@@ -1,66 +1,66 @@
|
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#' Importance of features in a model.
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#'
|
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#'
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#' Creates a \code{data.table} of feature importances in a model.
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#'
|
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#'
|
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#' @param feature_names character vector of feature names. If the model already
|
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#' contains feature names, those would be used when \code{feature_names=NULL} (default value).
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#' Non-null \code{feature_names} could be provided to override those in the model.
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#' @param model object of class \code{xgb.Booster}.
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#' @param trees (only for the gbtree booster) an integer vector of tree indices that should be included
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#' into the importance calculation. If set to \code{NULL}, all trees of the model are parsed.
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#' It could be useful, e.g., in multiclass classification to get feature importances
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#' It could be useful, e.g., in multiclass classification to get feature importances
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#' for each class separately. IMPORTANT: the tree index in xgboost models
|
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#' is zero-based (e.g., use \code{trees = 0:4} for first 5 trees).
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#' @param data deprecated.
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#' @param label deprecated.
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#' @param target deprecated.
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#'
|
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#' @details
|
||||
#'
|
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#' @details
|
||||
#'
|
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#' This function works for both linear and tree models.
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#'
|
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#' For linear models, the importance is the absolute magnitude of linear coefficients.
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#' For that reason, in order to obtain a meaningful ranking by importance for a linear model,
|
||||
#' the features need to be on the same scale (which you also would want to do when using either
|
||||
#'
|
||||
#' For linear models, the importance is the absolute magnitude of linear coefficients.
|
||||
#' For that reason, in order to obtain a meaningful ranking by importance for a linear model,
|
||||
#' the features need to be on the same scale (which you also would want to do when using either
|
||||
#' L1 or L2 regularization).
|
||||
#'
|
||||
#'
|
||||
#' @return
|
||||
#'
|
||||
#'
|
||||
#' For a tree model, a \code{data.table} with the following columns:
|
||||
#' \itemize{
|
||||
#' \item \code{Features} names of the features used in the model;
|
||||
#' \item \code{Gain} represents fractional contribution of each feature to the model based on
|
||||
#' the total gain of this feature's splits. Higher percentage means a more important
|
||||
#' the total gain of this feature's splits. Higher percentage means a more important
|
||||
#' predictive feature.
|
||||
#' \item \code{Cover} metric of the number of observation related to this feature;
|
||||
#' \item \code{Frequency} percentage representing the relative number of times
|
||||
#' a feature have been used in trees.
|
||||
#' }
|
||||
#'
|
||||
#'
|
||||
#' A linear model's importance \code{data.table} has the following columns:
|
||||
#' \itemize{
|
||||
#' \item \code{Features} names of the features used in the model;
|
||||
#' \item \code{Weight} the linear coefficient of this feature;
|
||||
#' \item \code{Class} (only for multiclass models) class label.
|
||||
#' }
|
||||
#'
|
||||
#' If \code{feature_names} is not provided and \code{model} doesn't have \code{feature_names},
|
||||
#'
|
||||
#' If \code{feature_names} is not provided and \code{model} doesn't have \code{feature_names},
|
||||
#' index of the features will be used instead. Because the index is extracted from the model dump
|
||||
#' (based on C++ code), it starts at 0 (as in C/C++ or Python) instead of 1 (usual in R).
