scikit-learn compatible implementation of stability selection.
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README.md

stability-selection - A scikit-learn compatible implementation of stability selection

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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.

Installation

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 numpy, matplotlib, and sklearn. Install these modules separately, or install using the requirements.txt file:

pip install -r requirements.txt

and execute the following in the project directory to install stability-selection:

python setup.py install

Documentation and algorithmic details

See the documentation for details on the module, and the accompanying blog post for details on the algorithmic details.

Example usage

stability-selection implements a class StabilitySelection, that takes any scikit-learn compatible estimator that has either a feature_importances_ or coef_ attribute after fitting. Important other parameters are

  • lambda_name: the name of the penalization parameter of the base estimator (for example, C in the case of LogisticRegression).
  • lambda_grid: an array of values of the penalization parameter to iterate over.

After instantiation, the algorithm can be run with the familiar fit and transform calls.

Basic example

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))

Bootstrapping strategies

stability-selection uses bootstrapping without replacement by default (as proposed in the original paper), but does support different bootstrapping strategies. [Shah and Samworth] proposed complentairy 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 bootstrap_func parameter.

This parameter can be:

  • A string, which must be one of
    • 'subsample': For subsampling without replacement (default).
    • 'complementary_pairs': For complementary pairs subsampling [2].
    • '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 (0, len(y)-1).

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.

References

[1]: Meinshausen, N. and Buhlmann, P., 2010. Stability selection. Journal of the Royal Statistical Society: Series B (Statistical Methodology), 72(4), pp.417-473.

[2] 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.