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#' High Correlation Filter
#'
#' `step_corr` creates a *specification* of a recipe
#' step that will potentially remove variables that have large
#' absolute correlations with other variables.
#'
#' @inheritParams step_center
#' @param ... One or more selector functions to choose which
#' variables are affected by the step. See [selections()]
#' for more details. For the `tidy` method, these are not
#' currently used.
#' @param role Not used by this step since no new variables are
#' created.
#' @param threshold A value for the threshold of absolute
#' correlation values. The step will try to remove the minimum
#' number of columns so that all the resulting absolute
#' correlations are less than this value.
#' @param use A character string for the `use` argument to
#' the [stats::cor()] function.
#' @param method A character string for the `method` argument
#' to the [stats::cor()] function.
#' @param removals A character string that contains the names of
#' columns that should be removed. These values are not determined
#' until [prep.recipe()] is called.
#' @return An updated version of `recipe` with the new step
#' added to the sequence of existing steps (if any). For the
#' `tidy` method, a tibble with columns `terms` which
#' is the columns that will be removed.
#' @keywords datagen
#' @author Original R code for filtering algorithm by Dong Li,
#' modified by Max Kuhn. Contributions by Reynald Lescarbeau (for
#' original in `caret` package). Max Kuhn for the `step`
#' function.
#' @concept preprocessing
#' @concept variable_filters
#' @export
#'
#' @details This step attempts to remove variables to keep the
#' largest absolute correlation between the variables less than
#' `threshold`.
#'
#' When a column has a single unique value, that column will be
#' excluded from the correlation analysis. Also, if the data set
#' has sporadic missing values (and an inappropriate value of `use`
#' is chosen), some columns will also be excluded from the filter.
#'
#' @examples
#' library(modeldata)
#' data(biomass)
#'
#' set.seed(3535)
#' biomass$duplicate <- biomass$carbon + rnorm(nrow(biomass))
#'
#' biomass_tr <- biomass[biomass$dataset == "Training",]
#' biomass_te <- biomass[biomass$dataset == "Testing",]
#'
#' rec <- recipe(HHV ~ carbon + hydrogen + oxygen + nitrogen +
#' sulfur + duplicate,
#' data = biomass_tr)
#'
#' corr_filter <- rec %>%
#' step_corr(all_predictors(), threshold = .5)
#'
#' filter_obj <- prep(corr_filter, training = biomass_tr)
#'
#' filtered_te <- bake(filter_obj, biomass_te)
#' round(abs(cor(biomass_tr[, c(3:7, 9)])), 2)
#' round(abs(cor(filtered_te)), 2)
#'
#' tidy(corr_filter, number = 1)
#' tidy(filter_obj, number = 1)
#' @seealso [step_nzv()] [recipe()]
#' [prep.recipe()] [bake.recipe()]
step_corr <- function(recipe,
...,
role = NA,
trained = FALSE,
threshold = 0.9,
use = "pairwise.complete.obs",
method = "pearson",
removals = NULL,
skip = FALSE,
id = rand_id("corr")
) {
add_step(
recipe,
step_corr_new(
terms = ellipse_check(...),
role = role,
trained = trained,
threshold = threshold,
use = use,
method = method,
removals = removals,
skip = skip,
id = id
)
)
}
step_corr_new <-
function(terms, role, trained, threshold, use, method, removals, skip, id) {
step(
subclass = "corr",
terms = terms,
role = role,
trained = trained,
threshold = threshold,
use = use,
method = method,
removals = removals,
skip = skip,
id = id
)
}
#' @export
prep.step_corr <- function(x, training, info = NULL, ...) {
col_names <- eval_select_recipes(x$terms, training, info)
check_type(training[, col_names])
if (length(col_names) > 1) {
filter <- corr_filter(
x = training[, col_names],
cutoff = x$threshold,
use = x$use,
method = x$method
)
} else {
filter <- numeric(0)
}
step_corr_new(
terms = x$terms,
role = x$role,
trained = TRUE,
threshold = x$threshold,
use = x$use,
method = x$method,
removals = filter,
skip = x$skip,
id = x$id
)
}
#' @export
bake.step_corr <- function(object, new_data, ...) {
if (length(object$removals) > 0)
new_data <- new_data[,!(colnames(new_data) %in% object$removals)]
as_tibble(new_data)
}
print.step_corr <-
function(x, width = max(20, options()$width - 36), ...) {
if (x$trained) {
if (length(x$removals) > 0) {
cat("Correlation filter removed ")
cat(format_ch_vec(x$removals, width = width))
} else
cat("Correlation filter removed no terms")
} else {
cat("Correlation filter on ", sep = "")
cat(format_selectors(x$terms, width = width))
}
if (x$trained)
cat(" [trained]\n")
else
cat("\n")
invisible(x)
}
corr_filter <-
function(x,
cutoff = .90,
use = "pairwise.complete.obs",
method = "pearson") {
x <- cor(x, use = use, method = method)
if (any(!complete.cases(x))) {
all_na <- apply(x, 2, function(x) all(is.na(x)))
if (sum(all_na) >= nrow(x) - 1) {
rlang::warn("Too many correlations are `NA`; skipping correlation filter.")
return(numeric(0))
} else {
na_cols <- which(all_na)
if (length(na_cols) > 0) {
x[na_cols, ] <- 0
x[, na_cols] <- 0
rlang::warn(
paste0(
"The correlation matrix has missing values. ",
length(na_cols),
" columns were excluded from the filter."
)
)
}
}
if (any(is.na(x))) {
rlang::warn(
paste0(
"The correlation matrix has sporadic missing values. ",
"Some columns were excluded from the filter."
)
)
x[is.na(x)] <- 0
}
diag(x) <- 1
}
averageCorr <- colMeans(abs(x))
averageCorr <- as.numeric(as.factor(averageCorr))
x[lower.tri(x, diag = TRUE)] <- NA
combsAboveCutoff <- which(abs(x) > cutoff)
colsToCheck <- ceiling(combsAboveCutoff / nrow(x))
rowsToCheck <- combsAboveCutoff %% nrow(x)
colsToDiscard <- averageCorr[colsToCheck] > averageCorr[rowsToCheck]
rowsToDiscard <- !colsToDiscard
deletecol <- c(colsToCheck[colsToDiscard], rowsToCheck[rowsToDiscard])
deletecol <- unique(deletecol)
if (length(deletecol) > 0) {
deletecol <- colnames(x)[deletecol]
}
deletecol
}
tidy_filter <- function(x, ...) {
if (is_trained(x)) {
res <- tibble(terms = x$removals)
} else {
term_names <- sel2char(x$terms)
res <- tibble(terms = na_chr)
}
res$id <- x$id
res
}
#' @rdname step_corr
#' @param x A `step_corr` object.
#' @export
tidy.step_corr <- tidy_filter
#' @rdname tunable.step
#' @export
tunable.step_corr <- function(x, ...) {
tibble::tibble(
name = "threshold",
call_info = list(
list(pkg = "dials", fun = "threshold")
),
source = "recipe",
component = "step_corr",
component_id = x$id
)
}
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