Prediction sets and prediction intervals for conformalized Auto XGBoost, Auto LightGBM, Auto CatBoost, Auto GradientBoosting
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In #151, I introduced a minimal unified interface to XGBoost, CatBoost, LightGBM, and GradientBoosting in Python and R. These models can be automatically calibrated by using GPopt (a package for Bayesian optimization) under the hood. In this post, I’ll show how to obtain prediction sets (classification) and prediction intervals (regression) for these models. For the prediction sets, I extensively relied on Python’s nonconformist.
Below, I present a Python version (section 1) and an R version (section 2).
1 – Python examples
!pip install unifiedbooster
1 – 1 regression
import matplotlib.pyplot as plt
import numpy as np
import os
import unifiedbooster as ub
import warnings
from sklearn.datasets import load_diabetes, fetch_california_housing
from sklearn.model_selection import train_test_split
from time import time
load_datasets = [fetch_california_housing(), load_diabetes()]
dataset_names = ["California Housing", "Diabetes"]
warnings.filterwarnings('ignore')
split_color = 'green'
split_color2 = 'orange'
local_color = 'gray'
def plot_func(x,
y,
y_u=None,
y_l=None,
pred=None,
shade_color="lightblue",
method_name="",
title=""):
fig = plt.figure()
plt.plot(x, y, 'k.', alpha=.3, markersize=10,
fillstyle='full', label=u'Test set observations')
if (y_u is not None) and (y_l is not None):
plt.fill(np.concatenate([x, x[::-1]]),
np.concatenate([y_u, y_l[::-1]]),
alpha=.3, fc=shade_color, ec='None',
label = method_name + ' Prediction interval')
if pred is not None:
plt.plot(x, pred, 'k--', lw=2, alpha=0.9,
label=u'Predicted value')
#plt.ylim([-2.5, 7])
plt.xlabel('$X$')
plt.ylabel('$Y$')
plt.legend(loc='upper right')
plt.title(title)
plt.show()
for i, dataset in enumerate(load_datasets):
print(f"\n ----- Running: {dataset_names[i]} ----- \n")
X, y = dataset.data, dataset.target
# Split dataset into training and testing sets
X_train, X_test, y_train, y_test = train_test_split(
X, y, test_size=0.2, random_state=42
)
# Initialize the unified regr (example with XGBoost)
print("\n ---------- Initialize the unified regr (example with XGBoost)")
regr1 = ub.GBDTRegressor(model_type="xgboost",
level=95,
pi_method="splitconformal")
# Fit the model
start = time()
regr1.fit(X_train, y_train)
print(f"Time taken: {time() - start} seconds")
# Predict with the model
y_pred1 = regr1.predict(X_test)
# Coverage error
coverage_error = (y_test >= y_pred1.lower) & (y_test <= y_pred1.upper)
print(f"Coverage rate: {coverage_error.mean():.4f}")
#x,
#y,
#y_u=None,
#y_l=None,
#pred=None,
plot_func(range(len(y_test))[0:30], y_test[0:30],
y_pred1.upper[0:30], y_pred1.lower[0:30],
y_pred1.mean[0:30], method_name="Split Conformal")
print("\n ---------- Initialize the unified regr (example with LightGBM)")
regr2 = ub.GBDTRegressor(model_type="lightgbm",
level=95,
pi_method="localconformal")
# Fit the model
start = time()
regr2.fit(X_train, y_train)
print(f"Time taken: {time() - start} seconds")
# Predict with the model
y_pred2 = regr2.predict(X_test)
# Coverage error
coverage_error = (y_test >= y_pred2.lower) & (y_test <= y_pred2.upper)
print(f"Coverage rate: {coverage_error.mean():.4f}")
#x,
#y,
#y_u=None,
#y_l=None,
#pred=None,
plot_func(range(len(y_test))[0:30], y_test[0:30],
