Merge f8a597c into ba900a5

README.md

@@ -43,7 +43,7 @@ pip install m2cgen
 
 |  | Classification | Regression |
 | --- | --- | --- |
-| **Linear** | <ul><li>scikit-learn<ul><li>LogisticRegression</li><li>LogisticRegressionCV</li><li>PassiveAggressiveClassifier</li><li>Perceptron</li><li>RidgeClassifier</li><li>RidgeClassifierCV</li><li>SGDClassifier</li></ul></li><li>lightning<ul><li>AdaGradClassifier</li><li>CDClassifier</li><li>FistaClassifier</li><li>SAGAClassifier</li><li>SAGClassifier</li><li>SDCAClassifier</li><li>SGDClassifier</li></ul></li></ul> | <ul><li>scikit-learn<ul><li>ARDRegression</li><li>BayesianRidge</li><li>ElasticNet</li><li>ElasticNetCV</li><li>HuberRegressor</li><li>Lars</li><li>LarsCV</li><li>Lasso</li><li>LassoCV</li><li>LassoLars</li><li>LassoLarsCV</li><li>LassoLarsIC</li><li>LinearRegression</li><li>OrthogonalMatchingPursuit</li><li>OrthogonalMatchingPursuitCV</li><li>PassiveAggressiveRegressor</li><li>RANSACRegressor(only supported regression estimators can be used as a base estimator)</li><li>Ridge</li><li>RidgeCV</li><li>SGDRegressor</li><li>TheilSenRegressor</li></ul><li>StatsModels<ul><li>Generalized Least Squares (GLS)</li><li>Generalized Least Squares with AR Errors (GLSAR)</li><li>Ordinary Least Squares (OLS)</li><li>[Gaussian] Process Regression Using Maximum Likelihood-based Estimation (ProcessMLE)</li><li>Quantile Regression (QuantReg)</li><li>Weighted Least Squares (WLS)</li></ul><li>lightning<ul><li>AdaGradRegressor</li><li>CDRegressor</li><li>FistaRegressor</li><li>SAGARegressor</li><li>SAGRegressor</li><li>SDCARegressor</li></ul></li></ul> |
+| **Linear** | <ul><li>scikit-learn<ul><li>LogisticRegression</li><li>LogisticRegressionCV</li><li>PassiveAggressiveClassifier</li><li>Perceptron</li><li>RidgeClassifier</li><li>RidgeClassifierCV</li><li>SGDClassifier</li></ul></li><li>lightning<ul><li>AdaGradClassifier</li><li>CDClassifier</li><li>FistaClassifier</li><li>SAGAClassifier</li><li>SAGClassifier</li><li>SDCAClassifier</li><li>SGDClassifier</li></ul></li></ul> | <ul><li>scikit-learn<ul><li>ARDRegression</li><li>BayesianRidge</li><li>ElasticNet</li><li>ElasticNetCV</li><li>HuberRegressor</li><li>Lars</li><li>LarsCV</li><li>Lasso</li><li>LassoCV</li><li>LassoLars</li><li>LassoLarsCV</li><li>LassoLarsIC</li><li>LinearRegression</li><li>OrthogonalMatchingPursuit</li><li>OrthogonalMatchingPursuitCV</li><li>PassiveAggressiveRegressor</li><li>RANSACRegressor(only supported regression estimators can be used as a base estimator)</li><li>Ridge</li><li>RidgeCV</li><li>SGDRegressor</li><li>TheilSenRegressor</li></ul><li>StatsModels<ul><li>Generalized Least Squares (GLS)</li><li>Generalized Least Squares with AR Errors (GLSAR)</li><li>Generalized Linear Models (GLM)</li><li>Ordinary Least Squares (OLS)</li><li>[Gaussian] Process Regression Using Maximum Likelihood-based Estimation (ProcessMLE)</li><li>Quantile Regression (QuantReg)</li><li>Weighted Least Squares (WLS)</li></ul><li>lightning<ul><li>AdaGradRegressor</li><li>CDRegressor</li><li>FistaRegressor</li><li>SAGARegressor</li><li>SAGRegressor</li><li>SDCARegressor</li></ul></li></ul> |
 | **SVM** | <ul><li>scikit-learn<ul><li>LinearSVC</li><li>NuSVC</li><li>SVC</li></ul></li><li>lightning<ul><li>KernelSVC</li><li>LinearSVC</li></ul></li></ul> | <ul><li>scikit-learn<ul><li>LinearSVR</li><li>NuSVR</li><li>SVR</li></ul></li><li>lightning<ul><li>LinearSVR</li></ul></li></ul> |
 | **Tree** | <ul><li>DecisionTreeClassifier</li><li>ExtraTreeClassifier</li></ul> | <ul><li>DecisionTreeRegressor</li><li>ExtraTreeRegressor</li></ul> |
 | **Random Forest** | <ul><li>ExtraTreesClassifier</li><li>LGBMClassifier(rf booster only)</li><li>RandomForestClassifier</li><li>XGBRFClassifier(binary only, multiclass is not supported yet)</li></ul> | <ul><li>ExtraTreesRegressor</li><li>LGBMRegressor(rf booster only)</li><li>RandomForestRegressor</li><li>XGBRFRegressor</li></ul> |

