import pytest import scipy import numpy as np from numpy.testing import assert_array_equal from sklearn.preprocessing import StandardScaler from sklearn.pipeline import make_pipeline from sklearn.feature_selection import SequentialFeatureSelector from sklearn.datasets import make_regression, make_blobs from sklearn.linear_model import LinearRegression from sklearn.ensemble import HistGradientBoostingRegressor from sklearn.model_selection import cross_val_score from sklearn.cluster import KMeans def test_bad_n_features_to_select(): n_features = 5 X, y = make_regression(n_features=n_features) sfs = SequentialFeatureSelector(LinearRegression(), n_features_to_select=n_features) with pytest.raises(ValueError, match="n_features_to_select must be either"): sfs.fit(X, y) @pytest.mark.filterwarnings("ignore:Leaving `n_features_to_select` to ") @pytest.mark.parametrize("direction", ("forward", "backward")) @pytest.mark.parametrize("n_features_to_select", (1, 5, 9, "auto")) def test_n_features_to_select(direction, n_features_to_select): # Make sure n_features_to_select is respected n_features = 10 X, y = make_regression(n_features=n_features, random_state=0) sfs = SequentialFeatureSelector( LinearRegression(), n_features_to_select=n_features_to_select, direction=direction, cv=2, ) sfs.fit(X, y) if n_features_to_select in ("auto", None): n_features_to_select = n_features // 2 assert sfs.get_support(indices=True).shape[0] == n_features_to_select assert sfs.n_features_to_select_ == n_features_to_select assert sfs.transform(X).shape[1] == n_features_to_select @pytest.mark.parametrize("direction", ("forward", "backward")) def test_n_features_to_select_auto(direction): """Check the behaviour of `n_features_to_select="auto"` with different values for the parameter `tol`. """ n_features = 10 tol = 1e-3 X, y = make_regression(n_features=n_features, random_state=0) sfs = SequentialFeatureSelector( LinearRegression(), n_features_to_select="auto", tol=tol, direction=direction, cv=2, ) sfs.fit(X, y) max_features_to_select = n_features - 1 assert sfs.get_support(indices=True).shape[0] <= max_features_to_select assert sfs.n_features_to_select_ <= max_features_to_select assert sfs.transform(X).shape[1] <= max_features_to_select assert sfs.get_support(indices=True).shape[0] == sfs.n_features_to_select_ @pytest.mark.parametrize("direction", ("forward", "backward")) def test_n_features_to_select_stopping_criterion(direction): """Check the behaviour stopping criterion for feature selection depending on the values of `n_features_to_select` and `tol`. When `direction` is `'forward'`, select a new features at random among those not currently selected in selector.support_, build a new version of the data that includes all the features in selector.support_ + this newly selected feature. And check that the cross-validation score of the model trained on this new dataset variant is lower than the model with the selected forward selected features or at least does not improve by more than the tol margin. When `direction` is `'backward'`, instead of adding a new feature to selector.support_, try to remove one of those selected features at random And check that the cross-validation score is either decreasing or not improving by more than the tol margin. """ X, y = make_regression(n_features=50, n_informative=10, random_state=0) tol = 1e-3 sfs = SequentialFeatureSelector( LinearRegression(), n_features_to_select="auto", tol=tol, direction=direction, cv=2, ) sfs.fit(X, y) selected_X = sfs.transform(X) rng = np.random.RandomState(0) added_candidates = list(set(range(X.shape[1])) - set(sfs.get_support(indices=True))) added_X = np.hstack( [ selected_X, (X[:, rng.choice(added_candidates)])[:, np.newaxis], ] ) removed_candidate = rng.choice(list(range(sfs.n_features_to_select_))) removed_X = np.delete(selected_X, removed_candidate, axis=1) plain_cv_score = cross_val_score(LinearRegression(), X, y, cv=2).mean() sfs_cv_score = cross_val_score(LinearRegression(), selected_X, y, cv=2).mean() added_cv_score = cross_val_score(LinearRegression(), added_X, y, cv=2).mean() removed_cv_score = cross_val_score(LinearRegression(), removed_X, y, cv=2).mean() assert sfs_cv_score >= plain_cv_score if direction == "forward": assert (sfs_cv_score - added_cv_score) <= tol assert (sfs_cv_score - removed_cv_score) >= tol else: assert (added_cv_score - sfs_cv_score) <= tol assert (removed_cv_score - sfs_cv_score) <= tol @pytest.mark.filterwarnings("ignore:Leaving `n_features_to_select` to ") @pytest.mark.parametrize("direction", ("forward", "backward")) @pytest.mark.parametrize( "n_features_to_select, expected", ( (0.1, 1), (1.0, 10), (0.5, 5), ), ) def test_n_features_to_select_float(direction, n_features_to_select, expected): # Test