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<h1>Ensemble Methods: From a Single Tree to Many Trees and Extreme Boosting, Meet the Jungle of Methods</h1>
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<li class="toc-h2 nav-item toc-entry"><a class="reference internal nav-link" href="#an-overview-of-ensemble-methods">10.1. An Overview of Ensemble Methods</a></li>
<li class="toc-h2 nav-item toc-entry"><a class="reference internal nav-link" href="#bagging">10.2. Bagging</a></li>
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<li class="toc-h3 nav-item toc-entry"><a class="reference internal nav-link" href="#making-your-own-bootstrap-changing-the-level-of-the-decision-tree">10.3.1. Making your own Bootstrap: Changing the Level of the Decision Tree</a></li>
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<li class="toc-h3 nav-item toc-entry"><a class="reference internal nav-link" href="#compare-bagging-on-trees-with-random-forests">10.4.1. Compare Bagging on Trees with Random Forests</a></li>
</ul>
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<li class="toc-h3 nav-item toc-entry"><a class="reference internal nav-link" href="#adaptive-boosting-adaboost-basic-algorithm">10.5.3. Adaptive boosting: AdaBoost, Basic Algorithm</a></li>
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<li class="toc-h2 nav-item toc-entry"><a class="reference internal nav-link" href="#gradient-boosting-basics-with-steepest-descent-functional-gradient-descent">10.6. Gradient boosting: Basics with Steepest Descent/Functional Gradient Descent</a></li>
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<section class="tex2jax_ignore mathjax_ignore" id="ensemble-methods-from-a-single-tree-to-many-trees-and-extreme-boosting-meet-the-jungle-of-methods">
<h1><span class="section-number">10. </span>Ensemble Methods: From a Single Tree to Many Trees and Extreme Boosting, Meet the Jungle of Methods<a class="headerlink" href="#ensemble-methods-from-a-single-tree-to-many-trees-and-extreme-boosting-meet-the-jungle-of-methods" title="Link to this heading">#</a></h1>
<p>As stated previously and seen in many of the examples discussed in the previous chapter about
a single decision tree, we often end up overfitting our training
data. This normally means that we have a high variance. Can we reduce
the variance of a statistical learning method?</p>
<p>This leads us to a set of different methods that can combine different
machine learning algorithms or just use one of them to construct
forests and jungles of trees, homogeneous ones or heterogenous
ones. These methods are recognized by different names which we will
try to explain here. These are</p>
<ol class="arabic simple">
<li><p>Voting classifiers</p></li>
<li><p>Bagging and Pasting</p></li>
<li><p>Random forests</p></li>
<li><p>Boosting methods, from adaptive to Extreme Gradient Boosting (XGBoost)</p></li>
</ol>
<p>We discuss these methods here.</p>
<section id="an-overview-of-ensemble-methods">
<h2><span class="section-number">10.1. </span>An Overview of Ensemble Methods<a class="headerlink" href="#an-overview-of-ensemble-methods" title="Link to this heading">#</a></h2>
<!-- FIGURE: [DataFiles/ensembleoverview.png, width=600 frac=0.8] -->
</section>
<section id="bagging">
<h2><span class="section-number">10.2. </span>Bagging<a class="headerlink" href="#bagging" title="Link to this heading">#</a></h2>
<p>The <strong>plain</strong> decision trees suffer from high
variance. This means that if we split the training data into two parts
at random, and fit a decision tree to both halves, the results that we
get could be quite different. In contrast, a procedure with low
variance will yield similar results if applied repeatedly to distinct
data sets; linear regression tends to have low variance, if the ratio
of <span class="math notranslate nohighlight">\(n\)</span> to <span class="math notranslate nohighlight">\(p\)</span> is moderately large.</p>
<p><strong>Bootstrap aggregation</strong>, or just <strong>bagging</strong>, is a
general-purpose procedure for reducing the variance of a statistical
learning method.</p>
<p>Bagging typically results in improved accuracy
over prediction using a single tree. Unfortunately, however, it can be
difficult to interpret the resulting model. Recall that one of the
advantages of decision trees is the attractive and easily interpreted
diagram that results.</p>
<p>However, when we bag a large number of trees, it is no longer
possible to represent the resulting statistical learning procedure
using a single tree, and it is no longer clear which variables are
most important to the procedure. Thus, bagging improves prediction
accuracy at the expense of interpretability. Although the collection
of bagged trees is much more difficult to interpret than a single
tree, one can obtain an overall summary of the importance of each
predictor using the MSE (for bagging regression trees) or the Gini
index (for bagging classification trees). In the case of bagging
regression trees, we can record the total amount that the MSE is
decreased due to splits over a given predictor, averaged over all <span class="math notranslate nohighlight">\(B\)</span> possible
trees. A large value indicates an important predictor. Similarly, in
the context of bagging classification trees, we can add up the total
amount that the Gini index is decreased by splits over a given
predictor, averaged over all <span class="math notranslate nohighlight">\(B\)</span> trees.</p>
<div class="cell docutils container">
<div class="cell_input docutils container">
<div class="highlight-ipython3 notranslate"><div class="highlight"><pre><span></span><span class="n">heads_proba</span> <span class="o">=</span> <span class="mf">0.51</span>
<span class="n">coin_tosses</span> <span class="o">=</span> <span class="p">(</span><span class="n">np</span><span class="o">.</span><span class="n">random</span><span class="o">.</span><span class="n">rand</span><span class="p">(</span><span class="mi">10000</span><span class="p">,</span> <span class="mi">10</span><span class="p">)</span> <span class="o">&lt;</span> <span class="n">heads_proba</span><span class="p">)</span><span class="o">.</span><span class="n">astype</span><span class="p">(</span><span class="n">np</span><span class="o">.</span><span class="n">int32</span><span class="p">)</span>
<span class="n">cumulative_heads_ratio</span> <span class="o">=</span> <span class="n">np</span><span class="o">.</span><span class="n">cumsum</span><span class="p">(</span><span class="n">coin_tosses</span><span class="p">,</span> <span class="n">axis</span><span class="o">=</span><span class="mi">0</span><span class="p">)</span> <span class="o">/</span> <span class="n">np</span><span class="o">.</span><span class="n">arange</span><span class="p">(</span><span class="mi">1</span><span class="p">,</span> <span class="mi">10001</span><span class="p">)</span><span class="o">.</span><span class="n">reshape</span><span class="p">(</span><span class="o">-</span><span class="mi">1</span><span class="p">,</span> <span class="mi">1</span><span class="p">)</span>
<span class="n">plt</span><span class="o">.</span><span class="n">figure</span><span class="p">(</span><span class="n">figsize</span><span class="o">=</span><span class="p">(</span><span class="mi">8</span><span class="p">,</span><span class="mf">3.5</span><span class="p">))</span>
<span class="n">plt</span><span class="o">.</span><span class="n">plot</span><span class="p">(</span><span class="n">cumulative_heads_ratio</span><span class="p">)</span>
<span class="n">plt</span><span class="o">.</span><span class="n">plot</span><span class="p">([</span><span class="mi">0</span><span class="p">,</span> <span class="mi">10000</span><span class="p">],</span> <span class="p">[</span><span class="mf">0.51</span><span class="p">,</span> <span class="mf">0.51</span><span class="p">],</span> <span class="s2">&quot;k--&quot;</span><span class="p">,</span> <span class="n">linewidth</span><span class="o">=</span><span class="mi">2</span><span class="p">,</span> <span class="n">label</span><span class="o">=</span><span class="s2">&quot;51%&quot;</span><span class="p">)</span>
<span class="n">plt</span><span class="o">.</span><span class="n">plot</span><span class="p">([</span><span class="mi">0</span><span class="p">,</span> <span class="mi">10000</span><span class="p">],</span> <span class="p">[</span><span class="mf">0.5</span><span class="p">,</span> <span class="mf">0.5</span><span class="p">],</span> <span class="s2">&quot;k-&quot;</span><span class="p">,</span> <span class="n">label</span><span class="o">=</span><span class="s2">&quot;50%&quot;</span><span class="p">)</span>
<span class="n">plt</span><span class="o">.</span><span class="n">xlabel</span><span class="p">(</span><span class="s2">&quot;Number of coin tosses&quot;</span><span class="p">)</span>
<span class="n">plt</span><span class="o">.</span><span class="n">ylabel</span><span class="p">(</span><span class="s2">&quot;Heads ratio&quot;</span><span class="p">)</span>
<span class="n">plt</span><span class="o">.</span><span class="n">legend</span><span class="p">(</span><span class="n">loc</span><span class="o">=</span><span class="s2">&quot;lower right&quot;</span><span class="p">)</span>
<span class="n">plt</span><span class="o">.</span><span class="n">axis</span><span class="p">([</span><span class="mi">0</span><span class="p">,</span> <span class="mi">10000</span><span class="p">,</span> <span class="mf">0.42</span><span class="p">,</span> <span class="mf">0.58</span><span class="p">])</span>
<span class="n">save_fig</span><span class="p">(</span><span class="s2">&quot;votingsimple&quot;</span><span class="p">)</span>
<span class="n">plt</span><span class="o">.</span><span class="n">show</span><span class="p">()</span>
</pre></div>
</div>
</div>
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<div class="output traceback highlight-ipythontb notranslate"><div class="highlight"><pre><span></span><span class="gt">---------------------------------------------------------------------------</span>
<span class="ne">NameError</span><span class="g g-Whitespace"> </span>Traceback (most recent call last)
<span class="n">Cell</span> <span class="n">In</span><span class="p">[</span><span class="mi">1</span><span class="p">],</span> <span class="n">line</span> <span class="mi">2</span>
<span class="g g-Whitespace"> </span><span class="mi">1</span> <span class="n">heads_proba</span> <span class="o">=</span> <span class="mf">0.51</span>
<span class="ne">----&gt; </span><span class="mi">2</span> <span class="n">coin_tosses</span> <span class="o">=</span> <span class="p">(</span><span class="n">np</span><span class="o">.</span><span class="n">random</span><span class="o">.</span><span class="n">rand</span><span class="p">(</span><span class="mi">10000</span><span class="p">,</span> <span class="mi">10</span><span class="p">)</span> <span class="o">&lt;</span> <span class="n">heads_proba</span><span class="p">)</span><span class="o">.</span><span class="n">astype</span><span class="p">(</span><span class="n">np</span><span class="o">.</span><span class="n">int32</span><span class="p">)</span>
<span class="g g-Whitespace"> </span><span class="mi">3</span> <span class="n">cumulative_heads_ratio</span> <span class="o">=</span> <span class="n">np</span><span class="o">.</span><span class="n">cumsum</span><span class="p">(</span><span class="n">coin_tosses</span><span class="p">,</span> <span class="n">axis</span><span class="o">=</span><span class="mi">0</span><span class="p">)</span> <span class="o">/</span> <span class="n">np</span><span class="o">.</span><span class="n">arange</span><span class="p">(</span><span class="mi">1</span><span class="p">,</span> <span class="mi">10001</span><span class="p">)</span><span class="o">.</span><span class="n">reshape</span><span class="p">(</span><span class="o">-</span><span class="mi">1</span><span class="p">,</span> <span class="mi">1</span><span class="p">)</span>
<span class="g g-Whitespace"> </span><span class="mi">4</span> <span class="n">plt</span><span class="o">.</span><span class="n">figure</span><span class="p">(</span><span class="n">figsize</span><span class="o">=</span><span class="p">(</span><span class="mi">8</span><span class="p">,</span><span class="mf">3.5</span><span class="p">))</span>
<span class="ne">NameError</span>: name &#39;np&#39; is not defined
</pre></div>
</div>
</div>
</div>
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<div class="cell_input docutils container">
<div class="highlight-ipython3 notranslate"><div class="highlight"><pre><span></span><span class="kn">from</span> <span class="nn">sklearn.model_selection</span> <span class="kn">import</span> <span class="n">train_test_split</span>
<span class="kn">from</span> <span class="nn">sklearn.datasets</span> <span class="kn">import</span> <span class="n">make_moons</span>
<span class="n">X</span><span class="p">,</span> <span class="n">y</span> <span class="o">=</span> <span class="n">make_moons</span><span class="p">(</span><span class="n">n_samples</span><span class="o">=</span><span class="mi">500</span><span class="p">,</span> <span class="n">noise</span><span class="o">=</span><span class="mf">0.30</span><span class="p">,</span> <span class="n">random_state</span><span class="o">=</span><span class="mi">42</span><span class="p">)</span>
<span class="n">X_train</span><span class="p">,</span> <span class="n">X_test</span><span class="p">,</span> <span class="n">y_train</span><span class="p">,</span> <span class="n">y_test</span> <span class="o">=</span> <span class="n">train_test_split</span><span class="p">(</span><span class="n">X</span><span class="p">,</span> <span class="n">y</span><span class="p">,</span> <span class="n">random_state</span><span class="o">=</span><span class="mi">42</span><span class="p">)</span>
<span class="kn">from</span> <span class="nn">sklearn.ensemble</span> <span class="kn">import</span> <span class="n">RandomForestClassifier</span>
<span class="kn">from</span> <span class="nn">sklearn.ensemble</span> <span class="kn">import</span> <span class="n">VotingClassifier</span>
<span class="kn">from</span> <span class="nn">sklearn.linear_model</span> <span class="kn">import</span> <span class="n">LogisticRegression</span>
<span class="kn">from</span> <span class="nn">sklearn.svm</span> <span class="kn">import</span> <span class="n">SVC</span>
<span class="n">log_clf</span> <span class="o">=</span> <span class="n">LogisticRegression</span><span class="p">(</span><span class="n">solver</span><span class="o">=</span><span class="s2">&quot;liblinear&quot;</span><span class="p">,</span> <span class="n">random_state</span><span class="o">=</span><span class="mi">42</span><span class="p">)</span>
<span class="n">rnd_clf</span> <span class="o">=</span> <span class="n">RandomForestClassifier</span><span class="p">(</span><span class="n">n_estimators</span><span class="o">=</span><span class="mi">10</span><span class="p">,</span> <span class="n">random_state</span><span class="o">=</span><span class="mi">42</span><span class="p">)</span>
<span class="n">svm_clf</span> <span class="o">=</span> <span class="n">SVC</span><span class="p">(</span><span class="n">gamma</span><span class="o">=</span><span class="s2">&quot;auto&quot;</span><span class="p">,</span> <span class="n">random_state</span><span class="o">=</span><span class="mi">42</span><span class="p">)</span>
<span class="n">voting_clf</span> <span class="o">=</span> <span class="n">VotingClassifier</span><span class="p">(</span>
<span class="n">estimators</span><span class="o">=</span><span class="p">[(</span><span class="s1">&#39;lr&#39;</span><span class="p">,</span> <span class="n">log_clf</span><span class="p">),</span> <span class="p">(</span><span class="s1">&#39;rf&#39;</span><span class="p">,</span> <span class="n">rnd_clf</span><span class="p">),</span> <span class="p">(</span><span class="s1">&#39;svc&#39;</span><span class="p">,</span> <span class="n">svm_clf</span><span class="p">)],</span>
<span class="n">voting</span><span class="o">=</span><span class="s1">&#39;hard&#39;</span><span class="p">)</span>
<span class="n">voting_clf</span><span class="o">.</span><span class="n">fit</span><span class="p">(</span><span class="n">X_train</span><span class="p">,</span> <span class="n">y_train</span><span class="p">)</span>
<span class="kn">from</span> <span class="nn">sklearn.metrics</span> <span class="kn">import</span> <span class="n">accuracy_score</span>
<span class="k">for</span> <span class="n">clf</span> <span class="ow">in</span> <span class="p">(</span><span class="n">log_clf</span><span class="p">,</span> <span class="n">rnd_clf</span><span class="p">,</span> <span class="n">svm_clf</span><span class="p">,</span> <span class="n">voting_clf</span><span class="p">):</span>
<span class="n">clf</span><span class="o">.</span><span class="n">fit</span><span class="p">(</span><span class="n">X_train</span><span class="p">,</span> <span class="n">y_train</span><span class="p">)</span>
<span class="n">y_pred</span> <span class="o">=</span> <span class="n">clf</span><span class="o">.</span><span class="n">predict</span><span class="p">(</span><span class="n">X_test</span><span class="p">)</span>
<span class="nb">print</span><span class="p">(</span><span class="n">clf</span><span class="o">.</span><span class="vm">__class__</span><span class="o">.</span><span class="vm">__name__</span><span class="p">,</span> <span class="n">accuracy_score</span><span class="p">(</span><span class="n">y_test</span><span class="p">,</span> <span class="n">y_pred</span><span class="p">))</span>
<span class="n">log_clf</span> <span class="o">=</span> <span class="n">LogisticRegression</span><span class="p">(</span><span class="n">solver</span><span class="o">=</span><span class="s2">&quot;liblinear&quot;</span><span class="p">,</span> <span class="n">random_state</span><span class="o">=</span><span class="mi">42</span><span class="p">)</span>
<span class="n">rnd_clf</span> <span class="o">=</span> <span class="n">RandomForestClassifier</span><span class="p">(</span><span class="n">n_estimators</span><span class="o">=</span><span class="mi">10</span><span class="p">,</span> <span class="n">random_state</span><span class="o">=</span><span class="mi">42</span><span class="p">)</span>
<span class="n">svm_clf</span> <span class="o">=</span> <span class="n">SVC</span><span class="p">(</span><span class="n">gamma</span><span class="o">=</span><span class="s2">&quot;auto&quot;</span><span class="p">,</span> <span class="n">probability</span><span class="o">=</span><span class="kc">True</span><span class="p">,</span> <span class="n">random_state</span><span class="o">=</span><span class="mi">42</span><span class="p">)</span>
<span class="n">voting_clf</span> <span class="o">=</span> <span class="n">VotingClassifier</span><span class="p">(</span>
