Sample Similarity
The goal of sample similarity module is understanding how different two samples are from a multivariate perspective.
One of the ways to indicate this is Resemblance Model. Having two datasets - say X1 and X2 - one can analyse how easy it is to recognize which dataset a randomly selected row comes from. The Resemblance model assigns label 0 to the dataset X1, and label 1 to X2 and trains a binary classification model to predict which sample a given row comes from. By looking at the test AUC, one can conclude that the samples have a different distribution if the AUC is significantly higher than 0.5. Furthermore, by analysing feature importance one can understand which of the features have predictive power.
The following features are implemented:
- SHAPImportanceResemblance (Recommended): The class applies SHAP library, in order to interpret the tree based resemblance model.
- PermutationImportanceResemblance: The class applies permutation feature importance in order to understand which features the current model relies on the most. The higher the importance of the feature, the more a given feature possibly differs in X2 compared to X1. The importance indicates how much the test AUC drops if a given feature is permuted.
BaseResemblanceModel
Bases: BaseFitComputePlotClass
This model checks for the similarity of two samples.
A possible use case is analysis of whether th train sample differs from the test sample, due to e.g. non-stationarity.
This is a base class and needs to be extended by a fit() method, which implements how the data is split, how the model is trained and evaluated. Further, inheriting classes need to implement how feature importance should be indicated.
Source code in probatus/sample_similarity/resemblance_model.py
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__init__(model, scoring='roc_auc', test_prc=0.25, n_jobs=1, verbose=0, random_state=None)
Initializes the class.
Parameters:
Name | Type | Description | Default |
---|---|---|---|
model |
model object
|
Regression or classification model or pipeline. |
required |
scoring |
string or Scorer
|
Metric for which the model performance is calculated. It can be either a metric name aligned with predefined classification scorers names in sklearn. Another option is using probatus.utils.Scorer to define a custom metric. The recommended option for this class is 'roc_auc'. |
'roc_auc'
|
test_prc |
float
|
Percentage of data used to test the model. By default 0.25 is set. |
0.25
|
n_jobs |
int
|
Number of parallel executions. If -1 use all available cores. By default 1. |
1
|
verbose |
int
|
Controls verbosity of the output:
|
0
|
random_state |
int
|
Random state set at each round of feature elimination. If it is None, the results will not be reproducible and in random search at each iteration a different hyperparameters might be tested. For reproducible results set it to an integer. |
None
|
Source code in probatus/sample_similarity/resemblance_model.py
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compute(return_scores=False)
Checks if fit() method has been run and computes the output variables.
Parameters:
Name | Type | Description | Default |
---|---|---|---|
return_scores |
bool
|
Flag indicating whether the method should return a tuple (feature importances, train score, test score), or feature importances. By default the second option is selected. |
False
|
Returns:
Type | Description |
---|---|
tuple(DataFrame, float, float) or DataFrame
|
Depending on value of return_tuple either returns a tuple (feature importances, train AUC, test AUC), or feature importances. |
Source code in probatus/sample_similarity/resemblance_model.py
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fit(X1, X2, column_names=None, class_names=None)
Base fit functionality that should be executed before each fit.
Parameters:
Name | Type | Description | Default |
---|---|---|---|
X1 |
ndarray or DataFrame
|
First sample to be compared. It needs to have the same number of columns as X2. |
required |
X2 |
ndarray or DataFrame
|
Second sample to be compared. It needs to have the same number of columns as X1. |
required |
column_names |
list of str
|
List of feature names of the provided samples. If provided it will be used to overwrite the existing feature names. If not provided the existing feature names are used or default feature names are generated. |
None
|
class_names |
None, or list of str
|
List of class names assigned, in this case provided samples e.g. ['sample1', 'sample2']. If none, the default ['First Sample', 'Second Sample'] are used. |
None
|
Returns:
Type | Description |
---|---|
BaseResemblanceModel
|
Fitted object |
Source code in probatus/sample_similarity/resemblance_model.py
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fit_compute(X1, X2, column_names=None, class_names=None, return_scores=False, **fit_kwargs)
Fits the resemblance model and computes the report regarding feature importance.
Parameters:
Name | Type | Description | Default |
---|---|---|---|
X1 |
ndarray or DataFrame
|
First sample to be compared. It needs to have the same number of columns as X2. |
required |
X2 |
ndarray or DataFrame
|
Second sample to be compared. It needs to have the same number of columns as X1. |
required |
column_names |
list of str
|
List of feature names of the provided samples. If provided it will be used to overwrite the existing feature names. If not provided the existing feature names are used or default feature names are generated. |
None
|
class_names |
None, or list of str
|
List of class names assigned, in this case provided samples e.g. ['sample1', 'sample2']. If none, the default ['First Sample', 'Second Sample'] are used. |
None
|
return_scores |
bool
|
Flag indicating whether the method should return a tuple (feature importances, train score, test score), or feature importances. By default the second option is selected. |
False
|
**fit_kwargs |
In case any other arguments are accepted by fit() method, they can be passed as keyword arguments. |
{}
|
Returns:
Type | Description |
---|---|
tuple of (pd.DataFrame, float, float) or pd.DataFrame
|
Depending on value of return_tuple either returns a tuple (feature importances, train AUC, test AUC), or feature importances. |
Source code in probatus/sample_similarity/resemblance_model.py
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get_data_splits()
Returns the data splits used to train the Resemblance model.
