mlens.ensemble package¶

Submodules¶

Module contents¶

author:	Sebastian Flennerhag
copyright:	2017
licence:	MIT

class mlens.ensemble.SuperLearner(folds=2, shuffle=False, random_state=None, scorer=None, raise_on_exception=True, array_check=2, verbose=False, n_jobs=-1, backend=None, layers=None)[source]¶

Bases: mlens.ensemble.base.BaseEnsemble

Super Learner class.

The Super Learner (also known as the Stacking Ensemble)is an supervised ensemble algorithm that uses K-fold estimation to map a training set \((X, y)\) into a prediction set \((Z, y)\), where the predictions in \(Z\) are constructed using K-Fold splits of \(X\) to ensure \(Z\) reflects test errors, and that applies a user-specified meta learner to predict \(y\) from \(Z\). The algorithm in sudo code follows:

Specify a library \(L\) of base learners

Fit all base learners on \(X\) and store the fitted estimators.

Split \(X\) into \(K\) folds, fit every learner in \(L\) on the training set and predict test set. Repeat until all folds have been predicted.

Construct a matrix \(Z\) by stacking the predictions per fold.

Fit the meta learner on \(Z\) and store the learner

The ensemble can be used for prediction by mapping a new test set \(T\) into a prediction set \(Z'\) using the learners fitted in (2), and then mapping \(Z'\) to \(y'\) using the fitted meta learner from (5).

The Super Learner does asymptotically as well as (up to a constant) an Oracle selector. For the theory behind the Super Learner, see [1] and [2] as well as references therein.

Stacking K-fold predictions to cover an entire training set is a time consuming method and can be prohibitively costly for large datasets. With large data, other ensembles that fits an ensemble on subsets can achieve similar performance at a fraction of the training time. However, when data is noisy or of high variance, the SuperLearner ensure all information is used during fitting.

References

[1]	van der Laan, Mark J.; Polley, Eric C.; and Hubbard, Alan E., “Super Learner” (July 2007). U.C. Berkeley Division of Biostatistics Working Paper Series. Working Paper 222. http://biostats.bepress.com/ucbbiostat/paper222

[2]	Polley, Eric C. and van der Laan, Mark J., “Super Learner In Prediction” (May 2010). U.C. Berkeley Division of Biostatistics Working Paper Series. Working Paper 266. http://biostats.bepress.com/ucbbiostat/paper266

Notes

This implementation uses the agnostic meta learner approach, where the user supplies the meta learner to be used. For the original Super Learner algorithm (i.e. learn the best linear combination of the base learners), the user can specify a linear regression as the meta learner.

See also

BlendEnsemble, Subsemble

Parameters:

folds (int (default = 2)) – number of folds to use during fitting. Note: this parameter can be specified on a layer-specific basis in the add method.
shuffle (bool (default = True)) – whether to shuffle data before generating folds.
random_state (int (default = None)) – random seed if shuffling inputs.
scorer (object (default = None)) – scoring function. If a function is provided, base estimators will be scored on the training set assembled for fitting the meta estimator. Since those predictions are out-of-sample, the scores represent valid test scores. The scorer should be a function that accepts an array of true values and an array of predictions: score = f(y_true, y_pred).
raise_on_exception (bool (default = True)) – whether to issue warnings on soft exceptions or raise error. Examples include lack of layers, bad inputs, and failed fit of an estimator in a layer. If set to False, warnings are issued instead but estimation continues unless exception is fatal. Note that this can result in unexpected behavior unless the exception is anticipated.
array_check (int (default = 2)) –
level of strictness in checking input arrays.
- array_check = 0 will not check X or y
- array_check = 1 will check X and y for inconsistencies and warn when format looks suspicious, but retain original format.
- array_check = 2 will impose Scikit-learn array checks, which converts X and y to numpy arrays and raises an error if conversion fails.
verbose (int or bool (default = False)) –
level of verbosity.
- verbose = 0 silent (same as verbose = False)
- verbose = 1 messages at start and finish (same as verbose = True)
- verbose = 2 messages for each layer
If verbose >= 50 prints to sys.stdout, else sys.stderr. For verbosity in the layers themselves, use fit_params.
n_jobs (int (default = -1)) – number of CPU cores to use for fitting and prediction.
backend (str or object (default = 'threading')) – backend infrastructure to use during call to mlens.externals.joblib.Parallel. See Joblib for further documentation. To set global backend, set mlens.config.BACKEND.

scores_¶: dict – if scorer was passed to instance, scores_ contains dictionary with cross-validated scores assembled during fit call. The fold structure used for scoring is determined by folds.