<span class="n">estimators</span><span class="o">=</span><span class="p">[(</span><span class="s1">&#39;lr&#39;</span><span class="p">,</span> <span class="n">log_clf</span><span class="p">),</span> <span class="p">(</span><span class="s1">&#39;rf&#39;</span><span class="p">,</span> <span class="n">rnd_clf</span><span class="p">),</span> <span class="p">(</span><span class="s1">&#39;svc&#39;</span><span class="p">,</span> <span class="n">svm_clf</span><span class="p">)],</span>
<span class="n">voting</span><span class="o">=</span><span class="s1">&#39;soft&#39;</span><span class="p">)</span>
<span class="n">voting_clf</span><span class="o">.</span><span class="n">fit</span><span class="p">(</span><span class="n">X_train</span><span class="p">,</span> <span class="n">y_train</span><span class="p">)</span>
<span class="kn">from</span> <span class="nn">sklearn.metrics</span> <span class="kn">import</span> <span class="n">accuracy_score</span>
<span class="k">for</span> <span class="n">clf</span> <span class="ow">in</span> <span class="p">(</span><span class="n">log_clf</span><span class="p">,</span> <span class="n">rnd_clf</span><span class="p">,</span> <span class="n">svm_clf</span><span class="p">,</span> <span class="n">voting_clf</span><span class="p">):</span>
<span class="n">clf</span><span class="o">.</span><span class="n">fit</span><span class="p">(</span><span class="n">X_train</span><span class="p">,</span> <span class="n">y_train</span><span class="p">)</span>
<span class="n">y_pred</span> <span class="o">=</span> <span class="n">clf</span><span class="o">.</span><span class="n">predict</span><span class="p">(</span><span class="n">X_test</span><span class="p">)</span>
<span class="nb">print</span><span class="p">(</span><span class="n">clf</span><span class="o">.</span><span class="vm">__class__</span><span class="o">.</span><span class="vm">__name__</span><span class="p">,</span> <span class="n">accuracy_score</span><span class="p">(</span><span class="n">y_test</span><span class="p">,</span> <span class="n">y_pred</span><span class="p">))</span>
</pre></div>
</div>
</div>
</div>
<div class="cell docutils container">
<div class="cell_input docutils container">
<div class="highlight-ipython3 notranslate"><div class="highlight"><pre><span></span><span class="kn">from</span> <span class="nn">sklearn.model_selection</span> <span class="kn">import</span> <span class="n">train_test_split</span>
<span class="kn">from</span> <span class="nn">sklearn.datasets</span> <span class="kn">import</span> <span class="n">make_moons</span>
<span class="n">X</span><span class="p">,</span> <span class="n">y</span> <span class="o">=</span> <span class="n">make_moons</span><span class="p">(</span><span class="n">n_samples</span><span class="o">=</span><span class="mi">500</span><span class="p">,</span> <span class="n">noise</span><span class="o">=</span><span class="mf">0.30</span><span class="p">,</span> <span class="n">random_state</span><span class="o">=</span><span class="mi">42</span><span class="p">)</span>
<span class="n">X_train</span><span class="p">,</span> <span class="n">X_test</span><span class="p">,</span> <span class="n">y_train</span><span class="p">,</span> <span class="n">y_test</span> <span class="o">=</span> <span class="n">train_test_split</span><span class="p">(</span><span class="n">X</span><span class="p">,</span> <span class="n">y</span><span class="p">,</span> <span class="n">random_state</span><span class="o">=</span><span class="mi">42</span><span class="p">)</span>
<span class="kn">from</span> <span class="nn">sklearn.ensemble</span> <span class="kn">import</span> <span class="n">RandomForestClassifier</span>
<span class="kn">from</span> <span class="nn">sklearn.ensemble</span> <span class="kn">import</span> <span class="n">VotingClassifier</span>
<span class="kn">from</span> <span class="nn">sklearn.linear_model</span> <span class="kn">import</span> <span class="n">LogisticRegression</span>
<span class="kn">from</span> <span class="nn">sklearn.svm</span> <span class="kn">import</span> <span class="n">SVC</span>
<span class="n">log_clf</span> <span class="o">=</span> <span class="n">LogisticRegression</span><span class="p">(</span><span class="n">random_state</span><span class="o">=</span><span class="mi">42</span><span class="p">)</span>
<span class="n">rnd_clf</span> <span class="o">=</span> <span class="n">RandomForestClassifier</span><span class="p">(</span><span class="n">random_state</span><span class="o">=</span><span class="mi">42</span><span class="p">)</span>
<span class="n">svm_clf</span> <span class="o">=</span> <span class="n">SVC</span><span class="p">(</span><span class="n">random_state</span><span class="o">=</span><span class="mi">42</span><span class="p">)</span>
<span class="n">voting_clf</span> <span class="o">=</span> <span class="n">VotingClassifier</span><span class="p">(</span>
<span class="n">estimators</span><span class="o">=</span><span class="p">[(</span><span class="s1">&#39;lr&#39;</span><span class="p">,</span> <span class="n">log_clf</span><span class="p">),</span> <span class="p">(</span><span class="s1">&#39;rf&#39;</span><span class="p">,</span> <span class="n">rnd_clf</span><span class="p">),</span> <span class="p">(</span><span class="s1">&#39;svc&#39;</span><span class="p">,</span> <span class="n">svm_clf</span><span class="p">)],</span>
<span class="n">voting</span><span class="o">=</span><span class="s1">&#39;hard&#39;</span><span class="p">)</span>
<span class="n">voting_clf</span><span class="o">.</span><span class="n">fit</span><span class="p">(</span><span class="n">X_train</span><span class="p">,</span> <span class="n">y_train</span><span class="p">)</span>
</pre></div>
</div>
</div>
</div>
<div class="cell docutils container">
<div class="cell_input docutils container">
<div class="highlight-ipython3 notranslate"><div class="highlight"><pre><span></span><span class="kn">from</span> <span class="nn">sklearn.metrics</span> <span class="kn">import</span> <span class="n">accuracy_score</span>
<span class="k">for</span> <span class="n">clf</span> <span class="ow">in</span> <span class="p">(</span><span class="n">log_clf</span><span class="p">,</span> <span class="n">rnd_clf</span><span class="p">,</span> <span class="n">svm_clf</span><span class="p">,</span> <span class="n">voting_clf</span><span class="p">):</span>
<span class="n">clf</span><span class="o">.</span><span class="n">fit</span><span class="p">(</span><span class="n">X_train</span><span class="p">,</span> <span class="n">y_train</span><span class="p">)</span>
<span class="n">y_pred</span> <span class="o">=</span> <span class="n">clf</span><span class="o">.</span><span class="n">predict</span><span class="p">(</span><span class="n">X_test</span><span class="p">)</span>
<span class="nb">print</span><span class="p">(</span><span class="n">clf</span><span class="o">.</span><span class="vm">__class__</span><span class="o">.</span><span class="vm">__name__</span><span class="p">,</span> <span class="n">accuracy_score</span><span class="p">(</span><span class="n">y_test</span><span class="p">,</span> <span class="n">y_pred</span><span class="p">))</span>
</pre></div>
</div>
</div>
</div>
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<div class="highlight-ipython3 notranslate"><div class="highlight"><pre><span></span><span class="n">log_clf</span> <span class="o">=</span> <span class="n">LogisticRegression</span><span class="p">(</span><span class="n">random_state</span><span class="o">=</span><span class="mi">42</span><span class="p">)</span>
<span class="n">rnd_clf</span> <span class="o">=</span> <span class="n">RandomForestClassifier</span><span class="p">(</span><span class="n">random_state</span><span class="o">=</span><span class="mi">42</span><span class="p">)</span>
<span class="n">svm_clf</span> <span class="o">=</span> <span class="n">SVC</span><span class="p">(</span><span class="n">probability</span><span class="o">=</span><span class="kc">True</span><span class="p">,</span> <span class="n">random_state</span><span class="o">=</span><span class="mi">42</span><span class="p">)</span>
<span class="n">voting_clf</span> <span class="o">=</span> <span class="n">VotingClassifier</span><span class="p">(</span>
<span class="n">estimators</span><span class="o">=</span><span class="p">[(</span><span class="s1">&#39;lr&#39;</span><span class="p">,</span> <span class="n">log_clf</span><span class="p">),</span> <span class="p">(</span><span class="s1">&#39;rf&#39;</span><span class="p">,</span> <span class="n">rnd_clf</span><span class="p">),</span> <span class="p">(</span><span class="s1">&#39;svc&#39;</span><span class="p">,</span> <span class="n">svm_clf</span><span class="p">)],</span>
<span class="n">voting</span><span class="o">=</span><span class="s1">&#39;soft&#39;</span><span class="p">)</span>
<span class="n">voting_clf</span><span class="o">.</span><span class="n">fit</span><span class="p">(</span><span class="n">X_train</span><span class="p">,</span> <span class="n">y_train</span><span class="p">)</span>
</pre></div>
</div>
</div>
</div>
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<div class="highlight-ipython3 notranslate"><div class="highlight"><pre><span></span><span class="kn">from</span> <span class="nn">sklearn.metrics</span> <span class="kn">import</span> <span class="n">accuracy_score</span>
<span class="k">for</span> <span class="n">clf</span> <span class="ow">in</span> <span class="p">(</span><span class="n">log_clf</span><span class="p">,</span> <span class="n">rnd_clf</span><span class="p">,</span> <span class="n">svm_clf</span><span class="p">,</span> <span class="n">voting_clf</span><span class="p">):</span>
<span class="n">clf</span><span class="o">.</span><span class="n">fit</span><span class="p">(</span><span class="n">X_train</span><span class="p">,</span> <span class="n">y_train</span><span class="p">)</span>
<span class="n">y_pred</span> <span class="o">=</span> <span class="n">clf</span><span class="o">.</span><span class="n">predict</span><span class="p">(</span><span class="n">X_test</span><span class="p">)</span>
<span class="nb">print</span><span class="p">(</span><span class="n">clf</span><span class="o">.</span><span class="vm">__class__</span><span class="o">.</span><span class="vm">__name__</span><span class="p">,</span> <span class="n">accuracy_score</span><span class="p">(</span><span class="n">y_test</span><span class="p">,</span> <span class="n">y_pred</span><span class="p">))</span>
</pre></div>
</div>
</div>
</div>
</section>
<section id="bagging-examples">
<h2><span class="section-number">10.3. </span>Bagging Examples<a class="headerlink" href="#bagging-examples" title="Link to this heading">#</a></h2>
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<div class="highlight-ipython3 notranslate"><div class="highlight"><pre><span></span><span class="kn">from</span> <span class="nn">sklearn.ensemble</span> <span class="kn">import</span> <span class="n">BaggingClassifier</span>
<span class="kn">from</span> <span class="nn">sklearn.tree</span> <span class="kn">import</span> <span class="n">DecisionTreeClassifier</span>
<span class="n">bag_clf</span> <span class="o">=</span> <span class="n">BaggingClassifier</span><span class="p">(</span>
<span class="n">DecisionTreeClassifier</span><span class="p">(</span><span class="n">random_state</span><span class="o">=</span><span class="mi">42</span><span class="p">),</span> <span class="n">n_estimators</span><span class="o">=</span><span class="mi">500</span><span class="p">,</span>
<span class="n">max_samples</span><span class="o">=</span><span class="mi">100</span><span class="p">,</span> <span class="n">bootstrap</span><span class="o">=</span><span class="kc">True</span><span class="p">,</span> <span class="n">n_jobs</span><span class="o">=-</span><span class="mi">1</span><span class="p">,</span> <span class="n">random_state</span><span class="o">=</span><span class="mi">42</span><span class="p">)</span>
<span class="n">bag_clf</span><span class="o">.</span><span class="n">fit</span><span class="p">(</span><span class="n">X_train</span><span class="p">,</span> <span class="n">y_train</span><span class="p">)</span>
<span class="n">y_pred</span> <span class="o">=</span> <span class="n">bag_clf</span><span class="o">.</span><span class="n">predict</span><span class="p">(</span><span class="n">X_test</span><span class="p">)</span>
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<div class="highlight-ipython3 notranslate"><div class="highlight"><pre><span></span><span class="kn">from</span> <span class="nn">sklearn.metrics</span> <span class="kn">import</span> <span class="n">accuracy_score</span>
<span class="nb">print</span><span class="p">(</span><span class="n">accuracy_score</span><span class="p">(</span><span class="n">y_test</span><span class="p">,</span> <span class="n">y_pred</span><span class="p">))</span>
</pre></div>
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</div>
</div>
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<div class="highlight-ipython3 notranslate"><div class="highlight"><pre><span></span><span class="n">tree_clf</span> <span class="o">=</span> <span class="n">DecisionTreeClassifier</span><span class="p">(</span><span class="n">random_state</span><span class="o">=</span><span class="mi">42</span><span class="p">)</span>
<span class="n">tree_clf</span><span class="o">.</span><span class="n">fit</span><span class="p">(</span><span class="n">X_train</span><span class="p">,</span> <span class="n">y_train</span><span class="p">)</span>
<span class="n">y_pred_tree</span> <span class="o">=</span> <span class="n">tree_clf</span><span class="o">.</span><span class="n">predict</span><span class="p">(</span><span class="n">X_test</span><span class="p">)</span>
<span class="nb">print</span><span class="p">(</span><span class="n">accuracy_score</span><span class="p">(</span><span class="n">y_test</span><span class="p">,</span> <span class="n">y_pred_tree</span><span class="p">))</span>
</pre></div>
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</div>
</div>
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<div class="highlight-ipython3 notranslate"><div class="highlight"><pre><span></span><span class="o">%</span><span class="k">matplotlib</span> inline
<span class="kn">from</span> <span class="nn">matplotlib.colors</span> <span class="kn">import</span> <span class="n">ListedColormap</span>
<span class="k">def</span> <span class="nf">plot_decision_boundary</span><span class="p">(</span><span class="n">clf</span><span class="p">,</span> <span class="n">X</span><span class="p">,</span> <span class="n">y</span><span class="p">,</span> <span class="n">axes</span><span class="o">=</span><span class="p">[</span><span class="o">-</span><span class="mf">1.5</span><span class="p">,</span> <span class="mf">2.5</span><span class="p">,</span> <span class="o">-</span><span class="mi">1</span><span class="p">,</span> <span class="mf">1.5</span><span class="p">],</span> <span class="n">alpha</span><span class="o">=</span><span class="mf">0.5</span><span class="p">,</span> <span class="n">contour</span><span class="o">=</span><span class="kc">True</span><span class="p">):</span>
<span class="n">x1s</span> <span class="o">=</span> <span class="n">np</span><span class="o">.</span><span class="n">linspace</span><span class="p">(</span><span class="n">axes</span><span class="p">[</span><span class="mi">0</span><span class="p">],</span> <span class="n">axes</span><span class="p">[</span><span class="mi">1</span><span class="p">],</span> <span class="mi">100</span><span class="p">)</span>
<span class="n">x2s</span> <span class="o">=</span> <span class="n">np</span><span class="o">.</span><span class="n">linspace</span><span class="p">(</span><span class="n">axes</span><span class="p">[</span><span class="mi">2</span><span class="p">],</span> <span class="n">axes</span><span class="p">[</span><span class="mi">3</span><span class="p">],</span> <span class="mi">100</span><span class="p">)</span>
<span class="n">x1</span><span class="p">,</span> <span class="n">x2</span> <span class="o">=</span> <span class="n">np</span><span class="o">.</span><span class="n">meshgrid</span><span class="p">(</span><span class="n">x1s</span><span class="p">,</span> <span class="n">x2s</span><span class="p">)</span>
<span class="n">X_new</span> <span class="o">=</span> <span class="n">np</span><span class="o">.</span><span class="n">c_</span><span class="p">[</span><span class="n">x1</span><span class="o">.</span><span class="n">ravel</span><span class="p">(),</span> <span class="n">x2</span><span class="o">.</span><span class="n">ravel</span><span class="p">()]</span>
<span class="n">y_pred</span> <span class="o">=</span> <span class="n">clf</span><span class="o">.</span><span class="n">predict</span><span class="p">(</span><span class="n">X_new</span><span class="p">)</span><span class="o">.</span><span class="n">reshape</span><span class="p">(</span><span class="n">x1</span><span class="o">.</span><span class="n">shape</span><span class="p">)</span>
<span class="n">custom_cmap</span> <span class="o">=</span> <span class="n">ListedColormap</span><span class="p">([</span><span class="s1">&#39;#fafab0&#39;</span><span class="p">,</span><span class="s1">&#39;#9898ff&#39;</span><span class="p">,</span><span class="s1">&#39;#a0faa0&#39;</span><span class="p">])</span>
<span class="n">plt</span><span class="o">.</span><span class="n">contourf</span><span class="p">(</span><span class="n">x1</span><span class="p">,</span> <span class="n">x2</span><span class="p">,</span> <span class="n">y_pred</span><span class="p">,</span> <span class="n">alpha</span><span class="o">=</span><span class="mf">0.3</span><span class="p">,</span> <span class="n">cmap</span><span class="o">=</span><span class="n">custom_cmap</span><span class="p">)</span>
<span class="k">if</span> <span class="n">contour</span><span class="p">:</span>
<span class="n">custom_cmap2</span> <span class="o">=</span> <span class="n">ListedColormap</span><span class="p">([</span><span class="s1">&#39;#7d7d58&#39;</span><span class="p">,</span><span class="s1">&#39;#4c4c7f&#39;</span><span class="p">,</span><span class="s1">&#39;#507d50&#39;</span><span class="p">])</span>
<span class="n">plt</span><span class="o">.</span><span class="n">contour</span><span class="p">(</span><span class="n">x1</span><span class="p">,</span> <span class="n">x2</span><span class="p">,</span> <span class="n">y_pred</span><span class="p">,</span> <span class="n">cmap</span><span class="o">=</span><span class="n">custom_cmap2</span><span class="p">,</span> <span class="n">alpha</span><span class="o">=</span><span class="mf">0.8</span><span class="p">)</span>
<span class="n">plt</span><span class="o">.</span><span class="n">plot</span><span class="p">(</span><span class="n">X</span><span class="p">[:,</span> <span class="mi">0</span><span class="p">][</span><span class="n">y</span><span class="o">==</span><span class="mi">0</span><span class="p">],</span> <span class="n">X</span><span class="p">[:,</span> <span class="mi">1</span><span class="p">][</span><span class="n">y</span><span class="o">==</span><span class="mi">0</span><span class="p">],</span> <span class="s2">&quot;yo&quot;</span><span class="p">,</span> <span class="n">alpha</span><span class="o">=</span><span class="n">alpha</span><span class="p">)</span>
