diff --git a/CHANGELOG.md b/CHANGELOG.md index cbe40823b..485cc4c96 100644 --- a/CHANGELOG.md +++ b/CHANGELOG.md @@ -7,10 +7,20 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0 ## [Unreleased] ### Added +- RelevanceTable returns rank ([#268](https://github.com/tinkoff-ai/etna-ts/pull/268/)) + +### Changed + +### Fixed + +## [1.3.1] - 2021-11-12 +### Changed +- Delete restriction on version of pandas ([#274](https://github.com/tinkoff-ai/etna-ts/pull/274)) + +## [1.3.0] - 2021-11-12 +### Added - Backtest cli ([#223](https://github.com/tinkoff-ai/etna-ts/pull/223), [#259](https://github.com/tinkoff-ai/etna-ts/pull/259)) - TreeFeatureSelectionTransform ([#229](https://github.com/tinkoff-ai/etna-ts/pull/229)) -- MRMRFeatureSelectionTransform ([#251](https://github.com/tinkoff-ai/etna-ts/pull/251)) -- Feature relevance table calculation ([#227](https://github.com/tinkoff-ai/etna-ts/pull/227), [#249](https://github.com/tinkoff-ai/etna-ts/pull/249)) - Feature relevance table calculation using tsfresh ([#227](https://github.com/tinkoff-ai/etna-ts/pull/227), [#249](https://github.com/tinkoff-ai/etna-ts/pull/249)) - Method to_flatten to TSDataset ([#241](https://github.com/tinkoff-ai/etna-ts/pull/241) - Out_column parameter to not inplace transforms([#211](https://github.com/tinkoff-ai/etna-ts/pull/211)) diff --git a/etna/analysis/feature_relevance/relevance.py b/etna/analysis/feature_relevance/relevance.py index eceaa9421..61844a39a 100644 --- a/etna/analysis/feature_relevance/relevance.py +++ b/etna/analysis/feature_relevance/relevance.py @@ -2,6 +2,7 @@ from abc import abstractmethod import pandas as pd +import scipy.stats from etna.analysis.feature_relevance.relevance_table import get_model_relevance_table from etna.analysis.feature_relevance.relevance_table import get_statistics_relevance_table @@ -21,8 +22,15 @@ def __init__(self, greater_is_better: bool): """ self.greater_is_better = greater_is_better + def _get_ranks(self, table: pd.DataFrame) -> pd.DataFrame: + """Compute rank relevance table from relevance table.""" + if self.greater_is_better: + table *= -1 + rank_table = pd.DataFrame(scipy.stats.rankdata(table, axis=1), columns=table.columns, index=table.index) + return rank_table.astype(int) + @abstractmethod - def __call__(self, df: pd.DataFrame, df_exog: pd.DataFrame, **kwargs) -> pd.DataFrame: + def __call__(self, df: pd.DataFrame, df_exog: pd.DataFrame, return_ranks: bool = False, **kwargs) -> pd.DataFrame: """Compute relevance table. For each series in df compute relevance of corresponding series in df_exog. @@ -32,6 +40,8 @@ def __call__(self, df: pd.DataFrame, df_exog: pd.DataFrame, **kwargs) -> pd.Data dataframe with series that will be used as target df_exog: dataframe with series to compute relevance for df + return_ranks: + if False return relevance values else return ranks of relevance values Returns ------- @@ -47,9 +57,11 @@ class StatisticsRelevanceTable(RelevanceTable): def __init__(self): super().__init__(greater_is_better=False) - def __call__(self, df: pd.DataFrame, df_exog: pd.DataFrame, **kwargs) -> pd.DataFrame: + def __call__(self, df: pd.DataFrame, df_exog: pd.DataFrame, return_ranks: bool = False, **kwargs) -> pd.DataFrame: """Compute feature relevance table with etna.analysis.get_statistics_relevance_table method.""" table = get_statistics_relevance_table(df=df, df_exog=df_exog) + if return_ranks: + return self._get_ranks(table) return table @@ -59,7 +71,9 @@ class ModelRelevanceTable(RelevanceTable): def __init__(self): super().