Returns:
Type | Description |
---|---|
(DataFrame, DataFrame, Series, Series)
|
X_train, X_test, y_train, y_test. |
Source code in probatus/sample_similarity/resemblance_model.py
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plot()
Plot.
Source code in probatus/sample_similarity/resemblance_model.py
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PermutationImportanceResemblance
Bases: BaseResemblanceModel
This model checks the similarity of two samples.
A possible use case is analysis of whether the train sample differs from the test sample, due to e.g. non-stationarity.
It assigns labels to each sample, 0 to the first sample, 1 to the second. Then, it randomly selects a portion of data to train on. The resulting model tries to distinguish which sample a given test row comes from. This provides insights on how distinguishable these samples are and which features contribute to that. The feature importance is calculated using permutation importance.
If the model achieves a test AUC significantly different than 0.5, it indicates that it is possible to distinguish between the samples, and therefore, the samples differ. Features with a high permutation importance contribute to that effect the most. Thus, their distribution might differ between two samples.
Examples:
from sklearn.datasets import make_classification
from sklearn.ensemble import RandomForestClassifier
from probatus.sample_similarity import PermutationImportanceResemblance
X1, _ = make_classification(n_samples=100, n_features=5)
X2, _ = make_classification(n_samples=100, n_features=5, shift=0.5)
model = RandomForestClassifier(max_depth=2)
perm = PermutationImportanceResemblance(model)
feature_importance = perm.fit_compute(X1, X2)
perm.plot()
Source code in probatus/sample_similarity/resemblance_model.py
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__init__(model, iterations=100, scoring='roc_auc', test_prc=0.25, n_jobs=1, verbose=0, random_state=None)
Initializes the class.
Parameters:
Name | Type | Description | Default |
---|---|---|---|
model |
model object
|
Regression or classification model or pipeline. |
required |
iterations |
int
|
Number of iterations performed to calculate permutation importance. By default 100 iterations per feature are done. |
100
|
scoring |
string or Scorer
|
Metric for which the model performance is calculated. It can be either a metric name aligned with predefined classification scorers names in sklearn. Another option is using probatus.utils.Scorer to define a custom metric. Recommended option for this class is 'roc_auc'. |
'roc_auc'
|
test_prc |
float
|
Percentage of data used to test the model. By default 0.25 is set. |
0.25
|
n_jobs |
int
|
Number of parallel executions. If -1 use all available cores. By default 1. |
1
|
verbose |
int
|
Controls verbosity of the output:
|
0
|
random_state |
int
|
Random state set at each round of feature elimination. If it is None, the results will not be reproducible and in random search at each iteration a different hyperparameters might be tested. For reproducible results set it to integer. |
None
|
Source code in probatus/sample_similarity/resemblance_model.py
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fit(X1, X2, column_names=None, class_names=None)
This function assigns labels to each sample, 0 to the first sample, 1 to the second.
Then, it randomly selects a portion of data to train on. The resulting model tries to distinguish which sample a given test row comes from. This provides insights on how distinguishable these samples are and which features contribute to that. The feature importance is calculated using permutation importance.
Parameters:
Name | Type | Description | Default |
---|---|---|---|
X1 |
ndarray or DataFrame
|
First sample to be compared. It needs to have the same number of columns as X2. |
required |
X2 |
ndarray or DataFrame
|
Second sample to be compared. It needs to have the same number of columns as X1. |
required |
column_names |
list of str
|
List of feature names of the provided samples. If provided it will be used to overwrite the existing feature names. If not provided the existing feature names are used or default feature names are generated. |
None
|
class_names |
None, or list of str
|
List of class names assigned, in this case provided samples e.g. ['sample1', 'sample2']. If none, the default ['First Sample', 'Second Sample'] are used. |
None
|
Returns:
Type | Description |
---|---|
PermutationImportanceResemblance
|
Fitted object. |
Source code in probatus/sample_similarity/resemblance_model.py
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plot(ax=None, top_n=None, show=True, **plot_kwargs)
Plots the resulting AUC of the model as well as the feature importances.