Examples

Instantiate ensembles with no preprocessing: use list of estimators

>>> from mlens.ensemble import SuperLearner
>>> from mlens.metrics.metrics import rmse
>>> from sklearn.datasets import load_boston
>>> from sklearn.linear_model import Lasso
>>> from sklearn.svm import SVR
>>>
>>> X, y = load_boston(True)
>>>
>>> ensemble = SuperLearner()
>>> ensemble.add([SVR(), ('can name some or all est', Lasso())])
>>> ensemble.add_meta(SVR())
>>>
>>> ensemble.fit(X, y)
>>> preds = ensemble.predict(X)
>>> rmse(y, preds)
6.955358...

Instantiate ensembles with different preprocessing pipelines through dicts.

>>> from mlens.ensemble import SuperLearner
>>> from mlens.metrics.metrics import rmse
>>> from sklearn.datasets import load_boston
>>> from sklearn. preprocessing import MinMaxScaler, StandardScaler
>>> from sklearn.linear_model import Lasso
>>> from sklearn.svm import SVR
>>>
>>> X, y = load_boston(True)
>>>
>>> preprocessing_cases = {'mm': [MinMaxScaler()],
...                        'sc': [StandardScaler()]}
>>>
>>> estimators_per_case = {'mm': [SVR()],
...                        'sc': [('can name some or all ests', Lasso())]}
>>>
>>> ensemble = SuperLearner()
>>> ensemble.add(estimators_per_case, preprocessing_cases).add(SVR(),
...                                                            meta=True)
>>>
>>> ensemble.fit(X, y)
>>> preds = ensemble.predict(X)
>>> rmse(y, preds)
7.841329...

add(estimators, preprocessing=None, folds=None, proba=False, meta=False, propagate_features=None, **kwargs)[source]¶

Add layer to ensemble.

Parameters:	estimators (dict of lists or list or instance) – estimators constituting the layer. If preprocessing is none and the layer is meant to be the meta estimator, it is permissible to pass a single instantiated estimator. If `preprocessing` is `None` or `list`, `estimators` should be a `list`. The list can either contain estimator instances, named tuples of estimator instances, or a combination of both. option_1 = [estimator_1, estimator_2] option_2 = [("est-1", estimator_1), ("est-2", estimator_2)] option_3 = [estimator_1, ("est-2", estimator_2)] If different preprocessing pipelines are desired, a dictionary that maps estimators to preprocessing pipelines must be passed. The names of the estimator dictionary must correspond to the names of the estimator dictionary. preprocessing_cases = {"case-1": [trans_1, trans_2], "case-2": [alt_trans_1, alt_trans_2]} estimators = {"case-1": [est_a, est_b], "case-2": [est_c, est_d]} The lists for each dictionary entry can be any of `option_1`, `option_2` and `option_3`. preprocessing (dict of lists or list, optional (default = None)) – preprocessing pipelines for given layer. If the same preprocessing applies to all estimators, `preprocessing` should be a list of transformer instances. The list can contain the instances directly, named tuples of transformers, or a combination of both. option_1 = [transformer_1, transformer_2] option_2 = [("trans-1", transformer_1), ("trans-2", transformer_2)] option_3 = [transformer_1, ("trans-2", transformer_2)] If different preprocessing pipelines are desired, a dictionary that maps preprocessing pipelines must be passed. The names of the preprocessing dictionary must correspond to the names of the estimator dictionary. preprocessing_cases = {"case-1": [trans_1, trans_2], "case-2": [alt_trans_1, alt_trans_2]} estimators = {"case-1": [est_a, est_b], "case-2": [est_c, est_d]} The lists for each dictionary entry can be any of `option_1`, `option_2` and `option_3`. folds (int, optional) – Use if a different number of folds is desired than what the ensemble was instantiated with. proba (bool) – whether layer should predict class probabilities. Note: setting `proba=True` will attempt to call an the estimators `predict_proba` method. propagate_features (list, optional) – List of column indexes to propagate from the input of the layer to the output of the layer. Propagated features are concatenated and stored in the leftmost columns of the output matrix. The `propagate_features` list should define a slice of the numpy array containing the input data, e.g. `[0, 1]` to propagate the first two columns of the input matrix to the output matrix. meta (bool (default = False)) – indicator if the layer added is the final meta estimator. This will prevent folded or blended fits of the estimators and only fit them once on the full input data. *kwargs (optional*) – optional keyword arguments.
Returns:	self – ensemble instance with layer instantiated.
Return type:	instance

