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Fraud_Detection_bank_sim.py
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Fraud_Detection_bank_sim.py
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#!/usr/bin/env python3
# -*- coding: utf-8 -*-
"""
Created on Fri Mar 15 14:57:46 2019
@author: atavci
"""
import pandas as pd
import numpy as np
import seaborn as sns
import matplotlib.pyplot as plt
from sklearn.model_selection import train_test_split
from sklearn.metrics import confusion_matrix, classification_report
from sklearn.metrics import roc_curve, auc
import xgboost as xgb
from sklearn.neighbors import KNeighborsClassifier
from sklearn.ensemble import RandomForestClassifier
from sklearn.ensemble import VotingClassifier
# set seaborn style because it prettier
sns.set()
# %% read and plot
data = pd.read_csv("Data/synthetic-data-from-a-financial-payment-system/bs140513_032310.csv")
data.head(5)
# Create two dataframes with fraud and non-fraud data
df_fraud = data.loc[data.fraud == 1]
df_non_fraud = data.loc[data.fraud == 0]
sns.countplot(x="fraud",data=data)
plt.title("Count of Fraudulent Payments")
plt.legend()
plt.show()
print("Number of normal examples: ",df_non_fraud.fraud.count())
print("Number of fradulent examples: ",df_fraud.fraud.count())
#print(data.fraud.value_counts()) # does the same thing above
print("Mean feature values per category",data.groupby('category')['amount','fraud'].mean())
print("Columns: ", data.columns)
# Plot histograms of the amounts in fraud and non-fraud data
plt.hist(df_fraud.amount, alpha=0.5, label='fraud',bins=100)
plt.hist(df_non_fraud.amount, alpha=0.5, label='nonfraud',bins=100)
plt.title("Histogram for fraud and nonfraud payments")
plt.ylim(0,10000)
plt.xlim(0,1000)
plt.legend()
plt.show()
# %% Preprocessing
print(data.zipcodeOri.nunique())
print(data.zipMerchant.nunique())
# dropping zipcodeori and zipMerchant since they have only one unique value
data_reduced = data.drop(['zipcodeOri','zipMerchant'],axis=1)
data_reduced.columns
# turning object columns type to categorical for later purposes
col_categorical = data_reduced.select_dtypes(include= ['object']).columns
for col in col_categorical:
data_reduced[col] = data_reduced[col].astype('category')
# it's usually better to turn the categorical values (customer, merchant, and category variables )
# into dummies because they have no relation in size(i.e. 5>4) but since they are too many (over 500k) the features will grow too many and
# it will take forever to train but here is the code below for turning categorical features into dummies
#data_reduced.loc[:,['customer','merchant','category']].astype('category')
#data_dum = pd.get_dummies(data_reduced.loc[:,['customer','merchant','category','gender']],drop_first=True) # dummies
#print(data_dum.info())
# categorical values ==> numeric values
data_reduced[col_categorical] = data_reduced[col_categorical].apply(lambda x: x.cat.codes)
# define X and y
X = data_reduced.drop(['fraud'],axis=1)
y = data['fraud']
# I won't do cross validation since we have a lot of instances
X_train, X_test, y_train, y_test = train_test_split(X,y,test_size=0.3,random_state=42,shuffle=True,stratify=y)
# %% Function for plotting ROC_AUC curve
def plot_roc_auc(y_test, preds):
'''
Takes actual and predicted(probabilities) as input and plots the Receiver
Operating Characteristic (ROC) curve
'''
fpr, tpr, threshold = roc_curve(y_test, preds)
roc_auc = auc(fpr, tpr)
plt.title('Receiver Operating Characteristic')
plt.plot(fpr, tpr, 'b', label = 'AUC = %0.2f' % roc_auc)
plt.legend(loc = 'lower right')
plt.plot([0, 1], [0, 1],'r--')
plt.xlim([0, 1])
plt.ylim([0, 1])
plt.ylabel('True Positive Rate')
plt.xlabel('False Positive Rate')
plt.show()
# The base score should be better than predicting always non-fraduelent
print("Base score we must beat is: ",
df_non_fraud.fraud.count()/ np.add(df_non_fraud.fraud.count(),df_fraud.fraud.count()) * 100)
# %% K-ello Neigbors
knn = KNeighborsClassifier(n_neighbors=5,p=1)
knn.fit(X_train,y_train)
y_pred = knn.predict(X_test)
# High precision on fraudulent examples almost perfect score on non-fraudulent examples
print("Classification Report for K-Nearest Neighbours: \n", classification_report(y_test, y_pred))
print("Confusion Matrix of K-Nearest Neigbours: \n", confusion_matrix(y_test,y_pred))
plot_roc_auc(y_test, knn.predict_proba(X_test)[:,1])
# %% Random Forest Classifier
rf_clf = RandomForestClassifier(n_estimators=100,max_depth=8,random_state=42,
verbose=1,class_weight="balanced")
rf_clf.fit(X_train,y_train)
y_pred = rf_clf.predict(X_test)
# 98 % recall on fraudulent examples but low 24 % precision.
print("Classification Report for Random Forest Classifier: \n", classification_report(y_test, y_pred))
print("Confusion Matrix of Random Forest Classifier: \n", confusion_matrix(y_test,y_pred))
plot_roc_auc(y_test, rf_clf.predict_proba(X_test)[:,1])
# %% XG-Boost
XGBoost_CLF = xgb.XGBClassifier(max_depth=6, learning_rate=0.05, n_estimators=400,
objective="binary:hinge", booster='gbtree',
n_jobs=-1, nthread=None, gamma=0, min_child_weight=1, max_delta_step=0,
subsample=1, colsample_bytree=1, colsample_bylevel=1, reg_alpha=0, reg_lambda=1,
scale_pos_weight=1, base_score=0.5, random_state=42, verbosity=True)
XGBoost_CLF.fit(X_train,y_train)
y_pred = XGBoost_CLF.predict(X_test)
# reatively high precision and recall for fraudulent class
print("Classification Report for XGBoost: \n", classification_report(y_test, y_pred)) # Accuracy for XGBoost: 0.9963059088641371
print("Confusion Matrix of XGBoost: \n", confusion_matrix(y_test,y_pred))
plot_roc_auc(y_test, XGBoost_CLF.predict_proba(X_test)[:,1])
# %% Ensemble
estimators = [("KNN",knn),("rf",rf_clf),("xgb",XGBoost_CLF)]
ens = VotingClassifier(estimators=estimators, voting="soft",weights=[1,4,1])
ens.fit(X_train,y_train)
y_pred = ens.predict(X_test)
# Combined Random Forest model's recall and other models' precision thus this model
# ensures a higher recall with less false alarms (false positives)
print("Classification Report for Ensembled Models: \n", classification_report(y_test, y_pred)) # Accuracy for XGBoost: 0.9963059088641371
print("Confusion Matrix of Ensembled Models: \n", confusion_matrix(y_test,y_pred))
plot_roc_auc(y_test, ens.predict_proba(X_test)[:,1])