{ "cells": [ { "cell_type": "markdown", "metadata": {}, "source": [ "# Problem Sheet 6" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "## Problem 1: Cross-validation methods provided by Scikit-Learn" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "We want to experiment with the methods `sklearn` provides to us.\n", "\n", "**Task**: For this we generate a *toy* dataset containing only the numbers from 0 to 9, i.e.,\n", "\n", " X = range(10)\n", "\n" ] }, { "cell_type": "code", "execution_count": null, "metadata": {}, "outputs": [], "source": [] }, { "cell_type": "markdown", "metadata": {}, "source": [ "**Solution**:" ] }, { "cell_type": "code", "execution_count": 5, "metadata": {}, "outputs": [], "source": [ "X = list(range(10))" ] }, { "cell_type": "code", "execution_count": 6, "metadata": {}, "outputs": [], "source": [ "X?" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "### Leave One Out Cross-Validation" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "The function `LeaveOneOut` is a simple cross-validation.\n", "Each training set is created by taking all the samples except one, the test set consisting of the single remaining sample.\n", "Thus, for `n` samples, we have `n` different training sets and `n` different test sets.\n", "Leave-one-out cross-validation (LOOCV) can be computationally expensive for large datasets.\n", "\n", "You can import the function `LeaveOneOut` by\n", "\n", " from sklearn.model_selection import LeaveOneOut\n", " \n", "The documentation can be found [here](https://scikit-learn.org/stable/modules/generated/sklearn.model_selection.LeaveOneOut.html#sklearn.model_selection.LeaveOneOut).\n", "\n", "With\n", "\n", " loo = LeaveOneOut()\n", " \n", "you generate a so-called *iterator* in python.\n", "An iterator is an object that can be iterated upon, meaning that you can traverse through all its values.\n", "\n", "The command\n", "\n", " S = loo.split(X)\n", "\n", "generates a leave-one-out cross-validation iterator `S` across the set/list/array `X`.\n", "\n", "**Task**: Execute the above commands." ] }, { "cell_type": "code", "execution_count": null, "metadata": {}, "outputs": [], "source": [] }, { "cell_type": "markdown", "metadata": {}, "source": [ "**Solution**:" ] }, { "cell_type": "code", "execution_count": 7, "metadata": {}, "outputs": [], "source": [ "from sklearn.model_selection import LeaveOneOut\n", "loo = LeaveOneOut()\n", "S = loo.split(X)" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "In general, you can always access the next item in the iterator `S` by typing\n", "\n", " next(S)\n", " \n", "**Task**: Try this out multiple times and see what changes." ] }, { "cell_type": "code", "execution_count": null, "metadata": {}, "outputs": [], "source": [] }, { "cell_type": "markdown", "metadata": {}, "source": [ "**Solution**:" ] }, { "cell_type": "code", "execution_count": 10, "metadata": {}, "outputs": [ { "data": { "text/plain": [ "(array([0, 1, 3, 4, 5, 6, 7, 8, 9]), array([2]))" ] }, "execution_count": 10, "metadata": {}, "output_type": "execute_result" } ], "source": [ "next(S)" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "In general, iterators are used in loops:\n", "\n", " for train, test in loo.split(X):\n", " print(\"Training set: %s\\t Test set: %s\" % (train, test))\n", "\n", "**Task**: Try it!" ] }, { "cell_type": "code", "execution_count": null, "metadata": {}, "outputs": [], "source": [] }, { "cell_type": "markdown", "metadata": {}, "source": [ "**Solution**:" ] }, { "cell_type": "code", "execution_count": 11, "metadata": {}, "outputs": [ { "name": "stdout", "output_type": "stream", "text": [ "Training set: [1 2 3 4 5 6 7 8 9]\t Test set: [0]\n", "Training set: [0 2 3 4 5 6 7 8 9]\t Test set: [1]\n", "Training set: [0 1 3 4 5 6 7 8 9]\t Test set: [2]\n", "Training set: [0 1 2 4 5 6 7 8 9]\t Test set: [3]\n", "Training set: [0 1 2 3 5 6 7 8 9]\t Test set: [4]\n", "Training set: [0 1 2 3 4 6 7 8 9]\t Test set: [5]\n", "Training set: [0 1 2 3 4 5 7 8 9]\t Test set: [6]\n", "Training set: [0 1 2 3 4 5 6 8 9]\t Test set: [7]\n", "Training set: [0 1 2 3 4 5 6 7 9]\t Test set: [8]\n", "Training set: [0 1 2 3 4 5 6 7 8]\t Test set: [9]\n" ] } ], "source": [ "for train, test in loo.split(X):\n", " print(\"Training set: %s\\t Test set: %s\" % (train, test))" ] }, { "cell_type": "code", "execution_count": 21, "metadata": {}, "outputs": [], "source": [ "X = list(X)" ] }, { "cell_type": "code", "execution_count": 25, "metadata": {}, "outputs": [ { "data": { "text/plain": [ "10" ] }, "execution_count": 25, "metadata": {}, "output_type": "execute_result" } ], "source": [ "X[train[0]]" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "## K-Fold cross validation" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "The function `KFold` divides all the samples into `k` groups of samples called folds (if $k=n$, this is equivalent to the Leave-One-Out strategy) of equal sizes (if possible).