<span class="n">plt</span><span class="o">.</span><span class="n">plot</span><span class="p">(</span><span class="n">X</span><span class="p">[:,</span> <span class="mi">0</span><span class="p">][</span><span class="n">y</span><span class="o">==</span><span class="mi">1</span><span class="p">],</span> <span class="n">X</span><span class="p">[:,</span> <span class="mi">1</span><span class="p">][</span><span class="n">y</span><span class="o">==</span><span class="mi">1</span><span class="p">],</span> <span class="s2">&quot;bs&quot;</span><span class="p">,</span> <span class="n">alpha</span><span class="o">=</span><span class="n">alpha</span><span class="p">)</span>
<span class="n">plt</span><span class="o">.</span><span class="n">axis</span><span class="p">(</span><span class="n">axes</span><span class="p">)</span>
<span class="n">plt</span><span class="o">.</span><span class="n">xlabel</span><span class="p">(</span><span class="sa">r</span><span class="s2">&quot;$x_1$&quot;</span><span class="p">,</span> <span class="n">fontsize</span><span class="o">=</span><span class="mi">18</span><span class="p">)</span>
<span class="n">plt</span><span class="o">.</span><span class="n">ylabel</span><span class="p">(</span><span class="sa">r</span><span class="s2">&quot;$x_2$&quot;</span><span class="p">,</span> <span class="n">fontsize</span><span class="o">=</span><span class="mi">18</span><span class="p">,</span> <span class="n">rotation</span><span class="o">=</span><span class="mi">0</span><span class="p">)</span>
<span class="n">plt</span><span class="o">.</span><span class="n">figure</span><span class="p">(</span><span class="n">figsize</span><span class="o">=</span><span class="p">(</span><span class="mi">11</span><span class="p">,</span><span class="mi">4</span><span class="p">))</span>
<span class="n">plt</span><span class="o">.</span><span class="n">subplot</span><span class="p">(</span><span class="mi">121</span><span class="p">)</span>
<span class="n">plot_decision_boundary</span><span class="p">(</span><span class="n">tree_clf</span><span class="p">,</span> <span class="n">X</span><span class="p">,</span> <span class="n">y</span><span class="p">)</span>
<span class="n">plt</span><span class="o">.</span><span class="n">title</span><span class="p">(</span><span class="s2">&quot;Decision Tree&quot;</span><span class="p">,</span> <span class="n">fontsize</span><span class="o">=</span><span class="mi">14</span><span class="p">)</span>
<span class="n">plt</span><span class="o">.</span><span class="n">subplot</span><span class="p">(</span><span class="mi">122</span><span class="p">)</span>
<span class="n">plot_decision_boundary</span><span class="p">(</span><span class="n">bag_clf</span><span class="p">,</span> <span class="n">X</span><span class="p">,</span> <span class="n">y</span><span class="p">)</span>
<span class="n">plt</span><span class="o">.</span><span class="n">title</span><span class="p">(</span><span class="s2">&quot;Decision Trees with Bagging&quot;</span><span class="p">,</span> <span class="n">fontsize</span><span class="o">=</span><span class="mi">14</span><span class="p">)</span>
<span class="n">save_fig</span><span class="p">(</span><span class="s2">&quot;baggingtree&quot;</span><span class="p">)</span>
<span class="n">plt</span><span class="o">.</span><span class="n">show</span><span class="p">()</span>
</pre></div>
</div>
</div>
</div>
<section id="making-your-own-bootstrap-changing-the-level-of-the-decision-tree">
<h3><span class="section-number">10.3.1. </span>Making your own Bootstrap: Changing the Level of the Decision Tree<a class="headerlink" href="#making-your-own-bootstrap-changing-the-level-of-the-decision-tree" title="Link to this heading">#</a></h3>
<p>Let us bring up our good old boostrap example from the linear regression lectures. We change the linerar regression algorithm with
a decision tree wth different depths and perform a bootstrap aggregate (in this case we perform as many bootstraps as data points <span class="math notranslate nohighlight">\(n\)</span>).</p>
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<div class="cell_input docutils container">
<div class="highlight-ipython3 notranslate"><div class="highlight"><pre><span></span><span class="kn">import</span> <span class="nn">matplotlib.pyplot</span> <span class="k">as</span> <span class="nn">plt</span>
<span class="kn">import</span> <span class="nn">numpy</span> <span class="k">as</span> <span class="nn">np</span>
<span class="kn">from</span> <span class="nn">sklearn.model_selection</span> <span class="kn">import</span> <span class="n">train_test_split</span>
<span class="kn">from</span> <span class="nn">sklearn.pipeline</span> <span class="kn">import</span> <span class="n">make_pipeline</span>
<span class="kn">from</span> <span class="nn">sklearn.utils</span> <span class="kn">import</span> <span class="n">resample</span>
<span class="kn">from</span> <span class="nn">sklearn.tree</span> <span class="kn">import</span> <span class="n">DecisionTreeRegressor</span>
<span class="n">n</span> <span class="o">=</span> <span class="mi">100</span>
<span class="n">n_boostraps</span> <span class="o">=</span> <span class="mi">100</span>
<span class="n">maxdepth</span> <span class="o">=</span> <span class="mi">8</span>
<span class="c1"># Make data set.</span>
<span class="n">x</span> <span class="o">=</span> <span class="n">np</span><span class="o">.</span><span class="n">linspace</span><span class="p">(</span><span class="o">-</span><span class="mi">3</span><span class="p">,</span> <span class="mi">3</span><span class="p">,</span> <span class="n">n</span><span class="p">)</span><span class="o">.</span><span class="n">reshape</span><span class="p">(</span><span class="o">-</span><span class="mi">1</span><span class="p">,</span> <span class="mi">1</span><span class="p">)</span>
<span class="n">y</span> <span class="o">=</span> <span class="n">np</span><span class="o">.</span><span class="n">exp</span><span class="p">(</span><span class="o">-</span><span class="n">x</span><span class="o">**</span><span class="mi">2</span><span class="p">)</span> <span class="o">+</span> <span class="mf">1.5</span> <span class="o">*</span> <span class="n">np</span><span class="o">.</span><span class="n">exp</span><span class="p">(</span><span class="o">-</span><span class="p">(</span><span class="n">x</span><span class="o">-</span><span class="mi">2</span><span class="p">)</span><span class="o">**</span><span class="mi">2</span><span class="p">)</span><span class="o">+</span> <span class="n">np</span><span class="o">.</span><span class="n">random</span><span class="o">.</span><span class="n">normal</span><span class="p">(</span><span class="mi">0</span><span class="p">,</span> <span class="mf">0.1</span><span class="p">,</span> <span class="n">x</span><span class="o">.</span><span class="n">shape</span><span class="p">)</span>
<span class="n">error</span> <span class="o">=</span> <span class="n">np</span><span class="o">.</span><span class="n">zeros</span><span class="p">(</span><span class="n">maxdepth</span><span class="p">)</span>
<span class="n">bias</span> <span class="o">=</span> <span class="n">np</span><span class="o">.</span><span class="n">zeros</span><span class="p">(</span><span class="n">maxdepth</span><span class="p">)</span>
<span class="n">variance</span> <span class="o">=</span> <span class="n">np</span><span class="o">.</span><span class="n">zeros</span><span class="p">(</span><span class="n">maxdepth</span><span class="p">)</span>
<span class="n">polydegree</span> <span class="o">=</span> <span class="n">np</span><span class="o">.</span><span class="n">zeros</span><span class="p">(</span><span class="n">maxdepth</span><span class="p">)</span>
<span class="n">X_train</span><span class="p">,</span> <span class="n">X_test</span><span class="p">,</span> <span class="n">y_train</span><span class="p">,</span> <span class="n">y_test</span> <span class="o">=</span> <span class="n">train_test_split</span><span class="p">(</span><span class="n">x</span><span class="p">,</span> <span class="n">y</span><span class="p">,</span> <span class="n">test_size</span><span class="o">=</span><span class="mf">0.2</span><span class="p">)</span>
<span class="kn">from</span> <span class="nn">sklearn.preprocessing</span> <span class="kn">import</span> <span class="n">StandardScaler</span>
<span class="n">scaler</span> <span class="o">=</span> <span class="n">StandardScaler</span><span class="p">()</span>
<span class="n">scaler</span><span class="o">.</span><span class="n">fit</span><span class="p">(</span><span class="n">X_train</span><span class="p">)</span>
<span class="n">X_train_scaled</span> <span class="o">=</span> <span class="n">scaler</span><span class="o">.</span><span class="n">transform</span><span class="p">(</span><span class="n">X_train</span><span class="p">)</span>
<span class="n">X_test_scaled</span> <span class="o">=</span> <span class="n">scaler</span><span class="o">.</span><span class="n">transform</span><span class="p">(</span><span class="n">X_test</span><span class="p">)</span>
<span class="c1"># we produce a simple tree first as benchmark</span>
<span class="n">simpletree</span> <span class="o">=</span> <span class="n">DecisionTreeRegressor</span><span class="p">(</span><span class="n">max_depth</span><span class="o">=</span><span class="mi">3</span><span class="p">)</span>
<span class="n">simpletree</span><span class="o">.</span><span class="n">fit</span><span class="p">(</span><span class="n">X_train_scaled</span><span class="p">,</span> <span class="n">y_train</span><span class="p">)</span>
<span class="n">simpleprediction</span> <span class="o">=</span> <span class="n">simpletree</span><span class="o">.</span><span class="n">predict</span><span class="p">(</span><span class="n">X_test_scaled</span><span class="p">)</span>
<span class="k">for</span> <span class="n">degree</span> <span class="ow">in</span> <span class="nb">range</span><span class="p">(</span><span class="mi">1</span><span class="p">,</span><span class="n">maxdepth</span><span class="p">):</span>
<span class="n">model</span> <span class="o">=</span> <span class="n">DecisionTreeRegressor</span><span class="p">(</span><span class="n">max_depth</span><span class="o">=</span><span class="n">degree</span><span class="p">)</span>
<span class="n">y_pred</span> <span class="o">=</span> <span class="n">np</span><span class="o">.</span><span class="n">empty</span><span class="p">((</span><span class="n">y_test</span><span class="o">.</span><span class="n">shape</span><span class="p">[</span><span class="mi">0</span><span class="p">],</span> <span class="n">n_boostraps</span><span class="p">))</span>
<span class="k">for</span> <span class="n">i</span> <span class="ow">in</span> <span class="nb">range</span><span class="p">(</span><span class="n">n_boostraps</span><span class="p">):</span>
<span class="n">x_</span><span class="p">,</span> <span class="n">y_</span> <span class="o">=</span> <span class="n">resample</span><span class="p">(</span><span class="n">X_train_scaled</span><span class="p">,</span> <span class="n">y_train</span><span class="p">)</span>
<span class="n">model</span><span class="o">.</span><span class="n">fit</span><span class="p">(</span><span class="n">x_</span><span class="p">,</span> <span class="n">y_</span><span class="p">)</span>
<span class="n">y_pred</span><span class="p">[:,</span> <span class="n">i</span><span class="p">]</span> <span class="o">=</span> <span class="n">model</span><span class="o">.</span><span class="n">predict</span><span class="p">(</span><span class="n">X_test_scaled</span><span class="p">)</span><span class="c1">#.ravel()</span>
<span class="n">polydegree</span><span class="p">[</span><span class="n">degree</span><span class="p">]</span> <span class="o">=</span> <span class="n">degree</span>
<span class="n">error</span><span class="p">[</span><span class="n">degree</span><span class="p">]</span> <span class="o">=</span> <span class="n">np</span><span class="o">.</span><span class="n">mean</span><span class="p">(</span> <span class="n">np</span><span class="o">.</span><span class="n">mean</span><span class="p">((</span><span class="n">y_test</span> <span class="o">-</span> <span class="n">y_pred</span><span class="p">)</span><span class="o">**</span><span class="mi">2</span><span class="p">,</span> <span class="n">axis</span><span class="o">=</span><span class="mi">1</span><span class="p">,</span> <span class="n">keepdims</span><span class="o">=</span><span class="kc">True</span><span class="p">)</span> <span class="p">)</span>
<span class="n">bias</span><span class="p">[</span><span class="n">degree</span><span class="p">]</span> <span class="o">=</span> <span class="n">np</span><span class="o">.</span><span class="n">mean</span><span class="p">(</span> <span class="p">(</span><span class="n">y_test</span> <span class="o">-</span> <span class="n">np</span><span class="o">.</span><span class="n">mean</span><span class="p">(</span><span class="n">y_pred</span><span class="p">,</span> <span class="n">axis</span><span class="o">=</span><span class="mi">1</span><span class="p">,</span> <span class="n">keepdims</span><span class="o">=</span><span class="kc">True</span><span class="p">))</span><span class="o">**</span><span class="mi">2</span> <span class="p">)</span>
<span class="n">variance</span><span class="p">[</span><span class="n">degree</span><span class="p">]</span> <span class="o">=</span> <span class="n">np</span><span class="o">.</span><span class="n">mean</span><span class="p">(</span> <span class="n">np</span><span class="o">.</span><span class="n">var</span><span class="p">(</span><span class="n">y_pred</span><span class="p">,</span> <span class="n">axis</span><span class="o">=</span><span class="mi">1</span><span class="p">,</span> <span class="n">keepdims</span><span class="o">=</span><span class="kc">True</span><span class="p">)</span> <span class="p">)</span>
<span class="nb">print</span><span class="p">(</span><span class="s1">&#39;Polynomial degree:&#39;</span><span class="p">,</span> <span class="n">degree</span><span class="p">)</span>
<span class="nb">print</span><span class="p">(</span><span class="s1">&#39;Error:&#39;</span><span class="p">,</span> <span class="n">error</span><span class="p">[</span><span class="n">degree</span><span class="p">])</span>
<span class="nb">print</span><span class="p">(</span><span class="s1">&#39;Bias^2:&#39;</span><span class="p">,</span> <span class="n">bias</span><span class="p">[</span><span class="n">degree</span><span class="p">])</span>
<span class="nb">print</span><span class="p">(</span><span class="s1">&#39;Var:&#39;</span><span class="p">,</span> <span class="n">variance</span><span class="p">[</span><span class="n">degree</span><span class="p">])</span>
<span class="nb">print</span><span class="p">(</span><span class="s1">&#39;</span><span class="si">{}</span><span class="s1"> &gt;= </span><span class="si">{}</span><span class="s1"> + </span><span class="si">{}</span><span class="s1"> = </span><span class="si">{}</span><span class="s1">&#39;</span><span class="o">.</span><span class="n">format</span><span class="p">(</span><span class="n">error</span><span class="p">[</span><span class="n">degree</span><span class="p">],</span> <span class="n">bias</span><span class="p">[</span><span class="n">degree</span><span class="p">],</span> <span class="n">variance</span><span class="p">[</span><span class="n">degree</span><span class="p">],</span> <span class="n">bias</span><span class="p">[</span><span class="n">degree</span><span class="p">]</span><span class="o">+</span><span class="n">variance</span><span class="p">[</span><span class="n">degree</span><span class="p">]))</span>
<span class="n">mse_simpletree</span><span class="o">=</span> <span class="n">np</span><span class="o">.</span><span class="n">mean</span><span class="p">(</span> <span class="n">np</span><span class="o">.</span><span class="n">mean</span><span class="p">((</span><span class="n">y_test</span> <span class="o">-</span> <span class="n">simpleprediction</span><span class="p">)</span><span class="o">**</span><span class="mi">2</span><span class="p">)</span>
<span class="nb">print</span><span class="p">(</span><span class="n">mse_simpletree</span><span class="p">)</span>
<span class="n">plt</span><span class="o">.</span><span class="n">xlim</span><span class="p">(</span><span class="mi">1</span><span class="p">,</span><span class="n">maxdepth</span><span class="p">)</span>
<span class="n">plt</span><span class="o">.</span><span class="n">plot</span><span class="p">(</span><span class="n">polydegree</span><span class="p">,</span> <span class="n">error</span><span class="p">,</span> <span class="n">label</span><span class="o">=</span><span class="s1">&#39;MSE&#39;</span><span class="p">)</span>
<span class="n">plt</span><span class="o">.</span><span class="n">plot</span><span class="p">(</span><span class="n">polydegree</span><span class="p">,</span> <span class="n">bias</span><span class="p">,</span> <span class="n">label</span><span class="o">=</span><span class="s1">&#39;bias&#39;</span><span class="p">)</span>
<span class="n">plt</span><span class="o">.</span><span class="n">plot</span><span class="p">(</span><span class="n">polydegree</span><span class="p">,</span> <span class="n">variance</span><span class="p">,</span> <span class="n">label</span><span class="o">=</span><span class="s1">&#39;Variance&#39;</span><span class="p">)</span>
<span class="n">plt</span><span class="o">.</span><span class="n">legend</span><span class="p">()</span>
<span class="n">save_fig</span><span class="p">(</span><span class="s2">&quot;baggingboot&quot;</span><span class="p">)</span>
<span class="n">plt</span><span class="o">.</span><span class="n">show</span><span class="p">()</span>
</pre></div>
</div>
</div>
</div>
</section>
</section>
<section id="random-forests">
<h2><span class="section-number">10.4. </span>Random forests<a class="headerlink" href="#random-forests" title="Link to this heading">#</a></h2>
<p>Random forests provide an improvement over bagged trees by way of a
small tweak that decorrelates the trees.</p>
<p>As in bagging, we build a
number of decision trees on bootstrapped training samples. But when
building these decision trees, each time a split in a tree is
considered, a random sample of <span class="math notranslate nohighlight">\(m\)</span> predictors is chosen as split
candidates from the full set of <span class="math notranslate nohighlight">\(p\)</span> predictors. The split is allowed to
use only one of those <span class="math notranslate nohighlight">\(m\)</span> predictors.</p>
<p>A fresh sample of <span class="math notranslate nohighlight">\(m\)</span> predictors is
taken at each split, and typically we choose</p>
<div class="math notranslate nohighlight">
\[
m\approx \sqrt{p}.
