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variable_selection_regression.py
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variable_selection_regression.py
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import sys
import numpy as np
from sklearn import datasets
from sklearn.preprocessing import StandardScaler
import matplotlib
matplotlib.use('Qt5Agg')
import matplotlib.pyplot as plt
from sklearn.model_selection import train_test_split
from pls_variable_select import PLSVariableSelector
def main(argv):
sample = datasets.load_diabetes()
print('samle.feature_names\n', sample.feature_names)
print('sample.data\n', sample.data.shape)
print('sample.target\n', sample.target.shape)
X = sample.data
Y = sample.target
### Preprocessing
xscaler = StandardScaler()
xscaler.fit(X)
X = xscaler.transform(X)
# preprocessX = xScaler.inverse_transform(preprocessX)
yscaler = StandardScaler()
Y = Y.reshape(-1, 1)
yscaler.fit(Y)
Y = yscaler.transform(Y)
Y = Y.reshape(-1)
### Extra validation set
x_calib, x_valid, y_calib, y_valid = train_test_split(X, Y, test_size=0.33)
cv = None
### 10-fold cross validation
# x_calib = X
# y_calib = Y
# x_valid = None
# y_valid = None
# cv = 10
fig = plt.figure(figsize=(16,9))
fig.canvas.manager.set_window_title(
"Find removal variables based on PLS coeff x variable Std, VIP, and sequential searching,\
and optimal variabled based on Successive Projection Algorithm"
)
fig.tight_layout()
plt.subplots_adjust(left=0.05, bottom=0.05, right=0.95, top=0.95, wspace=0.5, hspace=0.3)
print("### getRemovalIndicesByFixedScoreXStd ###")
variable_indices, mse, min_mse_index = PLSVariableSelector.getRemovalIndicesByFixedScoreXStd(
x_calib, y_calib, components=5, max_removal_variables=x_calib.shape[1],
xvalid=x_valid, yvalid=y_valid, cv=cv, loss='MSE', verbose=False
)
removeable_variable_indices = variable_indices[:min_mse_index]
print("Removeable Variable's Indices:\n", removeable_variable_indices)
optimal_variable_indices = np.array(set(range(x_calib.shape[1])) - set(removeable_variable_indices))
print("Optimal Variable's Indices:\n", optimal_variable_indices)
with plt.style.context(('ggplot')):
ax1 = plt.subplot2grid((2, 6), (0, 0), rowspan=1, colspan=2)
ax1.plot(mse, '-', color='blue', mfc='blue')
ax1.plot(min_mse_index, mse[min_mse_index], 'P', ms=10, mfc='red')
# ax1.set_xticks(range(0, len(mse)), [ str(x) for x in range(1, len(mse)+1)])
ax1.set_xlabel('# of removeable variables')
ax1.set_ylabel('Mean Square Error')
ax1.tick_params(axis='x')
ax1.tick_params(axis='y')
ax1.grid(True)
ax1.set_title('Fixed Weight (PLS Coeff x Variable Std)')
# ax1.text(0.5, np.max(mse), , color='r')
print("### getRemovalIndicesByUpdatingScoreXStd ###")
variable_indices, mse, min_mse_index = PLSVariableSelector.getRemovalIndicesByUpdatingScoreXStd(
x_calib, y_calib, components=5, max_removal_variables=x_calib.shape[1],
xvalid=x_valid, yvalid=y_valid, cv=cv, loss='MSE', verbose=False
)
removeable_variable_indices = variable_indices[:min_mse_index]
print("Removeable Variable's Indices:\n", removeable_variable_indices)
optimal_variable_indices = np.array(set(range(x_calib.shape[1])) - set(removeable_variable_indices))
print("Optimal Variable's Indices:\n", optimal_variable_indices)
with plt.style.context(('ggplot')):
ax1 = plt.subplot2grid((2, 6), (0, 2), rowspan=1, colspan=2)
ax1.plot(mse, '-', color='blue', mfc='blue')
ax1.plot(min_mse_index, mse[min_mse_index], 'P', ms=10, mfc='red')
# ax1.set_xticks(range(0, len(mse)), [ str(x) for x in range(1, len(mse)+1)])
ax1.set_xlabel('# of removeable variables')
ax1.set_ylabel('Mean Square Error')
ax1.tick_params(axis='x')
ax1.tick_params(axis='y')
ax1.grid(True)
ax1.set_title('Updating Weight (PLS Coeff x Variable Std)')
print("### getRemovalIndicesByFixedVariableImportanceInProjection ###")
variable_indices, mse, min_mse_index = PLSVariableSelector.getRemovalIndicesByFixedVariableImportanceInProjection(
x_calib, y_calib, components=5, max_removal_variables=x_calib.shape[1],
xvalid=x_valid, yvalid=y_valid, cv=cv, loss='MSE', verbose=False
)
removeable_variable_indices = variable_indices[:min_mse_index]