\n", "The prediction function is learned using `k−1` folds, and the omitted fold is used for testing." ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "You can import the function `KFold` by\n", "\n", " from sklearn.model_selection import KFold\n", "\n", "Check out the documentation of the function [here](https://scikit-learn.org/stable/modules/generated/sklearn.model_selection.KFold.html#sklearn.model_selection.KFold).\n", "As for LOOCV, create a test example that shows the behaviour of the function.\n", "For `n_splits=2`, you should obtain\n", "\n", " Training set: [5 6 7 8 9]\t Test set: [0 1 2 3 4]\n", " Training set: [0 1 2 3 4]\t Test set: [5 6 7 8 9]" ] }, { "cell_type": "code", "execution_count": null, "metadata": {}, "outputs": [], "source": [] }, { "cell_type": "markdown", "metadata": {}, "source": [ "**Solution**:" ] }, { "cell_type": "code", "execution_count": 12, "metadata": {}, "outputs": [ { "name": "stdout", "output_type": "stream", "text": [ "Training set: [5 6 7 8 9]\t Test set: [0 1 2 3 4]\n", "Training set: [0 1 2 3 4]\t Test set: [5 6 7 8 9]\n" ] } ], "source": [ "from sklearn.model_selection import KFold\n", "\n", "kf = KFold(n_splits=2)\n", "for train, test in kf.split(X):\n", " print(\"Training set: %s\\t Test set: %s\" % (train, test))" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "## Problem 2 - Cross-validation for a diabetes data set" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "The diabetes data set contains ten measurements (age, sex, body mass index, average blood pressure, and six blood serum measurements) for each of the `n = 442` patients.\n", "\n", "The response variable is a quantitative measure of disease progression one year after baseline.\n", "\n", "**Task**: The data set is part of scikit learn, you can import it using\n", "\n", " from sklearn import datasets\n", " diabetes = datasets.load_diabetes()" ] }, { "cell_type": "code", "execution_count": null, "metadata": {}, "outputs": [], "source": [] }, { "cell_type": "markdown", "metadata": {}, "source": [ "**Solution**:" ] }, { "cell_type": "code", "execution_count": 13, "metadata": {}, "outputs": [], "source": [ "from sklearn import datasets\n", "diabetes = datasets.load_diabetes()" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "Next, we create a pandas data frame to hold this information.\n", "\n", "**Task**:\n", "Create a pandas data frame `X` holding the ten predictor variables. You should name the columns in the data frame using the optional argument `columns=cols`, where `cols` is given by\n", " \n", " cols = [\"age\", \"sex\", \"bmi\", \"map\", \"tc\",\n", " \"ldl\", \"hdl\", \"tch\", \"ltg\", \"glu\"]\n", " \n", "Store the response variables as an numpy array `y`\n", "\n", "**Hint**:\n", "As in the iris data set, the diabetes dataset is as a python dictionary. The predictor variables can be accessed by `diabetes.data`, the responses via `diabetes.target`." ] }, { "cell_type": "code", "execution_count": null, "metadata": {}, "outputs": [], "source": [] }, { "cell_type": "markdown", "metadata": {}, "source": [ "**Solution**:" ] }, { "cell_type": "code", "execution_count": 14, "metadata": {}, "outputs": [], "source": [ "import pandas as pd\n", "\n", "cols = [\"age\", \"sex\", \"bmi\", \"map\", \"tc\",\n", " \"ldl\", \"hdl\", \"tch\", \"ltg\", \"glu\"]\n", "X = pd.DataFrame(diabetes.data, columns=cols)\n", "y = diabetes.target" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "We want to try two different estimation approaches here.\n", "1. At first, we use a plain training set/validation set approach, where we exclude $1/5$ of the data from training.