The algorithm in GradientFeatureSelector comes from Feature Gradients: Scalable Feature Selection via Discrete Relaxation.
GradientFeatureSelector, a gradient-based search algorithm for feature selection.
1) This approach extends a recent result on the estimation of learnability in the sublinear data regime by showing that the calculation can be performed iteratively (i.e., in mini-batches) and in linear time and space with respect to both the number of features D and the sample size N.
This, along with a discrete-to-continuous relaxation of the search domain, allows for an efficient, gradient-based search algorithm among feature subsets for very large datasets.
Crucially, this algorithm is capable of finding higher-order correlations between features and targets for both the N > D and N < D regimes, as opposed to approaches that do not consider such interactions and/or only consider one regime.
from nni.algorithms.feature_engineering.gradient_selector import FeatureGradientSelector # load data ... X_train, X_test, y_train, y_test = train_test_split(X, y, test_size=0.33, random_state=42) # initlize a selector fgs = FeatureGradientSelector(n_features=10) # fit data fgs.fit(X_train, y_train) # get improtant features # will return the index with important feature here. print(fgs.get_selected_features()) ...
And you could reference the examples in
Parameters of class FeatureGradientSelector constructor
order (int, optional, default = 4) - What order of interactions to include. Higher orders may be more accurate but increase the run time. 12 is the maximum allowed order.
penalty (int, optional, default = 1) - Constant that multiplies the regularization term.
n_features (int, optional, default = None) - If None, will automatically choose number of features based on search. Otherwise, the number of top features to select.
max_features (int, optional, default = None) - If not None, will use the 'elbow method' to determine the number of features with max_features as the upper limit.
learning_rate (float, optional, default = 1e-1) - learning rate
init (zero, on, off, onhigh, offhigh, or sklearn, optional, default = zero) - How to initialize the vector of scores. 'zero' is the default.
n_epochs (int, optional, default = 1) - number of epochs to run
shuffle (bool, optional, default = True) - Shuffle "rows" prior to an epoch.
batch_size (int, optional, default = 1000) - Nnumber of "rows" to process at a time.
target_batch_size (int, optional, default = 1000) - Number of "rows" to accumulate gradients over. Useful when many rows will not fit into memory but are needed for accurate estimation.
classification (bool, optional, default = True) - If True, problem is classification, else regression.
ordinal (bool, optional, default = True) - If True, problem is ordinal classification. Requires classification to be True.
balanced (bool, optional, default = True) - If true, each class is weighted equally in optimization, otherwise weighted is done via support of each class. Requires classification to be True.
prerocess (str, optional, default = 'zscore') - 'zscore' which refers to centering and normalizing data to unit variance or 'center' which only centers the data to 0 mean.
soft_grouping (bool, optional, default = True) - If True, groups represent features that come from the same source. Used to encourage sparsity of groups and features within groups.
verbose (int, optional, default = 0) - Controls the verbosity when fitting. Set to 0 for no printing 1 or higher for printing every verbose number of gradient steps.
device (str, optional, default = 'cpu') - 'cpu' to run on CPU and 'cuda' to run on GPU. Runs much faster on GPU
Requirement of fit FuncArgs
X (array-like, require) - The training input samples which shape = [n_samples, n_features]. np.ndarry recommended.
y (array-like, require) - The target values (class labels in classification, real numbers in regression) which shape = [n_samples]. np.ndarry recommended.
groups (array-like, optional, default = None) - Groups of columns that must be selected as a unit. e.g. [0, 0, 1, 2] specifies the first two columns are part of a group. Which shape is [n_features].
Requirement of get_selected_features FuncArgs
For now, the
get_selected_featuresfunction has no parameters.