y_pred2.upper[0:30], y_pred2.lower[0:30],
y_pred2.mean[0:30], method_name="Local Conformal")
/usr/local/lib/python3.10/dist-packages/dask/dataframe/__init__.py:42: FutureWarning: Dask dataframe query planning is disabled because dask-expr is not installed. You can install it with `pip install dask[dataframe]` or `conda install dask`. This will raise in a future version. warnings.warn(msg, FutureWarning) ----- Running: California Housing ----- ---------- Initialize the unified regr (example with XGBoost) Time taken: 1.3590683937072754 seconds Coverage rate: 0.9486
---------- Initialize the unified regr (example with LightGBM) Time taken: 12.546200037002563 seconds Coverage rate: 0.9998
----- Running: Diabetes ----- ---------- Initialize the unified regr (example with XGBoost) Time taken: 0.09921503067016602 seconds Coverage rate: 0.9438
---------- Initialize the unified regr (example with LightGBM) Time taken: 0.20723915100097656 seconds Coverage rate: 1.0000
1 – 2 – classification
import numpy as np
import os
import unifiedbooster as ub
from sklearn.datasets import load_iris, load_breast_cancer, load_wine
from sklearn.model_selection import train_test_split
from sklearn.metrics import mean_squared_error
from time import time
load_datasets = [load_iris(), load_breast_cancer(), load_wine()]
dataset_names = ["Iris", "Breast Cancer", "Wine"]
for i, dataset in enumerate(load_datasets):
print(f"\n ----- Running: {dataset_names[i]} ----- \n")
X, y = dataset.data, dataset.target
# Split dataset into training and testing sets
X_train, X_test, y_train, y_test = train_test_split(
X, y, test_size=0.2, random_state=42
)
# Initialize the unified clf (example with XGBoost)
print("\n ---------- Initialize the unified clf (example with XGBoost)")
clf1 = ub.GBDTClassifier(model_type="xgboost",
level=95,
pi_method="tcp")
# Fit the model
start = time()
clf1.fit(X_train, y_train)
print(f"Time taken: {time() - start} seconds")
# Predict with the model
y_pred1 = clf1.predict(X_test)
print(y_test)
print(y_pred1.argmax(axis=1))
# Calculate accuracy
accuracy = (y_test == y_pred1.argmax(axis=1)).mean()
print(f"\nAccuracy: {accuracy:.4f}")
print("\n ---------- Initialize the unified clf (example with LightGBM)")
clf2 = ub.GBDTClassifier(model_type="lightgbm",
level=95,
pi_method="icp")
# Fit the model
start = time()
clf2.fit(X_train, y_train)
print(f"Time taken: {time() - start} seconds")
# Predict with the model
y_pred2 = clf2.predict(X_test)
print(y_pred2)
# Calculate accuracy
print(y_test)
print(y_pred2.argmax(axis=1))
accuracy = (y_test == y_pred2.argmax(axis=1)).mean()
print(f"\nAccuracy: {accuracy:.4f}")
----- Running: Iris ----- ---------- Initialize the unified clf (example with XGBoost) Time taken: 0.00011730194091796875 seconds [1 0 2 1 1 0 1 2 1 1 2 0 0 0 0 1 2 1 1 2 0 2 0 2 2 2 2 2 0 0] [1 0 2 1 1 0 1 2 1 1 2 0 0 0 0 1 2 1 1 2 0 2 0 2 2 2 2 2 0 0] Accuracy: 1.0000 ---------- Initialize the unified clf (example with LightGBM) Time taken: 0.02070021629333496 seconds [[False True True] [ True False False] [False False True] [False True False] [False True True] [ True False False] [False True False] [False False True] [False True False] [False True False] [False False True] [ True False False] [ True False False] [ True False False] [ True False False] [False False True] [False False