add_meta(estimator, **kwargs)[source]¶

Meta Learner.

Meta learner to be used for final predictions.

Parameters:	estimator (instance) – estimator instance. *kwargs (optional*) – optional keyword arguments.

class mlens.ensemble.BlendEnsemble(test_size=0.5, shuffle=False, random_state=None, scorer=None, raise_on_exception=True, array_check=2, verbose=False, n_jobs=-1, backend=None, layers=None)[source]¶

Bases: mlens.ensemble.base.BaseEnsemble

Blend Ensemble class.

The Blend Ensemble is a supervised ensemble closely related to the SuperLearner. It differs in that to estimate the prediction matrix Z used by the meta learner, it uses a subset of the data to predict its complement, and the meta learner is fitted on those predictions.

By only fitting every base learner once on a subset of the full training data, BlendEnsemble is a fast ensemble that can handle very large datasets simply by only using portion of it at each stage. The cost of this approach is that information is thrown out at each stage, as one layer will not see the training data used by the previous layer.

With large data that can be expected to satisfy an i.i.d. assumption, the BlendEnsemble can achieve similar performance to more sophisticated ensembles at a fraction of the training time. However, with data data is not uniformly distributed or exhibits high variance the BlendEnsemble can be a poor choice as information is lost at each stage of fitting.

See also

SuperLearner, Subsemble

Parameters:

test_size (int, float (default = 0.5)) – the size of the test set for each layer. This parameter can be overridden in the add method if different test sizes is desired for each layer. If a float is specified, it is presumed to be the fraction of the available data to be used for training, and so 0. < test_size < 1..
shuffle (bool (default = True)) – whether to shuffle data before selecting training data.
random_state (int (default = None)) – random seed if shuffling inputs.
scorer (object (default = None)) – scoring function. If a function is provided, base estimators will be scored on the prediction made. The scorer should be a function that accepts an array of true values and an array of predictions: score = f(y_true, y_pred).
raise_on_exception (bool (default = True)) – whether to issue warnings on soft exceptions or raise error. Examples include lack of layers, bad inputs, and failed fit of an estimator in a layer. If set to False, warnings are issued instead but estimation continues unless exception is fatal. Note that this can result in unexpected behavior unless the exception is anticipated.
array_check (int (default = 2)) –
level of strictness in checking input arrays.
- array_check = 0 will not check X or y
- array_check = 1 will check X and y for inconsistencies and warn when format looks suspicious, but retain original format.
- array_check = 2 will impose Scikit-learn array checks, which converts X and y to numpy arrays and raises an error if conversion fails.
verbose (int or bool (default = False)) –
level of verbosity.
- verbose = 0 silent (same as verbose = False)
- verbose = 1 messages at start and finish (same as verbose = True)
- verbose = 2 messages for each layer
If verbose >= 50 prints to sys.stdout, else sys.stderr. For verbosity in the layers themselves, use fit_params.
n_jobs (int (default = -1)) – number of CPU cores to use for fitting and prediction.
backend (str or object (default = 'threading')) – backend infrastructure to use during call to mlens.externals.joblib.Parallel. See Joblib for further documentation. To set global backend, set mlens.config.BACKEND.

scores_¶: dict – if scorer was passed to instance, scores_ contains dictionary with cross-validated scores assembled during fit call. The fold structure used for scoring is determined by folds.