\]</div>
<p>In building a random forest, at
each split in the tree, the algorithm is not even allowed to consider
a majority of the available predictors.</p>
<p>The reason for this is rather clever. Suppose that there is one very
strong predictor in the data set, along with a number of other
moderately strong predictors. Then in the collection of bagged
variable importance random forest trees, most or all of the trees will
use this strong predictor in the top split. Consequently, all of the
bagged trees will look quite similar to each other. Hence the
predictions from the bagged trees will be highly correlated.
Unfortunately, averaging many highly correlated quantities does not
lead to as large of a reduction in variance as averaging many
uncorrelated quantities. In particular, this means that bagging will
not lead to a substantial reduction in variance over a single tree in
this setting.</p>
<p>The algorithm described here can be applied to both classification and regression problems.</p>
<p>We will grow of forest of say <span class="math notranslate nohighlight">\(B\)</span> trees.</p>
<ol class="arabic simple">
<li><p>For <span class="math notranslate nohighlight">\(b=1:B\)</span></p></li>
</ol>
<ul class="simple">
<li><p>Draw a bootstrap sample from the training data organized in our <span class="math notranslate nohighlight">\(\boldsymbol{X}\)</span> matrix.</p></li>
<li><p>We grow then a random forest tree <span class="math notranslate nohighlight">\(T_b\)</span> based on the bootstrapped data by repeating the steps outlined till we reach the maximum node size is reached</p></li>
</ul>
<ol class="arabic simple">
<li><p>we select <span class="math notranslate nohighlight">\(m \le p\)</span> variables at random from the <span class="math notranslate nohighlight">\(p\)</span> predictors/features</p></li>
<li><p>pick the best split point among the <span class="math notranslate nohighlight">\(m\)</span> features using for example the CART algorithm and create a new node</p></li>
<li><p>split the node into daughter nodes</p></li>
<li><p>Output then the ensemble of trees <span class="math notranslate nohighlight">\(\{T_b\}_1^{B}\)</span> and make predictions for either a regression type of problem or a classification type of problem.</p></li>
</ol>
<div class="cell docutils container">
<div class="cell_input docutils container">
<div class="highlight-ipython3 notranslate"><div class="highlight"><pre><span></span><span class="kn">import</span> <span class="nn">matplotlib.pyplot</span> <span class="k">as</span> <span class="nn">plt</span>
<span class="kn">import</span> <span class="nn">numpy</span> <span class="k">as</span> <span class="nn">np</span>
<span class="kn">from</span> <span class="nn">sklearn.model_selection</span> <span class="kn">import</span> <span class="n">train_test_split</span>
<span class="kn">from</span> <span class="nn">sklearn.datasets</span> <span class="kn">import</span> <span class="n">load_breast_cancer</span>
<span class="kn">from</span> <span class="nn">sklearn.svm</span> <span class="kn">import</span> <span class="n">SVC</span>
<span class="kn">from</span> <span class="nn">sklearn.linear_model</span> <span class="kn">import</span> <span class="n">LogisticRegression</span>
<span class="kn">from</span> <span class="nn">sklearn.tree</span> <span class="kn">import</span> <span class="n">DecisionTreeClassifier</span>
<span class="kn">from</span> <span class="nn">sklearn.ensemble</span> <span class="kn">import</span> <span class="n">BaggingClassifier</span>
<span class="c1"># Load the data</span>
<span class="n">cancer</span> <span class="o">=</span> <span class="n">load_breast_cancer</span><span class="p">()</span>
<span class="n">X_train</span><span class="p">,</span> <span class="n">X_test</span><span class="p">,</span> <span class="n">y_train</span><span class="p">,</span> <span class="n">y_test</span> <span class="o">=</span> <span class="n">train_test_split</span><span class="p">(</span><span class="n">cancer</span><span class="o">.</span><span class="n">data</span><span class="p">,</span><span class="n">cancer</span><span class="o">.</span><span class="n">target</span><span class="p">,</span><span class="n">random_state</span><span class="o">=</span><span class="mi">0</span><span class="p">)</span>
<span class="nb">print</span><span class="p">(</span><span class="n">X_train</span><span class="o">.</span><span class="n">shape</span><span class="p">)</span>
<span class="nb">print</span><span class="p">(</span><span class="n">X_test</span><span class="o">.</span><span class="n">shape</span><span class="p">)</span>
<span class="c1"># Logistic Regression</span>
<span class="n">logreg</span> <span class="o">=</span> <span class="n">LogisticRegression</span><span class="p">(</span><span class="n">solver</span><span class="o">=</span><span class="s1">&#39;lbfgs&#39;</span><span class="p">)</span>
<span class="n">logreg</span><span class="o">.</span><span class="n">fit</span><span class="p">(</span><span class="n">X_train</span><span class="p">,</span> <span class="n">y_train</span><span class="p">)</span>
<span class="nb">print</span><span class="p">(</span><span class="s2">&quot;Test set accuracy with Logistic Regression: </span><span class="si">{:.2f}</span><span class="s2">&quot;</span><span class="o">.</span><span class="n">format</span><span class="p">(</span><span class="n">logreg</span><span class="o">.</span><span class="n">score</span><span class="p">(</span><span class="n">X_test</span><span class="p">,</span><span class="n">y_test</span><span class="p">)))</span>
<span class="c1"># Support vector machine</span>
<span class="n">svm</span> <span class="o">=</span> <span class="n">SVC</span><span class="p">(</span><span class="n">gamma</span><span class="o">=</span><span class="s1">&#39;auto&#39;</span><span class="p">,</span> <span class="n">C</span><span class="o">=</span><span class="mi">100</span><span class="p">)</span>
<span class="n">svm</span><span class="o">.</span><span class="n">fit</span><span class="p">(</span><span class="n">X_train</span><span class="p">,</span> <span class="n">y_train</span><span class="p">)</span>
<span class="nb">print</span><span class="p">(</span><span class="s2">&quot;Test set accuracy with SVM: </span><span class="si">{:.2f}</span><span class="s2">&quot;</span><span class="o">.</span><span class="n">format</span><span class="p">(</span><span class="n">svm</span><span class="o">.</span><span class="n">score</span><span class="p">(</span><span class="n">X_test</span><span class="p">,</span><span class="n">y_test</span><span class="p">)))</span>
<span class="c1"># Decision Trees</span>
<span class="n">deep_tree_clf</span> <span class="o">=</span> <span class="n">DecisionTreeClassifier</span><span class="p">(</span><span class="n">max_depth</span><span class="o">=</span><span class="kc">None</span><span class="p">)</span>
<span class="n">deep_tree_clf</span><span class="o">.</span><span class="n">fit</span><span class="p">(</span><span class="n">X_train</span><span class="p">,</span> <span class="n">y_train</span><span class="p">)</span>
<span class="nb">print</span><span class="p">(</span><span class="s2">&quot;Test set accuracy with Decision Trees: </span><span class="si">{:.2f}</span><span class="s2">&quot;</span><span class="o">.</span><span class="n">format</span><span class="p">(</span><span class="n">deep_tree_clf</span><span class="o">.</span><span class="n">score</span><span class="p">(</span><span class="n">X_test</span><span class="p">,</span><span class="n">y_test</span><span class="p">)))</span>
<span class="c1">#now scale the data</span>
<span class="kn">from</span> <span class="nn">sklearn.preprocessing</span> <span class="kn">import</span> <span class="n">StandardScaler</span>
<span class="n">scaler</span> <span class="o">=</span> <span class="n">StandardScaler</span><span class="p">()</span>
<span class="n">scaler</span><span class="o">.</span><span class="n">fit</span><span class="p">(</span><span class="n">X_train</span><span class="p">)</span>
<span class="n">X_train_scaled</span> <span class="o">=</span> <span class="n">scaler</span><span class="o">.</span><span class="n">transform</span><span class="p">(</span><span class="n">X_train</span><span class="p">)</span>
<span class="n">X_test_scaled</span> <span class="o">=</span> <span class="n">scaler</span><span class="o">.</span><span class="n">transform</span><span class="p">(</span><span class="n">X_test</span><span class="p">)</span>
<span class="c1"># Logistic Regression</span>
<span class="n">logreg</span><span class="o">.</span><span class="n">fit</span><span class="p">(</span><span class="n">X_train_scaled</span><span class="p">,</span> <span class="n">y_train</span><span class="p">)</span>
<span class="nb">print</span><span class="p">(</span><span class="s2">&quot;Test set accuracy Logistic Regression with scaled data: </span><span class="si">{:.2f}</span><span class="s2">&quot;</span><span class="o">.</span><span class="n">format</span><span class="p">(</span><span class="n">logreg</span><span class="o">.</span><span class="n">score</span><span class="p">(</span><span class="n">X_test_scaled</span><span class="p">,</span><span class="n">y_test</span><span class="p">)))</span>
<span class="c1"># Support Vector Machine</span>
<span class="n">svm</span><span class="o">.</span><span class="n">fit</span><span class="p">(</span><span class="n">X_train_scaled</span><span class="p">,</span> <span class="n">y_train</span><span class="p">)</span>
<span class="nb">print</span><span class="p">(</span><span class="s2">&quot;Test set accuracy SVM with scaled data: </span><span class="si">{:.2f}</span><span class="s2">&quot;</span><span class="o">.</span><span class="n">format</span><span class="p">(</span><span class="n">logreg</span><span class="o">.</span><span class="n">score</span><span class="p">(</span><span class="n">X_test_scaled</span><span class="p">,</span><span class="n">y_test</span><span class="p">)))</span>
<span class="c1"># Decision Trees</span>
<span class="n">deep_tree_clf</span><span class="o">.</span><span class="n">fit</span><span class="p">(</span><span class="n">X_train_scaled</span><span class="p">,</span> <span class="n">y_train</span><span class="p">)</span>
<span class="nb">print</span><span class="p">(</span><span class="s2">&quot;Test set accuracy with Decision Trees and scaled data: </span><span class="si">{:.2f}</span><span class="s2">&quot;</span><span class="o">.</span><span class="n">format</span><span class="p">(</span><span class="n">deep_tree_clf</span><span class="o">.</span><span class="n">score</span><span class="p">(</span><span class="n">X_test_scaled</span><span class="p">,</span><span class="n">y_test</span><span class="p">)))</span>
<span class="kn">from</span> <span class="nn">sklearn.ensemble</span> <span class="kn">import</span> <span class="n">RandomForestClassifier</span>
<span class="kn">from</span> <span class="nn">sklearn.preprocessing</span> <span class="kn">import</span> <span class="n">LabelEncoder</span>
<span class="kn">from</span> <span class="nn">sklearn.model_selection</span> <span class="kn">import</span> <span class="n">cross_validate</span>
<span class="c1"># Data set not specificied</span>
<span class="c1">#Instantiate the model with 500 trees and entropy as splitting criteria</span>
<span class="n">Random_Forest_model</span> <span class="o">=</span> <span class="n">RandomForestClassifier</span><span class="p">(</span><span class="n">n_estimators</span><span class="o">=</span><span class="mi">500</span><span class="p">,</span><span class="n">criterion</span><span class="o">=</span><span class="s2">&quot;entropy&quot;</span><span class="p">)</span>
<span class="n">Random_Forest_model</span><span class="o">.</span><span class="n">fit</span><span class="p">(</span><span class="n">X_train_scaled</span><span class="p">,</span> <span class="n">y_train</span><span class="p">)</span>
<span class="c1">#Cross validation</span>
<span class="n">accuracy</span> <span class="o">=</span> <span class="n">cross_validate</span><span class="p">(</span><span class="n">Random_Forest_model</span><span class="p">,</span><span class="n">X_test_scaled</span><span class="p">,</span><span class="n">y_test</span><span class="p">,</span><span class="n">cv</span><span class="o">=</span><span class="mi">10</span><span class="p">)[</span><span class="s1">&#39;test_score&#39;</span><span class="p">]</span>
<span class="nb">print</span><span class="p">(</span><span class="n">accuracy</span><span class="p">)</span>
<span class="nb">print</span><span class="p">(</span><span class="s2">&quot;Test set accuracy with Random Forests and scaled data: </span><span class="si">{:.2f}</span><span class="s2">&quot;</span><span class="o">.</span><span class="n">format</span><span class="p">(</span><span class="n">Random_Forest_model</span><span class="o">.</span><span class="n">score</span><span class="p">(</span><span class="n">X_test_scaled</span><span class="p">,</span><span class="n">y_test</span><span class="p">)))</span>
<span class="kn">import</span> <span class="nn">scikitplot</span> <span class="k">as</span> <span class="nn">skplt</span>
<span class="n">y_pred</span> <span class="o">=</span> <span class="n">Random_Forest_model</span><span class="o">.</span><span class="n">predict</span><span class="p">(</span><span class="n">X_test_scaled</span><span class="p">)</span>
<span class="n">skplt</span><span class="o">.</span><span class="n">metrics</span><span class="o">.</span><span class="n">plot_confusion_matrix</span><span class="p">(</span><span class="n">y_test</span><span class="p">,</span> <span class="n">y_pred</span><span class="p">,</span> <span class="n">normalize</span><span class="o">=</span><span class="kc">True</span><span class="p">)</span>
<span class="n">plt</span><span class="o">.</span><span class="n">show</span><span class="p">()</span>
<span class="n">y_probas</span> <span class="o">=</span> <span class="n">Random_Forest_model</span><span class="o">.</span><span class="n">predict_proba</span><span class="p">(</span><span class="n">X_test_scaled</span><span class="p">)</span>
<span class="n">skplt</span><span class="o">.</span><span class="n">metrics</span><span class="o">.</span><span class="n">plot_roc</span><span class="p">(</span><span class="n">y_test</span><span class="p">,</span> <span class="n">y_probas</span><span class="p">)</span>
<span class="n">plt</span><span class="o">.</span><span class="n">show</span><span class="p">()</span>
<span class="n">skplt</span><span class="o">.</span><span class="n">metrics</span><span class="o">.</span><span class="n">plot_cumulative_gain</span><span class="p">(</span><span class="n">y_test</span><span class="p">,</span> <span class="n">y_probas</span><span class="p">)</span>
<span class="n">plt</span><span class="o">.</span><span class="n">show</span><span class="p">()</span>
</pre></div>
</div>
</div>
</div>
<p>Recall that the cumulative gains curve shows the percentage of the
overall number of cases in a given category <em>gained</em> by targeting a
percentage of the total number of cases.</p>
<p>Similarly, the receiver operating characteristic curve, or ROC curve,
displays the diagnostic ability of a binary classifier system as its
discrimination threshold is varied. It plots the true positive rate against the false positive rate.</p>
<section id="compare-bagging-on-trees-with-random-forests">
<h3><span class="section-number">10.4.1. </span>Compare Bagging on Trees with Random Forests<a class="headerlink" href="#compare-bagging-on-trees-with-random-forests" title="Link to this heading">#</a></h3>
<div class="cell docutils container">
<div class="cell_input docutils container">
<div class="highlight-ipython3 notranslate"><div class="highlight"><pre><span></span><span class="n">bag_clf</span> <span class="o">=</span> <span class="n">BaggingClassifier</span><span class="p">(</span>
<span class="n">DecisionTreeClassifier</span><span class="p">(</span><span class="n">splitter</span><span class="o">=</span><span class="s2">&quot;random&quot;</span><span class="p">,</span> <span class="n">max_leaf_nodes</span><span class="o">=</span><span class="mi">16</span><span class="p">,</span> <span class="n">random_state</span><span class="o">=</span><span class="mi">42</span><span class="p">),</span>
<span class="n">n_estimators</span><span class="o">=</span><span class="mi">500</span><span class="p">,</span> <span class="n">max_samples</span><span class="o">=</span><span class="mf">1.0</span><span class="p">,</span> <span class="n">bootstrap</span><span class="o">=</span><span class="kc">True</span><span class="p">,</span> <span class="n">n_jobs</span><span class="o">=-</span><span class="mi">1</span><span class="p">,</span> <span class="n">random_state</span><span class="o">=</span><span class="mi">42</span><span class="p">)</span>
</pre></div>
</div>
</div>
</div>
<div class="cell docutils container">
<div class="cell_input docutils container">
<div class="highlight-ipython3 notranslate"><div class="highlight"><pre><span></span><span class="n">bag_clf</span><span class="o">.</span><span class="n">fit</span><span class="p">(</span><span class="n">X_train</span><span class="p">,</span> <span class="n">y_train</span><span class="p">)</span>
<span class="n">y_pred</span> <span class="o">=</span> <span class="n">bag_clf</span><span class="o">.</span><span class="n">predict</span><span class="p">(</span><span class="n">X_test</span><span class="p">)</span>
<span class="kn">from</span> <span class="nn">sklearn.ensemble</span> <span class="kn">import</span> <span class="n">RandomForestClassifier</span>
<span class="n">rnd_clf</span> <span class="o">=</span> <span class="n">RandomForestClassifier</span><span class="p">(</span><span class="n">n_estimators</span><span class="o">=</span><span class="mi">500</span><span class="p">,</span> <span class="n">max_leaf_nodes</span><span class="o">=</span><span class="mi">16</span><span class="p">,</span> <span class="n">n_jobs</span><span class="o">=-</span><span class="mi">1</span><span class="p">,</span> <span class="n">random_state</span><span class="o">=</span><span class="mi">42</span><span class="p">)</span>
<span class="n">rnd_clf</span><span class="o">.</span><span class="n">fit</span><span class="p">(</span><span class="n">X_train</span><span class="p">,</span> <span class="n">y_train</span><span class="p">)</span>
<span class="n">y_pred_rf</span> <span class="o">=</span> <span class="n">rnd_clf</span><span class="o">.</span><span class="n">predict</span><span class="p">(</span><span class="n">X_test</span><span class="p">)</span>
<span class="n">np</span><span class="o">.</span><span class="n">sum</span><span class="p">(</span><span class="n">y_pred</span> <span class="o">==</span> <span class="n">y_pred_rf</span><span class="p">)</span> <span class="o">/</span> <span class="nb">len</span><span class="p">(</span><span class="n">y_pred</span><span class="p">)</span>
</pre></div>
</div>
</div>
</div>
</section>
</section>
<section id="boosting-a-bird-s-eye-view">
<h2><span class="section-number">10.5. </span>Boosting, a Bird’s Eye View<a class="headerlink" href="#boosting-a-bird-s-eye-view" title="Link to this heading">#</a></h2>
<p>The basic idea is to combine weak classifiers in order to create a good
classifier. With a weak classifier we often intend a classifier which
produces results which are only slightly better than we would get by
random guesses.</p>
<p>This is done by applying in an iterative way a weak (or a standard
classifier like decision trees) to modify the data. In each iteration
we emphasize those observations which are misclassified by weighting
them with a factor.</p>
<p>Boosting is a way of fitting an additive expansion in a set of
elementary basis functions like for example some simple polynomials.