|
||||
#'
|
||||
#'
|
||||
#' @examples
|
||||
#'
|
||||
#'
|
||||
#' # binomial classification using gbtree:
|
||||
#' data(agaricus.train, package='xgboost')
|
||||
#' bst <- xgboost(data = agaricus.train$data, label = agaricus.train$label, max_depth = 2,
|
||||
#' bst <- xgboost(data = agaricus.train$data, label = agaricus.train$label, max_depth = 2,
|
||||
#' eta = 1, nthread = 2, nrounds = 2, objective = "binary:logistic")
|
||||
#' xgb.importance(model = bst)
|
||||
#'
|
||||
#'
|
||||
#' # binomial classification using gblinear:
|
||||
#' bst <- xgboost(data = agaricus.train$data, label = agaricus.train$label, booster = "gblinear",
|
||||
#' bst <- xgboost(data = agaricus.train$data, label = agaricus.train$label, booster = "gblinear",
|
||||
#' eta = 0.3, nthread = 1, nrounds = 20, objective = "binary:logistic")
|
||||
#' xgb.importance(model = bst)
|
||||
#'
|
||||
#'
|
||||
#' # multiclass classification using gbtree:
|
||||
#' nclass <- 3
|
||||
#' nrounds <- 10
|
||||
@@ -73,7 +73,7 @@
|
||||
#' xgb.importance(model = mbst, trees = seq(from=0, by=nclass, length.out=nrounds))
|
||||
#' xgb.importance(model = mbst, trees = seq(from=1, by=nclass, length.out=nrounds))
|
||||
#' xgb.importance(model = mbst, trees = seq(from=2, by=nclass, length.out=nrounds))
|
||||
#'
|
||||
#'
|
||||
#' # multiclass classification using gblinear:
|
||||
#' mbst <- xgboost(data = scale(as.matrix(iris[, -5])), label = as.numeric(iris$Species) - 1,
|
||||
#' booster = "gblinear", eta = 0.2, nthread = 1, nrounds = 15,
|
||||
@@ -83,33 +83,33 @@
|
||||
#' @export
|
||||
xgb.importance <- function(feature_names = NULL, model = NULL, trees = NULL,
|
||||
data = NULL, label = NULL, target = NULL){
|
||||
|
||||
|
||||
if (!(is.null(data) && is.null(label) && is.null(target)))
|
||||
warning("xgb.importance: parameters 'data', 'label' and 'target' are deprecated")
|
||||
|
||||
|
||||
if (!inherits(model, "xgb.Booster"))
|
||||
stop("model: must be an object of class xgb.Booster")
|
||||
|
||||
|
||||
if (is.null(feature_names) && !is.null(model$feature_names))
|
||||
feature_names <- model$feature_names
|
||||
|
||||
|
||||
if (!(is.null(feature_names) || is.character(feature_names)))
|
||||
stop("feature_names: Has to be a character vector")
|
||||
|
||||
model_text_dump <- xgb.dump(model = model, with_stats = TRUE)
|
||||
|
||||
|
||||
# linear model
|
||||
if(model_text_dump[2] == "bias:"){
|
||||
if (model_text_dump[2] == "bias:"){
|
||||
weights <- which(model_text_dump == "weight:") %>%
|
||||
{model_text_dump[(. + 1):length(model_text_dump)]} %>%
|
||||
as.numeric
|
||||
|
||||
|
||||
num_class <- NVL(model$params$num_class, 1)
|
||||
if(is.null(feature_names))
|
||||
if (is.null(feature_names))
|
||||
feature_names <- seq(to = length(weights) / num_class) - 1
|
||||
if (length(feature_names) * num_class != length(weights))
|
||||
stop("feature_names length does not match the number of features used in the model")
|
||||
|
||||
|
||||
result <- if (num_class == 1) {
|
||||
data.table(Feature = feature_names, Weight = weights)[order(-abs(Weight))]
|
||||
} else {
|
||||
@@ -117,18 +117,17 @@ xgb.importance <- function(feature_names = NULL, model = NULL, trees = NULL,
|
||||
Weight = weights,
|
||||
Class = seq_len(num_class) - 1)[order(Class, -abs(Weight))]
|
||||
}
|
||||
} else {
|
||||
# tree model
|
||||
result <- xgb.model.dt.tree(feature_names = feature_names,
|
||||
text = model_text_dump,
|
||||
trees = trees)[
|
||||
Feature != "Leaf", .(Gain = sum(Quality),
|
||||
Cover = sum(Cover),
|
||||
Frequency = .N), by = Feature][
|
||||
,`:=`(Gain = Gain / sum(Gain),
|
||||
Cover = Cover / sum(Cover),
|
||||
Frequency = Frequency / sum(Frequency))][
|
||||
order(Gain, decreasing = TRUE)]
|
||||
} else { # tree model
|
||||
result <- xgb.model.dt.tree(feature_names = feature_names,
|
||||
text = model_text_dump,
|
||||
trees = trees)[
|
||||
Feature != "Leaf", .(Gain = sum(Quality),
|
||||
Cover = sum(Cover),
|
||||
Frequency = .N), by = Feature][
|
||||
, `:=`(Gain = Gain / sum(Gain),
|
||||
Cover = Cover / sum(Cover),
|
||||
Frequency = Frequency / sum(Frequency))][
|
||||
order(Gain, decreasing = TRUE)]
|
||||
}
|
||||
result
|
||||
}
|
||||
|
||||
Reference in New Issue
Block a user