#' Show importance of features in a model #' #' Read a xgboost model text dump. #' Can be tree or linear model (text dump of linear model are only supported in dev version of \code{Xgboost} for now). #' #' @importFrom data.table data.table #' @importFrom data.table setnames #' @importFrom data.table := #' @importFrom magrittr %>% #' @param feature_names names of each feature as a character vector. Can be extracted from a sparse matrix (see example). If model dump already contains feature names, this argument should be \code{NULL}. #' @param filename_dump the path to the text file storing the model. Model dump must include the gain per feature and per tree (\code{with.stats = T} in function \code{xgb.dump}). #' @param model generated by the \code{xgb.train} function. Avoid the creation of a dump file. #' #' @return A \code{data.table} of the features used in the model with their average gain (and their weight for boosted tree model) in the model. #' #' @details #' This is the function to understand the model trained (and through your model, your data). #' #' Results are returned for both linear and tree models. #' #' \code{data.table} is returned by the function. #' There are 3 columns : #' \itemize{ #' \item \code{Features} name of the features as provided in \code{feature_names} or already present in the model dump. #' \item \code{Gain} contribution of each feature to the model. For boosted tree model, each gain of each feature of each tree is taken into account, then average per feature to give a vision of the entire model. Highest percentage means important feature to predict the \code{label} used for the training ; #' \item \code{Cover} metric of the number of observation related to this feature (only available for tree models) ; #' \item \code{Weight} percentage representing the relative number of times a feature have been taken into trees. \code{Gain} should be prefered to search the most important feature. For boosted linear model, this column has no meaning. #' } #' #' #' @examples #' data(agaricus.train, package='xgboost') #' data(agaricus.test, package='xgboost') #' #' #Both dataset are list with two items, a sparse matrix and labels #' #(labels = outcome column which will be learned). #' #Each column of the sparse Matrix is a feature in one hot encoding format. #' train <- agaricus.train #' test <- agaricus.test #' #' bst <- xgboost(data = train$data, label = train$label, max.depth = 2, #' eta = 1, nround = 2,objective = "binary:logistic") #' #' #agaricus.test$data@@Dimnames[[2]] represents the column names of the sparse matrix. #' xgb.importance(agaricus.test$data@@Dimnames[[2]], model = bst) #' #' @export xgb.importance <- function(feature_names = NULL, filename_dump = NULL, model = NULL){ if (!class(feature_names) %in% c("character", "NULL")) { stop("feature_names: Has to be a vector of character or NULL if the model dump already contains feature name. Look at this function documentation to see where to get feature names.") } if (!(class(filename_dump) %in% c("character", "NULL") && length(filename_dump) <= 1)) { stop("filename_dump: Has to be a path to the model dump file.") } if (!class(model) %in% c("xgb.Booster", "NULL")) { stop("model: Has to be an object of class xgb.Booster model generaged by the xgb.train function.") } if(is.null(model)){ text <- readLines(filename_dump) } else { text <- xgb.dump(model = model, with.stats = T) } if(text[2] == "bias:"){ result <- readLines(filename_dump) %>% linearDump(feature_names, .) } else { result <- treeDump(feature_names, text = text) } result } treeDump <- function(feature_names, text){ result <- xgb.model.dt.tree(feature_names = feature_names, text = text)[Feature!="Leaf",.(Gain = sum(Quality), Cover = sum(Cover), Frequence = .N, Included = sum(Included)), by = Feature][,`:=`(Gain=Gain/sum(Gain),Cover=Cover/sum(Cover), Frequence = Frequence/sum(Frequence), Included = Included/Frequence)][,Gain:= ifelse(Included >= 0.5, Gain, -Gain)][order(-Gain)] result } linearDump <- function(feature_names, text){ which(text == "weight:") %>% {a=.+1;text[a:length(text)]} %>% as.numeric %>% data.table(Feature = feature_names, Weight = .) } # Avoid error messages during CRAN check. # The reason is that these variables are never declared # They are mainly column names inferred by Data.table... globalVariables(".")