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_rotation_forest_regressor.py
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_rotation_forest_regressor.py
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"""A Rotation Forest (RotF) vector regressor.
A Rotation Forest aeon implementation for continuous values only. Fits sklearn
conventions.
"""
__author__ = ["MatthewMiddlehurst", "DavidGuijo-Rubio"]
__all__ = ["RotationForestRegressor"]
import time
import numpy as np
import pandas as pd
from joblib import Parallel, delayed
from sklearn.base import BaseEstimator
from sklearn.decomposition import PCA
from sklearn.tree import DecisionTreeRegressor
from sklearn.utils import check_random_state
from aeon.base._base import _clone_estimator
from aeon.exceptions import NotFittedError
from aeon.utils.validation import check_n_jobs
class RotationForestRegressor(BaseEstimator):
"""
A Rotation Forest (RotF) vector regressor.
Implementation of the Rotation Forest regressor described in Rodriguez et al
(2013) [1]. Builds a forest of trees build on random portions of the data
transformed using PCA.
Intended as a benchmark for time series data and a base regressor for
transformation based appraoches such as FreshPRINCERegressor, this aeon
implementation only works with continuous attributes.
Parameters
----------
n_estimators : int, default=200
Number of estimators to build for the ensemble.
min_group : int, default=3
The minimum size of an attribute subsample group.
max_group : int, default=3
The maximum size of an attribute subsample group.
remove_proportion : float, default=0.5
The proportion of cases to be removed per group.
base_estimator : BaseEstimator or None, default="None"
Base estimator for the ensemble. By default, uses the sklearn
`DecisionTreeRegressor` using MSE as a splitting measure.
time_limit_in_minutes : int, default=0
Time contract to limit build time in minutes, overriding ``n_estimators``.
Default of `0` means ``n_estimators`` is used.
contract_max_n_estimators : int, default=500
Max number of estimators to build when ``time_limit_in_minutes`` is set.
save_transformed_data : bool, default=False
Save the data transformed in fit in ``transformed_data_`` for use in
``_get_train_probs``.
n_jobs : int, default=1
The number of jobs to run in parallel for both ``fit`` and ``predict``.
`-1` means using all processors.
random_state : int, RandomState instance or None, default=None
If `int`, random_state is the seed used by the random number generator;
If `RandomState` instance, random_state is the random number generator;
If `None`, the random number generator is the `RandomState` instance used
by `np.random`.
Attributes
----------
n_instances_ : int
The number of train cases in the training set.
n_atts_ : int
The number of attributes in the training set.
transformed_data_ : list of shape (n_estimators) of ndarray
The transformed training dataset for all regressors. Only saved when
``save_transformed_data`` is `True`.
estimators_ : list of shape (n_estimators) of BaseEstimator
The collections of estimators trained in fit.
See Also
--------
FreshPRINCERegressor: A feature-based regressor using Rotation Forest.
References
----------
.. [1] Rodriguez, Juan José, Ludmila I. Kuncheva, and Carlos J. Alonso. "Rotation
forest: A new classifier ensemble method." IEEE transactions on pattern analysis
and machine intelligence 28.10 (2006).
.. [2] Bagnall, A., et al. "Is rotation forest the best classifier for problems
with continuous features?." arXiv preprint arXiv:1809.06705 (2018).
Examples
--------
>>> from aeon.regression.sklearn import RotationForestRegressor
>>> from aeon.testing.utils.data_gen import make_example_2d_numpy
>>> X, y = make_example_2d_numpy(n_cases=10, n_timepoints=12,
... regression_target=True, random_state=0)
>>> reg = RotationForestRegressor(n_estimators=10)
>>> reg.fit(X, y)
RotationForestRegressor(n_estimators=10)
>>> reg.predict(X)
array([0.7252543 , 1.50132442, 0.95608366, 1.64399016, 0.42385504,
0.60639322, 1.01919317, 1.30157483, 1.66017354, 0.2900776 ])
"""
def __init__(
self,
n_estimators=200,
min_group=3,
max_group=3,
remove_proportion=0.5,
base_estimator=None,
time_limit_in_minutes=0.0,
contract_max_n_estimators=500,
save_transformed_data=False,
n_jobs=1,
random_state=None,
):
self.n_estimators = n_estimators
self.min_group = min_group
self.max_group = max_group
self.remove_proportion = remove_proportion
self.base_estimator = base_estimator
self.time_limit_in_minutes = time_limit_in_minutes
self.contract_max_n_estimators = contract_max_n_estimators
self.save_transformed_data = save_transformed_data
self.n_jobs = n_jobs
self.random_state = random_state
super().__init__()
def fit(self, X, y):
"""Fit a forest of trees on cases (X,y), where y is the target variable.
