diff --git a/.github/workflows/build.yml b/.github/workflows/build.yml index 74c35af..1388c4d 100644 --- a/.github/workflows/build.yml +++ b/.github/workflows/build.yml @@ -7,7 +7,7 @@ jobs: runs-on: ubuntu-latest strategy: matrix: - python-version: ["3.6", "3.7"] + python-version: ["3.9"] steps: - uses: actions/checkout@v2 diff --git a/README.md b/README.md index 0fa16d9..1fc77c5 100644 --- a/README.md +++ b/README.md @@ -77,6 +77,41 @@ opt_param = env_wise_hyper_opt(training_data[features + [time_column]], Don't simply use a timestamp column from the dataset, make it discrete before and guarantee there is a reasonable amount of data points in every period. Example: use year if you have 3+ years of data. Notice the choice to make it discrete becomes a modeling choice you can optimize. +### Random segments + +#### Selecting randomly from multiple time columns +The user can use a list instead of a string as the `time_column` argument. The model will select randomly from it when building every estimator from the defined `n_estimators`. + +```python +from time_robust_forest.models import TimeForestClassifier + +features = ["x_1", "x_2"] +time_columns = ["periods", "periods_2"] +target = "y" + +model = TimeForestClassifier(time_column=time_columns) + +model.fit(training_data[features + time_columns], training_data[target]) +predictions = model.predict_proba(test_data[features])[:, 1] +``` + +#### Generating random segments from a timestamp column + +The user can define a maximum number of segments (`random_segments`) and the model will split the data using the time stamp information. In the following example, the model segments the data in 1, 2, 3... 10 parts. For every estimator, it picks randomly one of the ten columns representing the `time_column` and use it. In this case, the `time_column` should be the time stamp information. + +```python +from time_robust_forest.models import TimeForestClassifier + +features = ["x_1", "x_2"] +time_column = "time_stamp" +target = "y" + +model = TimeForestClassifier(time_column=time_column, random_segments=10) + +model.fit(training_data[features + [time_column]], training_data[target]) +predictions = model.predict_proba(test_data[features])[:, 1] +``` + ## License [![License](https://img.shields.io/github/license/lgmoneda/time-robust-forest)](https://github.com/lgmoneda/time-robust-forest/blob/main/LICENSE) diff --git a/poetry.lock b/poetry.lock index 842f969..b35ac04 100644 --- a/poetry.lock +++ b/poetry.lock @@ -1,23 +1,15 @@ -[[package]] -name = "appdirs" -version = "1.4.4" -description = "A small Python module for determining appropriate platform-specific dirs, e.g. a \"user data dir\"." -category = "dev" -optional = false -python-versions = "*" - [[package]] name = "astroid" -version = "2.5.6" +version = "2.11.6" description = "An abstract syntax tree for Python with inference support." category = "dev" optional = false -python-versions = "~=3.6" +python-versions = ">=3.6.2" [package.dependencies] lazy-object-proxy = ">=1.4.0" -typed-ast = {version = ">=1.4.0,<1.5", markers = "implementation_name == \"cpython\" and python_version < \"3.8\""} -wrapt = ">=1.11,<1.13" +typing-extensions = {version = ">=3.10", markers = "python_version < \"3.10\""} +wrapt = ">=1.11,<2" [[package]] name = "atomicwrites" @@ -29,93 +21,100 @@ python-versions = ">=2.7, !=3.0.*, !=3.1.*, !=3.2.*, !=3.3.*" [[package]] name = "attrs" -version = "21.2.0" +version = "21.4.0" description = "Classes Without Boilerplate" category = "dev" optional = false python-versions = ">=2.7, !=3.0.*, !=3.1.*, !=3.2.*, !=3.3.*, !=3.4.