\n", "2. Our second approach is to estimate $5$ different models using 5-fold cross-validation" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "### 1st approach: Simple splitting into training and validation set" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "In this part, we want to train a linear model using a subset of our samples.\n", "We have done this by hand so far, but there are also methods provided by `sklearn` which will do this work for us.\n", "Use the function `train_test_split` from the module `sklearn.model_selection` to divide your data inta a training and a validation set. SInce this selection is made randomly, you should set the optional input `random_state` to fix the seed of the random number generator to ensure comparability, e.g., by setting `random_state = 1`.\n", "\n", "**Task**: Split your data into a training and a validation set using the function `train_test_split`.\n", "Your validation set should contain 20\\% of the data." ] }, { "cell_type": "code", "execution_count": null, "metadata": {}, "outputs": [], "source": [] }, { "cell_type": "markdown", "metadata": {}, "source": [ "**Solution**:" ] }, { "cell_type": "code", "execution_count": 15, "metadata": {}, "outputs": [], "source": [ "from sklearn.model_selection import train_test_split\n", "\n", "X_train, X_test, y_train, y_test = train_test_split(X, y, test_size=0.2, random_state=1)\n" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "**Task**: Check the size of your sets. The training set should contain 353 samples, while the test set contains 89." ] }, { "cell_type": "code", "execution_count": null, "metadata": {}, "outputs": [], "source": [] }, { "cell_type": "markdown", "metadata": {}, "source": [ "**Solution**:" ] }, { "cell_type": "code", "execution_count": 16, "metadata": {}, "outputs": [ { "name": "stdout", "output_type": "stream", "text": [ "(353, 10) (353,)\n", "(89, 10) (89,)\n" ] } ], "source": [ "print(X_train.shape, y_train.shape)\n", "print(X_test.shape, y_test.shape)" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "**Task**:\n", "Fit a linear regression model to your **training** data. Use the appropriate method in `sklearn`." ] }, { "cell_type": "code", "execution_count": null, "metadata": {}, "outputs": [], "source": [] }, { "cell_type": "markdown", "metadata": {}, "source": [ "**Solution**:" ] }, { "cell_type": "code", "execution_count": 17, "metadata": {}, "outputs": [], "source": [ "from sklearn import linear_model\n", "lm = linear_model.LinearRegression()\n", "test_model = lm.fit(X_train, y_train)" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "**Task**: Use your model to predict the response on the validation set." ] }, { "cell_type": "code", "execution_count": null, "metadata": {}, "outputs": [], "source": [] }, { "cell_type": "markdown", "metadata": {}, "source": [ "**Solution**:" ] }, { "cell_type": "code", "execution_count": 18, "metadata": {}, "outputs": [], "source": [ "test_pred = test_model.predict(X_test)" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "Until now, our plots were always of the type predictor against response or against regression line.\n", "Another way to display the quality of a regression fit is to plot the true values against the predicted values.\n", "The closer the values are to the identity $f(x) = x$, the better the fit.\n", "\n", "**Task**:\n", "Produce a scatterplot of the true values in the validation response against the predicted values. Label the axes." ] }, { "cell_type": "code", "execution_count": null, "metadata": {}, "outputs": [], "source": [] }, { "cell_type": "markdown", "metadata": {}, "source": [ "**Solution**:" ] }, { "cell_type": "code", "execution_count": 20, "metadata": {}, "outputs": [ { "data": { "application/javascript": [ "/* Put everything inside the global mpl namespace */\n", "window.mpl = {};\n", "\n", "\n", "mpl.get_websocket_type = function() {\n", " if (typeof(WebSocket) !== 'undefined') {\n", " return WebSocket;\n", " } else if (typeof(MozWebSocket) !== 'undefined') {\n", " return MozWebSocket;\n", " } else {\n", " alert('Your browser does not have WebSocket support.' +\n", " 'Please try Chrome, Safari or Firefox ≥ 6. 