"""Permutation importance for estimators"""
import numpy as np
from joblib import Parallel
from joblib import delayed
from ..metrics import check_scoring
from ..utils import check_random_state
from ..utils import check_array
from ..utils import Bunch
def _safe_column_setting(X, col_idx, values):
"""Set column on X using `col_idx`"""
if hasattr(X, "iloc"):
X.iloc[:, col_idx] = values
else:
X[:, col_idx] = values
def _safe_column_indexing(X, col_idx):
"""Return column from X using `col_idx`"""
if hasattr(X, "iloc"):
return X.iloc[:, col_idx].values
else:
return X[:, col_idx]
def _calculate_permutation_scores(estimator, X, y, col_idx, random_state,
n_repeats, scorer):
"""Calculate score when `col_idx` is permuted."""
original_feature = _safe_column_indexing(X, col_idx).copy()
temp = original_feature.copy()
scores = np.zeros(n_repeats)
for n_round in range(n_repeats):
random_state.shuffle(temp)
_safe_column_setting(X, col_idx, temp)
feature_score = scorer(estimator, X, y)
scores[n_round] = feature_score
_safe_column_setting(X, col_idx, original_feature)
return scores
def permutation_importance(estimator, X, y, scoring=None, n_repeats=5,
n_jobs=None, random_state=None):
"""Permutation importance for feature evaluation [BRE]_.
The :term:`estimator` is required to be a fitted estimator. `X` can be the
data set used to train the estimator or a hold-out set. The permutation
importance of a feature is calculated as follows. First, a baseline metric,
defined by :term:`scoring`, is evaluated on a (potentially different)
dataset defined by the `X`. Next, a feature column from the validation set
is permuted and the metric is evaluated again. The permutation importance
is defined to be the difference between the baseline metric and metric from
permutating the feature column.
Read more in the :ref:`User Guide <permutation_importance>`.
Parameters
----------
estimator : object
An estimator that has already been :term:`fitted` and is compatible
with :term:`scorer`.
X : ndarray or DataFrame, shape (n_samples, n_features)
Data on which permutation importance will be computed.
y : array-like or None, shape (n_samples, ) or (n_samples, n_classes)
Targets for supervised or `None` for unsupervised.
scoring : string, callable or None, default=None
Scorer to use. It can be a single
string (see :ref:`scoring_parameter`) or a callable (see
:ref:`scoring`). If None, the estimator's default scorer is used.
n_repeats : int, default=5
Number of times to permute a feature.
n_jobs : int or None, default=None
The number of jobs to use for the computation.
`None` means 1 unless in a :obj:`joblib.parallel_backend` context.
`-1` means using all processors. See :term:`Glossary <n_jobs>`
for more details.
random_state : int, RandomState instance, or None, default=None
Pseudo-random number generator to control the permutations of each
feature. See :term:`random_state`.
Returns
-------
result : Bunch
Dictionary-like object, with attributes:
importances_mean : ndarray, shape (n_features, )
Mean of feature importance over `n_repeats`.
importances_std : ndarray, shape (n_features, )
Standard deviation over `n_repeats`.
importances : ndarray, shape (n_features, n_repeats)
Raw permutation importance scores.
References
----------
.. [BRE] L. Breiman, "Random Forests", Machine Learning, 45(1), 5-32,
2001. https://doi.org/10.1023/A:1010933404324
"""
if hasattr(X, "iloc"):
X = X.copy() # Dataframe
else:
X = check_array(X, force_all_finite='allow-nan', dtype=np.object,
copy=True)
random_state = check_random_state(random_state)
scorer = check_scoring(estimator, scoring=scoring)
baseline_score = scorer(estimator, X, y)
scores = np.zeros((X.shape[1], n_repeats))
scores = Parallel(n_jobs=n_jobs)(delayed(_calculate_permutation_scores)(
estimator, X, y, col_idx, random_state, n_repeats, scorer
) for col_idx in range(X.shape[1]))
importances = baseline_score - np.array(scores)
return Bunch(importances_mean=np.mean(importances, axis=1),
importances_std=np.std(importances, axis=1),
importances=importances)