*" [package.extras] -dev = ["coverage[toml] (>=5.0.2)", "hypothesis", "pympler", "pytest (>=4.3.0)", "six", "mypy", "pytest-mypy-plugins", "zope.interface", "furo", "sphinx", "sphinx-notfound-page", "pre-commit"] +dev = ["coverage[toml] (>=5.0.2)", "hypothesis", "pympler", "pytest (>=4.3.0)", "six", "mypy", "pytest-mypy-plugins", "zope.interface", "furo", "sphinx", "sphinx-notfound-page", "pre-commit", "cloudpickle"] docs = ["furo", "sphinx", "zope.interface", "sphinx-notfound-page"] -tests = ["coverage[toml] (>=5.0.2)", "hypothesis", "pympler", "pytest (>=4.3.0)", "six", "mypy", "pytest-mypy-plugins", "zope.interface"] -tests_no_zope = ["coverage[toml] (>=5.0.2)", "hypothesis", "pympler", "pytest (>=4.3.0)", "six", "mypy", "pytest-mypy-plugins"] +tests = ["coverage[toml] (>=5.0.2)", "hypothesis", "pympler", "pytest (>=4.3.0)", "six", "mypy", "pytest-mypy-plugins", "zope.interface", "cloudpickle"] +tests_no_zope = ["coverage[toml] (>=5.0.2)", "hypothesis", "pympler", "pytest (>=4.3.0)", "six", "mypy", "pytest-mypy-plugins", "cloudpickle"] [[package]] name = "bandit" -version = "1.7.0" +version = "1.7.4" description = "Security oriented static analyser for python code." category = "dev" optional = false -python-versions = ">=3.5" +python-versions = ">=3.7" [package.dependencies] colorama = {version = ">=0.3.9", markers = "platform_system == \"Windows\""} GitPython = ">=1.0.1" PyYAML = ">=5.3.1" -six = ">=1.10.0" stevedore = ">=1.20.0" +[package.extras] +test = ["coverage (>=4.5.4)", "fixtures (>=3.0.0)", "flake8 (>=4.0.0)", "stestr (>=2.5.0)", "testscenarios (>=0.5.0)", "testtools (>=2.3.0)", "toml", "beautifulsoup4 (>=4.8.0)", "pylint (==1.9.4)"] +toml = ["toml"] +yaml = ["pyyaml"] + [[package]] name = "black" -version = "21.6b0" +version = "22.6.0" description = "The uncompromising code formatter." category = "dev" optional = false python-versions = ">=3.6.2" [package.dependencies] -appdirs = "*" -click = ">=7.1.2" -dataclasses = {version = ">=0.6", markers = "python_version < \"3.7\""} +click = ">=8.0.0" mypy-extensions = ">=0.4.3" -pathspec = ">=0.8.1,<1" -regex = ">=2020.1.8" -toml = ">=0.10.1" -typed-ast = {version = ">=1.4.2", markers = "python_version < \"3.8\""} -typing-extensions = {version = ">=3.7.4", markers = "python_version < \"3.8\""} +pathspec = ">=0.9.0" +platformdirs = ">=2" +tomli = {version = ">=1.1.0", markers = "python_full_version < \"3.11.0a7\""} +typing-extensions = {version = ">=3.10.0.0", markers = "python_version < \"3.10\""} [package.extras] colorama = ["colorama (>=0.4.3)"] -d = ["aiohttp (>=3.6.0)", "aiohttp-cors (>=0.4.0)"] -python2 = ["typed-ast (>=1.4.2)"] +d = ["aiohttp (>=3.7.4)"] +jupyter = ["ipython (>=7.8.0)", "tokenize-rt (>=3.2.0)"] uvloop = ["uvloop (>=0.15.2)"] [[package]] name = "certifi" -version = "2021.5.30" +version = "2022.6.15" description = "Python package for providing Mozilla's CA Bundle." category = "dev" optional = false -python-versions = "*" +python-versions = ">=3.6" [[package]] name = "cfgv" -version = "3.3.0" +version = "3.3.1" description = "Validate configuration and produce human readable error messages." category = "dev" optional = false python-versions = ">=3.6.1" [[package]] -name = "chardet" -version = "4.0.0" -description = "Universal encoding detector for Python 2 and 3" +name = "charset-normalizer" +version = "2.1.0" +description = "The Real First Universal Charset Detector. Open, modern and actively maintained alternative to Chardet." category = "dev" optional = false -python-versions = ">=2.7, !=3.0.*, !=3.1.*, !=3.2.*, !=3.3.*, !=3.4.*" +python-versions = ">=3.6.0" + +[package.extras] +unicode_backport = ["unicodedata2"] [[package]] name = "click" -version = "7.1.2" +version = "8.1.3" description = "Composable command line interface toolkit" category = "main" optional = false -python-versions = ">=2.7, !