Parameters:
Name | Type | Description | Default |
---|---|---|---|
ax |
axes
|
Axes to which the output should be plotted. If not provided new axes are created. |
None
|
top_n |
int
|
Number of the most important features to be plotted. By default features are included in the plot. |
None
|
show |
bool
|
If True, the plots are shown to the user, otherwise they are not shown. Not showing a plot can be useful when you want to edit the returned axis before showing it. |
True
|
**plot_kwargs |
Keyword arguments passed to the matplotlib.plotly.subplots method. |
{}
|
Returns:
Type | Description |
---|---|
axes
|
Axes that include the plot. |
Source code in probatus/sample_similarity/resemblance_model.py
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SHAPImportanceResemblance
Bases: BaseResemblanceModel
This model checks for similarity of two samples.
A possible use case is analysis of whether the train sample differs from the test sample, due to e.g. non-stationarity.
It assigns labels to each sample, 0 to the first sample, 1 to the second. Then, it randomly selects a portion of data to train on. The resulting model tries to distinguish which sample a given test row comes from. This provides insights on how distinguishable these samples are and which features contribute to that. The feature importance is calculated using SHAP feature importance.
If the model achieves test AUC significantly different than 0.5, it indicates that it is possible to distinguish between the samples, and therefore, the samples differ. Features with a high permutation importance contribute to that effect the most. Thus, their distribution might differ between two samples.
This class currently works only with the Tree based models.
Examples:
from sklearn.datasets import make_classification
from sklearn.ensemble import RandomForestClassifier
from probatus.sample_similarity import SHAPImportanceResemblance
X1, _ = make_classification(n_samples=100, n_features=5)
X2, _ = make_classification(n_samples=100, n_features=5, shift=0.5)
model = RandomForestClassifier(max_depth=2)
rm = SHAPImportanceResemblance(model)
feature_importance = rm.fit_compute(X1, X2)
rm.plot()
Source code in probatus/sample_similarity/resemblance_model.py
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__init__(model, scoring='roc_auc', test_prc=0.25, n_jobs=1, verbose=0, random_state=None)
Initializes the class.
Parameters:
Name | Type | Description | Default |
---|---|---|---|
model |
model object
|
Regression or classification model or pipeline. |
required |
scoring |
string or Scorer
|
Metric for which the model performance is calculated. It can be either a metric name aligned with predefined classification scorers names in sklearn. Another option is using probatus.utils.Scorer to define a custom metric. Recommended option for this class is 'roc_auc'. |
'roc_auc'
|
test_prc |
float
|
Percentage of data used to test the model. By default 0.25 is set. |
0.25
|
n_jobs |
int
|
Number of parallel executions. If -1 use all available cores. By default 1. |
1
|
verbose |
int
|
Controls verbosity of the output:
|
0
|
random_state |
int
|
Random state set at each round of feature elimination. If it is None, the results will not be reproducible and in random search at each iteration a different hyperparameters might be tested. For reproducible results set it to integer. |
None
|
Source code in probatus/sample_similarity/resemblance_model.py
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fit(X1, X2, column_names=None, class_names=None, **shap_kwargs)
This function assigns labels to each sample, 0 to the first sample, 1 to the second.
Then, it randomly selects a portion of data to train on. The resulting model tries to distinguish which sample a given test row comes from. This provides insights on how distinguishable these samples are and which features contribute to that. The feature importance is calculated using SHAP feature importance.
Parameters:
Name | Type | Description | Default |
---|---|---|---|
X1 |
ndarray or DataFrame
|
First sample to be compared. It needs to have the same number of columns as X2. |
required |
X2 |
ndarray or DataFrame
|
Second sample to be compared. It needs to have the same number of columns as X1. |
required |
column_names |
list of str
|
List of feature names of the provided samples. If provided it will be used to overwrite the existing feature names. If not provided the existing feature names are used or default feature names are generated. |
None
|
class_names |
None, or list of str
|
List of class names assigned, in this case provided samples e.g. ['sample1', 'sample2']. If none, the default ['First Sample', 'Second Sample'] are used. |
None
|
**shap_kwargs |
keyword arguments passed to
shap.Explainer.
It also enables |
{}
|
Returns:
Type | Description |
---|---|
SHAPImportanceResemblance
|
Fitted object. |
Source code in probatus/sample_similarity/resemblance_model.py
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get_shap_values()
Gets the SHAP values generated on the test set.
Returns:
Type | Description |
---|---|
array
|
SHAP values generated on the test set. |
Source code in probatus/sample_similarity/resemblance_model.py
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plot(plot_type='bar', show=True, **summary_plot_kwargs)
Plots the resulting AUC of the model as well as the feature importances.
Parameters:
Name | Type | Description | Default |
---|---|---|---|
plot_type |
str
|
Type of plot, used to compute shap.summary_plot. By default 'bar', available ones are "dot", "bar", "violin", |
'bar'
|
show |
bool
|
If True, the plots are showed to the user, otherwise they are not shown. Not showing plot can be useful, when you want to edit the returned axis, before showing it. |
True
|
**summary_plot_kwargs |
kwargs passed to the shap.summary_plot. |
{}
|
Returns:
Type | Description |
---|---|
axes
|
Axes that include the plot. |
Source code in probatus/sample_similarity/resemblance_model.py
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