Examples

Instantiate ensembles with no preprocessing: use list of estimators

>>> from mlens.ensemble import BlendEnsemble
>>> from mlens.metrics.metrics import rmse
>>> from sklearn.datasets import load_boston
>>> from sklearn.linear_model import Lasso
>>> from sklearn.svm import SVR
>>>
>>> X, y = load_boston(True)
>>>
>>> ensemble = BlendEnsemble()
>>> ensemble.add([SVR(), ('can name some or all est', Lasso())])
>>> ensemble.add_meta(SVR())
>>>
>>> ensemble.fit(X, y)
>>> preds = ensemble.predict(X)
>>> rmse(y, preds)
7.656098...

Instantiate ensembles with different preprocessing pipelines through dicts.

>>> from mlens.ensemble import BlendEnsemble
>>> from mlens.metrics.metrics import rmse
>>> from sklearn.datasets import load_boston
>>> from sklearn. preprocessing import MinMaxScaler, StandardScaler
>>> from sklearn.linear_model import Lasso
>>> from sklearn.svm import SVR
>>>
>>> X, y = load_boston(True)
>>>
>>> preprocessing_cases = {'mm': [MinMaxScaler()],
...                        'sc': [StandardScaler()]}
>>>
>>> estimators_per_case = {'mm': [SVR()],
...                        'sc': [('can name some or all ests', Lasso())]}
>>>
>>> ensemble = BlendEnsemble()
>>> ensemble.add(estimators_per_case, preprocessing_cases).add(SVR(),
...                                                            meta=True)
>>>
>>> ensemble.fit(X, y)
>>> preds = ensemble.predict(X)
>>> rmse(y, preds)
7.9814242...

add(estimators, preprocessing=None, test_size=None, proba=False, meta=False, propagate_features=None, **kwargs)[source]¶

Add layer to ensemble.

Parameters:	preprocessing (dict of lists or list, optional (default = None)) – preprocessing pipelines for given layer. If the same preprocessing applies to all estimators, `preprocessing` should be a list of transformer instances. The list can contain the instances directly, named tuples of transformers, or a combination of both. option_1 = [transformer_1, transformer_2] option_2 = [("trans-1", transformer_1), ("trans-2", transformer_2)] option_3 = [transformer_1, ("trans-2", transformer_2)] If different preprocessing pipelines are desired, a dictionary that maps preprocessing pipelines must be passed. The names of the preprocessing dictionary must correspond to the names of the estimator dictionary. preprocessing_cases = {"case-1": [trans_1, trans_2], "case-2": [alt_trans_1, alt_trans_2]} estimators = {"case-1": [est_a, est_b], "case-2": [est_c, est_d]} The lists for each dictionary entry can be any of `option_1`, `option_2` and `option_3`. estimators (dict of lists or list or instance) – estimators constituting the layer. If preprocessing is none and the layer is meant to be the meta estimator, it is permissible to pass a single instantiated estimator. If `preprocessing` is `None` or `list`, `estimators` should be a `list`. The list can either contain estimator instances, named tuples of estimator instances, or a combination of both. option_1 = [estimator_1, estimator_2] option_2 = [("est-1", estimator_1), ("est-2", estimator_2)] option_3 = [estimator_1, ("est-2", estimator_2)] If different preprocessing pipelines are desired, a dictionary that maps estimators to preprocessing pipelines must be passed. The names of the estimator dictionary must correspond to the names of the estimator dictionary. preprocessing_cases = {"case-1": [trans_1, trans_2], "case-2": [alt_trans_1, alt_trans_2]} estimators = {"case-1": [est_a, est_b], "case-2": [est_c, est_d]} The lists for each dictionary entry can be any of `option_1`, `option_2` and `option_3`. test_size (int or float, optional) – Use if a different test set size is desired for layer than what the ensemble was instantiated with. proba (bool (default = False)) – Whether to call `predict_proba` on base learners. propagate_features (list, optional) – List of column indexes to propagate from the input of the layer to the output of the layer. Propagated features are concatenated and stored in the leftmost columns of the output matrix. The `propagate_features` list should define a slice of the numpy array containing the input data, e.g. `[0, 1]` to propagate the first two columns of the input matrix to the output matrix. meta (bool (default = False)) – Whether the layer should be treated as the final meta estimator. *kwargs (optional*) – optional keyword arguments to instantiate layer with.
Returns:	self – ensemble instance with layer instantiated.
Return type:	instance

add_meta(estimator, **kwargs)[source]¶

Meta Learner.

