"""Calibration of predicted probabilities."""
# Author: Alexandre Gramfort <alexandre.gramfort@telecom-paristech.fr>
# Balazs Kegl <balazs.kegl@gmail.com>
# Jan Hendrik Metzen <jhm@informatik.uni-bremen.de>
# Mathieu Blondel <mathieu@mblondel.org>
#
# License: BSD 3 clause
from __future__ import division
import warnings
from math import log
import numpy as np
from scipy.optimize import fmin_bfgs
from .base import BaseEstimator, ClassifierMixin, RegressorMixin, clone
from .preprocessing import LabelBinarizer
from .utils import check_X_y, check_array, indexable, column_or_1d
from .utils.validation import check_is_fitted
from .utils.fixes import signature
from .isotonic import IsotonicRegression
from .svm import LinearSVC
from .cross_validation import check_cv
from .metrics.classification import _check_binary_probabilistic_predictions
class CalibratedClassifierCV(BaseEstimator, ClassifierMixin):
"""Probability calibration with isotonic regression or sigmoid.
With this class, the base_estimator is fit on the train set of the
cross-validation generator and the test set is used for calibration.
The probabilities for each of the folds are then averaged
for prediction. In case that cv="prefit" is passed to __init__,
it is it is assumed that base_estimator has been
fitted already and all data is used for calibration. Note that
data for fitting the classifier and for calibrating it must be disjoint.
Read more in the :ref:`User Guide <calibration>`.
Parameters
----------
base_estimator : instance BaseEstimator
The classifier whose output decision function needs to be calibrated
to offer more accurate predict_proba outputs. If cv=prefit, the
classifier must have been fit already on data.
method : 'sigmoid' or 'isotonic'
The method to use for calibration. Can be 'sigmoid' which
corresponds to Platt's method or 'isotonic' which is a
non-parameteric approach. It is not advised to use isotonic calibration
with too few calibration samples ``(<<1000)`` since it tends to overfit.
Use sigmoids (Platt's calibration) in this case.
cv : integer, cross-validation generator, iterable or "prefit", optional
Determines the cross-validation splitting strategy.
Possible inputs for cv are:
- None, to use the default 3-fold cross-validation,
- integer, to specify the number of folds.
- An object to be used as a cross-validation generator.
- An iterable yielding train/test splits.
For integer/None inputs, if ``y`` is binary or multiclass,
:class:`StratifiedKFold` used. If ``y`` is neither binary nor
multiclass, :class:`KFold` is used.
Refer :ref:`User Guide <cross_validation>` for the various
cross-validation strategies that can be used here.
If "prefit" is passed, it is assumed that base_estimator has been
fitted already and all data is used for calibration.
Attributes
----------
classes_ : array, shape (n_classes)
The class labels.
calibrated_classifiers_: list (len() equal to cv or 1 if cv == "prefit")
The list of calibrated classifiers, one for each crossvalidation fold,
which has been fitted on all but the validation fold and calibrated
on the validation fold.
References
----------
.. [1] Obtaining calibrated probability estimates from decision trees
and naive Bayesian classifiers, B. Zadrozny & C. Elkan, ICML 2001
.. [2] Transforming Classifier Scores into Accurate Multiclass
Probability Estimates, B. Zadrozny & C. Elkan, (KDD 2002)
.. [3] Probabilistic Outputs for Support Vector Machines and Comparisons to
Regularized Likelihood Methods, J. Platt, (1999)
.. [4] Predicting Good Probabilities with Supervised Learning,
A. Niculescu-Mizil & R. Caruana, ICML 2005
"""
def __init__(self, base_estimator=None, method='sigmoid', cv=3):
self.base_estimator = base_estimator
self.method = method
self.cv = cv
def fit(self, X, y, sample_weight=None):
"""Fit the calibrated model
Parameters
----------
X : array-like, shape (n_samples, n_features)
Training data.
y : array-like, shape (n_samples,)
Target values.
sample_weight : array-like, shape = [n_samples] or None
Sample weights. If None, then samples are equally weighted.
Returns
-------
self : object
Returns an instance of self.
"""
X, y = check_X_y(X, y, accept_sparse=['csc', 'csr', 'coo'],
force_all_finite=False)
X, y = indexable(X, y)
lb = LabelBinarizer().fit(y)
self.classes_ = lb.classes_
# Check that we each cross-validation fold can have at least one
# example per class
n_folds = self.cv if isinstance(self.cv, int) \
else self.cv.n_folds if hasattr(self.cv, "n_folds") else None
if n_folds and \
np.any([np.sum(y == class_) < n_folds for class_ in self.classes_]):
raise ValueError("Requesting %d-fold cross-validation but provided"
" less than %d examples for at least one class."