m2cgen/assemblers/__init__.py

@@ -1,6 +1,8 @@
 from .linear import (SklearnLinearModelAssembler,
                      StatsmodelsLinearModelAssembler,
-                     ProcessMLEModelAssembler)
+                     ProcessMLEModelAssembler,
+                     StatsmodelsGLMModelAssembler,
+                     StatsmodelsModelAssemblerSelector)
 from .tree import TreeModelAssembler
 from .ensemble import RandomForestModelAssembler
 from .boosting import (XGBoostModelAssemblerSelector,
@@ -23,6 +25,8 @@
     LightGBMModelAssembler,
     SklearnSVMModelAssembler,
     LightningSVMModelAssembler,
+    StatsmodelsGLMModelAssembler,
+    StatsmodelsModelAssemblerSelector,
 ]
 
 
@@ -74,9 +78,10 @@
     "sklearn_TheilSenRegressor": SklearnLinearModelAssembler,
 
     # Statsmodels Linear Regressors
+    "statsmodels_GLMResultsWrapper": StatsmodelsGLMModelAssembler,
     "statsmodels_ProcessMLEResults": ProcessMLEModelAssembler,
     "statsmodels_RegressionResultsWrapper": StatsmodelsLinearModelAssembler,
-    "statsmodels_RegularizedResultsWrapper": StatsmodelsLinearModelAssembler,
+    "statsmodels_RegularizedResultsWrapper": StatsmodelsModelAssemblerSelector,
 
     # Lightning Linear Regressors
     "lightning_AdaGradRegressor": SklearnLinearModelAssembler,
@@ -130,6 +135,6 @@ def get_assembler_cls(model):
 
     if not assembler_cls:
         raise NotImplementedError(
-            "Model {} is not supported".format(model_name))
+            "Model '{}' is not supported".format(model_name))
 
     return assembler_cls

m2cgen/assemblers/linear.py

@@ -15,13 +15,18 @@ def _build_ast(self):
         intercept = utils.to_1d_array(self._get_intercept())
 
         if coef.shape[0] == 1:
-            return _linear_to_ast(coef[0], intercept[0])
+            return self._final_transform(
+                _linear_to_ast(coef[0], intercept[0]))
 
         exprs = []
         for idx in range(coef.shape[0]):
-            exprs.append(_linear_to_ast(coef[idx], intercept[idx]))
+            exprs.append(self._final_transform(
+                _linear_to_ast(coef[idx], intercept[idx])))
         return ast.VectorVal(exprs)
 
+    def _final_transform(self, ast_to_transform):
+        return ast_to_transform
+
     def _get_intercept(self):
         raise NotImplementedError
 
@@ -70,6 +75,111 @@ def _get_coef(self):
         return self.model.params[:self.model.k_exog]
 
