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"""
============================================
Model-based and sequential feature selection
============================================
This example illustrates and compares two approaches for feature selection:
:class:`~sklearn.feature_selection.SelectFromModel` which is based on feature
importance, and
:class:`~sklearn.feature_selection.SequentialFeatureSelection` which relies
on a greedy approach.
We use the Diabetes dataset, which consists of 10 features collected from 442
diabetes patients.
Authors: `Manoj Kumar <mks542@nyu.edu>`_,
`Maria Telenczuk <https://github.com/maikia>`_, Nicolas Hug.
License: BSD 3 clause
"""
# %%
# Loading the data
# ----------------
#
# We first load the diabetes dataset which is available from within
# scikit-learn, and print its description:
from sklearn.datasets import load_diabetes
diabetes = load_diabetes()
X, y = diabetes.data, diabetes.target
print(diabetes.DESCR)
# %%
# Feature importance from coefficients
# ------------------------------------
#
# To get an idea of the importance of the features, we are going to use the
# :class:`~sklearn.linear_model.RidgeCV` estimator. The features with the
# highest absolute `coef_` value are considered the most important.
# We can observe the coefficients directly without needing to scale them (or
# scale the data) because from the description above, we know that the features
# were already standardized.
# For a more complete example on the interpretations of the coefficients of
# linear models, you may refer to
# :ref:`sphx_glr_auto_examples_inspection_plot_linear_model_coefficient_interpretation.py`.
import matplotlib.pyplot as plt
import numpy as np
from sklearn.linear_model import RidgeCV
ridge = RidgeCV(alphas=np.logspace(-6, 6, num=5)).fit(X, y)
importance = np.abs(ridge.coef_)
feature_names = np.array(diabetes.feature_names)
plt.bar(height=importance, x=feature_names)
plt.title("Feature importances via coefficients")
plt.show()
# %%
# Selecting features based on importance
# --------------------------------------
#
# Now we want to select the two features which are the most important according
# to the coefficients. The :class:`~sklearn.feature_selection.SelectFromModel`
# is meant just for that. :class:`~sklearn.feature_selection.SelectFromModel`
# accepts a `threshold` parameter and will select the features whose importance
# (defined by the coefficients) are above this threshold.
#
# Since we want to select only 2 features, we will set this threshold slightly
# above the coefficient of third most important feature.
from sklearn.feature_selection import SelectFromModel
from time import time
threshold = np.sort(importance)[-3] + 0.01
tic = time()
sfm = SelectFromModel(ridge, threshold=threshold).fit(X, y)
toc = time()
print(f"Features selected by SelectFromModel: {feature_names[sfm.get_support()]}")
print(f"Done in {toc - tic:.3f}s")
# %%
# Selecting features with Sequential Feature Selection
# ----------------------------------------------------
#
# Another way of selecting features is to use
# :class:`~sklearn.feature_selection.SequentialFeatureSelector`
# (SFS). SFS is a greedy procedure where, at each iteration, we choose the best
# new feature to add to our selected features based a cross-validation score.
# That is, we start with 0 features and choose the best single feature with the
# highest score. The procedure is repeated until we reach the desired number of
# selected features.
#
# We can also go in the reverse direction (backward SFS), *i.e.* start with all
# the features and greedily choose features to remove one by one. We illustrate
# both approaches here.
from sklearn.feature_selection import SequentialFeatureSelector
tic_fwd = time()
sfs_forward = SequentialFeatureSelector(
ridge, n_features_to_select=2, direction="forward"
).fit(X, y)
toc_fwd = time()
tic_bwd = time()
sfs_backward = SequentialFeatureSelector(
ridge, n_features_to_select=2, direction="backward"
).fit(X, y)
toc_bwd = time()
print(
"Features selected by forward sequential selection: "
f"{feature_names[sfs_forward.get_support()]}"
)
print(f"Done in {toc_fwd - tic_fwd:.3f}s")
print(
"Features selected by backward sequential selection: "
f"{feature_names[sfs_backward.get_support()]}"
)
print(f"Done in {toc_bwd - tic_bwd:.3f}s")
# %%
# Discussion
# ----------
#
# Interestingly, forward and backward selection have selected the same set of
# features. In general, this isn't the case and the two methods would lead to
# different results.
#
# We also note that the features selected by SFS differ from those selected by
# feature importance: SFS selects `bmi` instead of `s1`. This does sound
# reasonable though, since `bmi` corresponds to the third most important
# feature according to the coefficients. It is quite remarkable considering
# that SFS makes no use of the coefficients at all.
#
# To finish with, we should note that
# :class:`~sklearn.feature_selection.SelectFromModel` is significantly faster
# than SFS. Indeed, :class:`~sklearn.feature_selection.SelectFromModel` only
# needs to fit a model once, while SFS needs to cross-validate many different
# models for each of the iterations. SFS however works with any model, while
# :class:`~sklearn.feature_selection.SelectFromModel` requires the underlying
# estimator to expose a `coef_` attribute or a `feature_importances_`
# attribute. The forward SFS is faster than the backward SFS because it only
# needs to perform `n_features_to_select = 2` iterations, while the backward
# SFS needs to perform `n_features - n_features_to_select = 8` iterations.
|