Parameters
----------
X : 2d ndarray or DataFrame of shape = [n_instances, n_attributes]
The training data.
y : array-like, shape = [n_instances]
The output values.
Returns
-------
self :
Reference to self.
Notes
-----
Changes state by creating a fitted model that updates attributes
ending in "_".
"""
if isinstance(X, np.ndarray) and len(X.shape) == 3 and X.shape[1] == 1:
X = np.reshape(X, (X.shape[0], -1))
elif isinstance(X, pd.DataFrame) and len(X.shape) == 2:
X = X.to_numpy()
elif not isinstance(X, np.ndarray) or len(X.shape) > 2:
raise ValueError(
"RotationForestRegressor is not a time series regressor. "
"A valid sklearn input such as a 2d numpy array is required."
"Sparse input formats are currently not supported."
)
X, y = self._validate_data(X=X, y=y, ensure_min_samples=2)
self._label_average = np.mean(y)
self._n_jobs = check_n_jobs(self.n_jobs)
self.n_instances_, self.n_atts_ = X.shape
time_limit = self.time_limit_in_minutes * 60
start_time = time.time()
train_time = 0
if self.base_estimator is None:
self._base_estimator = DecisionTreeRegressor(criterion="squared_error")
# remove useless attributes
self._useful_atts = ~np.all(X[1:] == X[:-1], axis=0)
X = X[:, self._useful_atts]
self._n_atts = X.shape[1]
# normalise attributes
self._min = X.min(axis=0)
self._ptp = X.max(axis=0) - self._min
X = (X - self._min) / self._ptp
rng = check_random_state(self.random_state)
if time_limit > 0:
self._n_estimators = 0
self.estimators_ = []
self._pcas = []
self._groups = []
self.transformed_data_ = []
while (
train_time < time_limit
and self._n_estimators < self.contract_max_n_estimators
):
fit = Parallel(n_jobs=self._n_jobs, prefer="threads")(
delayed(self._fit_estimator)(
X,
y,
check_random_state(rng.randint(np.iinfo(np.int32).max)),
)
for _ in range(self._n_jobs)
)
estimators, pcas, groups, transformed_data = zip(*fit)
self.estimators_ += estimators
self._pcas += pcas
self._groups += groups
self.transformed_data_ += transformed_data
self._n_estimators += self._n_jobs
train_time = time.time() - start_time
else:
self._n_estimators = self.n_estimators
fit = Parallel(n_jobs=self._n_jobs, prefer="threads")(
delayed(self._fit_estimator)(
X,
y,
check_random_state(rng.randint(np.iinfo(np.int32).max)),
)
for _ in range(self._n_estimators)
)
self.estimators_, self._pcas, self._groups, self.transformed_data_ = zip(
*fit
)
self._is_fitted = True
return self
def predict(self, X):
"""Predict for all cases in X.
Parameters
----------
X : 2d ndarray or DataFrame of shape = [n_instances, n_attributes]
The data to make predictions for.
Returns
-------
y : array-like, shape = [n_instances]
Predicted output values.
"""
if not self._is_fitted:
raise NotFittedError(
f"This instance of {self.__class__.__name__} has not "
f"been fitted yet; please call `fit` first."
)
if isinstance(X, np.ndarray) and len(X.shape) == 3 and X.shape[1] == 1:
X = np.reshape(X, (X.shape[0], -1))
elif isinstance(X, pd.DataFrame) and len(X.shape) == 2:
X = X.to_numpy()
elif not isinstance(X, np.ndarray) or len(X.shape) > 2:
raise ValueError(
"RotationForestRegressor is not a time series regressor. "
"A valid sklearn input such as a 2d numpy array is required."
"Sparse input formats are currently not supported."
)
X = self._validate_data(X=X, reset=False)
# replace missing values with 0 and remove useless attributes
X = X[:, self._useful_atts]
# normalise the data.
X = (X - self._min) / self._ptp
y_preds = Parallel(n_jobs=self._n_jobs, prefer="threads")(
delayed(self._predict_for_estimator)(
X,
self.estimators_[i],
self._pcas[i],
self._groups[i],
)
for i in range(self._n_estimators)
)
output = np.sum(y_preds, axis=0) / self._n_estimators
return output
def _get_train_preds(self, X, y):
if not self._is_fitted:
raise NotFittedError(
f"This instance of {self.__class__.__name__} has not "
f"been fitted yet; please call `fit` first."
