In mlxtend/feature_selection/columns.py<#834 (comment)>:

@@ -0,0 +1,271 @@

+ +from typing import NamedTuple, Any +from copy import copy + +import numpy as np +from sklearn.base import clone +from sklearn.preprocessing import (OneHotEncoder, + OrdinalEncoder) +from sklearn.utils.validation import check_is_fitted +from sklearn.exceptions import NotFittedError + + +class Column(NamedTuple): There is currently no type checking implemented in mlxtend, but maybe one day, so why not being proactive (or in other words, thanks for adhering to potential future best practices :)).

________________________________ In mlxtend/feature_selection/tests/test_generic_selector.py<#834 (comment)>:

+

+have_pandas = True +try: + import pandas as pd +except ImportError: + have_pandas = False + +def test_exhaustive_selector(): + + n, p = 100, 5 + X = np.random.standard_normal((n, p)) + Y = np.random.standard_normal(n) + + strategy = min_max(X, + max_features=4, + fixed_features=[2,3]) There are some pep8 issues, but we can fix them later, no worries. — You are receiving this because you were mentioned. Reply to this email directly, view it on GitHub<#834 (review)>, or unsubscribe<https://github.com/notifications/unsubscribe-auth/AACTM23LRNTCT6Z7H3MLC6LUFOP5XANCNFSM47DDCTAA>. Triage notifications on the go with GitHub Mobile for iOS<https://apps.apple.com/app/apple-store/id1477376905?ct=notification-email&mt=8&pt=524675> or Android<https://play.google.com/store/apps/details?id=com.github.android&referrer=utm_campaign%3Dnotification-email%26utm_medium%3Demail%26utm_source%3Dgithub>.

rasbt · 2021-10-06T01:35:46Z

Thanks a lot for the PR, this is very exciting!

Big picture-wise, there are a few thoughts.

What do we do with the existing ExhaustiveFeatureSelector and SequentialFeatureSelector? We could deprecate them, that is, remove them from the documentation but leave them in the code for a few versions / years.
If we do deprecate the existing SFS, two missing features would be floating-forward and floating-backward. I think right now, via

    for direction in ['forward', 'backward', 'both']:
         strategy = step(X,
                         direction=direction,
                         max_features=p,
                         fixed_features=[2,3],
                         categorical_features=categorical_features)

it only supports the standard forward and backward. I assume that 'both' means it runs forward first and finds the best set. Then it runs backward (independently) to find the best set. Then, the best set is determined by comparing the results from forward and backward? This is actually a neat addition.

If we deprecate and add the floating variants, I think the only thing that we need to ensure is that it still remains compatible with scikit-learn pipelines and maybe GridSearchCV.

Amazing work, though. What you put together here is really exciting and impressive!

rasbt · 2021-10-06T01:49:45Z

I think EFS is straightforward, but SFS I have to understand the "floating" logic a little better -- I gather this is just "search both forward and backward" but somehow in self.subsets_ we only keep a given model of a fixed size -- is this meant to be the best model of a fixed size? Or maybe I still have the logic wrong.

Oh, I should have described this a bit better in the docs. In the floating forward variant, it allows you to delete a previously selected feature if it improves performance. In the floating backward variant, it allows you to add back a previously deleted feature.

Maybe it is easier to explain with a toy example.

Say we have a feature set [0, 1, 3, 4, 5] and we do sequential "floating" forward selection.

Round 1

Starting with the empty set [], we check all features and find that feature 1 is best:

Select feature 1 to be added to [ ]
Now we have the optional floating step where we can optionally delete a previously selected feature. Here, this does not apply because we only have the currently selected feature.
Return feature set [1]

Round 2

Starting with the set [1], we check all features and find that feature 4 is best:

Select feature 4 to be added to [1]
Optional floating step. Here, we can try removing 1 but this can be skipped, because it would be the same as selecting the 4 in the first place in the previous round. We can try removing it for simplicity though.
Return feature set [1, 4]

Round 3

Select feature 2 to be added to [1, 4].
Optional floating step. Here, we can try removing 1 or 4. Removing 4 can technically be skipped, because it would be the same as selecting the 2 in the first place in the previous round. We can try removing it for simplicity though. I.e., we try [1, 2], [2, 4].
return [1, 2, 4] (assuming it is better than [1, 2], [2, 4])

Round 4

Select feature 3 to be added to [1, 2, 4].
Optional floating step. Here, we can try removing 1, 2, or 4. We try [1, 2, 3], [1, 3, 4], [2, 3, 4].
return [1, 2, 3] (assuming it is better than [1, 3, 4], [2, 3, 4], [1, 2, 3, 4])

Note that we would not have selected [1, 2, 3] with regular forward selection. With regular forward selection, we would have had

[ ] -> [1] -> [1, 4] -> [1, 2, 4]

Or in other words, with regular forward selection, any feature set of length 3 would have included the value 4. However, in combination with other features, 4 may not be useful.

