import pytest
import numpy as np
from numpy.testing import assert_allclose
from sklearn.compose import ColumnTransformer
from sklearn.datasets import load_diabetes
from sklearn.datasets import load_iris
from sklearn.datasets import make_classification
from sklearn.datasets import make_regression
from sklearn.dummy import DummyClassifier
from sklearn.ensemble import RandomForestRegressor
from sklearn.ensemble import RandomForestClassifier
from sklearn.linear_model import LinearRegression
from sklearn.linear_model import LogisticRegression
from sklearn.impute import SimpleImputer
from sklearn.inspection import permutation_importance
from sklearn.model_selection import train_test_split
from sklearn.pipeline import make_pipeline
from sklearn.preprocessing import KBinsDiscretizer
from sklearn.preprocessing import OneHotEncoder
from sklearn.preprocessing import StandardScaler
from sklearn.preprocessing import scale
from sklearn.utils import parallel_backend
from sklearn.utils._testing import _convert_container
@pytest.mark.parametrize("n_jobs", [1, 2])
def test_permutation_importance_correlated_feature_regression(n_jobs):
# Make sure that feature highly correlated to the target have a higher
# importance
rng = np.random.RandomState(42)
n_repeats = 5
X, y = load_diabetes(return_X_y=True)
y_with_little_noise = (
y + rng.normal(scale=0.001, size=y.shape[0])).reshape(-1, 1)
X = np.hstack([X, y_with_little_noise])
clf = RandomForestRegressor(n_estimators=10, random_state=42)
clf.fit(X, y)
result = permutation_importance(clf, X, y, n_repeats=n_repeats,
random_state=rng, n_jobs=n_jobs)
assert result.importances.shape == (X.shape[1], n_repeats)
# the correlated feature with y was added as the last column and should
# have the highest importance
assert np.all(result.importances_mean[-1] >
result.importances_mean[:-1])
@pytest.mark.parametrize("n_jobs", [1, 2])
def test_permutation_importance_correlated_feature_regression_pandas(n_jobs):
pd = pytest.importorskip("pandas")
# Make sure that feature highly correlated to the target have a higher
# importance
rng = np.random.RandomState(42)
n_repeats = 5
dataset = load_iris()
X, y = dataset.data, dataset.target
y_with_little_noise = (
y + rng.normal(scale=0.001, size=y.shape[0])).reshape(-1, 1)
# Adds feature correlated with y as the last column
X = pd.DataFrame(X, columns=dataset.feature_names)
X['correlated_feature'] = y_with_little_noise
clf = RandomForestClassifier(n_estimators=10, random_state=42)
clf.fit(X, y)
result = permutation_importance(clf, X, y, n_repeats=n_repeats,
random_state=rng, n_jobs=n_jobs)
assert result.importances.shape == (X.shape[1], n_repeats)
# the correlated feature with y was added as the last column and should
# have the highest importance
assert np.all(result.importances_mean[-1] > result.importances_mean[:-1])
@pytest.mark.parametrize("n_jobs", [1, 2])
def test_robustness_to_high_cardinality_noisy_feature(n_jobs, seed=42):
# Permutation variable importance should not be affected by the high
# cardinality bias of traditional feature importances, especially when
# computed on a held-out test set:
rng = np.random.RandomState(seed)
n_repeats = 5
n_samples = 1000
n_classes = 5
n_informative_features = 2
n_noise_features = 1
n_features = n_informative_features + n_noise_features
# Generate a multiclass classification dataset and a set of informative
# binary features that can be used to predict some classes of y exactly
# while leaving some classes unexplained to make the problem harder.
classes = np.arange(n_classes)
y = rng.choice(classes, size=n_samples)
X = np.hstack([(y == c).reshape(-1, 1)
for c in classes[:n_informative_features]])
X = X.astype(np.float32)