=3.0.*, !=3.1.*, !=3.2.*, !=3.3.*, !=3.4.*" +python-versions = ">=3.7" + +[package.dependencies] +colorama = {version = "*", markers = "platform_system == \"Windows\""} [[package]] name = "colorama" -version = "0.4.4" +version = "0.4.5" description = "Cross-platform colored terminal text." category = "main" optional = false @@ -134,23 +133,26 @@ test = ["flake8 (==3.7.8)", "hypothesis (==3.55.3)"] [[package]] name = "darglint" -version = "1.8.0" +version = "1.8.1" description = "A utility for ensuring Google-style docstrings stay up to date with the source code." category = "dev" optional = false python-versions = ">=3.6,<4.0" [[package]] -name = "dataclasses" -version = "0.8" -description = "A backport of the dataclasses module for Python 3.6" -category = "main" +name = "dill" +version = "0.3.5.1" +description = "serialize all of python" +category = "dev" optional = false -python-versions = ">=3.6, <3.7" +python-versions = ">=2.7, !=3.0.*, !=3.1.*, !=3.2.*, !=3.3.*, !=3.4.*, !=3.5.*, !=3.6.*" + +[package.extras] +graph = ["objgraph (>=1.7.2)"] [[package]] name = "distlib" -version = "0.3.2" +version = "0.3.4" description = "Distribution utilities" category = "dev" optional = false @@ -174,84 +176,72 @@ pipenv = ["pipenv"] [[package]] name = "filelock" -version = "3.0.12" +version = "3.7.1" description = "A platform independent file lock." category = "dev" optional = false -python-versions = "*" +python-versions = ">=3.7" + +[package.extras] +docs = ["furo (>=2021.8.17b43)", "sphinx (>=4.1)", "sphinx-autodoc-typehints (>=1.12)"] +testing = ["covdefaults (>=1.2.0)", "coverage (>=4)", "pytest (>=4)", "pytest-cov", "pytest-timeout (>=1.4.2)"] [[package]] name = "gitdb" -version = "4.0.7" +version = "4.0.9" description = "Git Object Database" category = "dev" optional = false -python-versions = ">=3.4" +python-versions = ">=3.6" [package.dependencies] -smmap = ">=3.0.1,<5" +smmap = ">=3.0.1,<6" [[package]] name = "gitpython" -version = "3.1.17" -description = "Python Git Library" +version = "3.1.27" +description = "GitPython is a python library used to interact with Git repositories" category = "dev" optional = false -python-versions = ">=3.5" +python-versions = ">=3.7" [package.dependencies] gitdb = ">=4.0.1,<5" -typing-extensions = {version = ">=3.7.4.0", markers = "python_version < \"3.8\""} [[package]] name = "identify" -version = "2.2.10" +version = "2.5.1" description = "File identification library for Python" category = "dev" optional = false -python-versions = ">=3.6.1" +python-versions = ">=3.7" [package.extras] -license = ["editdistance-s"] +license = ["ukkonen"] [[package]] name = "idna" -version = "2.10" +version = "3.3" description = "Internationalized Domain Names in Applications (IDNA)" category = "dev" optional = false -python-versions = ">=2.7, !=3.0.*, !=3.1.*, !=3.2.*, !=3.3.*" +python-versions = ">=3.5" [[package]] name = "importlib-metadata" -version = "4.5.0" +version = "4.12.0" description = "Read metadata from Python packages" category = "main" optional = false -python-versions = ">=3.6" +python-versions = ">=3.7" [package.dependencies] -typing-extensions = {version = ">=3.6.4", markers = "python_version < \"3.8\""} zipp = ">=0.5" [package.extras] -docs = ["sphinx", "jaraco.packaging (>=8.2)", "rst.linker (>=1.9)"] -testing = ["pytest (>=4.6)", "pytest-checkdocs (>=2.4)", "pytest-flake8", "pytest-cov", "pytest-enabler (>=1.0.1)", "packaging", "pep517", "pyfakefs", "flufl.flake8", "pytest-black (>=0.3.7)", "pytest-mypy", "importlib-resources (>=1.3)"] - -[[package]] -name = "importlib-resources" -version = "5.1.4" -description = "Read resources from Python packages" -category = "dev" -optional = false -python-versions = ">=3.6" - -[package.dependencies] -zipp = {version = ">=3.1.0", markers = "python_version < \"3.10\""} - -[package.extras] -docs = ["sphinx", "jaraco.packaging (>=8.2)", "rst.linker (>=1.9)"] -testing = ["pytest (>=4.6)", "pytest-checkdocs (>=2.4)", "pytest-flake8", "pytest-cov", "pytest-enabler (>=1.0.1)", "pytest-black (>=0.3.7)", "pytest-mypy"] +docs = ["sphinx", "jaraco.packaging (>=9)", "rst.linker (>=1.9)"] +perf = ["ipython"] +testing = ["pytest (>=6)", "pytest-checkdocs (>=2.4)", "pytest-flake8", "pytest-cov", "pytest-enabler (>=1.3)", "packaging", "pyfakefs", "flufl.flake8", "pytest-perf (>=0.9.2)", "pytest-black (>=0.3.7)", "pytest-mypy (>=0.9.1)", "importlib-resources (>=1.3)"] [[package]] name = "iniconfig" @@ -263,20 +253,21 @@ python-versions = "*" [[package]] name = "isort" -version = "5.8.0" +version = "5.10.1" description = "A Python utility / library to sort Python imports." category = "dev" optional = false -python-versions = ">=3.6,<4.0" +python-versions = ">=3.6.1,<4.0" [package.extras] pipfile_deprecated_finder = ["pipreqs", "requirementslib"] requirements_deprecated_finder = ["pipreqs", "pip-api"] colors = ["colorama (>=0.4.3,<0.5.0)"] +plugins = ["setuptools"] [[package]] name = "joblib" -version = "1.0.1" +version = "1.1.0" description = "Lightweight pipelining with Python functions" category = "main" optional = false @@ -284,19 +275,19 @@ python-versions = ">=3.6" [[package]] name = "lazy-object-proxy" -version = "1.6.0" +version = "1.7.1" description = "A fast and thorough lazy object proxy." category = "dev" optional = false -python-versions = ">=2.7, !=3.0.*, !=3.1.*, !=3.2.*, !=3.3.*, !=3.4.*, !=3.5.*" +python-versions = ">=3.6" [[package]] name = "mccabe" -version = "0.6.1" +version = "0.7.0" description = "McCabe checker, plugin for flake8" category = "dev" optional = false -python-versions = "*" +python-versions = ">=3.6" [[package]] name = "mypy" @@ -309,7 +300,6 @@ python-versions = ">=3.5" [package.dependencies] mypy-extensions = ">=0.4.3,<0.5.0" toml = "*" -typed-ast = {version = ">=1.4.0,<1.5.0", markers = "python_version < \"3.8\""} typing-extensions = ">=3.7.4" [package.extras] @@ -326,30 +316,30 @@ python-versions = "*" [[package]] name = "nodeenv" -version = "1.6.0" +version = "1.7.0" description = "Node.js virtual environment builder" category = "dev" optional = false -python-versions = "*" +python-versions = ">=2.7,!=3.0.*,!=3.1.*,!=3.2.*,!=3.3.*,!=3.4.*,!=3.5.*,!=3.6.*" [[package]] name = "numpy" -version = "1.19.5" +version = "1.23.0" description = "NumPy is the fundamental package for array computing with Python." category = "main" optional = false -python-versions = ">=3.6" +python-versions = ">=3.8" [[package]] name = "packaging" -version = "20.9" +version = "21.3" description = "Core utilities for Python packages" category = "dev" optional = false -python-versions = ">=2.7, !=3.0.*, !=3.1.*, !=3.2.*, !=3.3.*" +python-versions = ">=3.6" [package.dependencies] -pyparsing = ">=2.0.2" +pyparsing = ">=2.0.2,<3.0.5 || >3.0.5" [[package]] name = "pandas" @@ -369,47 +359,55 @@ test = ["pytest (>=4.0.2)", "pytest-xdist", "hypothesis (>=3.58)"] [[package]] name = "pathspec" -version = "0.8.1" +version = "0.9.0" description = "Utility library for gitignore style pattern matching of file paths." category = "dev" optional = false -python-versions = ">=2.7, !=3.0.*, !=3.1.*, !=3.2.*, !=3.3.*, !=3.4.*" +python-versions = "!=3.0.*,!=3.1.*,!=3.2.*,!=3.3.*,!=3.4.