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');\n", " var button = $('');\n", " button.click(function (evt) { fig.handle_close(fig, {}); } );\n", " button.mouseover('Stop Interaction', toolbar_mouse_event);\n", " buttongrp.append(button);\n", " var titlebar = this.root.find($('.ui-dialog-titlebar'));\n", " titlebar.prepend(buttongrp);\n", "}\n", "\n", "mpl.figure.prototype._root_extra_style = function(el){\n", " var fig = this\n", " el.on(\"remove\", function(){\n", "\tfig.close_ws(fig, {});\n", " });\n", "}\n", "\n", "mpl.figure.prototype._canvas_extra_style = function(el){\n", " // this is important to make the div 'focusable\n", " el.attr('tabindex', 0)\n", " // reach out to IPython and tell the keyboard manager to turn it's self\n", " // off when our div gets focus\n", "\n", " // location in version 3\n", " if (IPython.notebook.keyboard_manager) {\n", " IPython.notebook.keyboard_manager.register_events(el);\n", " }\n", " else {\n", " // location in version 2\n", " IPython.keyboard_manager.register_events(el);\n", " }\n", "\n", "}\n", "\n", "mpl.figure.prototype._key_event_extra = function(event, name) {\n", " var manager = IPython.notebook.keyboard_manager;\n", " if (!manager)\n", " manager = IPython.keyboard_manager;\n", "\n", " // Check for shift+enter\n", " if (event.shiftKey && event.which == 13) {\n", " this.canvas_div.blur();\n", " event.shiftKey = false;\n", " // Send a \"J\" for go to next cell\n", " event.which = 74;\n", " event.keyCode = 74;\n", " manager.command_mode();\n", " manager.handle_keydown(event);\n", " }\n", "}\n", "\n", "mpl.figure.prototype.handle_save = function(fig, msg) {\n", " fig.ondownload(fig, null);\n", "}\n", "\n", "\n", "mpl.find_output_cell = function(html_output) {\n", " // Return the cell and output element which can be found *uniquely* in the notebook.\n", " // Note - this is a bit hacky, but it is done because the \"notebook_saving.Notebook\"\n", " // IPython event is triggered only after the cells have been serialised, which for\n", " // our purposes (turning an active figure into a static one), is too late.\n", " var cells = IPython.notebook.get_cells();\n", " var ncells = cells.length;\n", " for (var i=0; i= 3 moved mimebundle to data attribute of output\n", " data = data.data;\n", " }\n", " if (data['text/html'] == html_output) {\n", " return [cell, data, j];\n", " }\n", " }\n", " }\n", " }\n", "}\n", "\n", "// Register the function which deals with the matplotlib target/channel.\n", "// The kernel may be null if the page has been refreshed.\n", "if (IPython.notebook.kernel != null) {\n", " IPython.notebook.kernel.comm_manager.register_target('matplotlib', mpl.mpl_figure_comm);\n", "}\n" ], "text/plain": [ "" ] }, "metadata": {}, "output_type": "display_data" }, { "data": { "text/html": [ "" ], "text/plain": [ "" ] }, "metadata": {}, "output_type": "display_data" }, { "data": { "text/plain": [ "Text(0, 0.5, 'Predictions')" ] }, "execution_count": 24, "metadata": {}, "output_type": "execute_result" } ], "source": [ "# Make cross-validated predictions\n", "predictions = cross_val_predict(model, X, y, cv=n_fold)\n", "plt.scatter(y, cv_pred)\n", "plt.xlabel(\"True Values\")\n", "plt.ylabel(\"Predictions\")" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "**Task**: Compute the $R^2$-score this model. You can use the function `r2_score` from the module `sklearn.metrics`." ] }, { "cell_type": "code", "execution_count": null, "metadata": {}, "outputs": [], "source": [] }, { "cell_type": "markdown", "metadata": {}, "source": [ "**Solution**:" ] }, { "cell_type": "code", "execution_count": 25, "metadata": {}, "outputs": [ { "name": "stdout", "output_type": "stream", "text": [ "Cross-validated Accuracy: 0.49532382463572844\n" ] } ], "source": [ "from sklearn.metrics import r2_score\n", "accuracy = r2_score(y, cv_pred)\n", "print(\"Cross-validated Accuracy:\", accuracy)" ] }, { "cell_type": "markdown", "metadata": {}, "source": [ "**Caution**: Altough this $R^2$-score is higher than the score for the training/validation set split, they are not really comparable since we computed them on different subsets of the data.\n", "To get a more reliable comparison, we must keep part of the data as a so-called *hold-out* data set to be used for estimating the true learning error." ] } ], "metadata": { "kernelspec": { "display_name": "Python 3", "language": "python", "name": "python3" }, "language_info": { "codemirror_mode": { "name": "ipython", "version": 3 }, "file_extension": ".py", "mimetype": "text/x-python", "name": "python", "nbconvert_exporter": "python", "pygments_lexer": "ipython3", "version": "3.6.6" } }, "nbformat": 4, "nbformat_minor": 2 }