# Not all target classes are explained by the binary class indicator
# features:
assert n_informative_features < n_classes
# Add 10 other noisy features with high cardinality (numerical) values
# that can be used to overfit the training data.
X = np.concatenate([X, rng.randn(n_samples, n_noise_features)], axis=1)
assert X.shape == (n_samples, n_features)
# Split the dataset to be able to evaluate on a held-out test set. The
# Test size should be large enough for importance measurements to be
# stable:
X_train, X_test, y_train, y_test = train_test_split(
X, y, test_size=0.5, random_state=rng)
clf = RandomForestClassifier(n_estimators=5, random_state=rng)
clf.fit(X_train, y_train)
# Variable importances computed by impurity decrease on the tree node
# splits often use the noisy features in splits. This can give misleading
# impression that high cardinality noisy variables are the most important:
tree_importances = clf.feature_importances_
informative_tree_importances = tree_importances[:n_informative_features]
noisy_tree_importances = tree_importances[n_informative_features:]
assert informative_tree_importances.max() < noisy_tree_importances.min()
# Let's check that permutation-based feature importances do not have this
# problem.
r = permutation_importance(clf, X_test, y_test, n_repeats=n_repeats,
random_state=rng, n_jobs=n_jobs)
assert r.importances.shape == (X.shape[1], n_repeats)
# Split the importances between informative and noisy features
informative_importances = r.importances_mean[:n_informative_features]
noisy_importances = r.importances_mean[n_informative_features:]
# Because we do not have a binary variable explaining each target classes,
# the RF model will have to use the random variable to make some
# (overfitting) splits (as max_depth is not set). Therefore the noisy
# variables will be non-zero but with small values oscillating around
# zero:
assert max(np.abs(noisy_importances)) > 1e-7
assert noisy_importances.max() < 0.05
# The binary features correlated with y should have a higher importance
# than the high cardinality noisy features.
# The maximum test accuracy is 2 / 5 == 0.4, each informative feature
# contributing approximately a bit more than 0.2 of accuracy.
assert informative_importances.min() > 0.15
def test_permutation_importance_mixed_types():
rng = np.random.RandomState(42)
n_repeats = 4
# Last column is correlated with y
X = np.array([[1.0, 2.0, 3.0, np.nan], [2, 1, 2, 1]]).T
y = np.array([0, 1, 0, 1])
clf = make_pipeline(SimpleImputer(), LogisticRegression(solver='lbfgs'))
clf.fit(X, y)
result = permutation_importance(clf, X, y, n_repeats=n_repeats,
random_state=rng)
assert result.importances.shape == (X.shape[1], n_repeats)
# the correlated feature with y is the last column and should
# have the highest importance
assert np.all(result.importances_mean[-1] > result.importances_mean[:-1])
# use another random state
rng = np.random.RandomState(0)
result2 = permutation_importance(clf, X, y, n_repeats=n_repeats,
random_state=rng)
assert result2.importances.shape == (X.shape[1], n_repeats)
assert not np.allclose(result.importances, result2.importances)
# the correlated feature with y is the last column and should
# have the highest importance
assert np.all(result2.importances_mean[-1] > result2.importances_mean[:-1])
def test_permutation_importance_mixed_types_pandas():
pd = pytest.importorskip("pandas")
rng = np.random.RandomState(42)
n_repeats = 5
# Last column is correlated with y
X = pd.DataFrame({'col1': [1.0, 2.0, 3.0, np.nan],
'col2': ['a', 'b', 'a', 'b']})
y = np.array([0, 1, 0, 1])
num_preprocess = make_pipeline(SimpleImputer(), StandardScaler())
preprocess = ColumnTransformer([
('num', num_preprocess, ['col1']),
('cat', OneHotEncoder(), ['col2'])
])
clf = make_pipeline(preprocess, LogisticRegression(solver='lbfgs'))
clf.fit(X, y)
result = permutation_importance(clf, X, y, n_repeats=n_repeats,
random_state=rng)
assert result.importances.shape == (X.shape[1], n_repeats)
# the correlated feature with y is the last column and should
# have the highest importance
assert np.all(result.importances_mean[-1] > result.importances_mean[:-1])
def test_permutation_importance_linear_regresssion():
X, y = make_regression(n_samples=500, n_features=10, random_state=0)
X = scale(X)
y = scale(y)
lr = LinearRegression().fit(X, y)
# this relationship can be computed in closed form
expected_importances = 2 * lr.coef_**2
results = permutation_importance(lr, X, y,
n_repeats=50,
scoring='neg_mean_squared_error')
assert_allclose(expected_importances, results.importances_mean,
rtol=1e-1, atol=1e-6)
def test_permutation_importance_equivalence_sequential_parallel():