So, in practice, the floating forward variant allows us to test a few more combinations than the regular forward variant, without being as expensive as the exhaustive feature selection of course.

The floating backward variant works similar to the floating forward variant, except we are allowed to add a previously removed feature back.

jonathan-taylor · 2021-10-06T02:33:54Z

So it seems floating is as I thought. This is "both" - the stepwise will look to add or drop columns from current set. This is what "both" in R's step is. My issue with the logic was just somehow how you tracked the progress within self.subsets_ as there is no longer necessarily a single model of size 3, say. The generic one just stores every state visited. Get Outlook for Android<https://aka.ms/ghei36>

…

________________________________ From: Sebastian Raschka ***@***.***> Sent: Tuesday, October 5, 2021 6:49:56 PM To: rasbt/mlxtend ***@***.***> Cc: Jonathan Taylor ***@***.***>; Mention ***@***.***> Subject: Re: [rasbt/mlxtend] WIP: having exhaustive feature selector take a custom iterator as input (#834) I think EFS is straightforward, but SFS I have to understand the "floating" logic a little better -- I gather this is just "search both forward and backward" but somehow in self.subsets_ we only keep a given model of a fixed size -- is this meant to be the best model of a fixed size? Or maybe I still have the logic wrong. Oh, I should have described this a bit better in the docs. In the floating forward variant, it allows you to delete a previously selected feature if it improves performance. In the floating backward variant, it allows you to add back a previously deleted feature. Maybe it is easier to explain with a toy example. Say we have a feature set [0, 1, 3, 4, 5] and we do sequential "floating" forward selection. Round 1 Starting with the empty set [], we check all features and find that feature 1 is best: * Select feature 1 to be added to [ ] * Now we have the optional floating step where we can optionally delete a previously selected feature. Here, this does not apply because we only have the currently selected feature. * Return feature set [1] Round 2 Starting with the set [1], we check all features and find that feature 4 is best: * Select feature 4 to be added to [1] * Optional floating step. Here, we can try removing 1 but this can be skipped, because it would be the same as selecting the 4 in the first place in the previous round. We can try removing it for simplicity though. * Return feature set [1, 4] Round 3 * Select feature 2 to be added to [1, 4]. * Optional floating step. Here, we can try removing 1 or 4. Removing 4 can technically be skipped, because it would be the same as selecting the 2 in the first place in the previous round. We can try removing it for simplicity though. I.e., we try [1, 2], [2, 4]. * return [1, 2, 4] (assuming it is better than [1, 2], [2, 4]) Round 4 * Select feature 3 to be added to [1, 2, 4]. * Optional floating step. Here, we can try removing 1, 2, or 4. We try [1, 2, 3], [1, 3, 4], [2, 3, 4]. * return [1, 2, 3] (assuming it is better than [1, 3, 4], [2, 3, 4], [1, 2, 3, 4]) Note that we would not have selected [1, 2, 3] with regular forward selection. With regular forward selection, we would have had [ ] -> [1] -> [1, 4] -> [1, 2, 4] Or in other words, with regular forward selection, any feature set of length 3 would have included the value 4. However, in combination with other features, 4 may not be useful. So, in practice, the floating forward variant allows us to test a few more combinations than the regular forward variant, without being as expensive as the exhaustive feature selection of course. The floating backward variant works similar to the floating forward variant, except we are allowed to add a previously removed feature back. — You are receiving this because you were mentioned. Reply to this email directly, view it on GitHub<#834 (comment)>, or unsubscribe<https://github.com/notifications/unsubscribe-auth/AACTM22FMPR6UAAKBHH64ZTUFOTMJANCNFSM47DDCTAA>. Triage notifications on the go with GitHub Mobile for iOS<https://apps.apple.com/app/apple-store/id1477376905?ct=notification-email&mt=8&pt=524675> or Android<https://play.google.com/store/apps/details?id=com.github.android&referrer=utm_campaign%3Dnotification-email%26utm_medium%3Demail%26utm_source%3Dgithub>.

rasbt · 2021-10-06T13:18:22Z

Yeah, I think with the new version it will be way easier to track.

Regarding "both" there is a difference between floating-forward and floating-backward though. They can both give you different end results. I think "both" is currently doing floating-forward?

… have a model with no features (design==0)

rasbt · 2021-11-02T18:41:57Z

Thanks for the updates. Actually, some of the failing tests are related to sklearn 1.0. Due to bug fixes or changes, their have been very slight changes in some of the accuracy values, which will cause values when comparing the results on 3 positions after the decimal point. I am currently looking into this and will update the tests

jonathan-taylor · 2021-11-02T18:44:13Z

Got it. I am pretty comfortable with the state of the code, but I think more tests are needed on my end. It is possible to rewrite the two current estimators in this form. Do you think that's a high priority?