__init__(greater_is_better=True) - def __call__(self, df: pd.DataFrame, df_exog: pd.DataFrame, **kwargs) -> pd.DataFrame: + def __call__(self, df: pd.DataFrame, df_exog: pd.DataFrame, return_ranks: bool = False, **kwargs) -> pd.DataFrame: """Compute feature relevance table with etna.analysis.get_model_relevance_table method.""" table = get_model_relevance_table(df=df, df_exog=df_exog, **kwargs) + if return_ranks: + return self._get_ranks(table) return table diff --git a/etna/transforms/__init__.py b/etna/transforms/__init__.py index bc8fd262c..40e2f4952 100644 --- a/etna/transforms/__init__.py +++ b/etna/transforms/__init__.py @@ -6,7 +6,6 @@ from etna.transforms.datetime_flags import TimeFlagsTransform from etna.transforms.detrend import LinearTrendTransform from etna.transforms.detrend import TheilSenTrendTransform -from etna.transforms.feature_importance import MRMRFeatureSelectionTransform from etna.transforms.feature_importance import TreeFeatureSelectionTransform from etna.transforms.filter import FilterFeaturesTransform from etna.transforms.imputation import TimeSeriesImputerTransform diff --git a/etna/transforms/feature_importance.py b/etna/transforms/feature_importance.py index bf1b55173..e05e164d4 100644 --- a/etna/transforms/feature_importance.py +++ b/etna/transforms/feature_importance.py @@ -8,16 +8,12 @@ import numpy as np import pandas as pd from catboost import CatBoostRegressor -from mrmr import mrmr_classif from sklearn.ensemble import ExtraTreesRegressor from sklearn.ensemble import GradientBoostingRegressor from sklearn.ensemble import RandomForestRegressor from sklearn.tree import DecisionTreeRegressor from sklearn.tree import ExtraTreeRegressor -from etna.analysis import RelevanceTable -from etna.clustering import EuclideanClustering -from etna.clustering import HierarchicalClustering from etna.datasets import TSDataset from etna.transforms.base import Transform @@ -134,108 +130,3 @@ def transform(self, df: pd.DataFrame) -> pd.DataFrame: ) result = result.loc[:, pd.IndexSlice[:, selected_columns]] return result - - -class MRMRFeatureSelectionTransform(Transform): - """Transform that selects regressors according to mRMR variable selection method.""" - - def __init__( - self, - relevance_method: RelevanceTable, - top_k: int, - clustering_method: HierarchicalClustering = EuclideanClustering(), - n_clusters: int = 10, - linkage: str = "average", - **relevance_params, - ): - """ - Init MRMRFeatureSelectionTransform. - - Parameters - ---------- - relevance_method: - method to calculate relevance table - top_k: - num of regressors to select; if there are not enough regressors, then all will be selected - clustering_method: - method of time series clustering - n_clusters: - number of clusters - linkage: - rule for distance computation for new clusters, allowed "ward", "single", "average", "maximum", "complete" - """ - if not isinstance(top_k, int) or top_k < 0: - raise ValueError("Parameter top_k should be positive integer") - - if not isinstance(n_clusters, int) or n_clusters < 2: - raise ValueError("Parameter n_clusters should be integer and greater than 1") - - self.relevance_method = relevance_method - self.clustering = clustering_method - self.n_clusters = n_clusters - self.linkage = linkage - self.top_k = top_k - self.relevance_params = relevance_params - self.selected_regressors: Optional[List[str]] = None - - @staticmethod - def _get_regressors(df: pd.DataFrame) -> List[str]: - """Get list of regressors in the dataframe.""" - result = set() - for column in df.columns.get_level_values("feature"): - if