Assume for example that we have a function</p>
<div class="math notranslate nohighlight">
\[
f_M(x) = \sum_{i=1}^M \beta_m b(x;\gamma_m),
\]</div>
<p>where <span class="math notranslate nohighlight">\(\beta_m\)</span> are the expansion parameters to be determined in a
minimization process and <span class="math notranslate nohighlight">\(b(x;\gamma_m)\)</span> are some simple functions of
the multivariable parameter <span class="math notranslate nohighlight">\(x\)</span> which is characterized by the
parameters <span class="math notranslate nohighlight">\(\gamma_m\)</span>.</p>
<p>As an example, consider the Sigmoid function we used in logistic
regression. In that case, we can translate the function
<span class="math notranslate nohighlight">\(b(x;\gamma_m)\)</span> into the Sigmoid function</p>
<div class="math notranslate nohighlight">
\[
\sigma(t) = \frac{1}{1+\exp{(-t)}},
\]</div>
<p>where <span class="math notranslate nohighlight">\(t=\gamma_0+\gamma_1 x\)</span> and the parameters <span class="math notranslate nohighlight">\(\gamma_0\)</span> and
<span class="math notranslate nohighlight">\(\gamma_1\)</span> were determined by the Logistic Regression fitting
algorithm.</p>
<p>As another example, consider the cost function we defined for linear regression</p>
<div class="math notranslate nohighlight">
\[
C(\boldsymbol{y},\boldsymbol{f}) = \frac{1}{n} \sum_{i=0}^{n-1}(y_i-f(x_i))^2.
\]</div>
<p>In this case the function <span class="math notranslate nohighlight">\(f(x)\)</span> was replaced by the design matrix
<span class="math notranslate nohighlight">\(\boldsymbol{X}\)</span> and the unknown linear regression parameters <span class="math notranslate nohighlight">\(\boldsymbol{\beta}\)</span>,
that is <span class="math notranslate nohighlight">\(\boldsymbol{f}=\boldsymbol{X}\boldsymbol{\beta}\)</span>. In linear regression we can
simply invert a matrix and obtain the parameters <span class="math notranslate nohighlight">\(\beta\)</span> by</p>
<div class="math notranslate nohighlight">
\[
\boldsymbol{\beta}=\left(\boldsymbol{X}^T\boldsymbol{X}\right)^{-1}\boldsymbol{X}^T\boldsymbol{y}.
\]</div>
<p>In iterative fitting or additive modeling, we minimize the cost function with respect to the parameters <span class="math notranslate nohighlight">\(\beta_m\)</span> and <span class="math notranslate nohighlight">\(\gamma_m\)</span>.</p>
<section id="iterative-fitting-regression-and-squared-error-cost-function">
<h3><span class="section-number">10.5.1. </span>Iterative Fitting, Regression and Squared-error Cost Function<a class="headerlink" href="#iterative-fitting-regression-and-squared-error-cost-function" title="Link to this heading">#</a></h3>
<p>The way we proceed is as follows (here we specialize to the squared-error cost function)</p>
<ol class="arabic simple">
<li><p>Establish a cost function, here <span class="math notranslate nohighlight">\(\cal{C}(\boldsymbol{y},\boldsymbol{f}) = \frac{1}{n} \sum_{i=0}^{n-1}(y_i-f_M(x_i))^2\)</span> with <span class="math notranslate nohighlight">\(f_M(x) = \sum_{i=1}^M \beta_m b(x;\gamma_m)\)</span>.</p></li>
<li><p>Initialize with a guess <span class="math notranslate nohighlight">\(f_0(x)\)</span>. It could be one or even zero or some random numbers.</p></li>
<li><p>For <span class="math notranslate nohighlight">\(m=1:M\)</span></p></li>
</ol>
<p>a. minimize <span class="math notranslate nohighlight">\(\sum_{i=0}^{n-1}(y_i-f_{m-1}(x_i)-\beta b(x;\gamma))^2\)</span> wrt <span class="math notranslate nohighlight">\(\gamma\)</span> and <span class="math notranslate nohighlight">\(\beta\)</span></p>
<p>b. This gives the optimal values <span class="math notranslate nohighlight">\(\beta_m\)</span> and <span class="math notranslate nohighlight">\(\gamma_m\)</span></p>
<p>c. Determine then the new values <span class="math notranslate nohighlight">\(f_m(x)=f_{m-1}(x) +\beta_m b(x;\gamma_m)\)</span></p>
<p>We could use any of the algorithms we have discussed till now. If we
use trees, <span class="math notranslate nohighlight">\(\gamma\)</span> parameterizes the split variables and split points
at the internal nodes, and the predictions at the terminal nodes.</p>
<p>To better understand what happens, let us develop the steps for the iterative fitting using the above squared error function.</p>
<p>For simplicity we assume also that our functions <span class="math notranslate nohighlight">\(b(x;\gamma)=1+\gamma x\)</span>.</p>
<p>This means that for every iteration <span class="math notranslate nohighlight">\(m\)</span>, we need to optimize</p>
<div class="math notranslate nohighlight">
\[
(\beta_m,\gamma_m) = \mathrm{argmin}_{\beta,\lambda}\hspace{0.1cm} \sum_{i=0}^{n-1}(y_i-f_{m-1}(x_i)-\beta b(x;\gamma))^2=\sum_{i=0}^{n-1}(y_i-f_{m-1}(x_i)-\beta(1+\gamma x_i))^2.
\]</div>
<p>We start our iteration by simply setting <span class="math notranslate nohighlight">\(f_0(x)=0\)</span>.
Taking the derivatives with respect to <span class="math notranslate nohighlight">\(\beta\)</span> and <span class="math notranslate nohighlight">\(\gamma\)</span> we obtain</p>
<div class="math notranslate nohighlight">
\[
\frac{\partial \cal{C}}{\partial \beta} = -2\sum_{i}(1+\gamma x_i)(y_i-\beta(1+\gamma x_i))=0,
\]</div>
<p>and</p>
<div class="math notranslate nohighlight">
\[
\frac{\partial \cal{C}}{\partial \gamma} =-2\sum_{i}\beta x_i(y_i-\beta(1+\gamma x_i))=0.
\]</div>
<p>We can then rewrite these equations as (defining <span class="math notranslate nohighlight">\(\boldsymbol{w}=\boldsymbol{e}+\gamma \boldsymbol{x})\)</span> with <span class="math notranslate nohighlight">\(\boldsymbol{e}\)</span> being the unit vector)</p>
<div class="math notranslate nohighlight">
\[
\gamma \boldsymbol{w}^T(\boldsymbol{y}-\beta\gamma \boldsymbol{w})=0,
\]</div>
<p>which gives us <span class="math notranslate nohighlight">\(\beta = \boldsymbol{w}^T\boldsymbol{y}/(\boldsymbol{w}^T\boldsymbol{w})\)</span>. Similarly we have</p>
<div class="math notranslate nohighlight">
\[
\beta\gamma \boldsymbol{x}^T(\boldsymbol{y}-\beta(1+\gamma \boldsymbol{x}))=0,
\]</div>
<p>which leads to <span class="math notranslate nohighlight">\(\gamma =(\boldsymbol{x}^T\boldsymbol{y}-\beta\boldsymbol{x}^T\boldsymbol{e})/(\beta\boldsymbol{x}^T\boldsymbol{x})\)</span>. Inserting
for <span class="math notranslate nohighlight">\(\beta\)</span> gives us an equation for <span class="math notranslate nohighlight">\(\gamma\)</span>. This is a non-linear equation in the unknown <span class="math notranslate nohighlight">\(\gamma\)</span> and has to be solved numerically.</p>
<p>The solution to these two equations gives us in turn <span class="math notranslate nohighlight">\(\beta_1\)</span> and <span class="math notranslate nohighlight">\(\gamma_1\)</span> leading to the new expression for <span class="math notranslate nohighlight">\(f_1(x)\)</span> as
<span class="math notranslate nohighlight">\(f_1(x) = \beta_1(1+\gamma_1x)\)</span>. Doing this <span class="math notranslate nohighlight">\(M\)</span> times results in our final estimate for the function <span class="math notranslate nohighlight">\(f\)</span>.</p>
</section>
<section id="iterative-fitting-classification-and-adaboost">
<h3><span class="section-number">10.5.2. </span>Iterative Fitting, Classification and AdaBoost<a class="headerlink" href="#iterative-fitting-classification-and-adaboost" title="Link to this heading">#</a></h3>
<p>Let us consider a binary classification problem with two outcomes <span class="math notranslate nohighlight">\(y_i \in \{-1,1\}\)</span> and <span class="math notranslate nohighlight">\(i=0,1,2,\dots,n-1\)</span> as our set of
observations. We define a classification function <span class="math notranslate nohighlight">\(G(x)\)</span> which produces a prediction taking one or the other of the two values
<span class="math notranslate nohighlight">\(\{-1,1\}\)</span>.</p>
<p>The error rate of the training sample is then</p>
<div class="math notranslate nohighlight">
\[
\mathrm{\overline{err}}=\frac{1}{n} \sum_{i=0}^{n-1} I(y_i\ne G(x_i)).
\]</div>
<p>The iterative procedure starts with defining a weak classifier whose
error rate is barely better than random guessing. The iterative
procedure in boosting is to sequentially apply a weak
classification algorithm to repeatedly modified versions of the data
producing a sequence of weak classifiers <span class="math notranslate nohighlight">\(G_m(x)\)</span>.</p>
<p>Here we will express our function <span class="math notranslate nohighlight">\(f(x)\)</span> in terms of <span class="math notranslate nohighlight">\(G(x)\)</span>. That is</p>
<div class="math notranslate nohighlight">
\[
f_M(x) = \sum_{i=1}^M \beta_m b(x;\gamma_m),
\]</div>
<p>will be a function of</p>
<div class="math notranslate nohighlight">
\[
G_M(x) = \mathrm{sign} \sum_{i=1}^M \alpha_m G_m(x).
\]</div>
<p>In our iterative procedure we define thus</p>
<div class="math notranslate nohighlight">
\[
f_m(x) = f_{m-1}(x)+\beta_mG_m(x).
\]</div>
<p>The simplest possible cost function which leads (also simple from a computational point of view) to the AdaBoost algorithm is the
exponential cost/loss function defined as</p>
<div class="math notranslate nohighlight">
\[
C(\boldsymbol{y},\boldsymbol{f}) = \sum_{i=0}^{n-1}\exp{(-y_i(f_{m-1}(x_i)+\beta G(x_i))}.
\]</div>
<p>We optimize <span class="math notranslate nohighlight">\(\beta\)</span> and <span class="math notranslate nohighlight">\(G\)</span> for each value of <span class="math notranslate nohighlight">\(m=1:M\)</span> as we did in the regression case.
This is normally done in two steps. Let us however first rewrite the cost function as</p>
<div class="math notranslate nohighlight">
\[
C(\boldsymbol{y},\boldsymbol{f}) = \sum_{i=0}^{n-1}w_i^{m}\exp{(-y_i\beta G(x_i))},
\]</div>
<p>where we have defined <span class="math notranslate nohighlight">\(w_i^m= \exp{(-y_if_{m-1}(x_i))}\)</span>.</p>
<p>First, for any <span class="math notranslate nohighlight">\(\beta &gt; 0\)</span>, we optimize <span class="math notranslate nohighlight">\(G\)</span> by setting</p>
<div class="math notranslate nohighlight">
\[
G_m(x) = \mathrm{sign} \sum_{i=0}^{n-1} w_i^m I(y_i \ne G_(x_i)),
\]</div>
<p>which is the classifier that minimizes the weighted error rate in predicting <span class="math notranslate nohighlight">\(y\)</span>.</p>
<p>We can do this by rewriting</p>
<div class="math notranslate nohighlight">
\[
\exp{-(\beta)}\sum_{y_i=G(x_i)}w_i^m+\exp{(\beta)}\sum_{y_i\ne G(x_i)}w_i^m,
\]</div>
<p>which can be rewritten as</p>
<div class="math notranslate nohighlight">
\[
(\exp{(\beta)}-\exp{-(\beta)})\sum_{i=0}^{n-1}w_i^mI(y_i\ne G(x_i))+\exp{(-\beta)}\sum_{i=0}^{n-1}w_i^m=0,
\]</div>
<p>which leads to</p>
<div class="math notranslate nohighlight">
\[
\beta_m = \frac{1}{2}\log{\frac{1-\mathrm{\overline{err}}}{\mathrm{\overline{err}}}},
\]</div>
<p>where we have redefined the error as</p>
<div class="math notranslate nohighlight">
\[
\mathrm{\overline{err}}_m=\frac{1}{n}\frac{\sum_{i=0}^{n-1}w_i^mI(y_i\ne G(x_i)}{\sum_{i=0}^{n-1}w_i^m},
\]</div>
<p>which leads to an update of</p>
<div class="math notranslate nohighlight">
\[
f_m(x) = f_{m-1}(x) +\beta_m G_m(x).
\]</div>
<p>This leads to the new weights</p>
<div class="math notranslate nohighlight">
\[
w_i^{m+1} = w_i^m \exp{(-y_i\beta_m G_m(x_i))}
\]</div>
</section>
<section id="adaptive-boosting-adaboost-basic-algorithm">
<h3><span class="section-number">10.5.3. </span>Adaptive boosting: AdaBoost, Basic Algorithm<a class="headerlink" href="#adaptive-boosting-adaboost-basic-algorithm" title="Link to this heading">#</a></h3>
<p>The algorithm here is rather straightforward. Assume that our weak
classifier is a decision tree and we consider a binary set of outputs
with <span class="math notranslate nohighlight">\(y_i \in \{-1,1\}\)</span> and <span class="math notranslate nohighlight">\(i=0,1,2,\dots,n-1\)</span> as our set of
observations. Our design matrix is given in terms of the
feature/predictor vectors
<span class="math notranslate nohighlight">\(\boldsymbol{X}=[\boldsymbol{x}_0\boldsymbol{x}_1\dots\boldsymbol{x}_{p-1}]\)</span>. Finally, we define also a
classifier determined by our data via a function <span class="math notranslate nohighlight">\(G(x)\)</span>. This function tells us how well we are able to classify our outputs/targets <span class="math notranslate nohighlight">\(\boldsymbol{y}\)</span>.</p>
<p>We have already defined the misclassification error <span class="math notranslate nohighlight">\(\mathrm{err}\)</span> as</p>
<div class="math notranslate nohighlight">
\[
\mathrm{err}=\frac{1}{n}\sum_{i=0}^{n-1}I(y_i\ne G(x_i)),
\]</div>
<p>where the function <span class="math notranslate nohighlight">\(I()\)</span> is one if we misclassify and zero if we classify correctly.</p>
<p>With the above definitions we are now ready to set up the algorithm for AdaBoost.