Compatibility method for adding a meta learner to be used for final predictions.

Parameters:	estimator (instance) – estimator instance. *kwargs (optional*) – optional keyword arguments.

class mlens.ensemble.Subsemble(partitions=2, partition_estimator=None, folds=2, shuffle=False, random_state=None, scorer=None, raise_on_exception=True, array_check=2, verbose=False, n_jobs=-1, backend=None, layers=None)[source]¶

Bases: mlens.ensemble.base.BaseEnsemble

Subsemble class.

Subsemble is a supervised ensemble algorithm that uses subsets of the full data to fit a layer, and within each subset K-fold estimation to map a training set \((X, y)\) into a prediction set \((Z, y)\), where \(Z\) is a matrix of prediction from each estimator on each subset (thus of shape [n_samples, (n_partitions * n_estimators)]). \(Z\) is constructed using K-Fold splits of each partition of X to ensure \(Z\) reflects test errors within each partition. A final user-specified meta learner is fitted to the final ensemble layer’s prediction, to learn the best combination of subset-specific estimator predictions. By passing a partition_estimator, the partitions can be learnt. The algorithm in sudo code :

For each layer in the ensemble, do:

Specify a library of \(L\) base learners

Specify a partition strategy and partition \(X\) into \(J\) subsets.

For each partition do:

Fit all base learners and store them

Create \(K\) folds

For each fold, do:

Fit all base learners on the training folds

Collect all test folds, across partitions, and predict.

Assemble a cross-validated prediction matrix \(Z \in \mathbb{R}^{(n \times (L \times J))}\) by stacking predictions made in the cross-validation step.

Fit the meta learner on \(Z\) and store the learner.

The ensemble can be used for prediction by mapping a new test set \(T\) into a prediction set \(Z'\) using the learners fitted in (1.3.1), and then using \(Z'\) to generate final predictions through the fitted meta learner from (2).

The Subsemble does asymptotically as well as (up to a constant) the Oracle selector. For the theory behind the Subsemble, see [3] and references therein.

By partitioning the data into subset and fitting on those, a Subsemble can reduce training time considerably if estimators does not scale linearly. Moreover, Subsemble allows estimators to learn different patterns from each subset, and so can improve the overall performance by achieving a tighter fit on each subset. Since all observations in the training set are predicted, no information is lost between layers.

This implementation allows very general partition estimators. The user must ensure that the partition estimator behaves as desired. To alter the expected behavior, see the kwd parameter under the add method and the mlens.base.ClusteredSubsetIndex. Also see the advanced tutorials for example use cases.

References

[3]	Sapp, S., van der Laan, M. J., & Canny, J. (2014). Subsemble: an ensemble method for combining subset-specific algorithm fits. Journal of Applied Statistics, 41(6), 1247-1259. http://doi.org/10.1080/02664763.2013.864263

See also

BlendEnsemble, SuperLearner

Parameters:

partitions (int (default = 2)) – number of partitions to split data into. For each layer, increasing partitions increases the number of estimators in the ensemble by a factor equal to the number of estimators. Note: this parameter can be specified on a layer-specific basis in the add method.
partition_estimator (instance, optional) – To use a supervised or unsupervised estimator to learn partitions, pass an instantiated estimator as partition_estimator. The estimator must accept a fit call for fitting the training data, and a predict call that assigns cluster partitions labels. For instance, clustering estimator or classifiers (where their class predictions will be used for partitioning). The number of partitions by the estimator must correspond to the partitions argument. Specific estimators can be added to each layer by passing the estimator during the call to the ensemble’s add method.
folds (int (default = 2)) – number of folds to use during fitting. Note: this parameter can be specified on a layer-specific basis in the add method.
shuffle (bool (default = True)) – whether to shuffle data before generating folds.
random_state (int (default = None)) – random seed if shuffling inputs.
scorer (object (default = None)) – scoring function. If a function is provided, base estimators will be scored on the training set assembled for fitting the meta estimator. Since those predictions are out-of-sample, the scores represent valid test scores. The scorer should be a function that accepts an array of true values and an array of predictions: score = f(y_true, y_pred).
raise_on_exception (bool (default = True)) – whether to issue warnings on soft exceptions or raise error. Examples include lack of layers, bad inputs, and failed fit of an estimator in a layer. If set to False, warnings are issued instead but estimation continues unless exception is fatal. Note that this can result in unexpected behavior unless the exception is anticipated.
array_check (int (default = 2)) –
level of strictness in checking input arrays.
- array_check = 0 will not check X or y
- array_check = 1 will check X and y for inconsistencies and warn when format looks suspicious, but retain original format.
- array_check = 2 will impose Scikit-learn array checks, which converts X and y to numpy arrays and raises an error if conversion fails.
verbose (int or bool (default = False)) –
level of verbosity.
- verbose = 0 silent (same as verbose = False)
- verbose = 1 messages at start and finish (same as verbose = True)
- verbose = 2 messages for each layer
If verbose >= 50 prints to sys.stdout, else sys.stderr. For verbosity in the layers themselves, use fit_params.
n_jobs (int (default = -1)) – number of CPU cores to use for fitting and prediction.
backend (str or object (default = 'threading')) – backend infrastructure to use during call to mlens.externals.joblib.Parallel. See Joblib for further documentation. To set global backend, set mlens.config.BACKEND.