column.startswith("regressor_"): - result.add(column) - return sorted(list(result)) - - def fit(self, df: pd.DataFrame) -> "MRMRFeatureSelectionTransform": - """ - Fit the method and remember features to select. - - Parameters - ---------- - df: - dataframe with all segments data - - Returns - ------- - result: MRMRFeatureSelectionTransform - instance after fitting - """ - if len(self._get_regressors(df)) <= self.n_clusters: - raise ValueError("The number of clusters must be strictly less than the number of regressors") - - ts = TSDataset(df=df, freq=pd.infer_freq(df.index)) - self.clustering.build_distance_matrix(ts=ts) - self.clustering.build_clustering_algo(n_clusters=self.n_clusters, linkage=self.linkage) - s2c = self.clustering.fit_predict() - relevance_table = self.relevance_method(ts[:, :, "target"], ts[:, :, ts.regressors], **self.relevance_params) - y = np.empty(len(relevance_table)) - for k, cluster in enumerate(relevance_table.index): - y[k] = s2c[cluster] - self.selected_regressors = mrmr_classif(relevance_table, y, K=self.top_k) - return self - - def transform(self, df: pd.DataFrame) -> pd.DataFrame: - """ - Select top_k regressors. - - Parameters - ---------- - df: - dataframe with all segments data - - Returns - ------- - result: pd.DataFrame - Dataframe with with only selected regressors - """ - result = df.copy() - selected_columns = sorted( - [ - column - for column in df.columns.get_level_values("feature").unique() - if not column.startswith("regressor_") or column in self.selected_regressors - ] - ) - result = result.loc[:, pd.IndexSlice[:, selected_columns]] - return result diff --git a/poetry.lock b/poetry.lock index 61668e67a..4765ada9e 100644 --- a/poetry.lock +++ b/poetry.lock @@ -1,10 +1,10 @@ [[package]] name = "absl-py" -version = "0.15.0" +version = "1.0.0" description = "Abseil Python Common Libraries, see https://github.com/abseil/abseil-py." category = "main" optional = true -python-versions = "*" +python-versions = ">=3.6" [package.dependencies] six = "*" @@ -22,23 +22,37 @@ contextvars = {version = "2.4", markers = "python_version < \"3.7\""} [[package]] name = "aiohttp" -version = "3.7.4.post0" +version = "3.8.0" description = "Async http client/server framework (asyncio)" category = "main" optional = true python-versions = ">=3.6" [package.dependencies] -async-timeout = ">=3.0,<4.0" +aiosignal = ">=1.1.2" +async-timeout = ">=4.0.0a3,<5.0" +asynctest = {version = "0.13.0", markers = "python_version < \"3.8\""} attrs = ">=17.3.0" -chardet = ">=2.0,<5.0" +charset-normalizer = ">=2.0,<3.0" +frozenlist = ">=1.1.1" idna-ssl = {version = ">=1.0", markers = "python_version < \"3.7\""} multidict = ">=4.5,<7.0" -typing-extensions = ">=3.6.5" +typing-extensions = {version = ">=3.7.4", markers = "python_version < \"3.8\""} yarl = ">=1.0,<2.0" [package.extras] -speedups = ["aiodns", "brotlipy", "cchardet"] +speedups = ["aiodns", "brotli", "cchardet"] + +[[package]] +name = "aiosignal" +version = "1.2.0" +description = "aiosignal: a list of registered asynchronous callbacks" +category = "main" +optional = true +python-versions = ">=3.6" + +[package.dependencies] +frozenlist = ">=1.1.0" [[package]] name = "alabaster" @@ -50,7 +64,7 @@ python-versions = "*" [[package]] name = "alembic" -version = "1.7.4" +version = "1.7.5" description = "A database migration tool for SQLAlchemy." category = "main" optional = true @@ -107,11 +121,22 @@ python-versions = ">=3.5" [[package]] name = "async-timeout" -version = "3.0.1" +version = "4.0.1" description = "Timeout context manager for asyncio programs" category = "main" optional = true -python-versions = ">=3.5.3" +python-versions = ">=3.6" + +[package.dependencies] +typing-extensions = ">=3.6.5" + +[[package]] +name = "asynctest" +version = "0.13.0" +description = "Enhance the standard unittest package with features for testing asyncio libraries" +category = "main" +optional = true +python-versions = ">=3.5" [[package]] name = "atomicwrites" @@ -261,14 +286,6 @@ python-versions = "*" [package.dependencies] pycparser = "*" -[[package]] -name = "chardet" -version = "4.0.0" -description = "Universal encoding detector for Python 2 and 3" -category = "main" -optional = true -python-versions = ">=2.7, !=3.0.*, !=3.1.*, !=3.2.*, !=3.3.*, !=3.4.*" - [[package]] name = "charset-normalizer" version = "2.0.7" @@ -322,7 +339,7 @@ numpy = "*" [[package]] name = "cmd2" -version = "2.2.0" +version = "2.3.0" description = "cmd2 - quickly build feature-rich and user-friendly interactive command line applications in Python" category = "main" optional = true @@ -330,7 +347,6 @@ python-versions = ">=3.6" [package.dependencies] attrs = ">=16.3.0" -colorama = ">=0.3.7" importlib-metadata = {version = ">=1.6.0", markers = "python_version < \"3.8\""} pyperclip = ">=1.6" pyreadline = {version = "*", markers = "sys_platform == \"win32\" and python_version < \"3.8\""} @@ -383,7 +399,7 @@ python-versions = ">=2.7, !=3.0.*, !=3.1.*, !=3.2.*, !=3.3.*, !=3.4.*" [[package]] name = "colorlog" -version = "6.5.0" +version = "6.6.0" description = "Add colours to the output of Python's logging module." category = "main" optional = true @@ -397,15 +413,15 @@ development = ["black", "flake8", "mypy", "pytest", "types-colorama"] [[package]] name = "configparser" -version = "5.0.2" +version = "5.1.0" description = "Updated configparser from Python 3.8 for Python 2.6+." category = "main" optional = true python-versions = ">=3.6" [package.extras] -docs = ["sphinx", "jaraco.packaging (>=8.2)", "rst.linker (>=1.9)"] -testing = ["pytest (>=4.6)", "pytest-checkdocs (>=1.2.3)", "pytest-flake8", "pytest-cov", "pytest-enabler", "pytest-black (>=0.3.7)", "pytest-mypy"] +docs = ["sphinx", "jaraco.packaging (>=8.2)", "rst.linker (>=1.9)", "jaraco.tidelift (>=1.4)"] +testing = ["pytest (>=6)", "pytest-checkdocs (>=2.4)", "pytest-flake8", "pytest-cov", "pytest-enabler (>=1.0.1)", "pytest-black (>=0.3.7)", "pytest-mypy"] [[package]] name = "contextvars" @@ -447,14 +463,11 @@ toml = ["toml"] [[package]] name = "cycler" -version = "0.10.0" +version = "0.11.0" description = "Composable style cycles" category = "main" optional = false -python-versions = "*" - -[package.dependencies] -six = "*" +python-versions = ">=3.6" [[package]] name = "cython" @@ -571,9 +584,17 @@ python-versions = "*" [package.dependencies] flake8 = "*" +[[package]] +name = "frozenlist" +version = "1.2.0" +description = "A list-like structure which implements collections.abc.MutableSequence" +category = "main" +optional = true +python-versions = ">=3.6" + [[package]] name = "fsspec" -version = "2021.10.1" +version = "2021.11.0" description = "File-system specification" category = "main" optional = true @@ -638,7 +659,7 @@ typing-extensions = {version = ">=3.7.4.3", markers = "python_version < \"3.10\" [[package]] name = "google-auth" -version = "2.3.2" +version = "2.3.3" description = "Google Authentication Library" category = "main" optional = true @@ -672,7 +693,7 @@ tool = ["click (>=6.0.0)"] [[package]] name = "graphviz" -version = "0.17" +version = "0.18" description = "Simple Python interface for Graphviz" category = "main" optional = false @@ -681,7 +702,7 @@ python-versions = ">=3.6" [package.extras] dev = ["tox (>=3)", "flake8", "pep8-naming", "wheel", "twine"] docs = ["sphinx (>=1.8)", "sphinx-autodoc-typehints", "sphinx-rtd-theme"] -test = ["mock (>=3)", "pytest (>=5.2)", "pytest-mock (>=2)", "pytest-cov"] +test = ["pytest (>=6)", "pytest-mock (>=2)", "mock (>=3)", "pytest-cov"] [[package]] name = "greenlet" @@ -759,7 +780,7 @@ idna = ">=2.0" [[package]] name = "imagesize" -version = "1.2.0" +version = "1.3.0" description = "Getting image size from png/jpeg/jpeg2000/gif file" category = "main" optional = true @@ -781,7 +802,7 @@ test = ["flake8 (>=3.8.4,<3.9.0)", "pycodestyle (>=2.6.0,<2.7.0)", "mypy (>=0.91 [[package]] name = "importlib-metadata" -version = "4.8.1" +version = "4.8.2" description = "Read metadata from Python packages" category = "main" optional = false @@ -794,11 +815,11 @@ zipp = ">=0.5" [package.extras] docs = ["sphinx", "jaraco.packaging (>=8.2)", "rst.linker (>=1.9)"] perf = ["ipython"] -testing = ["pytest (>=4.6)", "pytest-checkdocs (>=2.4)", "pytest-flake8", "pytest-cov", "pytest-enabler (>=1.0.1)", "packaging", "pep517", "pyfakefs", "flufl.flake8", "pytest-perf (>=0.9.2)", "pytest-black (>=0.3.7)", "pytest-mypy", "importlib-resources (>=1.3)"] +testing = ["pytest (>=6)", "pytest-checkdocs (>=2.4)", "pytest-flake8", "pytest-cov", "pytest-enabler (>=1.0.1)", "packaging", "pep517", "pyfakefs", "flufl.flake8", "pytest-perf (>=0.9.2)", "pytest-black (>=0.3.7)", "pytest-mypy", "importlib-resources (>=1.3)"] [[package]] name = "importlib-resources" -version = "5.3.0" +version = "5.4.0" description = "Read resources from Python packages" category = "main" optional = true @@ -899,7 +920,7 @@ test = ["pytest (>=3.6.0)", "pytest-cov", "mock"] [[package]] name = "isort" -version = "5.9.3" +version = "5.10.1" description = "A Python utility / library to sort Python imports." category = "main" optional = true @@ -928,7 +949,7 @@ testing = ["Django (<3.1)", "colorama", "docopt", "pytest (<6.0.0)"] [[package]] name = "jinja2" -version = "3.0.2" +version = "3.0.3" description = "A very fast and expressive template engine." category = "main" optional = true @@ -1214,7 +1235,7 @@ name = "mrmr" version = "0.1" description = "" category = "main" -optional = true +optional = false python-versions = "*" develop = false @@ -1224,13 +1245,12 @@ joblib = "*" numpy = ">=1.18.1" pandas = ">=1.0.3" sklearn = "*" -tqdm = "*" [package.source] type = "git" url = "https://github.com/smazzanti/mrmr.git" -reference = "main" -resolved_reference = "74987fc32319edb838a2f864b16c509dc351ea9a" +reference = "96ad224" +resolved_reference = "96ad224f4668737593c69920c8d0d668ac0a31ab" [[package]] name = "multidict" @@ -1290,7 +1310,7 @@ testing = ["beautifulsoup4", "coverage", "docutils (>=0.17.0,<0.18.0)", "pytest [[package]] name = "nbclient" -version = "0.5.4" +version = "0.5.8" description = "A client library for executing notebooks. Formerly nbconvert's ExecutePreprocessor." category = "main" optional = true @@ -1304,9 +1324,9 @@ nest-asyncio = "*" traitlets = ">=4.2" [package.extras] -dev = ["codecov", "coverage", "ipython", "ipykernel", "ipywidgets", "pytest (>=4.1)", "pytest-cov (>=2.6.1)", "check-manifest", "flake8", "mypy", "tox", "bumpversion", "xmltodict", "pip (>=18.1)", "wheel (>=0.31.0)", "setuptools (>=38.6.0)", "twine (>=1.11.0)", "black"] +dev = ["codecov", "coverage", "ipython", "ipykernel", "ipywidgets", "pytest (>=4.1)", "pytest-cov (>=2.6.1)", "check-manifest", "flake8", "mypy", "tox", "xmltodict", "pip (>=18.1)", "wheel (>=0.31.0)", "setuptools (>=38.6.0)", "twine (>=1.11.0)", "black"] sphinx = ["Sphinx (>=1.7)", "sphinx-book-theme", "mock", "moto", "myst-parser"] -test = ["codecov", "coverage", "ipython", "ipykernel", "ipywidgets", "pytest (>=4.1)", "pytest-cov (>=2.6.1)", "check-manifest", "flake8", "mypy", "tox", "bumpversion", "xmltodict", "pip (>=18.1)", "wheel (>=0.31.0)", "setuptools (>=38.6.0)", "twine (>=1.11.0)", "black"] +test = ["codecov", "coverage", "ipython", "ipykernel", "ipywidgets", "pytest (>=4.1)", "pytest-cov (>=2.6.1)", "check-manifest", "flake8", "mypy", "tox", "xmltodict", "pip (>=18.1)", "wheel (>=0.31.0)", "setuptools (>=38.6.0)", "twine (>=1.11.0)", "black"] [[package]] name = "nbconvert" @@ -1504,14 +1524,14 @@ tests = ["fakeredis", "pytest"] [[package]] name = "packaging" -version = "21.0" +version = "21.2" description = "Core utilities for Python packages" category = "main" optional = false python-versions = ">=3.6" [package.dependencies] -pyparsing = ">=2.0.2" +pyparsing = ">=2.0.2,<3" [[package]] name = "pandas" @@ -1582,7 +1602,7 @@ test = ["pytest", "pytest-cov", "scipy"] [[package]] name = "pbr" -version = "5.6.0" +version = "5.7.0" description = "Python Build Reasonableness" category = "main" optional = true @@ -1668,7 +1688,7 @@ testing = ["pytest", "pytest-benchmark"] [[package]] name = "prettytable" -version = "2.2.1" +version = "2.4.0" description = "A simple Python library for easily displaying tabular data in a visually appealing ASCII table format" category = "main" optional = true @@ -1679,11 +1699,11 @@ importlib-metadata = {version = "*", markers = "python_version < \"3.8\""} wcwidth = "*" [package.extras] -tests = ["pytest", "pytest-cov"] +tests = ["pytest", "pytest-cov", "pytest-lazy-fixture"] [[package]] name = "prometheus-client" -version = "0.11.0" +version = "0.12.0" description = "Python client for the Prometheus monitoring system." category = "main" optional = true @@ -1708,7 +1728,7 @@ test = ["pytest (>=2.7.3)", "pytest-cov", "coveralls", "futures", "pytest-benchm [[package]] name = "prompt-toolkit" -version = "3.0.21" +version = "3.0.22" description = "Library for building powerful interactive command lines in Python" category = "main" optional = true @@ -1741,7 +1761,7 @@ tqdm = ">=4.36.1" [[package]] name = "protobuf" -version = "3.19.0" +version = "3.19.1" description = "Protocol Buffers" category = "main" optional = true @@ -1768,11 +1788,11 @@ python-versions = "*" [[package]] name = "py" -version = "1.10.0" +version = "1.11.0" description = "library with cross-python path, ini-parsing, io, code, log facilities" category = "main" optional = false -python-versions = ">=2.7, !=3.0.*, !=3.1.*, !=3.2.*, !=3.3.*" +python-versions = ">=2.7, !=3.0.*, !=3.1.*, !=3.2.*, !=3.3.*, !=3.4.*" [[package]] name = "pyasn1" @@ -1803,7 +1823,7 @@ python-versions = ">=2.7, !=3.0.*, !=3.1.*, !=3.2.*, !=3.3.*" [[package]] name = "pycparser" -version = "2.20" +version = "2.21" description = "C parser in Python" category = "main" optional = true @@ -1857,14 +1877,11 @@ python-versions = "*" [[package]] name = "pyparsing" -version = "3.0.3" +version = "2.4.7" description = "Python parsing module" category = "main" optional = false -python-versions = ">=3.6" - -[package.extras] -diagrams = ["jinja2", "railroad-diagrams"] +python-versions = ">=2.6, !=3.0.*, !=3.1.*, !=3.2.