stability-selection - A scikit-learn compatible implementation of stability selection
stability-selection is a Python implementation of the stability selection feature selection algorithm, first proposed by Meinshausen and Buhlmann.
The idea behind stability selection is to inject more noise into the original problem by generating bootstrap samples of the data, and to use a base feature selection algorithm (like the LASSO) to find out which features are important in every sampled version of the data. The results on each bootstrap sample are then aggregated to compute a stability score for each feature in the data. Features can then be selected by choosing an appropriate threshold for the stability scores.
To install the module, clone the repository
git clone https://github.com/scikit-learn-contrib/stability-selection.git
Before installing the module you will need
sklearn. Install these modules separately, or install using the
pip install -r requirements.txt
and execute the following in the project directory to install
python setup.py install
Documentation and algorithmic details
stability-selection implements a class
StabilitySelection, that takes any scikit-learn compatible estimator that has either a
coef_ attribute after fitting. Important other parameters are
lambda_name: the name of the penalization parameter of the base estimator (for example,
Cin the case of
lambda_grid: an array of values of the penalization parameter to iterate over.
After instantiation, the algorithm can be run with the familiar
See below for an example:
import numpy as np from sklearn.linear_model import LogisticRegression from sklearn.pipeline import Pipeline from sklearn.preprocessing import StandardScaler from sklearn.utils import check_random_state from stability_selection import StabilitySelection def _generate_dummy_classification_data(p=1000, n=1000, k=5, random_state=123321): rng = check_random_state(random_state) X = rng.normal(loc=0.0, scale=1.0, size=(n, p)) betas = np.zeros(p) important_betas = np.sort(rng.choice(a=np.arange(p), size=k)) betas[important_betas] = rng.uniform(size=k) probs = 1 / (1 + np.exp(-1 * np.matmul(X, betas))) y = (probs > 0.5).astype(int) return X, y, important_betas ## This is all preparation of the dummy data set n, p, k = 500, 1000, 5 X, y, important_betas = _generate_dummy_classification_data(n=n, k=k) base_estimator = Pipeline([ ('scaler', StandardScaler()), ('model', LogisticRegression(penalty='l1')) ]) ## Here stability selection is instantiated and run selector = StabilitySelection(base_estimator=base_estimator, lambda_name='model__C', lambda_grid=np.logspace(-5, -1, 50)).fit(X, y) print(selector.get_support(indices=True))
stability-selection uses bootstrapping without replacement by default (as proposed in the original paper), but does support different bootstrapping strategies. [Shah and Samworth] proposed complementary pairs bootstrapping, where the data set is bootstrapped in pairs, such that the intersection is empty but the union equals the original data set.
StabilitySelection supports this through the
This parameter can be:
- A string, which must be one of
- 'subsample': For subsampling without replacement (default).
- 'complementary_pairs': For complementary pairs subsampling .
- 'stratified': For stratified bootstrapping in imbalanced classification.
- A function that takes
y, and a random state as inputs and returns a list of sample indices in the range
For example, the
StabilitySelection call in the above example can be replaced with
selector = StabilitySelection(base_estimator=base_estimator, lambda_name='model__C', lambda_grid=np.logspace(-5, -1, 50), bootstrap_func='complementary_pairs') selector.fit(X, y)
to run stability selection with complementary pairs bootstrapping.
Feedback and contributing
Feedback and contributions are much appreciated. If you have any feedback, please post it on the issue tracker.
: Meinshausen, N. and Buhlmann, P., 2010. Stability selection. Journal of the Royal Statistical Society: Series B (Statistical Methodology), 72(4), pp.417-473.
 Shah, R.D. and Samworth, R.J., 2013. Variable selection with error control: another look at stability selection. Journal of the Royal Statistical Society: Series B (Statistical Methodology), 75(1), pp.55-80.