scores_¶: dict – if scorer was passed to instance, scores_ contains dictionary with cross-validated scores assembled during fit call. The fold structure used for scoring is determined by folds.

Examples

Instantiate ensembles with no preprocessing: use list of estimators

>>> from mlens.ensemble import Subsemble
>>> from mlens.metrics.metrics import rmse
>>> from sklearn.datasets import load_boston
>>> from sklearn.linear_model import Lasso
>>> from sklearn.svm import SVR
>>>
>>> X, y = load_boston(True)
>>>
>>> ensemble = Subsemble()
>>> ensemble.add([SVR(), ('can name some or all est', Lasso())])
>>> ensemble.add(SVR(), meta=True)
>>>
>>> ensemble.fit(X, y)
>>> preds = ensemble.predict(X)
>>> rmse(y, preds)
9.2393246...

Instantiate ensembles with different preprocessing pipelines through dicts.

>>> from mlens.ensemble import Subsemble
>>> from mlens.metrics.metrics import rmse
>>> from sklearn.datasets import load_boston
>>> from sklearn. preprocessing import MinMaxScaler, StandardScaler
>>> from sklearn.linear_model import Lasso
>>> from sklearn.svm import SVR
>>>
>>> X, y = load_boston(True)
>>>
>>> preprocessing_cases = {'mm': [MinMaxScaler()],
...                        'sc': [StandardScaler()]}
>>>
>>> estimators_per_case = {'mm': [SVR()],
...                        'sc': [('can name some or all ests', Lasso())]}
>>>
>>> ensemble = Subsemble()
>>> ensemble.add(estimators_per_case, preprocessing_cases).add_meta(SVR())
>>>
>>> ensemble.fit(X, y)
>>> preds = ensemble.predict(X)
>>> rmse(y, preds)
9.0115741...

add(estimators, preprocessing=None, meta=False, partitions=None, partition_estimator=None, folds=None, proba=False, propagate_features=None, **kwargs)[source]¶

Add layer to ensemble.