passing a float as n_features_to_select X, y = make_regression(n_features=10) sfs = SequentialFeatureSelector( LinearRegression(), n_features_to_select=n_features_to_select, direction=direction, cv=2, ) sfs.fit(X, y) assert sfs.n_features_to_select_ == expected @pytest.mark.parametrize("seed", range(10)) @pytest.mark.parametrize("direction", ("forward", "backward")) @pytest.mark.parametrize( "n_features_to_select, expected_selected_features", [ (2, [0, 2]), # f1 is dropped since it has no predictive power (1, [2]), # f2 is more predictive than f0 so it's kept ], ) def test_sanity(seed, direction, n_features_to_select, expected_selected_features): # Basic sanity check: 3 features, only f0 and f2 are correlated with the # target, f2 having a stronger correlation than f0. We expect f1 to be # dropped, and f2 to always be selected. rng = np.random.RandomState(seed) n_samples = 100 X = rng.randn(n_samples, 3) y = 3 * X[:, 0] - 10 * X[:, 2] sfs = SequentialFeatureSelector( LinearRegression(), n_features_to_select=n_features_to_select, direction=direction, cv=2, ) sfs.fit(X, y) assert_array_equal(sfs.get_support(indices=True), expected_selected_features) @pytest.mark.filterwarnings("ignore:Leaving `n_features_to_select` to ") def test_sparse_support(): # Make sure sparse data is supported X, y = make_regression(n_features=10) X = scipy.sparse.csr_matrix(X) sfs = SequentialFeatureSelector( LinearRegression(), n_features_to_select="auto", cv=2 ) sfs.fit(X, y) sfs.transform(X) def test_nan_support(): # Make sure nans are OK if the underlying estimator supports nans rng = np.random.RandomState(0) n_samples, n_features = 40, 4 X, y = make_regression(n_samples, n_features, random_state=0) nan_mask = rng.randint(0, 2, size=(n_samples, n_features), dtype=bool) X[nan_mask] = np.nan sfs = SequentialFeatureSelector( HistGradientBoostingRegressor(), n_features_to_select="auto", cv=2 ) sfs.fit(X, y) sfs.transform(X) with pytest.raises(ValueError, match="Input X contains NaN"): # LinearRegression does not support nans SequentialFeatureSelector( LinearRegression(), n_features_to_select="auto", cv=2 ).fit(X, y) def test_pipeline_support(): # Make sure that pipelines can be passed into SFS and that SFS can be # passed into a pipeline n_samples, n_features = 50, 3 X, y = make_regression(n_samples, n_features, random_state=0) # pipeline in SFS pipe = make_pipeline(StandardScaler(), LinearRegression()) sfs = SequentialFeatureSelector(pipe, n_features_to_select="auto", cv=2) sfs.fit(X, y) sfs.transform(X) # SFS in pipeline sfs = SequentialFeatureSelector( LinearRegression(), n_features_to_select="auto", cv=2 ) pipe = make_pipeline(StandardScaler(), sfs) pipe.fit(X, y) pipe.transform(X) # FIXME : to be removed in 1.3 def test_raise_deprecation_warning(): """Check that we raise a FutureWarning with `n_features_to_select`.""" n_samples, n_features = 50, 3 X, y = make_regression(n_samples, n_features, random_state=0) warn_msg = "Leaving `n_features_to_select` to None is deprecated" with pytest.warns(FutureWarning, match=warn_msg): SequentialFeatureSelector(LinearRegression()).fit(X, y) @pytest.mark.parametrize("n_features_to_select", (2, 3)) def test_unsupervised_model_fit(n_features_to_select): # Make sure that models without classification labels are not being # validated X, y = make_blobs(n_features=4) sfs = SequentialFeatureSelector( KMeans(n_init=1), n_features_to_select=n_features_to_select, ) sfs.fit(X) assert sfs.transform(X).shape[1] == n_features_to_select @pytest.mark.parametrize("y", ("no_validation", 1j, 99.9, np.nan, 3)) def test_no_y_validation_model_fit(y): # Make sure that other non-conventional y labels are not accepted X, clusters = make_blobs(n_features=6) sfs = SequentialFeatureSelector( KMeans(), n_features_to_select=3, ) with pytest.raises((TypeError, ValueError)): sfs.fit(X, y) def test_forward_neg_tol_error(): """Check that we raise an error when tol<0 and direction='forward'""" X, y = make_regression(n_features=10, random_state=0) sfs = SequentialFeatureSelector( LinearRegression(), n_features_to_select="auto", direction="forward", tol=-1e-3, ) with pytest.raises(ValueError, match="tol must be positive"): sfs.fit(X, y) def test_backward_neg_tol(): """Check that SequentialFeatureSelector works negative tol non-regression test for #25525 """ X, y = make_regression(n_features=10, random_state=0) lr = LinearRegression() initial_score = lr.fit(X, y).score(X, y) sfs = SequentialFeatureSelector( lr, n_features_to_select="auto", direction="backward", tol=-1e-3, ) Xr = sfs.fit_transform(X, y) new_score = lr.fit(Xr, y).score(Xr, y) assert 0 < sfs.get_support().sum() < X.shape[1] assert new_score < initial_score