# regression test to make sure that sequential and parallel calls will
# output the same results.
X, y = make_regression(n_samples=500, n_features=10, random_state=0)
lr = LinearRegression().fit(X, y)
importance_sequential = permutation_importance(
lr, X, y, n_repeats=5, random_state=0, n_jobs=1
)
# First check that the problem is structured enough and that the model is
# complex enough to not yield trivial, constant importances:
imp_min = importance_sequential['importances'].min()
imp_max = importance_sequential['importances'].max()
assert imp_max - imp_min > 0.3
# The actually check that parallelism does not impact the results
# either with shared memory (threading) or without isolated memory
# via process-based parallelism using the default backend
# ('loky' or 'multiprocessing') depending on the joblib version:
# process-based parallelism (by default):
importance_processes = permutation_importance(
lr, X, y, n_repeats=5, random_state=0, n_jobs=2)
assert_allclose(
importance_processes['importances'],
importance_sequential['importances']
)
# thread-based parallelism:
with parallel_backend("threading"):
importance_threading = permutation_importance(
lr, X, y, n_repeats=5, random_state=0, n_jobs=2
)
assert_allclose(
importance_threading['importances'],
importance_sequential['importances']
)
@pytest.mark.parametrize("n_jobs", [None, 1, 2])
def test_permutation_importance_equivalence_array_dataframe(n_jobs):
# This test checks that the column shuffling logic has the same behavior
# both a dataframe and a simple numpy array.
pd = pytest.importorskip('pandas')
# regression test to make sure that sequential and parallel calls will
# output the same results.
X, y = make_regression(n_samples=100, n_features=5, random_state=0)
X_df = pd.DataFrame(X)
# Add a categorical feature that is statistically linked to y:
binner = KBinsDiscretizer(n_bins=3, encode="ordinal")
cat_column = binner.fit_transform(y.reshape(-1, 1))
# Concatenate the extra column to the numpy array: integers will be
# cast to float values
X = np.hstack([X, cat_column])
assert X.dtype.kind == "f"
# Insert extra column as a non-numpy-native dtype (while keeping backward
# compat for old pandas versions):
if hasattr(pd, "Categorical"):
cat_column = pd.Categorical(cat_column.ravel())
else:
cat_column = cat_column.ravel()
new_col_idx = len(X_df.columns)
X_df[new_col_idx] = cat_column
assert X_df[new_col_idx].dtype == cat_column.dtype
# Stich an aribtrary index to the dataframe:
X_df.index = np.arange(len(X_df)).astype(str)
rf = RandomForestRegressor(n_estimators=5, max_depth=3, random_state=0)
rf.fit(X, y)
n_repeats = 3
importance_array = permutation_importance(
rf, X, y, n_repeats=n_repeats, random_state=0, n_jobs=n_jobs
)
# First check that the problem is structured enough and that the model is
# complex enough to not yield trivial, constant importances:
imp_min = importance_array['importances'].min()
imp_max = importance_array['importances'].max()
assert imp_max - imp_min > 0.3
# Now check that importances computed on dataframe matche the values
# of those computed on the array with the same data.
importance_dataframe = permutation_importance(
rf, X_df, y, n_repeats=n_repeats, random_state=0, n_jobs=n_jobs
)
assert_allclose(
importance_array['importances'],
importance_dataframe['importances']
)
@pytest.mark.parametrize("input_type", ["array", "dataframe"])
def test_permutation_importance_large_memmaped_data(input_type):
# Smoke, non-regression test for:
# https://github.com/scikit-learn/scikit-learn/issues/15810
n_samples, n_features = int(5e4), 4
X, y = make_classification(n_samples=n_samples, n_features=n_features,
random_state=0)
assert X.nbytes > 1e6 # trigger joblib memmaping
X = _convert_container(X, input_type)
clf = DummyClassifier(strategy='prior').fit(X, y)
# Actual smoke test: should not raise any error:
n_repeats = 5
r = permutation_importance(clf, X, y, n_repeats=n_repeats, n_jobs=2)
# Auxiliary check: DummyClassifier is feature independent:
# permutating feature should not change the predictions
expected_importances = np.zeros((n_features, n_repeats))
assert_allclose(expected_importances, r.importances)