*,>=2.7" [[package]] name = "pbr" -version = "5.6.0" +version = "5.9.0" description = "Python Build Reasonableness" category = "dev" optional = false python-versions = ">=2.6" +[[package]] +name = "platformdirs" +version = "2.5.2" +description = "A small Python module for determining appropriate platform-specific dirs, e.g. a \"user data dir\"." +category = "dev" +optional = false +python-versions = ">=3.7" + +[package.extras] +docs = ["furo (>=2021.7.5b38)", "proselint (>=0.10.2)", "sphinx-autodoc-typehints (>=1.12)", "sphinx (>=4)"] +test = ["appdirs (==1.4.4)", "pytest-cov (>=2.7)", "pytest-mock (>=3.6)", "pytest (>=6)"] + [[package]] name = "pluggy" -version = "0.13.1" +version = "1.0.0" description = "plugin and hook calling mechanisms for python" category = "dev" optional = false -python-versions = ">=2.7, !=3.0.*, !=3.1.*, !=3.2.*, !=3.3.*" - -[package.dependencies] -importlib-metadata = {version = ">=0.12", markers = "python_version < \"3.8\""} +python-versions = ">=3.6" [package.extras] dev = ["pre-commit", "tox"] +testing = ["pytest", "pytest-benchmark"] [[package]] name = "pre-commit" -version = "2.13.0" +version = "2.19.0" description = "A framework for managing and maintaining multi-language pre-commit hooks." category = "dev" optional = false -python-versions = ">=3.6.1" +python-versions = ">=3.7" [package.dependencies] cfgv = ">=2.0.0" identify = ">=1.0.0" -importlib-metadata = {version = "*", markers = "python_version < \"3.8\""} -importlib-resources = {version = "*", markers = "python_version < \"3.7\""} nodeenv = ">=0.11.1" pyyaml = ">=5.1" toml = "*" @@ -417,11 +415,11 @@ virtualenv = ">=20.0.8" [[package]] name = "py" -version = "1.10.0" +version = "1.11.0" description = "library with cross-python path, ini-parsing, io, code, log facilities" category = "dev" optional = false -python-versions = ">=2.7, !=3.0.*, !=3.1.*, !=3.2.*, !=3.3.*" +python-versions = ">=2.7, !=3.0.*, !=3.1.*, !=3.2.*, !=3.3.*, !=3.4.*" [[package]] name = "pydocstyle" @@ -439,38 +437,49 @@ toml = ["toml"] [[package]] name = "pygments" -version = "2.9.0" +version = "2.12.0" description = "Pygments is a syntax highlighting package written in Python." category = "main" optional = false -python-versions = ">=3.5" +python-versions = ">=3.6" [[package]] name = "pylint" -version = "2.8.3" +version = "2.14.4" description = "python code static checker" category = "dev" optional = false -python-versions = "~=3.6" +python-versions = ">=3.7.2" [package.dependencies] -astroid = "2.5.6" -colorama = {version = "*", markers = "sys_platform == \"win32\""} +astroid = ">=2.11.6,<=2.12.0-dev0" +colorama = {version = ">=0.4.5", markers = "sys_platform == \"win32\""} +dill = ">=0.2" isort = ">=4.2.5,<6" -mccabe = ">=0.6,<0.7" -toml = ">=0.7.1" +mccabe = ">=0.6,<0.8" +platformdirs = ">=2.2.0" +tomli = {version = ">=1.1.0", markers = "python_version < \"3.11\""} +tomlkit = ">=0.10.1" +typing-extensions = {version = ">=3.10.0", markers = "python_version < \"3.10\""} + +[package.extras] +spelling = ["pyenchant (>=3.2,<4.0)"] +testutils = ["gitpython (>3)"] [[package]] name = "pyparsing" -version = "2.4.7" -description = "Python parsing module" +version = "3.0.9" +description = "pyparsing module - Classes and methods to define and execute parsing grammars" category = "dev" optional = false -python-versions = ">=2.6, !=3.0.*, !=3.1.*, !=3.2.