True] [False True False] [False True False] [False False True] [ True False False] [False False True] [ True False False] [False False True] [False False True] [False False True] [False False True] [False False True] [ True False False] [ True False False]] [1 0 2 1 1 0 1 2 1 1 2 0 0 0 0 1 2 1 1 2 0 2 0 2 2 2 2 2 0 0] [1 0 2 1 1 0 1 2 1 1 2 0 0 0 0 2 2 1 1 2 0 2 0 2 2 2 2 2 0 0] Accuracy: 0.9667 ----- Running: Breast Cancer ----- ---------- Initialize the unified clf (example with XGBoost) Time taken: 0.00011491775512695312 seconds [1 0 0 1 1 0 0 0 1 1 1 0 1 0 1 0 1 1 1 0 0 1 0 1 1 1 1 1 1 0 1 1 1 1 1 1 0 1 0 1 1 0 1 1 1 1 1 1 1 1 0 0 1 1 1 1 1 0 0 1 1 0 0 1 1 1 0 0 1 1 0 0 1 0 1 1 1 0 1 1 0 1 0 0 0 0 0 0 1 1 1 1 1 1 1 1 0 0 1 0 0 1 0 0 1 1 1 0 1 1 0 1 1 0] [1 0 0 1 1 0 0 0 0 1 1 0 1 0 1 0 1 1 1 0 1 1 0 1 1 1 1 1 1 0 1 1 1 1 1 1 0 1 0 1 1 0 1 1 1 1 1 1 1 1 0 0 1 1 1 1 1 0 0 1 1 0 0 1 1 1 0 0 1 1 0 0 1 0 1 1 1 1 1 1 0 1 0 0 0 0 0 0 1 1 1 1 1 1 1 1 0 0 1 0 0 1 0 0 1 1 1 0 1 1 0 1 1 0] Accuracy: 0.9737 ---------- Initialize the unified clf (example with LightGBM) Time taken: 0.08723926544189453 seconds [[False True] [ True False] [ True False] [False True] [False True] [ True False] [ True False] [ True False] [ True False] [False True] [False True] [ True False] [False True] [ True False] [False True] [ True False] [False True] [False True] [False True] [ True False] [False True] [False True] [ True False] [False True] [False True] [False True] [False True] [False True] [False True] [ True False] [False True] [False True] [False True] [False True] [False True] [False True] [ True True] [False True] [ True False] [False True] [False True] [ True False] [False True] [False True] [ True True] [False True] [False True] [False True] [False True] [False True] [ True False] [ True False] [False True] [ True True] [False True] [False True] [False True] [ True False] [ True False] [False True] [False True] [ True False] [ True False] [False True] [False True] [False True] [ True False] [ True False] [False True] [False True] [ True False] [ True False] [False True] [ True False] [False True] [False True] [False True] [ True True] [False True] [False True] [ True False] [False True] [ True False] [ True False] [ True False] [ True False] [ True False] [ True False] [False True] [False True] [False True] [False True] [False True] [False True] [False True] [False True] [ True False] [ True False] [False True] [ True False] [ True False] [False True] [ True False] [ True False] [False True] [False True] [False True] [ True False] [ True True] [False True] [ True False] [False True] [False True] [ True False]] [1 0 0 1 1 0 0 0 1 1 1 0 1 0 1 0 1 1 1 0 0 1 0 1 1 1 1 1 1 0 1 1 1 1 1 1 0 1 0 1 1 0 1 1 1 1 1 1 1 1 0 0 1 1 1 1 1 0 0 1 1 0 0 1 1 1 0 0 1 1 0 0 1 0 1 1 1 0 1 1 0 1 0 0 0 0 0 0 1 1 1 1 1 1 1 1 0 0 1 0 0 1 0 0 1 1 1 0 1 1 0 1 1 0] [1 0 0 1 1 0 0 0 0 1 1 0 1 0 1 0 1 1 1 0 1 1 0 1 1 1 1 1 1 0 1 1 1 1 1 1 0 1 0 1 1 0 1 1 0 1 1 1 1 1 0 0 1 0 1 1 1 0 0 1 1 0 0 1 1 1 0 0 1 1 0 0 1 0 1 1 1 0 1 1 0 1 0 0 0 0 0 0 1 1 1 1 1 1 1 1 0 0 1 0 0 1 0 0 1 1 1 0 0 1 0 1 1 0] Accuracy: 0.9561 ----- Running: Wine ----- ---------- Initialize the unified clf (example with XGBoost) Time taken: 0.00012731552124023438 seconds [0 0 2 0 1 0 1 2 1 2 0 2 0 1 0 1 1 1 0 1 0 1 1 2 2 2 1 1 1 0 0 1 2 0 0 0] [0 0 2 0 1 0 1 2 1 2 0 0 0 1 