*" [[package]] name = "pyperclip" @@ -1982,7 +1999,7 @@ github-actions = ["pytest-github-actions-annotate-failures"] [[package]] name = "pytorch-lightning" -version = "1.4.9" +version = "1.5.1" description = "PyTorch Lightning is the lightweight PyTorch wrapper for ML researchers. Scale your models. Write less boilerplate." category = "main" optional = true @@ -1997,19 +2014,19 @@ pyDeprecate = "0.3.1" PyYAML = ">=5.1" tensorboard = ">=2.2.0" torch = ">=1.6" -torchmetrics = ">=0.4.0" +torchmetrics = ">=0.4.1" tqdm = ">=4.41.0" typing-extensions = "*" [package.extras] -all = ["matplotlib (>3.1)", "horovod (>=0.21.2)", "omegaconf (>=2.0.1)", "torchtext (>=0.7)", "onnx (>=1.7.0)", "onnxruntime (>=1.3.0)", "hydra-core (>=1.0)", "jsonargparse[signatures] (>=3.17.0)", "gcsfs (>=2021.5.0)", "neptune-client (>=0.4.109)", "comet-ml (>=3.1.12)", "mlflow (>=1.0.0)", "test-tube (>=0.7.5)", "wandb (>=0.8.21)", "coverage (>5.2.0)", "codecov (>=2.1)", "pytest (>=6.0)", "check-manifest", "twine (==3.2)", "mypy (>=0.900)", "pre-commit (>=1.0)", "cloudpickle (>=1.3)", "scikit-learn (>0.22.1)", "scikit-image (>0.17.1)", "nltk (>=3.3)", "pandas", "torchvision (>=0.7)", "gym (>=0.17.0)", "ipython"] -cpu = ["matplotlib (>3.1)", "omegaconf (>=2.0.1)", "torchtext (>=0.7)", "onnx (>=1.7.0)", "onnxruntime 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05581b9a9..54e74e218 100644 --- a/pyproject.toml +++ b/pyproject.toml @@ -1,6 +1,6 @@ [tool.poetry] name = "etna-ts" -version = "1.2.0" +version = "1.3.1" repository = "https://github.com/tinkoff-ai/etna-ts" readme = "README.md" description = "ETNA is the first python open source framework of Tinkoff.ru AI Center. It is designed to make working with time series simple, productive, and fun." @@ -39,7 +39,7 @@ authors = [ [tool.poetry.dependencies] python = ">=3.6.2, <3.9.0" scikit-learn = "^0.24.1" -pandas = "^1, <1.2" +pandas = "^1" catboost = "^0.25" ruptures = "1.1.5" numba = "^0.53.1" @@ -87,9 +87,6 @@ jupyter = {version = "*", optional = true} nbconvert = {version = "*", optional = true} omegaconf = "^2.1.1" -mrmr = {git = "https://github.com/smazzanti/mrmr.git", rev = "96ad224"} -category-encoders = "^2.3.0" - [tool.poetry.extras] # optional deps prophet = ["prophet"] diff --git a/tests/test_analysis/test_feature_relevance/test_relevance.py b/tests/test_analysis/test_feature_relevance/test_relevance.py index 0fa11b9cc..100be660d 100644 --- a/tests/test_analysis/test_feature_relevance/test_relevance.py +++ b/tests/test_analysis/test_feature_relevance/test_relevance.py @@ -1,3 +1,4 @@ +import pytest from sklearn.tree import DecisionTreeRegressor from etna.analysis.feature_relevance import ModelRelevanceTable @@ -8,11 +9,26 @@ def test_statistics_relevance_table(simple_df_relevance): rt = StatisticsRelevanceTable() assert not rt.greater_is_better df, df_exog = simple_df_relevance - assert rt(df=df, df_exog=df_exog).shape == (2, 2) + assert rt(df=df, df_exog=df_exog, return_ranks=False).shape == (2, 2) def test_model_relevance_table(simple_df_relevance): rt = ModelRelevanceTable() assert rt.greater_is_better df, df_exog = simple_df_relevance - assert rt(df=df, df_exog=df_exog, model=DecisionTreeRegressor()).shape == (2, 2) + assert rt(df=df, df_exog=df_exog, return_ranks=False, model=DecisionTreeRegressor()).shape == (2, 2) + + +@pytest.mark.parametrize( + "greater_is_better,answer", + ((True, [1, 2, 2, 1]), (False, [2, 1, 1, 2])), +) +def test_relevance_table_ranks(greater_is_better, answer, simple_df_relevance): + rt = ModelRelevanceTable() + rt.greater_is_better = greater_is_better + df, df_exog = simple_df_relevance + table = rt(df=df, df_exog=df_exog, return_ranks=True, model=DecisionTreeRegressor()) + assert table["regressor_1"]["1"] == answer[0] + assert table["regressor_2"]["1"] == answer[1] + assert