% (n_folds, n_folds))
self.calibrated_classifiers_ = []
if self.base_estimator is None:
# we want all classifiers that don't expose a random_state
# to be deterministic (and we don't want to expose this one).
base_estimator = LinearSVC(random_state=0)
else:
base_estimator = self.base_estimator
if self.cv == "prefit":
calibrated_classifier = _CalibratedClassifier(
base_estimator, method=self.method)
if sample_weight is not None:
calibrated_classifier.fit(X, y, sample_weight)
else:
calibrated_classifier.fit(X, y)
self.calibrated_classifiers_.append(calibrated_classifier)
else:
cv = check_cv(self.cv, X, y, classifier=True)
fit_parameters = signature(base_estimator.fit).parameters
estimator_name = type(base_estimator).__name__
if (sample_weight is not None
and "sample_weight" not in fit_parameters):
warnings.warn("%s does not support sample_weight. Samples"
" weights are only used for the calibration"
" itself." % estimator_name)
base_estimator_sample_weight = None
else:
base_estimator_sample_weight = sample_weight
for train, test in cv:
this_estimator = clone(base_estimator)
if base_estimator_sample_weight is not None:
this_estimator.fit(
X[train], y[train],
sample_weight=base_estimator_sample_weight[train])
else:
this_estimator.fit(X[train], y[train])
calibrated_classifier = _CalibratedClassifier(
this_estimator, method=self.method)
if sample_weight is not None:
calibrated_classifier.fit(X[test], y[test],
sample_weight[test])
else:
calibrated_classifier.fit(X[test], y[test])
self.calibrated_classifiers_.append(calibrated_classifier)
return self
def predict_proba(self, X):
"""Posterior probabilities of classification
This function returns posterior probabilities of classification
according to each class on an array of test vectors X.
Parameters
----------
X : array-like, shape (n_samples, n_features)
The samples.
Returns
-------
C : array, shape (n_samples, n_classes)
The predicted probas.
"""
check_is_fitted(self, ["classes_", "calibrated_classifiers_"])
X = check_array(X, accept_sparse=['csc', 'csr', 'coo'],
force_all_finite=False)
# Compute the arithmetic mean of the predictions of the calibrated
# classfiers
mean_proba = np.zeros((X.shape[0], len(self.classes_)))
for calibrated_classifier in self.calibrated_classifiers_:
proba = calibrated_classifier.predict_proba(X)
mean_proba += proba
mean_proba /= len(self.calibrated_classifiers_)
return mean_proba
def predict(self, X):
"""Predict the target of new samples. Can be different from the
prediction of the uncalibrated classifier.
Parameters
----------
X : array-like, shape (n_samples, n_features)
The samples.
Returns
-------
C : array, shape (n_samples,)
The predicted class.
"""
check_is_fitted(self, ["classes_", "calibrated_classifiers_"])
return self.classes_[np.argmax(self.predict_proba(X), axis=1)]
class _CalibratedClassifier(object):
"""Probability calibration with isotonic regression or sigmoid.
It assumes that base_estimator has already been fit, and trains the
calibration on the input set of the fit function. Note that this class
should not be used as an estimator directly. Use CalibratedClassifierCV
with cv="prefit" instead.
Parameters
----------
base_estimator : instance BaseEstimator
The classifier whose output decision function needs to be calibrated
to offer more accurate predict_proba outputs. No default value since
it has to be an already fitted estimator.
method : 'sigmoid' | 'isotonic'
The method to use for calibration. Can be 'sigmoid' which
corresponds to Platt's method or 'isotonic' which is a
non-parameteric approach based on isotonic regression.
References
----------
.. [1] Obtaining calibrated probability estimates from decision trees
and naive Bayesian classifiers, B. Zadrozny & C. Elkan, ICML 2001
.. [2] Transforming Classifier Scores into Accurate Multiclass
Probability Estimates, B. Zadrozny & C. Elkan, (KDD 2002)
.. [3] Probabilistic Outputs for Support Vector Machines and Comparisons to
Regularized Likelihood Methods, J. Platt, (1999)
.. [4] Predicting Good Probabilities with Supervised Learning,
A. Niculescu-Mizil & R. Caruana, ICML 2005
"""
def __init__(self, base_estimator, method='sigmoid'):
self.base_estimator = base_estimator
self.method = method
def _preproc(self, X):
n_classes = len(self.classes_)
if hasattr(self.base_estimator, "decision_function"):
df = self.base_estimator.decision_function(X)
if df.ndim == 1:
df = df[:, np.newaxis]
elif hasattr(self.base_estimator, "predict_proba"):
df = self.base_estimator.predict_proba(X)
if n_classes == 2:
df = df[:, 1:]
else:
raise RuntimeError('classifier has no decision_function or '
'predict_proba method.')
idx_pos_class = np.arange(df.shape[1])
return df, idx_pos_class
def fit(self, X, y, sample_weight=None):
"""Calibrate the fitted model
Parameters
----------
X : array-like, shape (n_samples, n_features)
Training data.
y : array-like, shape (n_samples,)
Target values.
sample_weight : array-like, shape = [n_samples] or None
Sample weights. If None, then samples are equally weighted.
Returns
-------
self : object
Returns an instance of self.
"""
lb = LabelBinarizer()
Y = lb.fit_transform(y)
self.classes_ = lb.classes_
df, idx_pos_class = self._preproc(X)
self.calibrators_ = []
for k, this_df in zip(idx_pos_class, df.T):
if self.method == 'isotonic':
calibrator = IsotonicRegression(out_of_bounds='clip')
elif self.method == 'sigmoid':
calibrator = _SigmoidCalibration()
else:
raise ValueError('method should be "sigmoid" or '
'"isotonic". Got %s.' % self.method)
calibrator.fit(this_df, Y[:, k], sample_weight)
self.calibrators_.append(calibrator)
return self
def predict_proba(self, X):
"""Posterior probabilities of classification
This function returns posterior probabilities of classification
according to each class on an array of test vectors X.
Parameters
----------
X : array-like, shape (n_samples, n_features)
The samples.
Returns
-------
C : array, shape (n_samples, n_classes)
The predicted probas. Can be exact zeros.
"""
Loading ...