The basic idea is to set up weights which will be used to scale the correctly classified and the misclassified cases.</p>
<ol class="arabic simple">
<li><p>We start by initializing all weights to <span class="math notranslate nohighlight">\(w_i = 1/n\)</span>, with <span class="math notranslate nohighlight">\(i=0,1,2,\dots n-1\)</span>. It is easy to see that we must have <span class="math notranslate nohighlight">\(\sum_{i=0}^{n-1}w_i = 1\)</span>.</p></li>
<li><p>We rewrite the misclassification error as</p></li>
</ol>
<div class="math notranslate nohighlight">
\[
\mathrm{\overline{err}}_m=\frac{\sum_{i=0}^{n-1}w_i^m I(y_i\ne G(x_i))}{\sum_{i=0}^{n-1}w_i},
\]</div>
<ol class="arabic simple">
<li><p>Then we start looping over all attempts at classifying, namely we start an iterative process for <span class="math notranslate nohighlight">\(m=1:M\)</span>, where <span class="math notranslate nohighlight">\(M\)</span> is the final number of classifications. Our given classifier could for example be a plain decision tree.</p></li>
</ol>
<p>a. Fit then a given classifier to the training set using the weights <span class="math notranslate nohighlight">\(w_i\)</span>.</p>
<p>b. Compute then <span class="math notranslate nohighlight">\(\mathrm{err}\)</span> and figure out which events are classified properly and which are classified wrongly.</p>
<p>c. Define a quantity <span class="math notranslate nohighlight">\(\alpha_{m} = \log{(1-\mathrm{\overline{err}}_m)/\mathrm{\overline{err}}_m}\)</span></p>
<p>d. Set the new weights to <span class="math notranslate nohighlight">\(w_i = w_i\times \exp{(\alpha_m I(y_i\ne G(x_i)}\)</span>.</p>
<ol class="arabic simple" start="5">
<li><p>Compute the new classifier <span class="math notranslate nohighlight">\(G(x)= \sum_{i=0}^{n-1}\alpha_m I(y_i\ne G(x_i)\)</span>.</p></li>
</ol>
<p>For the iterations with <span class="math notranslate nohighlight">\(m \le 2\)</span> the weights are modified
individually at each steps. The observations which were misclassified
at iteration <span class="math notranslate nohighlight">\(m-1\)</span> have a weight which is larger than those which were
classified properly. As this proceeds, the observations which were
difficult to classifiy correctly are given a larger influence. Each
new classification step <span class="math notranslate nohighlight">\(m\)</span> is then forced to concentrate on those
observations that are missed in the previous iterations.</p>
<p>Using <strong>Scikit-Learn</strong> it is easy to apply the adaptive boosting algorithm, as done here.</p>
<div class="cell docutils container">
<div class="cell_input docutils container">
<div class="highlight-ipython3 notranslate"><div class="highlight"><pre><span></span><span class="kn">from</span> <span class="nn">sklearn.ensemble</span> <span class="kn">import</span> <span class="n">AdaBoostClassifier</span>
<span class="n">ada_clf</span> <span class="o">=</span> <span class="n">AdaBoostClassifier</span><span class="p">(</span>
<span class="n">DecisionTreeClassifier</span><span class="p">(</span><span class="n">max_depth</span><span class="o">=</span><span class="mi">1</span><span class="p">),</span> <span class="n">n_estimators</span><span class="o">=</span><span class="mi">200</span><span class="p">,</span>
<span class="n">algorithm</span><span class="o">=</span><span class="s2">&quot;SAMME.R&quot;</span><span class="p">,</span> <span class="n">learning_rate</span><span class="o">=</span><span class="mf">0.5</span><span class="p">,</span> <span class="n">random_state</span><span class="o">=</span><span class="mi">42</span><span class="p">)</span>
<span class="n">ada_clf</span><span class="o">.</span><span class="n">fit</span><span class="p">(</span><span class="n">X_train</span><span class="p">,</span> <span class="n">y_train</span><span class="p">)</span>
<span class="kn">from</span> <span class="nn">sklearn.ensemble</span> <span class="kn">import</span> <span class="n">AdaBoostClassifier</span>
<span class="n">ada_clf</span> <span class="o">=</span> <span class="n">AdaBoostClassifier</span><span class="p">(</span>
<span class="n">DecisionTreeClassifier</span><span class="p">(</span><span class="n">max_depth</span><span class="o">=</span><span class="mi">1</span><span class="p">),</span> <span class="n">n_estimators</span><span class="o">=</span><span class="mi">200</span><span class="p">,</span>
<span class="n">algorithm</span><span class="o">=</span><span class="s2">&quot;SAMME.R&quot;</span><span class="p">,</span> <span class="n">learning_rate</span><span class="o">=</span><span class="mf">0.5</span><span class="p">,</span> <span class="n">random_state</span><span class="o">=</span><span class="mi">42</span><span class="p">)</span>
<span class="n">ada_clf</span><span class="o">.</span><span class="n">fit</span><span class="p">(</span><span class="n">X_train_scaled</span><span class="p">,</span> <span class="n">y_train</span><span class="p">)</span>
<span class="n">y_pred</span> <span class="o">=</span> <span class="n">ada_clf</span><span class="o">.</span><span class="n">predict</span><span class="p">(</span><span class="n">X_test_scaled</span><span class="p">)</span>
<span class="n">skplt</span><span class="o">.</span><span class="n">metrics</span><span class="o">.</span><span class="n">plot_confusion_matrix</span><span class="p">(</span><span class="n">y_test</span><span class="p">,</span> <span class="n">y_pred</span><span class="p">,</span> <span class="n">normalize</span><span class="o">=</span><span class="kc">True</span><span class="p">)</span>
<span class="n">plt</span><span class="o">.</span><span class="n">show</span><span class="p">()</span>
<span class="n">y_probas</span> <span class="o">=</span> <span class="n">ada_clf</span><span class="o">.</span><span class="n">predict_proba</span><span class="p">(</span><span class="n">X_test_scaled</span><span class="p">)</span>
<span class="n">skplt</span><span class="o">.</span><span class="n">metrics</span><span class="o">.</span><span class="n">plot_roc</span><span class="p">(</span><span class="n">y_test</span><span class="p">,</span> <span class="n">y_probas</span><span class="p">)</span>
<span class="n">plt</span><span class="o">.</span><span class="n">show</span><span class="p">()</span>
<span class="n">skplt</span><span class="o">.</span><span class="n">metrics</span><span class="o">.</span><span class="n">plot_cumulative_gain</span><span class="p">(</span><span class="n">y_test</span><span class="p">,</span> <span class="n">y_probas</span><span class="p">)</span>
<span class="n">plt</span><span class="o">.</span><span class="n">show</span><span class="p">()</span>
</pre></div>
</div>
</div>
</div>
</section>
</section>
<section id="gradient-boosting-basics-with-steepest-descent-functional-gradient-descent">
<h2><span class="section-number">10.6. </span>Gradient boosting: Basics with Steepest Descent/Functional Gradient Descent<a class="headerlink" href="#gradient-boosting-basics-with-steepest-descent-functional-gradient-descent" title="Link to this heading">#</a></h2>
<p>Gradient boosting is again a similar technique to Adaptive boosting,
it combines so-called weak classifiers or regressors into a strong
method via a series of iterations.</p>
<p>In order to understand the method, let us illustrate its basics by
bringing back the essential steps in linear regression, where our cost
function was the least squares function.</p>
<p>We start again with our cost function <span class="math notranslate nohighlight">\(\cal{C}(\boldsymbol{y}m\boldsymbol{f})=\sum_{i=0}^{n-1}\cal{L}(y_i, f(x_i))\)</span> where we want to minimize
This means that for every iteration, we need to optimize</p>
<div class="math notranslate nohighlight">
\[
(\hat{\boldsymbol{f}}) = \mathrm{argmin}_{\boldsymbol{f}}\hspace{0.1cm} \sum_{i=0}^{n-1}(y_i-f(x_i))^2.
\]</div>
<p>We define a real function <span class="math notranslate nohighlight">\(h_m(x)\)</span> that defines our final function <span class="math notranslate nohighlight">\(f_M(x)\)</span> as</p>
<div class="math notranslate nohighlight">
\[
f_M(x) = \sum_{m=0}^M h_m(x).
\]</div>
<p>In the steepest decent approach we approximate <span class="math notranslate nohighlight">\(h_m(x) = -\rho_m g_m(x)\)</span>, where <span class="math notranslate nohighlight">\(\rho_m\)</span> is a scalar and <span class="math notranslate nohighlight">\(g_m(x)\)</span> the gradient defined as</p>
<div class="math notranslate nohighlight">
\[
g_m(x_i) = \left[ \frac{\partial \cal{L}(y_i, f(x_i))}{\partial f(x_i)}\right]_{f(x_i)=f_{m-1}(x_i)}.
\]</div>
<p>With the new gradient we can update <span class="math notranslate nohighlight">\(f_m(x) = f_{m-1}(x) -\rho_m g_m(x)\)</span>. Using the above squared-error function we see that
the gradient is <span class="math notranslate nohighlight">\(g_m(x_i) = -2(y_i-f(x_i))\)</span>.</p>
<p>Choosing <span class="math notranslate nohighlight">\(f_0(x)=0\)</span> we obtain <span class="math notranslate nohighlight">\(g_m(x) = -2y_i\)</span> and inserting this into the minimization problem for the cost function we have</p>
<div class="math notranslate nohighlight">
\[
(\rho_1) = \mathrm{argmin}_{\rho}\hspace{0.1cm} \sum_{i=0}^{n-1}(y_i+2\rho y_i)^2.
\]</div>
<p>Optimizing with respect to <span class="math notranslate nohighlight">\(\rho\)</span> we obtain (taking the derivative) that <span class="math notranslate nohighlight">\(\rho_1 = -1/2\)</span>. We have then that</p>
<div class="math notranslate nohighlight">
\[
f_1(x) = f_{0}(x) -\rho_1 g_1(x)=-y_i.
\]</div>
<p>We can then proceed and compute</p>
<div class="math notranslate nohighlight">
\[
g_2(x_i) = \left[ \frac{\partial \cal{L}(y_i, f(x_i))}{\partial f(x_i)}\right]_{f(x_i)=f_{1}(x_i)=y_i}=-4y_i,
\]</div>
<p>and find a new value for <span class="math notranslate nohighlight">\(\rho_2=-1/2\)</span> and continue till we have reached <span class="math notranslate nohighlight">\(m=M\)</span>. We can modify the steepest descent method, or steepest boosting, by introducing what is called <strong>gradient boosting</strong>.</p>
<p>Steepest descent is however not much used, since it only optimizes <span class="math notranslate nohighlight">\(f\)</span> at a fixed set of <span class="math notranslate nohighlight">\(n\)</span> points,
so we do not learn a function that can generalize. However, we can modify the algorithm by
fitting a weak learner to approximate the negative gradient signal.</p>
<p>Suppose we have a cost function <span class="math notranslate nohighlight">\(C(f)=\sum_{i=0}^{n-1}L(y_i, f(x_i))\)</span> where <span class="math notranslate nohighlight">\(y_i\)</span> is our target and <span class="math notranslate nohighlight">\(f(x_i)\)</span> the function which is meant to model <span class="math notranslate nohighlight">\(y_i\)</span>. The above cost function could be our standard squared-error function</p>
<div class="math notranslate nohighlight">
\[
C(\boldsymbol{y},\boldsymbol{f})=\sum_{i=0}^{n-1}(y_i-f(x_i))^2.
\]</div>
<p>The way we proceed in an iterative fashion is to</p>
<ol class="arabic simple">
<li><p>Initialize our estimate <span class="math notranslate nohighlight">\(f_0(x)\)</span>.</p></li>
<li><p>For <span class="math notranslate nohighlight">\(m=1:M\)</span>, we</p></li>
</ol>
<p>a. compute the negative gradient vector <span class="math notranslate nohighlight">\(\boldsymbol{u}_m = -\partial C(\boldsymbol{y},\boldsymbol{f})/\partial \boldsymbol{f}(x)\)</span> at <span class="math notranslate nohighlight">\(f(x) = f_{m-1}(x)\)</span>;</p>
<p>b. fit the so-called base-learner to the negative gradient <span class="math notranslate nohighlight">\(h_m(u_m,x)\)</span>;</p>
<p>c. update the estimate <span class="math notranslate nohighlight">\(f_m(x) = f_{m-1}(x)+h_m(u_m,x)\)</span>;</p>
<ol class="arabic simple" start="4">
<li><p>The final estimate is then <span class="math notranslate nohighlight">\(f_M(x) = \sum_{m=1}^M h_m(u_m,x)\)</span>.</p></li>
</ol>
</section>
<section id="gradient-boosting-examples-of-regression">
<h2><span class="section-number">10.7. </span>Gradient Boosting, Examples of Regression<a class="headerlink" href="#gradient-boosting-examples-of-regression" title="Link to this heading">#</a></h2>
<div class="cell docutils container">
<div class="cell_input docutils container">
<div class="highlight-ipython3 notranslate"><div class="highlight"><pre><span></span><span class="kn">import</span> <span class="nn">matplotlib.pyplot</span> <span class="k">as</span> <span class="nn">plt</span>
<span class="kn">import</span> <span class="nn">numpy</span> <span class="k">as</span> <span class="nn">np</span>
<span class="kn">from</span> <span class="nn">sklearn.model_selection</span> <span class="kn">import</span> <span class="n">train_test_split</span>
<span class="kn">from</span> <span class="nn">sklearn.ensemble</span> <span class="kn">import</span> <span class="n">GradientBoostingRegressor</span>
<span class="kn">from</span> <span class="nn">sklearn.preprocessing</span> <span class="kn">import</span> <span class="n">StandardScaler</span>
<span class="kn">import</span> <span class="nn">scikitplot</span> <span class="k">as</span> <span class="nn">skplt</span>
<span class="kn">from</span> <span class="nn">sklearn.metrics</span> <span class="kn">import</span> <span class="n">mean_squared_error</span>
<span class="n">n</span> <span class="o">=</span> <span class="mi">100</span>
<span class="n">maxdegree</span> <span class="o">=</span> <span class="mi">6</span>
<span class="c1"># Make data set.</span>
<span class="n">x</span> <span class="o">=</span> <span class="n">np</span><span class="o">.</span><span class="n">linspace</span><span class="p">(</span><span class="o">-</span><span class="mi">3</span><span class="p">,</span> <span class="mi">3</span><span class="p">,</span> <span class="n">n</span><span class="p">)</span><span class="o">.</span><span class="n">reshape</span><span class="p">(</span><span class="o">-</span><span class="mi">1</span><span class="p">,</span> <span class="mi">1</span><span class="p">)</span>
<span class="n">y</span> <span class="o">=</span> <span class="n">np</span><span class="o">.</span><span class="n">exp</span><span class="p">(</span><span class="o">-</span><span class="n">x</span><span class="o">**</span><span class="mi">2</span><span class="p">)</span> <span class="o">+</span> <span class="mf">1.5</span> <span class="o">*</span> <span class="n">np</span><span class="o">.</span><span class="n">exp</span><span class="p">(</span><span class="o">-</span><span class="p">(</span><span class="n">x</span><span class="o">-</span><span class="mi">2</span><span class="p">)</span><span class="o">**</span><span class="mi">2</span><span class="p">)</span><span class="o">+</span> <span class="n">np</span><span class="o">.</span><span class="n">random</span><span class="o">.</span><span class="n">normal</span><span class="p">(</span><span class="mi">0</span><span class="p">,</span> <span class="mf">0.1</span><span class="p">,</span> <span class="n">x</span><span class="o">.</span><span class="n">shape</span><span class="p">)</span>
<span class="n">error</span> <span class="o">=</span> <span class="n">np</span><span class="o">.</span><span class="n">zeros</span><span class="p">(</span><span class="n">maxdegree</span><span class="p">)</span>
<span class="n">bias</span> <span class="o">=</span> <span class="n">np</span><span class="o">.</span><span class="n">zeros</span><span class="p">(</span><span class="n">maxdegree</span><span class="p">)</span>
<span class="n">variance</span> <span class="o">=</span> <span class="n">np</span><span class="o">.</span><span class="n">zeros</span><span class="p">(</span><span class="n">maxdegree</span><span class="p">)</span>
<span class="n">polydegree</span> <span class="o">=</span> <span class="n">np</span><span class="o">.</span><span class="n">zeros</span><span class="p">(</span><span class="n">maxdegree</span><span class="p">)</span>
<span class="n">X_train</span><span class="p">,</span> <span class="n">X_test</span><span class="p">,</span> <span class="n">y_train</span><span class="p">,</span> <span class="n">y_test</span> <span class="o">=</span> <span class="n">train_test_split</span><span class="p">(</span><span class="n">x</span><span class="p">,</span> <span class="n">y</span><span class="p">,</span> <span class="n">test_size</span><span class="o">=</span><span class="mf">0.2</span><span class="p">)</span>
<span class="n">scaler</span> <span class="o">=</span> <span class="n">StandardScaler</span><span class="p">()</span>
<span class="n">scaler</span><span class="o">.</span><span class="n">fit</span><span class="p">(</span><span class="n">X_train</span><span class="p">)</span>
<span class="n">X_train_scaled</span> <span class="o">=</span> <span class="n">scaler</span><span class="o">.</span><span class="n">transform</span><span class="p">(</span><span class="n">X_train</span><span class="p">)</span>
<span class="n">X_test_scaled</span> <span class="o">=</span> <span class="n">scaler</span><span class="o">.</span><span class="n">transform</span><span class="p">(</span><span class="n">X_test</span><span class="p">)</span>
<span class="k">for</span> <span class="n">degree</span> <span class="ow">in</span> <span class="nb">range</span><span class="p">(</span><span class="mi">1</span><span class="p">,</span><span class="n">maxdegree</span><span class="p">):</span>
<span class="n">model</span> <span class="o">=</span> <span class="n">GradientBoostingRegressor</span><span class="p">(</span><span class="n">max_depth</span><span class="o">=</span><span class="n">degree</span><span class="p">,</span> <span class="n">n_estimators</span><span class="o">=</span><span class="mi">100</span><span class="p">,</span> <span class="n">learning_rate</span><span class="o">=</span><span class="mf">1.0</span><span class="p">)</span>