…

________________________________ From: Sebastian Raschka ***@***.***> Sent: Tuesday, November 2, 2021 11:42 AM To: rasbt/mlxtend ***@***.***> Cc: Jonathan Taylor ***@***.***>; Mention ***@***.***> Subject: Re: [rasbt/mlxtend] WIP: having exhaustive feature selector take a custom iterator as input (#834) Thanks for the updates. Actually, some of the failing tests are related to sklearn 1.0. Due to bug fixes or changes, their have been very slight changes in some of the accuracy values, which will cause values when comparing the results on 3 positions after the decimal point. I am currently looking into this and will update the tests — You are receiving this because you were mentioned. Reply to this email directly, view it on GitHub<#834 (comment)>, or unsubscribe<https://github.com/notifications/unsubscribe-auth/AACTM23DC62Z5USSFS7MGM3UKA5I7ANCNFSM47DDCTAA>. Triage notifications on the go with GitHub Mobile for iOS<https://apps.apple.com/app/apple-store/id1477376905?ct=notification-email&mt=8&pt=524675> or Android<https://play.google.com/store/apps/details?id=com.github.android&referrer=utm_campaign%3Dnotification-email%26utm_medium%3Demail%26utm_source%3Dgithub>.

rasbt · 2021-11-02T18:57:15Z

I am not sure how many people use the floating versions. One option could be to deprecate/remove them. We could maybe add a module mlxtend.legacy for that where we can keep the old sequential feature selection code for a while. However, I think think floating variants can be quite powerful. Just looking at the paper again (attached), here is a comparison of regular forward and backward selection compared to an exhaustive ("optimal") method:

1-s2.0-0167865594901279-main.pdf

Here it is compared to the floating version:

![Screen Shot 2021-11-02 at 1 52 06 PM](https://user-

images.githubusercontent.com/5618407/139927438-77579a31-6f2a-48ff-8820-8deecd7eb76e.png)

So I would say having SFFS (floating forward) and SFBS (floating backward) is useful. But I can understand if it is too much work in terms of rewriting all the code so having only one of the two is probably sufficient (given that performance is very close anyway)

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rasbt · 2021-11-29T18:28:07Z

Finally got around fixing the CI. Then, I was trying to rebase this PR but since it is not in a feature branch but in the master branch itself, I couldn't figure out how. I manually applied all the changes to this PR, and it appears I created quite a mess

rasbt · 2021-11-29T18:31:01Z

Actually not sure why the workflow CI doesn't run. It worked fine in another PR that I just closed a few minutes ago. Maybe it would be easiest to just close this PR, and make a new PR with the 4 files you had initially submitted, i.e,

columns.py
generic_selector.py
strategy.py
test_generic_selector.py

if you could do this in a separate feature branch instead of master, I think this would make things easier. Let me know if I can help with anything

WIP: having exhaustive feature selector take a custom iterator as input

cd8ecb9

jonathan-taylor mentioned this pull request Jun 22, 2021

Custom generator for models in exhaustive feature selector #833

Open

jonathan-taylor added 5 commits October 4, 2021 20:53

WIP: generic feature selector added; includes both exhaustive and seq…

425348a

…uential as special cases; allows for categorical variables

using a named tuple to describe the search strategy

4c76af3

utilities for extracting columns from a matrix or dataframe

2b174cb

reverting exhaustive to previous version

bf42afa

Merge pull request #1 from jonathan-taylor/categorical_features

0d236f9

Generic feature selector with categorical features and pd.DataFrame support

jonathan-taylor added 5 commits October 4, 2021 21:46

reverting tests to previous version

beca2d9

using _get_column with optional iloc for all direct column access

c19e4c1

some lint cleanup

72b6f55

added postprocess as part of strategy; implemented a parsimonious ver…

2d817d1

…sion (1sd rule)

making a new module for search strategy

6c98d6e

rasbt reviewed Oct 6, 2021

View reviewed changes

jonathan-taylor added 3 commits October 26, 2021 12:53

rename min_max to exhaustive

4482a65

added comparison to step for Boston data using neg_AIC to select; can…

d980387

… have a model with no features (design==0)

specializing stepwise to fixed number of steps, or first peak

2767ed8

fix ci

9a4907e

rasbt mentioned this pull request Nov 29, 2021

[WIP] Experiment: adding Jonathan's feat sele files #861

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rasbt mentioned this pull request Jan 4, 2022

SequentialFeatureSelector hyperparameter propagation doesn't work properly with GridSearch #813

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WIP: having exhaustive feature selector take a custom iterator as input #834

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		from sklearn.exceptions import NotFittedError


		class Column(NamedTuple):

WIP: having exhaustive feature selector take a custom iterator as input #834

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WIP: having exhaustive feature selector take a custom iterator as input #834

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Round 1

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Round 4

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