Parameters:	preprocessing (dict of lists or list, optional (default = None)) – preprocessing pipelines for given layer. If the same preprocessing applies to all estimators, `preprocessing` should be a list of transformer instances. The list can contain the instances directly, named tuples of transformers, or a combination of both. option_1 = [transformer_1, transformer_2] option_2 = [("trans-1", transformer_1), ("trans-2", transformer_2)] option_3 = [transformer_1, ("trans-2", transformer_2)] If different preprocessing pipelines are desired, a dictionary that maps preprocessing pipelines must be passed. The names of the preprocessing dictionary must correspond to the names of the estimator dictionary. preprocessing_cases = {"case-1": [trans_1, trans_2], "case-2": [alt_trans_1, alt_trans_2]} estimators = {"case-1": [est_a, est_b], "case-2": [est_c, est_d]} The lists for each dictionary entry can be any of `option_1`, `option_2` and `option_3`. estimators (dict of lists or list or instance) – estimators constituting the layer. If preprocessing is none and the layer is meant to be the meta estimator, it is permissible to pass a single instantiated estimator. If `preprocessing` is `None` or `list`, `estimators` should be a `list`. The list can either contain estimator instances, named tuples of estimator instances, or a combination of both. option_1 = [estimator_1, estimator_2] option_2 = [("est-1", estimator_1), ("est-2", estimator_2)] option_3 = [estimator_1, ("est-2", estimator_2)] If different preprocessing pipelines are desired, a dictionary that maps estimators to preprocessing pipelines must be passed. The names of the estimator dictionary must correspond to the names of the estimator dictionary. preprocessing_cases = {"case-1": [trans_1, trans_2], "case-2": [alt_trans_1, alt_trans_2]} estimators = {"case-1": [est_a, est_b], "case-2": [est_c, est_d]} The lists for each dictionary entry can be any of `option_1`, `option_2` and `option_3`. meta (bool) – indicator if the layer added is the final meta estimator. This will prevent folded or blended fits of the estimators and only fit them once on the full input data. partitions (int, optional) – number of partitions to split data into. Increasing partitions increases the number of estimators in the layer by a factor equal to the number of estimators. Specifying this parameter overrides the ensemble-wide parameter. partition_estimator (instance, optional) – To use a supervised or unsupervised estimator to learn partitions, pass an instantiated estimator as `partition_estimator`. The estimator must accept a `fit` call for fitting the training data, and a `predict` call that assigns cluster partitions labels. For instance, clustering estimator or classifiers (where class predictions will be used for partitioning). The number of partitions by the estimator must correspond to the layer’s `partitions` argument. Passing an estimator here supersedes any other estimator previously passed. folds (int, optional) – Use if a different number of folds is desired than what the ensemble was instantiated with. proba (bool (default = False)) – whether to call `predict_proba` on base learners. propagate_features (list, optional) – List of column indexes to propagate from the input of the layer to the output of the layer. Propagated features are concatenated and stored in the leftmost columns of the output matrix. The `propagate_features` list should define a slice of the numpy array containing the input data, e.g. `[0, 1]` to propagate the first two columns of the input matrix to the output matrix. *kwargs (optional) – optional keyword arguments to instantiate ensemble with. In particular, keywords for clustered subsemble learning fit_estimator* (Bool, default = True) - whether to call `fit` on the partition estimator. attr (str, default = ‘predict’) - the method attribute to call for generating partition ids for the input data. partition_on (str, default = ‘X’) - the input data for the `attr` method. One of `'X'`, `'y'` or `'both'`.
Returns:	self – ensemble instance with layer instantiated.
Return type:	instance

add_meta(estimator, **kwargs)[source]¶

Add meta estimator.

Parameters:	estimator (instance) – estimator instance. *kwargs (optional*) – optional keyword arguments.

class mlens.ensemble.SequentialEnsemble(shuffle=False, random_state=None, scorer=None, raise_on_exception=True, array_check=2, verbose=False, n_jobs=-1, backend=None, layers=None)[source]¶

Bases: mlens.ensemble.base.BaseEnsemble

Sequential Ensemble class.

The Sequential Ensemble class allows users to build ensembles with different classes of layers. The type of layer and its parameters are specified when added to the ensemble. See respective ensemble class for details on parameters.

Parameters:

shuffle (bool (default = True)) – whether to shuffle data before generating folds.
random_state (int (default = None)) – random seed if shuffling inputs.
scorer (object (default = None)) – scoring function. If a function is provided, base estimators will be scored on the training set assembled for fitting the meta estimator. Since those predictions are out-of-sample, the scores represent valid test scores. The scorer should be a function that accepts an array of true values and an array of predictions: score = f(y_true, y_pred).
raise_on_exception (bool (default = True)) – whether to issue warnings on soft exceptions or raise error. Examples include lack of layers, bad inputs, and failed fit of an estimator in a layer. If set to False, warnings are issued instead but estimation continues unless exception is fatal. Note that this can result in unexpected behavior unless the exception is anticipated.
array_check (int (default = 2)) –
level of strictness in checking input arrays.
- array_check = 0 will not check X or y
- array_check = 1 will check X and y for inconsistencies and warn when format looks suspicious, but retain original format.
- array_check = 2 will impose Scikit-learn array checks, which converts X and y to numpy arrays and raises an error if conversion fails.
verbose (int or bool (default = False)) –
level of verbosity.
- verbose = 0 silent (same as verbose = False)
- verbose = 1 messages at start and finish (same as verbose = True)
- verbose = 2 messages for each layer
If verbose >= 50 prints to sys.stdout, else sys.stderr. For verbosity in the layers themselves, use fit_params.
n_jobs (int (default = -1)) – number of CPU cores to use for fitting and prediction.
backend (str or object (default = 'threading')) – backend infrastructure to use during call to mlens.externals.joblib.Parallel. See Joblib for further documentation. To change global backend, set mlens.config.BACKEND