 
+class StatsmodelsGLMModelAssembler(StatsmodelsLinearModelAssembler):
+
+    def _final_transform(self, ast_to_transform):
+        link_function = type(self.model.model.family.link).__name__
+        link_function_lower = link_function.lower()
+        supported_functions = {
+            "logit": self._logit,
+            "power": self._power,
+            "inverse_power": self._inverse_power,
+            "sqrt": self._sqrt,
+            "inverse_squared": self._inverse_squared,
+            "identity": self._identity,
+            "log": self._log,
+            "cloglog": self._cloglog,
+            "negativebinomial": self._negativebinomial,
+            "nbinom": self._negativebinomial
+        }
+        if link_function_lower not in supported_functions:
+            raise ValueError(
+                "Unsupported link function '{}'".format(link_function))
+        link_fun = supported_functions[link_function_lower]
+        return link_fun(ast_to_transform)
+
+    def _logit(self, ast_to_transform):
+        return utils.div(
+            ast.NumVal(1.0),
+            utils.add(
+                ast.NumVal(1.0),
+                ast.ExpExpr(
+                    utils.sub(
+                        ast.NumVal(0.0),
+                        ast_to_transform))))
+
+    def _power(self, ast_to_transform):
+        power = self.model.model.family.link.power
+        if power == 1:
+            return self._identity(ast_to_transform)
+        elif power == -1:
+            return self._inverse_power(ast_to_transform)
+        elif power == 2:
+            return ast.SqrtExpr(ast_to_transform)
+        elif power == -2:
+            return self._inverse_squared(ast_to_transform)
+        elif power < 0:  # some languages may not support negative exponent
+            return utils.div(
+                ast.NumVal(1.0),
+                ast.PowExpr(ast_to_transform, ast.NumVal(1 / -power)))
+        else:
+            return ast.PowExpr(ast_to_transform, ast.NumVal(1 / power))
+
+    def _inverse_power(self, ast_to_transform):
+        return utils.div(ast.NumVal(1.0), ast_to_transform)
+
+    def _sqrt(self, ast_to_transform):
+        return ast.PowExpr(ast_to_transform, ast.NumVal(2))
+
+    def _inverse_squared(self, ast_to_transform):
+        return utils.div(ast.NumVal(1.0), ast.SqrtExpr(ast_to_transform))
+
+    def _identity(self, ast_to_transform):
+        return ast_to_transform
+
+    def _log(self, ast_to_transform):
+        return ast.ExpExpr(ast_to_transform)
+
+    def _cloglog(self, ast_to_transform):
+        return utils.sub(
+            ast.NumVal(1.0),
+            ast.ExpExpr(
+                utils.sub(
+                    ast.NumVal(0.0),
+                    ast.ExpExpr(ast_to_transform))))
+
+    def _negativebinomial(self, ast_to_transform):
+        return utils.div(
+            ast.NumVal(-1.0),
+            utils.mul(
+                ast.NumVal(self.model.model.family.link.alpha),
+                utils.sub(
+                    ast.NumVal(1.0),
+                    ast.ExpExpr(
+                        utils.sub(
+                            ast.NumVal(0.0),
+                            ast_to_transform)))))
+
+
+class StatsmodelsModelAssemblerSelector(ModelAssembler):
+
+    def __init__(self, model):
+        underlying_model = type(model.model).__name__
+        if underlying_model == "GLM":
+            self.assembler = StatsmodelsGLMModelAssembler(model)
+        elif underlying_model in {"GLS",
+                                  "GLSAR",
+                                  "OLS",
+                                  "WLS"}:
+            self.assembler = StatsmodelsLinearModelAssembler(model)
+        else:
+            raise NotImplementedError(
+                "Model '{}' is not supported".format(underlying_model))
+
+    def assemble(self):
+        return self.assembler.assemble()
+
+
 def _linear_to_ast(coef, intercept):
     feature_weight_mul_ops = []
 

m2cgen/assemblers/svm.py

@@ -13,7 +13,8 @@ def __init__(self, model):
         kernel_type = model.kernel
         supported_kernels = self._get_supported_kernels()
         if kernel_type not in supported_kernels:
-            raise ValueError("Unsupported kernel type {}".format(kernel_type))
+            raise ValueError(
+                "Unsupported kernel type '{}'".format(kernel_type))
         self._kernel_fun = supported_kernels[kernel_type]
 
         gamma = self._get_gamma()

m2cgen/interpreters/mixins.py

@@ -61,7 +61,7 @@ class LinearAlgebraMixin(BaseToCodeInterpreter):
     def interpret_bin_vector_expr(self, expr, extra_func_args=(), **kwargs):
         if expr.op not in self.supported_bin_vector_ops:
             raise NotImplementedError(
-                "Op {} is unsupported".format(expr.op.name))
+                "Op '{}' is unsupported".format(expr.op.name))
 
         self.with_linear_algebra = True
 
@@ -77,7 +77,7 @@ def interpret_bin_vector_num_expr(self, expr, extra_func_args=(),
                                       **kwargs):
         if expr.op not in self.supported_bin_vector_num_ops:
             raise NotImplementedError(
-                "Op {} is unsupported".format(expr.op.name))
+                "Op '{}' is unsupported".format(expr.op.name))
 
         self.with_linear_algebra = True