<span class="n">model</span><span class="o">.</span><span class="n">fit</span><span class="p">(</span><span class="n">X_train_scaled</span><span class="p">,</span><span class="n">y_train</span><span class="p">)</span>
<span class="n">y_pred</span> <span class="o">=</span> <span class="n">model</span><span class="o">.</span><span class="n">predict</span><span class="p">(</span><span class="n">X_test_scaled</span><span class="p">)</span>
<span class="n">polydegree</span><span class="p">[</span><span class="n">degree</span><span class="p">]</span> <span class="o">=</span> <span class="n">degree</span>
<span class="n">error</span><span class="p">[</span><span class="n">degree</span><span class="p">]</span> <span class="o">=</span> <span class="n">np</span><span class="o">.</span><span class="n">mean</span><span class="p">(</span> <span class="n">np</span><span class="o">.</span><span class="n">mean</span><span class="p">((</span><span class="n">y_test</span> <span class="o">-</span> <span class="n">y_pred</span><span class="p">)</span><span class="o">**</span><span class="mi">2</span><span class="p">)</span> <span class="p">)</span>
<span class="n">bias</span><span class="p">[</span><span class="n">degree</span><span class="p">]</span> <span class="o">=</span> <span class="n">np</span><span class="o">.</span><span class="n">mean</span><span class="p">(</span> <span class="p">(</span><span class="n">y_test</span> <span class="o">-</span> <span class="n">np</span><span class="o">.</span><span class="n">mean</span><span class="p">(</span><span class="n">y_pred</span><span class="p">))</span><span class="o">**</span><span class="mi">2</span> <span class="p">)</span>
<span class="n">variance</span><span class="p">[</span><span class="n">degree</span><span class="p">]</span> <span class="o">=</span> <span class="n">np</span><span class="o">.</span><span class="n">mean</span><span class="p">(</span> <span class="n">np</span><span class="o">.</span><span class="n">var</span><span class="p">(</span><span class="n">y_pred</span><span class="p">)</span> <span class="p">)</span>
<span class="nb">print</span><span class="p">(</span><span class="s1">&#39;Max depth:&#39;</span><span class="p">,</span> <span class="n">degree</span><span class="p">)</span>
<span class="nb">print</span><span class="p">(</span><span class="s1">&#39;Error:&#39;</span><span class="p">,</span> <span class="n">error</span><span class="p">[</span><span class="n">degree</span><span class="p">])</span>
<span class="nb">print</span><span class="p">(</span><span class="s1">&#39;Bias^2:&#39;</span><span class="p">,</span> <span class="n">bias</span><span class="p">[</span><span class="n">degree</span><span class="p">])</span>
<span class="nb">print</span><span class="p">(</span><span class="s1">&#39;Var:&#39;</span><span class="p">,</span> <span class="n">variance</span><span class="p">[</span><span class="n">degree</span><span class="p">])</span>
<span class="nb">print</span><span class="p">(</span><span class="s1">&#39;</span><span class="si">{}</span><span class="s1"> &gt;= </span><span class="si">{}</span><span class="s1"> + </span><span class="si">{}</span><span class="s1"> = </span><span class="si">{}</span><span class="s1">&#39;</span><span class="o">.</span><span class="n">format</span><span class="p">(</span><span class="n">error</span><span class="p">[</span><span class="n">degree</span><span class="p">],</span> <span class="n">bias</span><span class="p">[</span><span class="n">degree</span><span class="p">],</span> <span class="n">variance</span><span class="p">[</span><span class="n">degree</span><span class="p">],</span> <span class="n">bias</span><span class="p">[</span><span class="n">degree</span><span class="p">]</span><span class="o">+</span><span class="n">variance</span><span class="p">[</span><span class="n">degree</span><span class="p">]))</span>
<span class="n">plt</span><span class="o">.</span><span class="n">xlim</span><span class="p">(</span><span class="mi">1</span><span class="p">,</span><span class="n">maxdegree</span><span class="o">-</span><span class="mi">1</span><span class="p">)</span>
<span class="n">plt</span><span class="o">.</span><span class="n">plot</span><span class="p">(</span><span class="n">polydegree</span><span class="p">,</span> <span class="n">error</span><span class="p">,</span> <span class="n">label</span><span class="o">=</span><span class="s1">&#39;Error&#39;</span><span class="p">)</span>
<span class="n">plt</span><span class="o">.</span><span class="n">plot</span><span class="p">(</span><span class="n">polydegree</span><span class="p">,</span> <span class="n">bias</span><span class="p">,</span> <span class="n">label</span><span class="o">=</span><span class="s1">&#39;bias&#39;</span><span class="p">)</span>
<span class="n">plt</span><span class="o">.</span><span class="n">plot</span><span class="p">(</span><span class="n">polydegree</span><span class="p">,</span> <span class="n">variance</span><span class="p">,</span> <span class="n">label</span><span class="o">=</span><span class="s1">&#39;Variance&#39;</span><span class="p">)</span>
<span class="n">plt</span><span class="o">.</span><span class="n">legend</span><span class="p">()</span>
<span class="n">save_fig</span><span class="p">(</span><span class="s2">&quot;gdregression&quot;</span><span class="p">)</span>
<span class="n">plt</span><span class="o">.</span><span class="n">show</span><span class="p">()</span>
</pre></div>
</div>
</div>
</div>
</section>
<section id="gradient-boosting-classification-example">
<h2><span class="section-number">10.8. </span>Gradient Boosting, Classification Example<a class="headerlink" href="#gradient-boosting-classification-example" title="Link to this heading">#</a></h2>
<div class="cell docutils container">
<div class="cell_input docutils container">
<div class="highlight-ipython3 notranslate"><div class="highlight"><pre><span></span><span class="kn">import</span> <span class="nn">matplotlib.pyplot</span> <span class="k">as</span> <span class="nn">plt</span>
<span class="kn">import</span> <span class="nn">numpy</span> <span class="k">as</span> <span class="nn">np</span>
<span class="kn">from</span> <span class="nn">sklearn.model_selection</span> <span class="kn">import</span> <span class="n">train_test_split</span>
<span class="kn">from</span> <span class="nn">sklearn.datasets</span> <span class="kn">import</span> <span class="n">load_breast_cancer</span>
<span class="kn">import</span> <span class="nn">scikitplot</span> <span class="k">as</span> <span class="nn">skplt</span>
<span class="kn">from</span> <span class="nn">sklearn.ensemble</span> <span class="kn">import</span> <span class="n">GradientBoostingClassifier</span>
<span class="kn">from</span> <span class="nn">sklearn.model_selection</span> <span class="kn">import</span> <span class="n">cross_validate</span>
<span class="c1"># Load the data</span>
<span class="n">cancer</span> <span class="o">=</span> <span class="n">load_breast_cancer</span><span class="p">()</span>
<span class="n">X_train</span><span class="p">,</span> <span class="n">X_test</span><span class="p">,</span> <span class="n">y_train</span><span class="p">,</span> <span class="n">y_test</span> <span class="o">=</span> <span class="n">train_test_split</span><span class="p">(</span><span class="n">cancer</span><span class="o">.</span><span class="n">data</span><span class="p">,</span><span class="n">cancer</span><span class="o">.</span><span class="n">target</span><span class="p">,</span><span class="n">random_state</span><span class="o">=</span><span class="mi">0</span><span class="p">)</span>
<span class="nb">print</span><span class="p">(</span><span class="n">X_train</span><span class="o">.</span><span class="n">shape</span><span class="p">)</span>
<span class="nb">print</span><span class="p">(</span><span class="n">X_test</span><span class="o">.</span><span class="n">shape</span><span class="p">)</span>
<span class="c1">#now scale the data</span>
<span class="kn">from</span> <span class="nn">sklearn.preprocessing</span> <span class="kn">import</span> <span class="n">StandardScaler</span>
<span class="n">scaler</span> <span class="o">=</span> <span class="n">StandardScaler</span><span class="p">()</span>
<span class="n">scaler</span><span class="o">.</span><span class="n">fit</span><span class="p">(</span><span class="n">X_train</span><span class="p">)</span>
<span class="n">X_train_scaled</span> <span class="o">=</span> <span class="n">scaler</span><span class="o">.</span><span class="n">transform</span><span class="p">(</span><span class="n">X_train</span><span class="p">)</span>
<span class="n">X_test_scaled</span> <span class="o">=</span> <span class="n">scaler</span><span class="o">.</span><span class="n">transform</span><span class="p">(</span><span class="n">X_test</span><span class="p">)</span>
<span class="n">gd_clf</span> <span class="o">=</span> <span class="n">GradientBoostingClassifier</span><span class="p">(</span><span class="n">max_depth</span><span class="o">=</span><span class="mi">3</span><span class="p">,</span> <span class="n">n_estimators</span><span class="o">=</span><span class="mi">100</span><span class="p">,</span> <span class="n">learning_rate</span><span class="o">=</span><span class="mf">1.0</span><span class="p">)</span>
<span class="n">gd_clf</span><span class="o">.</span><span class="n">fit</span><span class="p">(</span><span class="n">X_train_scaled</span><span class="p">,</span> <span class="n">y_train</span><span class="p">)</span>
<span class="c1">#Cross validation</span>
<span class="n">accuracy</span> <span class="o">=</span> <span class="n">cross_validate</span><span class="p">(</span><span class="n">gd_clf</span><span class="p">,</span><span class="n">X_test_scaled</span><span class="p">,</span><span class="n">y_test</span><span class="p">,</span><span class="n">cv</span><span class="o">=</span><span class="mi">10</span><span class="p">)[</span><span class="s1">&#39;test_score&#39;</span><span class="p">]</span>
<span class="nb">print</span><span class="p">(</span><span class="n">accuracy</span><span class="p">)</span>
<span class="nb">print</span><span class="p">(</span><span class="s2">&quot;Test set accuracy with Random Forests and scaled data: </span><span class="si">{:.2f}</span><span class="s2">&quot;</span><span class="o">.</span><span class="n">format</span><span class="p">(</span><span class="n">gd_clf</span><span class="o">.</span><span class="n">score</span><span class="p">(</span><span class="n">X_test_scaled</span><span class="p">,</span><span class="n">y_test</span><span class="p">)))</span>
<span class="kn">import</span> <span class="nn">scikitplot</span> <span class="k">as</span> <span class="nn">skplt</span>
<span class="n">y_pred</span> <span class="o">=</span> <span class="n">gd_clf</span><span class="o">.</span><span class="n">predict</span><span class="p">(</span><span class="n">X_test_scaled</span><span class="p">)</span>
<span class="n">skplt</span><span class="o">.</span><span class="n">metrics</span><span class="o">.</span><span class="n">plot_confusion_matrix</span><span class="p">(</span><span class="n">y_test</span><span class="p">,</span> <span class="n">y_pred</span><span class="p">,</span> <span class="n">normalize</span><span class="o">=</span><span class="kc">True</span><span class="p">)</span>
<span class="n">save_fig</span><span class="p">(</span><span class="s2">&quot;gdclassiffierconfusion&quot;</span><span class="p">)</span>
<span class="n">plt</span><span class="o">.</span><span class="n">show</span><span class="p">()</span>
<span class="n">y_probas</span> <span class="o">=</span> <span class="n">gd_clf</span><span class="o">.</span><span class="n">predict_proba</span><span class="p">(</span><span class="n">X_test_scaled</span><span class="p">)</span>
<span class="n">skplt</span><span class="o">.</span><span class="n">metrics</span><span class="o">.</span><span class="n">plot_roc</span><span class="p">(</span><span class="n">y_test</span><span class="p">,</span> <span class="n">y_probas</span><span class="p">)</span>
<span class="n">save_fig</span><span class="p">(</span><span class="s2">&quot;gdclassiffierroc&quot;</span><span class="p">)</span>
<span class="n">plt</span><span class="o">.</span><span class="n">show</span><span class="p">()</span>
<span class="n">skplt</span><span class="o">.</span><span class="n">metrics</span><span class="o">.</span><span class="n">plot_cumulative_gain</span><span class="p">(</span><span class="n">y_test</span><span class="p">,</span> <span class="n">y_probas</span><span class="p">)</span>
<span class="n">save_fig</span><span class="p">(</span><span class="s2">&quot;gdclassiffiercgain&quot;</span><span class="p">)</span>
<span class="n">plt</span><span class="o">.</span><span class="n">show</span><span class="p">()</span>
</pre></div>
</div>
</div>
</div>
</section>
<section id="xgboost-extreme-gradient-boosting">
<h2><span class="section-number">10.9. </span>XGBoost: Extreme Gradient Boosting<a class="headerlink" href="#xgboost-extreme-gradient-boosting" title="Link to this heading">#</a></h2>
<p><a class="reference external" href="https://github.com/dmlc/xgboost">XGBoost</a> or Extreme Gradient
Boosting, is an optimized distributed gradient boosting library
designed to be highly efficient, flexible and portable. It implements
machine learning algorithms under the Gradient Boosting
framework. XGBoost provides a parallel tree boosting that solve many
data science problems in a fast and accurate way. See the <a class="reference external" href="https://arxiv.org/abs/1603.02754">article by Chen and Guestrin</a>.</p>
<p>The authors design and build a highly scalable end-to-end tree
boosting system. It has a theoretically justified weighted quantile
sketch for efficient proposal calculation. It introduces a novel sparsity-aware algorithm for parallel tree learning and an effective cache-aware block structure for out-of-core tree learning.</p>
<p>It is now the algorithm which wins essentially all ML competitions!!!</p>
</section>
<section id="regression-case">
<h2><span class="section-number">10.10. </span>Regression Case<a class="headerlink" href="#regression-case" title="Link to this heading">#</a></h2>
<div class="cell docutils container">
<div class="cell_input docutils container">
<div class="highlight-ipython3 notranslate"><div class="highlight"><pre><span></span><span class="kn">import</span> <span class="nn">matplotlib.pyplot</span> <span class="k">as</span> <span class="nn">plt</span>
<span class="kn">import</span> <span class="nn">numpy</span> <span class="k">as</span> <span class="nn">np</span>
<span class="kn">from</span> <span class="nn">sklearn.model_selection</span> <span class="kn">import</span> <span class="n">train_test_split</span>
<span class="kn">import</span> <span class="nn">xgboost</span> <span class="k">as</span> <span class="nn">xgb</span>
<span class="kn">from</span> <span class="nn">sklearn.preprocessing</span> <span class="kn">import</span> <span class="n">StandardScaler</span>
<span class="kn">import</span> <span class="nn">scikitplot</span> <span class="k">as</span> <span class="nn">skplt</span>
<span class="kn">from</span> <span class="nn">sklearn.metrics</span> <span class="kn">import</span> <span class="n">mean_squared_error</span>
<span class="n">n</span> <span class="o">=</span> <span class="mi">100</span>
<span class="n">maxdegree</span> <span class="o">=</span> <span class="mi">6</span>
<span class="c1"># Make data set.</span>
<span class="n">x</span> <span class="o">=</span> <span class="n">np</span><span class="o">.</span><span class="n">linspace</span><span class="p">(</span><span class="o">-</span><span class="mi">3</span><span class="p">,</span> <span class="mi">3</span><span class="p">,</span> <span class="n">n</span><span class="p">)</span><span class="o">.</span><span class="n">reshape</span><span class="p">(</span><span class="o">-</span><span class="mi">1</span><span class="p">,</span> <span class="mi">1</span><span class="p">)</span>
<span class="n">y</span> <span class="o">=</span> <span class="n">np</span><span class="o">.</span><span class="n">exp</span><span class="p">(</span><span class="o">-</span><span class="n">x</span><span class="o">**</span><span class="mi">2</span><span class="p">)</span> <span class="o">+</span> <span class="mf">1.5</span> <span class="o">*</span> <span class="n">np</span><span class="o">.</span><span class="n">exp</span><span class="p">(</span><span class="o">-</span><span class="p">(</span><span class="n">x</span><span class="o">-</span><span class="mi">2</span><span class="p">)</span><span class="o">**</span><span class="mi">2</span><span class="p">)</span><span class="o">+</span> <span class="n">np</span><span class="o">.</span><span class="n">random</span><span class="o">.</span><span class="n">normal</span><span class="p">(</span><span class="mi">0</span><span class="p">,</span> <span class="mf">0.1</span><span class="p">,</span> <span class="n">x</span><span class="o">.</span><span class="n">shape</span><span class="p">)</span>
<span class="n">error</span> <span class="o">=</span> <span class="n">np</span><span class="o">.</span><span class="n">zeros</span><span class="p">(</span><span class="n">maxdegree</span><span class="p">)</span>
<span class="n">bias</span> <span class="o">=</span> <span class="n">np</span><span class="o">.</span><span class="n">zeros</span><span class="p">(</span><span class="n">maxdegree</span><span class="p">)</span>
<span class="n">variance</span> <span class="o">=</span> <span class="n">np</span><span class="o">.</span><span class="n">zeros</span><span class="p">(</span><span class="n">maxdegree</span><span class="p">)</span>
<span class="n">polydegree</span> <span class="o">=</span> <span class="n">np</span><span class="o">.</span><span class="n">zeros</span><span class="p">(</span><span class="n">maxdegree</span><span class="p">)</span>