)
if isinstance(X, np.ndarray) and len(X.shape) == 3 and X.shape[1] == 1:
X = np.reshape(X, (X.shape[0], -1))
elif isinstance(X, pd.DataFrame) and len(X.shape) == 2:
X = X.to_numpy()
elif not isinstance(X, np.ndarray) or len(X.shape) > 2:
raise ValueError(
"RotationForestRegressor is not a time series regressor. "
"A valid sklearn input such as a 2d numpy array is required."
"Sparse input formats are currently not supported."
)
X = self._validate_data(X=X, reset=False)
n_instances, n_atts = X.shape
if n_instances != self.n_instances_ or n_atts != self.n_atts_:
raise ValueError(
"n_instances, n_atts mismatch. X should be the same as the training "
"data used in fit for generating train predictions."
)
if not self.save_transformed_data:
raise ValueError("Currently only works with saved transform data from fit.")
rng = check_random_state(self.random_state)
p = Parallel(n_jobs=self._n_jobs, prefer="threads")(
delayed(self._train_preds_for_estimator)(
y,
i,
check_random_state(rng.randint(np.iinfo(np.int32).max)),
)
for i in range(self._n_estimators)
)
y_preds, oobs = zip(*p)
results = np.sum(y_preds, axis=0)
divisors = np.zeros(n_instances)
for oob in oobs:
for inst in oob:
divisors[inst] += 1
for i in range(n_instances):
results[i] = (
self._label_average if divisors[i] == 0 else results[i] / divisors[i]
)
return results
def _fit_estimator(self, X, y, rng):
groups = self._generate_groups(rng)
pcas = []
# construct the slices to fit the PCAs too.
for group in groups:
sample_ind = rng.choice(
X.shape[0],
max(1, int(X.shape[0] * self.remove_proportion)),
replace=False,
)
X_t = X[sample_ind, :]
X_t = X_t[:, group]
# try to fit the PCA if it fails, remake it, and add 10 random data
# instances.
while True:
# ignore err state on PCA because we account if it fails.
with np.errstate(divide="ignore", invalid="ignore"):
# differences between os occasionally. seems to happen when there
# are low amounts of cases in the fit
pca = PCA(random_state=rng).fit(X_t)
if not np.isnan(pca.explained_variance_ratio_).all():
break
X_t = np.concatenate(
(X_t, rng.random_sample((10, X_t.shape[1]))), axis=0
)
pcas.append(pca)
# merge all the pca_transformed data into one instance and build a regressor
# on it.
X_t = np.concatenate(
[pcas[i].transform(X[:, group]) for i, group in enumerate(groups)], axis=1
)
X_t = X_t.astype(np.float32)
X_t = np.nan_to_num(
X_t, False, 0, np.finfo(np.float32).max, np.finfo(np.float32).min
)
tree = _clone_estimator(self._base_estimator, random_state=rng)
tree.fit(X_t, y)
return tree, pcas, groups, X_t if self.save_transformed_data else None
def _predict_for_estimator(self, X, clf, pcas, groups):
X_t = np.concatenate(
[pcas[i].transform(X[:, group]) for i, group in enumerate(groups)], axis=1
)
X_t = X_t.astype(np.float32)
X_t = np.nan_to_num(
X_t, False, 0, np.finfo(np.float32).max, np.finfo(np.float32).min
)
return clf.predict(X_t)
def _train_preds_for_estimator(self, y, idx, rng):
indices = range(self.n_instances_)
subsample = rng.choice(self.n_instances_, size=self.n_instances_)
oob = [n for n in indices if n not in subsample]
results = np.zeros(self.n_instances_)
if len(oob) == 0:
return [results, oob]
clf = _clone_estimator(self._base_estimator, rng)
clf.fit(self.transformed_data_[idx][subsample], y[subsample])
preds = clf.predict(self.transformed_data_[idx][oob])
for n, pred in enumerate(preds):
results[oob[n]] += pred
return [results, oob]
def _generate_groups(self, rng):
permutation = rng.permutation(np.arange(0, self._n_atts))
# select the size of each group.
group_size_count = np.zeros(self.max_group - self.min_group + 1)
n_attributes = 0
n_groups = 0
while n_attributes < self._n_atts:
n = rng.randint(group_size_count.shape[0])
group_size_count[n] += 1
n_attributes += self.min_group + n
n_groups += 1
groups = []
current_attribute = 0
current_size = 0
for i in range(0, n_groups):
while group_size_count[current_size] == 0:
current_size += 1
group_size_count[current_size] -= 1
n = self.min_group + current_size
groups.append(np.zeros(n, dtype=int))
for k in range(0, n):
if current_attribute < permutation.shape[0]:
groups[i][k] = permutation[current_attribute]
else:
groups[i][k] = permutation[rng.randint(permutation.shape[0])]
current_attribute += 1
return groups