plot_monotonic_constraints.py

"""
=====================
Monotonic Constraints
=====================

This example illustrates the effect of monotonic constraints on a gradient
boosting estimator.

We build an artificial dataset where the target value is in general
positively correlated with the first feature (with some random and
non-random variations), and in general negatively correlated with the second
feature.

By imposing a positive (increasing) or negative (decreasing) constraint on
the features during the learning process, the estimator is able to properly
follow the general trend instead of being subject to the variations.

This example was inspired by the `XGBoost documentation
<https://xgboost.readthedocs.io/en/latest/tutorials/monotonic.html>`_.
"""
from sklearn.experimental import enable_hist_gradient_boosting  # noqa
from sklearn.ensemble import HistGradientBoostingRegressor
from sklearn.inspection import plot_partial_dependence
import numpy as np
import matplotlib.pyplot as plt


print(__doc__)

rng = np.random.RandomState(0)

n_samples = 5000
f_0 = rng.rand(n_samples)  # positive correlation with y
f_1 = rng.rand(n_samples)  # negative correlation with y
X = np.c_[f_0, f_1]
noise = rng.normal(loc=0.0, scale=0.01, size=n_samples)
y = (5 * f_0 + np.sin(10 * np.pi * f_0) -
     5 * f_1 - np.cos(10 * np.pi * f_1) +
     noise)

fig, ax = plt.subplots()


# Without any constraint
gbdt = HistGradientBoostingRegressor()
gbdt.fit(X, y)
disp = plot_partial_dependence(
    gbdt, X, features=[0, 1],
    line_kw={'linewidth': 4, 'label': 'unconstrained'},
    ax=ax)

# With positive and negative constraints
gbdt = HistGradientBoostingRegressor(monotonic_cst=[1, -1])
gbdt.fit(X, y)

plot_partial_dependence(
    gbdt, X, features=[0, 1],
    feature_names=('First feature\nPositive constraint',
                   'Second feature\nNegtive constraint'),
    line_kw={'linewidth': 4, 'label': 'constrained'},
    ax=disp.axes_)

for f_idx in (0, 1):
    disp.axes_[0, f_idx].plot(X[:, f_idx], y, 'o', alpha=.3, zorder=-1)
    disp.axes_[0, f_idx].set_ylim(-6, 6)

plt.legend()
fig.suptitle("Monotonic constraints illustration")

plt.show()