<span class="n">X_train</span><span class="p">,</span> <span class="n">X_test</span><span class="p">,</span> <span class="n">y_train</span><span class="p">,</span> <span class="n">y_test</span> <span class="o">=</span> <span class="n">train_test_split</span><span class="p">(</span><span class="n">x</span><span class="p">,</span> <span class="n">y</span><span class="p">,</span> <span class="n">test_size</span><span class="o">=</span><span class="mf">0.2</span><span class="p">)</span>
<span class="n">scaler</span> <span class="o">=</span> <span class="n">StandardScaler</span><span class="p">()</span>
<span class="n">scaler</span><span class="o">.</span><span class="n">fit</span><span class="p">(</span><span class="n">X_train</span><span class="p">)</span>
<span class="n">X_train_scaled</span> <span class="o">=</span> <span class="n">scaler</span><span class="o">.</span><span class="n">transform</span><span class="p">(</span><span class="n">X_train</span><span class="p">)</span>
<span class="n">X_test_scaled</span> <span class="o">=</span> <span class="n">scaler</span><span class="o">.</span><span class="n">transform</span><span class="p">(</span><span class="n">X_test</span><span class="p">)</span>
<span class="k">for</span> <span class="n">degree</span> <span class="ow">in</span> <span class="nb">range</span><span class="p">(</span><span class="n">maxdegree</span><span class="p">):</span>
<span class="n">model</span> <span class="o">=</span> <span class="n">xgb</span><span class="o">.</span><span class="n">XGBRegressor</span><span class="p">(</span><span class="n">objective</span> <span class="o">=</span><span class="s1">&#39;reg:squarederror&#39;</span><span class="p">,</span> <span class="n">colsaobjective</span> <span class="o">=</span><span class="s1">&#39;reg:squarederror&#39;</span><span class="p">,</span> <span class="n">colsample_bytree</span> <span class="o">=</span> <span class="mf">0.3</span><span class="p">,</span> <span class="n">learning_rate</span> <span class="o">=</span> <span class="mf">0.1</span><span class="p">,</span><span class="n">max_depth</span> <span class="o">=</span> <span class="n">degree</span><span class="p">,</span> <span class="n">alpha</span> <span class="o">=</span> <span class="mi">10</span><span class="p">,</span> <span class="n">n_estimators</span> <span class="o">=</span> <span class="mi">200</span><span class="p">)</span>
<span class="n">model</span><span class="o">.</span><span class="n">fit</span><span class="p">(</span><span class="n">X_train_scaled</span><span class="p">,</span><span class="n">y_train</span><span class="p">)</span>
<span class="n">y_pred</span> <span class="o">=</span> <span class="n">model</span><span class="o">.</span><span class="n">predict</span><span class="p">(</span><span class="n">X_test_scaled</span><span class="p">)</span>
<span class="n">polydegree</span><span class="p">[</span><span class="n">degree</span><span class="p">]</span> <span class="o">=</span> <span class="n">degree</span>
<span class="n">error</span><span class="p">[</span><span class="n">degree</span><span class="p">]</span> <span class="o">=</span> <span class="n">np</span><span class="o">.</span><span class="n">mean</span><span class="p">(</span> <span class="n">np</span><span class="o">.</span><span class="n">mean</span><span class="p">((</span><span class="n">y_test</span> <span class="o">-</span> <span class="n">y_pred</span><span class="p">)</span><span class="o">**</span><span class="mi">2</span><span class="p">)</span> <span class="p">)</span>
<span class="n">bias</span><span class="p">[</span><span class="n">degree</span><span class="p">]</span> <span class="o">=</span> <span class="n">np</span><span class="o">.</span><span class="n">mean</span><span class="p">(</span> <span class="p">(</span><span class="n">y_test</span> <span class="o">-</span> <span class="n">np</span><span class="o">.</span><span class="n">mean</span><span class="p">(</span><span class="n">y_pred</span><span class="p">))</span><span class="o">**</span><span class="mi">2</span> <span class="p">)</span>
<span class="n">variance</span><span class="p">[</span><span class="n">degree</span><span class="p">]</span> <span class="o">=</span> <span class="n">np</span><span class="o">.</span><span class="n">mean</span><span class="p">(</span> <span class="n">np</span><span class="o">.</span><span class="n">var</span><span class="p">(</span><span class="n">y_pred</span><span class="p">)</span> <span class="p">)</span>
<span class="nb">print</span><span class="p">(</span><span class="s1">&#39;Max depth:&#39;</span><span class="p">,</span> <span class="n">degree</span><span class="p">)</span>
<span class="nb">print</span><span class="p">(</span><span class="s1">&#39;Error:&#39;</span><span class="p">,</span> <span class="n">error</span><span class="p">[</span><span class="n">degree</span><span class="p">])</span>
<span class="nb">print</span><span class="p">(</span><span class="s1">&#39;Bias^2:&#39;</span><span class="p">,</span> <span class="n">bias</span><span class="p">[</span><span class="n">degree</span><span class="p">])</span>
<span class="nb">print</span><span class="p">(</span><span class="s1">&#39;Var:&#39;</span><span class="p">,</span> <span class="n">variance</span><span class="p">[</span><span class="n">degree</span><span class="p">])</span>
<span class="nb">print</span><span class="p">(</span><span class="s1">&#39;</span><span class="si">{}</span><span class="s1"> &gt;= </span><span class="si">{}</span><span class="s1"> + </span><span class="si">{}</span><span class="s1"> = </span><span class="si">{}</span><span class="s1">&#39;</span><span class="o">.</span><span class="n">format</span><span class="p">(</span><span class="n">error</span><span class="p">[</span><span class="n">degree</span><span class="p">],</span> <span class="n">bias</span><span class="p">[</span><span class="n">degree</span><span class="p">],</span> <span class="n">variance</span><span class="p">[</span><span class="n">degree</span><span class="p">],</span> <span class="n">bias</span><span class="p">[</span><span class="n">degree</span><span class="p">]</span><span class="o">+</span><span class="n">variance</span><span class="p">[</span><span class="n">degree</span><span class="p">]))</span>
<span class="n">plt</span><span class="o">.</span><span class="n">xlim</span><span class="p">(</span><span class="mi">1</span><span class="p">,</span><span class="n">maxdegree</span><span class="o">-</span><span class="mi">1</span><span class="p">)</span>
<span class="n">plt</span><span class="o">.</span><span class="n">plot</span><span class="p">(</span><span class="n">polydegree</span><span class="p">,</span> <span class="n">error</span><span class="p">,</span> <span class="n">label</span><span class="o">=</span><span class="s1">&#39;Error&#39;</span><span class="p">)</span>
<span class="n">plt</span><span class="o">.</span><span class="n">plot</span><span class="p">(</span><span class="n">polydegree</span><span class="p">,</span> <span class="n">bias</span><span class="p">,</span> <span class="n">label</span><span class="o">=</span><span class="s1">&#39;bias&#39;</span><span class="p">)</span>
<span class="n">plt</span><span class="o">.</span><span class="n">plot</span><span class="p">(</span><span class="n">polydegree</span><span class="p">,</span> <span class="n">variance</span><span class="p">,</span> <span class="n">label</span><span class="o">=</span><span class="s1">&#39;Variance&#39;</span><span class="p">)</span>
<span class="n">plt</span><span class="o">.</span><span class="n">legend</span><span class="p">()</span>
<span class="n">plt</span><span class="o">.</span><span class="n">show</span><span class="p">()</span>
</pre></div>
</div>
</div>
</div>
<p>As you will see from the confusion matrix below, XGBoots does an excellent job on the Wisconsin cancer data and outperforms essentially all agorithms we have discussed till now.</p>
<div class="cell docutils container">
<div class="cell_input docutils container">
<div class="highlight-ipython3 notranslate"><div class="highlight"><pre><span></span><span class="kn">import</span> <span class="nn">matplotlib.pyplot</span> <span class="k">as</span> <span class="nn">plt</span>
<span class="kn">import</span> <span class="nn">numpy</span> <span class="k">as</span> <span class="nn">np</span>
<span class="kn">from</span> <span class="nn">sklearn.model_selection</span> <span class="kn">import</span> <span class="n">train_test_split</span>
<span class="kn">from</span> <span class="nn">sklearn.datasets</span> <span class="kn">import</span> <span class="n">load_breast_cancer</span>
<span class="kn">from</span> <span class="nn">sklearn.preprocessing</span> <span class="kn">import</span> <span class="n">LabelEncoder</span>
<span class="kn">from</span> <span class="nn">sklearn.model_selection</span> <span class="kn">import</span> <span class="n">cross_validate</span>
<span class="kn">import</span> <span class="nn">scikitplot</span> <span class="k">as</span> <span class="nn">skplt</span>
<span class="kn">import</span> <span class="nn">xgboost</span> <span class="k">as</span> <span class="nn">xgb</span>
<span class="c1"># Load the data</span>
<span class="n">cancer</span> <span class="o">=</span> <span class="n">load_breast_cancer</span><span class="p">()</span>
<span class="n">X_train</span><span class="p">,</span> <span class="n">X_test</span><span class="p">,</span> <span class="n">y_train</span><span class="p">,</span> <span class="n">y_test</span> <span class="o">=</span> <span class="n">train_test_split</span><span class="p">(</span><span class="n">cancer</span><span class="o">.</span><span class="n">data</span><span class="p">,</span><span class="n">cancer</span><span class="o">.</span><span class="n">target</span><span class="p">,</span><span class="n">random_state</span><span class="o">=</span><span class="mi">0</span><span class="p">)</span>
<span class="nb">print</span><span class="p">(</span><span class="n">X_train</span><span class="o">.</span><span class="n">shape</span><span class="p">)</span>
<span class="nb">print</span><span class="p">(</span><span class="n">X_test</span><span class="o">.</span><span class="n">shape</span><span class="p">)</span>
<span class="c1">#now scale the data</span>
<span class="kn">from</span> <span class="nn">sklearn.preprocessing</span> <span class="kn">import</span> <span class="n">StandardScaler</span>
<span class="n">scaler</span> <span class="o">=</span> <span class="n">StandardScaler</span><span class="p">()</span>
<span class="n">scaler</span><span class="o">.</span><span class="n">fit</span><span class="p">(</span><span class="n">X_train</span><span class="p">)</span>
<span class="n">X_train_scaled</span> <span class="o">=</span> <span class="n">scaler</span><span class="o">.</span><span class="n">transform</span><span class="p">(</span><span class="n">X_train</span><span class="p">)</span>
<span class="n">X_test_scaled</span> <span class="o">=</span> <span class="n">scaler</span><span class="o">.</span><span class="n">transform</span><span class="p">(</span><span class="n">X_test</span><span class="p">)</span>
<span class="n">xg_clf</span> <span class="o">=</span> <span class="n">xgb</span><span class="o">.</span><span class="n">XGBClassifier</span><span class="p">()</span>
<span class="n">xg_clf</span><span class="o">.</span><span class="n">fit</span><span class="p">(</span><span class="n">X_train_scaled</span><span class="p">,</span><span class="n">y_train</span><span class="p">)</span>
<span class="n">y_test</span> <span class="o">=</span> <span class="n">xg_clf</span><span class="o">.</span><span class="n">predict</span><span class="p">(</span><span class="n">X_test_scaled</span><span class="p">)</span>
<span class="nb">print</span><span class="p">(</span><span class="s2">&quot;Test set accuracy with Random Forests and scaled data: </span><span class="si">{:.2f}</span><span class="s2">&quot;</span><span class="o">.</span><span class="n">format</span><span class="p">(</span><span class="n">xg_clf</span><span class="o">.</span><span class="n">score</span><span class="p">(</span><span class="n">X_test_scaled</span><span class="p">,</span><span class="n">y_test</span><span class="p">)))</span>
<span class="kn">import</span> <span class="nn">scikitplot</span> <span class="k">as</span> <span class="nn">skplt</span>
<span class="n">y_pred</span> <span class="o">=</span> <span class="n">xg_clf</span><span class="o">.</span><span class="n">predict</span><span class="p">(</span><span class="n">X_test_scaled</span><span class="p">)</span>
<span class="n">skplt</span><span class="o">.</span><span class="n">metrics</span><span class="o">.</span><span class="n">plot_confusion_matrix</span><span class="p">(</span><span class="n">y_test</span><span class="p">,</span> <span class="n">y_pred</span><span class="p">,</span> <span class="n">normalize</span><span class="o">=</span><span class="kc">True</span><span class="p">)</span>
<span class="n">save_fig</span><span class="p">(</span><span class="s2">&quot;xdclassiffierconfusion&quot;</span><span class="p">)</span>
<span class="n">plt</span><span class="o">.</span><span class="n">show</span><span class="p">()</span>
<span class="n">y_probas</span> <span class="o">=</span> <span class="n">xg_clf</span><span class="o">.</span><span class="n">predict_proba</span><span class="p">(</span><span class="n">X_test_scaled</span><span class="p">)</span>
<span class="n">skplt</span><span class="o">.</span><span class="n">metrics</span><span class="o">.</span><span class="n">plot_roc</span><span class="p">(</span><span class="n">y_test</span><span class="p">,</span> <span class="n">y_probas</span><span class="p">)</span>
<span class="n">save_fig</span><span class="p">(</span><span class="s2">&quot;xdclassiffierroc&quot;</span><span class="p">)</span>
<span class="n">plt</span><span class="o">.</span><span class="n">show</span><span class="p">()</span>
<span class="n">skplt</span><span class="o">.</span><span class="n">metrics</span><span class="o">.</span><span class="n">plot_cumulative_gain</span><span class="p">(</span><span class="n">y_test</span><span class="p">,</span> <span class="n">y_probas</span><span class="p">)</span>
<span class="n">save_fig</span><span class="p">(</span><span class="s2">&quot;gdclassiffiercgain&quot;</span><span class="p">)</span>
<span class="n">plt</span><span class="o">.</span><span class="n">show</span><span class="p">()</span>
<span class="n">xgb</span><span class="o">.</span><span class="n">plot_tree</span><span class="p">(</span><span class="n">xg_clf</span><span class="p">,</span><span class="n">num_trees</span><span class="o">=</span><span class="mi">0</span><span class="p">)</span>
<span class="n">plt</span><span class="o">.</span><span class="n">rcParams</span><span class="p">[</span><span class="s1">&#39;figure.figsize&#39;</span><span class="p">]</span> <span class="o">=</span> <span class="p">[</span><span class="mi">50</span><span class="p">,</span> <span class="mi">10</span><span class="p">]</span>
<span class="n">save_fig</span><span class="p">(</span><span class="s2">&quot;xgtree&quot;</span><span class="p">)</span>
<span class="n">plt</span><span class="o">.</span><span class="n">show</span><span class="p">()</span>
<span class="n">xgb</span><span class="o">.</span><span class="n">plot_importance</span><span class="p">(</span><span class="n">xg_clf</span><span class="p">)</span>
<span class="n">plt</span><span class="o">.</span><span class="n">rcParams</span><span class="p">[</span><span class="s1">&#39;figure.figsize&#39;</span><span class="p">]</span> <span class="o">=</span> <span class="p">[</span><span class="mi">5</span><span class="p">,</span> <span class="mi">5</span><span class="p">]</span>
<span class="n">save_fig</span><span class="p">(</span><span class="s2">&quot;xgparams&quot;</span><span class="p">)</span>
<span class="n">plt</span><span class="o">.</span><span class="n">show</span><span class="p">()</span>
</pre></div>
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<li class="toc-h2 nav-item toc-entry"><a class="reference internal nav-link" href="#an-overview-of-ensemble-methods">10.1. An Overview of Ensemble Methods</a></li>
<li class="toc-h2 nav-item toc-entry"><a class="reference internal nav-link" href="#bagging">10.2. Bagging</a></li>
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<li class="toc-h3 nav-item toc-entry"><a class="reference internal nav-link" href="#making-your-own-bootstrap-changing-the-level-of-the-decision-tree">10.3.1. Making your own Bootstrap: Changing the Level of the Decision Tree</a></li>
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<li class="toc-h3 nav-item toc-entry"><a class="reference internal nav-link" href="#iterative-fitting-regression-and-squared-error-cost-function">10.5.1. Iterative Fitting, Regression and Squared-error Cost Function</a></li>
<li class="toc-h3 nav-item toc-entry"><a class="reference internal nav-link" href="#iterative-fitting-classification-and-adaboost">10.5.2. Iterative Fitting, Classification and AdaBoost</a></li>
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<li class="toc-h2 nav-item toc-entry"><a class="reference internal nav-link" href="#gradient-boosting-examples-of-regression">10.7. Gradient Boosting, Examples of Regression</a></li>
<li class="toc-h2 nav-item toc-entry"><a class="reference internal nav-link" href="#gradient-boosting-classification-example">10.8. Gradient Boosting, Classification Example</a></li>
<li class="toc-h2 nav-item toc-entry"><a class="reference internal nav-link" href="#xgboost-extreme-gradient-boosting">10.9. XGBoost: Extreme Gradient Boosting</a></li>
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