print("Removeable Variable's Indices:\n", removeable_variable_indices)
optimal_variable_indices = np.array(set(range(x_calib.shape[1])) - set(removeable_variable_indices))
print("Optimal Variable's Indices:\n", optimal_variable_indices)
with plt.style.context(('ggplot')):
ax1 = plt.subplot2grid((2, 6), (1, 0), rowspan=1, colspan=2)
ax1.plot(mse, '-', color='blue', mfc='blue')
ax1.plot(min_mse_index, mse[min_mse_index], 'P', ms=10, mfc='red')
# ax1.set_xticks(range(0, len(mse)), [ str(x) for x in range(1, len(mse)+1)])
ax1.set_xlabel('# of removeable variables')
ax1.set_ylabel('Mean Square Error')
ax1.tick_params(axis='x')
ax1.tick_params(axis='y')
ax1.grid(True)
ax1.set_title('Fixed Variable Importance in Projection')
print("### getRemovalIndicesByUpdatingVariableImportanceInProjection ###")
variable_indices, mse, min_mse_index = PLSVariableSelector.getRemovalIndicesByUpdatingVariableImportanceInProjection(
x_calib, y_calib, components=5, max_removal_variables=x_calib.shape[1],
xvalid=x_valid, yvalid=y_valid, cv=cv, loss='MSE', verbose=False
)
removeable_variable_indices = variable_indices[:min_mse_index]
print("Removeable Variable's Indices:\n", removeable_variable_indices)
optimal_variable_indices = np.array(set(range(x_calib.shape[1])) - set(removeable_variable_indices))
print("Optimal Variable's Indices:\n", optimal_variable_indices)
with plt.style.context(('ggplot')):
ax1 = plt.subplot2grid((2, 6), (1, 2), rowspan=1, colspan=2)
ax1.plot(mse, '-', color='blue', mfc='blue')
ax1.plot(min_mse_index, mse[min_mse_index], 'P', ms=10, mfc='red')
# ax1.set_xticks(range(0, len(mse)), [ str(x) for x in range(1, len(mse)+1)])
ax1.set_xlabel('# of removeable variables')
ax1.set_ylabel('Mean Square Error')
ax1.tick_params(axis='x')
ax1.tick_params(axis='y')
ax1.grid(True)
ax1.set_title('Updating Variable Importance in Projection')
print("### getRemovalIndicesBySequentialSearch ###")
variable_indices, mse, min_mse_index = PLSVariableSelector.getRemovalIndicesBySequentialSearch(
x_calib, y_calib, components=5, max_removal_variables=x_calib.shape[1],
xvalid=x_valid, yvalid=y_valid, cv=cv, loss='MSE', verbose=False
)
removeable_variable_indices = variable_indices[:min_mse_index]
print("Removeable Variable's Indices:\n", removeable_variable_indices)
optimal_variable_indices = np.array(set(range(x_calib.shape[1])) - set(removeable_variable_indices))
print("Optimal Variable's Indices:\n", optimal_variable_indices)
with plt.style.context(('ggplot')):
ax1 = plt.subplot2grid((2, 6), (0, 4), rowspan=1, colspan=2)
ax1.plot(mse, '-', color='blue', mfc='blue')
ax1.plot(min_mse_index, mse[min_mse_index], 'P', ms=10, mfc='red')
# ax1.set_xticks(range(0, len(mse)), [ str(x) for x in range(1, len(mse)+1)])
ax1.set_xlabel('# of removeable variables')
ax1.set_ylabel('Mean Square Error')
ax1.tick_params(axis='x')
ax1.tick_params(axis='y')
ax1.grid(True)
ax1.set_title('Sequential Searching for min MSE')
print("### getIndicesBySuccessiveProjectionAlgorithm ###")
variable_indices, mse, min_mse_index = PLSVariableSelector.getIndicesBySuccessiveProjectionAlgorithm(
x_calib, y_calib, min_variables=3, max_variables=x_calib.shape[1],
xvalid=x_valid, yvalid=y_valid, cv=cv, loss='MSE', verbose=False
)
optimal_variable_indices = variable_indices[:min_mse_index+1]
print("Optimal Variable's Indices:\n", optimal_variable_indices)
removeable_variable_indices = np.array(set(range(x_calib.shape[1])) - set(optimal_variable_indices))
print("Removeable Variable's Indices:\n", removeable_variable_indices)
with plt.style.context(('ggplot')):
ax1 = plt.subplot2grid((2, 6), (1, 4), rowspan=1, colspan=2)
ax1.plot(mse, '-', color='blue', mfc='blue')
ax1.plot(min_mse_index, mse[min_mse_index], 'P', ms=10, mfc='red')
ax1.set_xticks(range(0, len(mse)), [ str(x) for x in range(1, len(mse)+1)])
ax1.set_xlabel('# of Selected Variables')
ax1.set_ylabel('Mean Square Error')
ax1.tick_params(axis='x')
ax1.tick_params(axis='y')
# ax1.set_xlim(left=-1)
ax1.grid(True)
ax1.set_title('Successive Projection Algorithm')
plt.show()
return 0
if __name__ == '__main__':
sys.exit(main(sys.argv))