0 1 1 1 0 1 0 1 1 2 2 2 1 1 1 0 0 1 2 0 0 0] Accuracy: 0.9722 ---------- Initialize the unified clf (example with LightGBM) Time taken: 0.02701735496520996 seconds [[ True False False] [ True False False] [False False True] [ True False False] [False True False] [ True False False] [False True False] [False False True] [False True False] [ True True True] [ True True False] [False False True] [ True False False] [ True True True] [ True False False] [False True False] [False True False] [False True False] [ True False False] [False True False] [ True False False] [False True False] [False True True] [False False True] [False False True] [False False True] [False True False] [False True False] [False True False] [ True False False] [ True False False] [False True False] [False False True] [ True False False] [ True False False] [ True False False]] [0 0 2 0 1 0 1 2 1 2 0 2 0 1 0 1 1 1 0 1 0 1 1 2 2 2 1 1 1 0 0 1 2 0 0 0] [0 0 2 0 1 0 1 2 1 0 0 2 0 0 0 1 1 1 0 1 0 1 1 2 2 2 1 1 1 0 0 1 2 0 0 0] Accuracy: 0.9444
2 – R examples
%load_ext rpy2.ipython
%%R
utils::install.packages("reticulate")
library("reticulate")
unifiedbooster <- import("unifiedbooster")
%%R print(head(iris))
Sepal.Length Sepal.Width Petal.Length Petal.Width Species 1 5.1 3.5 1.4 0.2 setosa 2 4.9 3.0 1.4 0.2 setosa 3 4.7 3.2 1.3 0.2 setosa 4 4.6 3.1 1.5 0.2 setosa 5 5.0 3.6 1.4 0.2 setosa 6 5.4 3.9 1.7 0.4 setosa
%%R X <- as.matrix(iris[,1:4]) y <- as.integer(iris$Species) - 1L n <- nrow(X) p <- ncol(X) set.seed(123) index_train <- sample(1:n, size=floor(0.8*n)) X_train <- X[index_train, ] X_test <- X[-index_train, ] y_train <- y[index_train] y_test <- y[-index_train]
%%R
res <- unifiedbooster$cross_val_optim(X_train=X_train,
y_train=y_train,
X_test=X_test,
y_test=y_test,
model_type="lightgbm",
type_fit="classification",
scoring="accuracy",
cv=5L, # numbers of folds in cross-validation
verbose=1L,
seed=123L)
print(res)
Creating initial design...
...Done.
Optimization loop...
190/190 [██████████████████████████████] - 43s 226ms/step
result(best_params={'learning_rate': 0.00897182635344977, 'max_depth': 1, 'rowsample': 0.51275634765625, 'colsample': 0.69024658203125, 'n_estimators': 942, 'model_type': 'lightgbm'}, best_score=-0.9583333333333334, test_accuracy=0.9666666666666667)
%%R (list_params <- c(res$best_params, list(level = 95L, pi_method="tcp")))
$learning_rate [1] 0.008971826 $max_depth [1] 1 $rowsample [1] 0.5127563 $colsample [1] 0.6902466 $n_estimators [1] 942 $model_type [1] "lightgbm" $level [1] 95 $pi_method [1] "tcp"
%%R
# Initialize the unified clf
clf = do.call(unifiedbooster$GBDTClassifier,
list_params)
print(clf)
# Fit the model
clf$fit(X_train, y_train)
# Predict on the test set
y_pred = clf$predict(X_test)
# Prediction set
print(y_pred)
GBDTClassifier(colsample=0.69024658203125, learning_rate=0.00897182635344977,
level=95, max_depth=1, model_type='lightgbm', n_estimators=942,
pi_method='tcp', rowsample=0.51275634765625)
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%%R print(y_test) print(apply(y_pred, 1, which.max) - 1)
[1] 0 0 0 0 0 0 0 0 0 0 1 1 1 1 1 1 1 1 1 1 1 1 1 1 1 2 2 2 2 2 [1] 0 0 0 0 0 0 0 0 0 0 1 1 1 1 1 1 1 1 1 1 1 1 2 1 1 2 2 2 2 2
%%R # Calculate accuracy (accuracy <- mean(y_test == (apply(y_pred, 1, which.max) - 1)))
[1] 0.9666667
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