Source code for lightwood.ensemble.weighted_mean_ensemble

from typing import List, Optional

import numpy as np
import pandas as pd

from lightwood.helpers.log import log
from lightwood.helpers.numeric import is_nan_numeric
from lightwood.mixer.base import BaseMixer
from lightwood.ensemble.base import BaseEnsemble
from lightwood.api.types import PredictionArguments
from import EncodedDs
from lightwood.helpers.general import evaluate_accuracy
from lightwood import dtype

[docs]class WeightedMeanEnsemble(BaseEnsemble): """ This ensemble determines a weight vector to return a weighted mean of the underlying mixers. More specifically, each model is evaluated on the validation dataset and assigned an accuracy score (as per the fixed accuracy function at the JsonAI level). Afterwards, all the scores are softmaxed to obtain the final weights. Note: this ensemble only supports regression tasks. """ # noqa def __init__(self, target, mixers: List[BaseMixer], data: EncodedDs, args: PredictionArguments, dtype_dict: dict, accuracy_functions, ts_analysis: Optional[dict] = None, fit: Optional[bool] = True, **kwargs) -> None: super().__init__(target, mixers, data) if dtype_dict[target] not in (dtype.float, dtype.integer, dtype.quantity): raise Exception( f'This ensemble can only be used regression problems! Got target dtype {dtype_dict[target]} instead!') if fit: score_list = [] for _, mixer in enumerate(mixers): score_dict = evaluate_accuracy( data.data_frame, mixer(data, args)['prediction'], target, accuracy_functions, ts_analysis=ts_analysis ) avg_score = np.mean(list(score_dict.values()))'Mixer: {type(mixer).__name__} got accuracy: {avg_score}') if is_nan_numeric(avg_score): log.warning(f'Could not compute a valid accuracy for mixer: {type(mixer).__name__}, \ functions: {accuracy_functions}, yielded invalid average score {avg_score}, \ resetting that to -pow(2,63) instead.') avg_score = -pow(2, 63) score_list.append(avg_score) self.weights = self.accuracies_to_weights(np.array(score_list)) self.prepared = True def __call__(self, ds: EncodedDs, args: PredictionArguments) -> pd.DataFrame: assert self.prepared df = pd.DataFrame() for mixer in self.mixers: df[f'__mdb_mixer_{type(mixer).__name__}'] = mixer(ds, args=args)['prediction'] avg_predictions_df = df.apply(lambda x: np.average(x, weights=self.weights), axis='columns') return pd.DataFrame(avg_predictions_df, columns=['prediction']) @staticmethod def accuracies_to_weights(x: np.array) -> np.array: # Converts accuracies to weights using the softmax function. e_x = np.exp(x - np.max(x)) return e_x / e_x.sum()