*" +python-versions = ">=3.6.8" + +[package.extras] +diagrams = ["railroad-diagrams", "jinja2"] [[package]] name = "pytest" -version = "6.2.4" +version = "6.2.5" description = "pytest: simple powerful testing with Python" category = "dev" optional = false @@ -480,10 +489,9 @@ python-versions = ">=3.6" atomicwrites = {version = ">=1.0", markers = "sys_platform == \"win32\""} attrs = ">=19.2.0" colorama = {version = "*", markers = "sys_platform == \"win32\""} -importlib-metadata = {version = ">=0.12", markers = "python_version < \"3.8\""} iniconfig = "*" packaging = "*" -pluggy = ">=0.12,<1.0.0a1" +pluggy = ">=0.12,<2.0" py = ">=1.8.2" toml = "*" @@ -492,7 +500,7 @@ testing = ["argcomplete", "hypothesis (>=3.56)", "mock", "nose", "requests", "xm [[package]] name = "python-dateutil" -version = "2.8.1" +version = "2.8.2" description = "Extensions to the standard Python datetime module" category = "main" optional = false @@ -503,7 +511,7 @@ six = ">=1.5" [[package]] name = "pytz" -version = "2021.1" +version = "2022.1" description = "World timezone definitions, modern and historical" category = "main" optional = false @@ -511,63 +519,53 @@ python-versions = "*" [[package]] name = "pyupgrade" -version = "2.19.4" +version = "2.34.0" description = "A tool to automatically upgrade syntax for newer versions." category = "dev" optional = false -python-versions = ">=3.6.1" +python-versions = ">=3.7" [package.dependencies] tokenize-rt = ">=3.2.0" [[package]] name = "pyyaml" -version = "5.4.1" +version = "6.0" description = "YAML parser and emitter for Python" category = "dev" optional = false -python-versions = ">=2.7, !=3.0.*, !=3.1.*, !=3.2.*, !=3.3.*, !=3.4.*, !=3.5.*" - 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+numpy = "1.23.0" pandas = "1.1.3" -scikit-learn = "0.23.2" +click = "8.1.3" +scikit-learn = "1.1.0" [tool.poetry.dev-dependencies] darglint = "^1.5.8" isort = "^5.7.0" pyupgrade = "^2.7.4" -black = "^21.6b0" +black = "^22.3.0" mypy = "^0.902" bandit = "^1.7.0" safety = "^1.10.3" @@ -56,7 +57,7 @@ pre-commit = "^2.9.3" [tool.black] # https://github.com/psf/black line-length = 80 -target-version = ["py37"] +target-version = ["py39"] [tool.isort] # https://github.com/timothycrosley/isort/ diff --git a/setup.cfg b/setup.cfg index 19fdfb3..f40c74b 100644 --- a/setup.cfg +++ b/setup.cfg @@ -10,7 +10,7 @@ docstring_style = google [mypy] # mypy configurations: http://bit.ly/2zEl9WI -python_version = 3.6 +python_version = 3.9.12 pretty = True allow_redefinition = False check_untyped_defs = True diff --git a/time_robust_forest/functions.py b/time_robust_forest/functions.py index 936c73c..685212c 100644 --- a/time_robust_forest/functions.py +++ b/time_robust_forest/functions.py @@ -255,3 +255,30 @@ def check_numerical_match( print(result) aggregated_metric.append(np.mean(result)) return np.mean(aggregated_metric) + + +def split_time_index_column_into_n_segments(df, n_segments, time_index_column): + """ + Splits the time index / stamp column into n segments. + """ + return pd.cut( + df[time_index_column], + bins=n_segments, + labels=[str(i) for i in range(n_segments)], + ).astype(str) + + +def generate_n_segments_columns(df, n_segments, time_index_column): + """ + Generates n segment columns based in a time_index_column able to order the + examples from older to newer. + """ + random_segments_columns = [] + for segment in range(0, n_segments): + segment_column_name = f"time_column_segment_{str(segment)}" + df[segment_column_name] = split_time_index_column_into_n_segments( + df, segment + 1, time_index_column + ) + random_segments_columns.append(segment_column_name) + + return random_segments_columns diff --git a/time_robust_forest/models.py b/time_robust_forest/models.py index 12cc4f4..0cde3c3 100644 --- a/time_robust_forest/models.py +++ b/time_robust_forest/models.py @@ -11,6 +11,7 @@ check_min_sample_periods, check_min_sample_periods_dict, fill_right_dict, + generate_n_segments_columns, impurity_decrease_by_period, initialize_period_dict, score_by_period, @@ -225,6 +226,7 @@ def __init__( min_impurity_decrease=0, n_jobs=-1, multi=True, + random_segments=None, random_state=42, ): self.max_depth = max_depth @@ -238,7 +240,9 @@ def __init__( self.criterion = criterion self.period_criterion = period_criterion self.min_impurity_decrease = min_impurity_decrease + self.random_segments = random_segments self.random_state = random_state + self.rng = default_rng(self.random_state) def fit(self, X, y, sample_weight=None, verbose=False): """ @@ -261,28 +265,60 @@ def fit(self, X, y, sample_weight=None, verbose=False): if type(y) == pd.Series: y = y.values + if type(self.random_segments) == int: + X["target_"] = y + X.sort_values(by=self.time_column, inplace=True) + X["time_index"] = range(1, len(X) + 1) + self.random_segments_columns = generate_n_segments_columns( + X, self.random_segments, "time_index" + ) + + y = X["target_"].values + X.drop( + columns=["time_index", self.time_column, "target_"], + inplace=True, + ) + elif self.random_segments == None: + self.random_segments = 1 + self.random_segments_columns = [self.time_column] + else: + self.random_segments_columns = self.random_segments + self.random_segments = len(self.random_segments_columns) + self.train_target_proportion = np.mean(y) self.classes_ = np.unique(y) - self.total_sample = X[self.time_column].value_counts().to_dict() self.n_estimators_ = [] + self.selected_time_columns = [ + self.random_segments_columns[ + self.rng.integers(0, self.random_segments) + ] + for i in range(self.n_estimators) + ] + + features = [ + col for col in X.columns if col not in self.random_segments_columns + ] + if not self.multi: self.n_estimators_ = [ _RandomTimeSplitTree( - X, + X[features + [self.selected_time_columns[i]]], y, min_sample_periods=self.min_sample_periods, max_depth=self.max_depth, bootstrapping=self.bootstrapping, sample_weight=sample_weight, - time_column=self.time_column, + time_column=self.selected_time_columns[i], row_indexes=[], verbose=verbose, max_features=self.max_features, criterion=self.criterion, period_criterion=self.period_criterion, min_impurity_decrease=self.min_impurity_decrease, - total_sample=self.total_sample, + total_sample=X[self.selected_time_columns[i]] + .value_counts() + .to_dict(), random_state=i + self.random_state, ) for i in range(self.n_estimators) @@ -290,19 +326,21 @@ def fit(self, X, y, sample_weight=None, verbose=False): else: self.n_estimators_ = Parallel(n_jobs=self.n_jobs, verbose=0)( delayed(_RandomTimeSplitTree)( - X, + X[features + [self.selected_time_columns[i]]], y, min_sample_periods=self.min_sample_periods, max_depth=self.max_depth, bootstrapping=self.bootstrapping, sample_weight=sample_weight, - time_column=self.time_column, + time_column=self.selected_time_columns[i], row_indexes=[], verbose=verbose, max_features=self.max_features, period_criterion=self.period_criterion, min_impurity_decrease=self.min_impurity_decrease, - total_sample=self.total_sample, + total_sample=X[self.selected_time_columns[i]] + .value_counts() + .to_dict(), criterion=self.criterion, random_state=i + self.random_state, ) @@ -484,6 +522,11 @@ def __init__( self.n_examples = len(row_indexes) self.variables = [col for col in X.columns if col != time_column] + self.variables = [ + col for col in self.variables if "time_column" not in col + ] + ### Xunxo + # self.total_sample = X[self.time_column].value_counts().to_dict() if max_features == "auto": self.max_n_variables = max(int(len(self.variables) ** 0.5), 1) else: @@ -629,10 +672,10 @@ def find_better_split(self, variable, variable_idx): if self.criterion == "std" or self.criterion == "std_norm": right_period_dict[period_i]["squared_sum"] -= ( - y_i ** 2 + y_i**2 ) * weight_i left_period_dict[period_i]["squared_sum"] += ( - y_i ** 2 + y_i**2 ) * weight_i if (