table["regressor_1"]["2"] == answer[2] + assert table["regressor_2"]["2"] == answer[3] diff --git a/tests/test_transforms/test_feature_importance_transform.py b/tests/test_transforms/test_feature_importance_transform.py index 9f8d08003..f79b1e5f2 100644 --- a/tests/test_transforms/test_feature_importance_transform.py +++ b/tests/test_transforms/test_feature_importance_transform.py @@ -9,15 +9,11 @@ from sklearn.tree import DecisionTreeRegressor from sklearn.tree import ExtraTreeRegressor -from etna.analysis import StatisticsRelevanceTable -from etna.clustering import DTWClustering -from etna.clustering import EuclideanClustering from etna.datasets import TSDataset from etna.datasets import generate_ar_df from etna.models import LinearPerSegmentModel from etna.pipeline import Pipeline from etna.transforms import SegmentEncoderTransform -from etna.transforms.feature_importance import MRMRFeatureSelectionTransform from etna.transforms.feature_importance import TreeFeatureSelectionTransform @@ -62,61 +58,6 @@ def ts_with_regressors(): return TSDataset(df=TSDataset.to_dataset(df), df_exog=TSDataset.to_dataset(df_exog_all_segments), freq="D") -@pytest.mark.parametrize( - "relevance_method, clustering_method", - [ - [StatisticsRelevanceTable(), EuclideanClustering()], - [StatisticsRelevanceTable(), DTWClustering()], - ], -) -@pytest.mark.parametrize("top_k", [0, 1, 5, 15, 50]) -def test_mrmr_right_len(relevance_method, clustering_method, top_k, ts_with_regressors): - """Check that transform selects exactly top_k regressors.""" - df = ts_with_regressors.to_pandas() - mrmr = MRMRFeatureSelectionTransform(relevance_method, top_k, clustering_method, n_clusters=2) - df_selected = mrmr.fit_transform(df) - all_regressors = ts_with_regressors.regressors - selected_regressors = set() - for column in df_selected.columns.get_level_values("feature"): - if column.startswith("regressor"): - selected_regressors.add(column) - - assert len(selected_regressors) == min(len(all_regressors), top_k) - - -@pytest.mark.parametrize( - "relevance_method, clustering_method", - [ - [StatisticsRelevanceTable(), EuclideanClustering()], - ], -) -def test_mrmr_right_regressors(relevance_method, clustering_method, ts_with_regressors): - """Check that transform selects right top_k regressors.""" - df = ts_with_regressors.to_pandas() - mrmr = MRMRFeatureSelectionTransform(relevance_method, 3, clustering_method, n_clusters=2) - df_selected = mrmr.fit_transform(df) - selected_regressors = set() - for column in df_selected.columns.get_level_values("feature"): - if column.startswith("regressor"): - selected_regressors.add(column) - assert set(selected_regressors) == set(["regressor_useful_1", "regressor_useful_2", "regressor_useless_9"]) - - -def test_mrmr_fails_negative_parameters(): - """Check that transform doesn't allow you to set top_k to negative values and n_clusters >= 2.""" - with pytest.raises(ValueError, match="positive integer"): - MRMRFeatureSelectionTransform(StatisticsRelevanceTable(), top_k=-1) - with pytest.raises(ValueError, match="greater than"): - MRMRFeatureSelectionTransform(StatisticsRelevanceTable(), top_k=1, n_clusters=1) - - -def test_mrmr_fails(ts_with_regressors): - """Check that transform doesn't allow you to set n_clusters greater than number of regressors.""" - mrmr = MRMRFeatureSelectionTransform(StatisticsRelevanceTable(), top_k=4, freq="D", n_clusters=25) - with pytest.raises(ValueError, match="strictly less than"): - mrmr.fit_transform(ts_with_regressors.to_pandas()) - - @pytest.mark.parametrize( "model", [