scores_¶: dict – if scorer was passed to instance, scores_ contains dictionary with cross-validated scores assembled during fit call. The fold structure used for scoring is determined by folds.

Examples

>>> from mlens.ensemble import SequentialEnsemble
>>> from mlens.metrics.metrics import rmse
>>> from sklearn.datasets import load_boston
>>> from sklearn.linear_model import Lasso
>>> from sklearn.svm import SVR
>>>
>>> X, y = load_boston(True)
>>>
>>> ensemble = SequentialEnsemble()
>>>
>>> # Add a subsemble with 5 partitions as first layer
>>> ensemble.add('subset', [SVR(), Lasso()], n_partitions=10, n_splits=10)
>>>
>>> # Add a super learner as second layer
>>> ensemble.add('stack', [SVR(), Lasso()], n_splits=20)
>>>
>>> # Specify a meta estimator
>>> ensemble.add_meta(SVR())
>>>
>>> ensemble.fit(X, y)
>>> preds = ensemble.predict(X)
>>> rmse(y, preds)
6.5628...

add(cls, estimators, preprocessing=None, **kwargs)[source]¶

Add layer to ensemble.

For full set of optional arguments, see the ensemble API for the specified type.

Parameters:	cls (str) – layer class. Accepted types are: ‘blend’ : blend ensemble ‘subset’ : subsemble ‘stack’ : super learner estimators (dict of lists or list or instance) – estimators constituting the layer. If preprocessing is none and the layer is meant to be the meta estimator, it is permissible to pass a single instantiated estimator. If `preprocessing` is `None` or `list`, `estimators` should be a `list`. The list can either contain estimator instances, named tuples of estimator instances, or a combination of both. option_1 = [estimator_1, estimator_2] option_2 = [("est-1", estimator_1), ("est-2", estimator_2)] option_3 = [estimator_1, ("est-2", estimator_2)] If different preprocessing pipelines are desired, a dictionary that maps estimators to preprocessing pipelines must be passed. The names of the estimator dictionary must correspond to the names of the estimator dictionary. preprocessing_cases = {"case-1": [trans_1, trans_2], "case-2": [alt_trans_1, alt_trans_2]} estimators = {"case-1": [est_a, est_b], "case-2": [est_c, est_d]} The lists for each dictionary entry can be any of `option_1`, `option_2` and `option_3`. preprocessing (dict of lists or list, optional (default = None)) – preprocessing pipelines for given layer. If the same preprocessing applies to all estimators, `preprocessing` should be a list of transformer instances. The list can contain the instances directly, named tuples of transformers, or a combination of both. option_1 = [transformer_1, transformer_2] option_2 = [("trans-1", transformer_1), ("trans-2", transformer_2)] option_3 = [transformer_1, ("trans-2", transformer_2)] If different preprocessing pipelines are desired, a dictionary that maps preprocessing pipelines must be passed. The names of the preprocessing dictionary must correspond to the names of the estimator dictionary. preprocessing_cases = {"case-1": [trans_1, trans_2], "case-2": [alt_trans_1, alt_trans_2]} estimators = {"case-1": [est_a, est_b], "case-2": [est_c, est_d]} The lists for each dictionary entry can be any of `option_1`, `option_2` and `option_3`. *kwargs (optional*) – optional keyword arguments to instantiate layer with. See respective ensemble for further details.
Returns:	self – ensemble instance with layer instantiated.
Return type:	instance

add_meta(estimator, **kwargs)[source]¶

Meta Learner.

Meta learner to be used for final predictions.

Parameters:	estimator (instance) – estimator instance. *kwargs (optional*) – optional keyword arguments.