scikit-learn/examples/ensemble/plot_gradient_boosting_regression.py

"""
============================
Gradient Boosting regression
============================

This example demonstrates Gradient Boosting to produce a predictive
model from an ensemble of weak predictive models. Gradient boosting can be used
for regression and classification problems. Here, we will train a model to
tackle a diabetes regression task. We will obtain the results from
:class:`~sklearn.ensemble.GradientBoostingRegressor` with least squares loss
and 500 regression trees of depth 4.

Note: For larger datasets (n_samples >= 10000), please refer to
:class:`~sklearn.ensemble.HistGradientBoostingRegressor`.
"""
print(__doc__)

# Author: Peter Prettenhofer <peter.prettenhofer@gmail.com>
#         Maria Telenczuk <https://github.com/maikia>
#         Katrina Ni <https://github.com/nilichen>
#
# License: BSD 3 clause

import matplotlib.pyplot as plt
import numpy as np
from sklearn import datasets, ensemble
from sklearn.inspection import permutation_importance
from sklearn.metrics import mean_squared_error
from sklearn.model_selection import train_test_split

# %%
# Load the data
# -------------------------------------
#
# First we need to load the data.

diabetes = datasets.load_diabetes()
X, y = diabetes.data, diabetes.target

# %%
# Data preprocessing
# -------------------------------------
#
# Next, we will split our dataset to use 90% for training and leave the rest
# for testing. We will also set the regression model parameters. You can play
# with these parameters to see how the results change.
#
# n_estimators : the number of boosting stages that will be performed.
# Later, we will plot deviance against boosting iterations.
#
# max_depth : limits the number of nodes in the tree.
# The best value depends on the interaction of the input variables.
#
# min_samples_split : the minimum number of samples required to split an
# internal node.
#
# learning_rate : how much the contribution of each tree will shrink.
#
# loss : loss function to optimize. The least squares function is  used in this
# case however, there are many other options (see
# :class:`~sklearn.ensemble.GradientBoostingRegressor` ).

X_train, X_test, y_train, y_test = train_test_split(
    X, y, test_size=0.1, random_state=13)

params = {'n_estimators': 500,
          'max_depth': 4,
          'min_samples_split': 5,
          'learning_rate': 0.01,
          'loss': 'ls'}

# %%
# Fit regression model
# -------------------------------------
#
# Now we will initiate the gradient boosting regressors and fit it with our
# training data. Let's also look and the mean squared error on the test data.

reg = ensemble.GradientBoostingRegressor(**params)
reg.fit(X_train, y_train)

mse = mean_squared_error(y_test, reg.predict(X_test))
print("The mean squared error (MSE) on test set: {:.4f}".format(mse))

# %%
# Plot training deviance
# -------------------------------------
#
# Finally, we will visualize the results. To do that we will first compute the
# test set deviance and then plot it against boosting iterations.

test_score = np.zeros((params['n_estimators'],), dtype=np.float64)
for i, y_pred in enumerate(reg.staged_predict(X_test)):
    test_score[i] = reg.loss_(y_test, y_pred)

fig = plt.figure(figsize=(6, 6))
plt.subplot(1, 1, 1)
plt.title('Deviance')
plt.plot(np.arange(params['n_estimators']) + 1, reg.train_score_, 'b-',
         label='Training Set Deviance')
plt.plot(np.arange(params['n_estimators']) + 1, test_score, 'r-',
         label='Test Set Deviance')
plt.legend(loc='upper right')
plt.xlabel('Boosting Iterations')
plt.ylabel('Deviance')
fig.tight_layout()
plt.show()

# %%
# Plot feature importance
# -------------------------------------
#
# Careful, impurity-based feature importances can be misleading for
# high cardinality features (many unique values). As an alternative,
# the permutation importances of ``reg`` can be computed on a
# held out test set. See :ref:`permutation_importance` for more details.
#
# For this example, the impurity-based and permutation methods identify the
# same 2 strongly predictive features but not in the same order. The third most
# predictive feature, "bp", is also the same for the 2 methods. The remaining
# features are less predictive and the error bars of the permutation plot
# show that they overlap with 0.

feature_importance = reg.feature_importances_
sorted_idx = np.argsort(feature_importance)
pos = np.arange(sorted_idx.shape[0]) + .5
fig = plt.figure(figsize=(12, 6))
plt.subplot(1, 2, 1)
plt.barh(pos, feature_importance[sorted_idx], align='center')
plt.yticks(pos, np.array(diabetes.feature_names)[sorted_idx])
plt.title('Feature Importance (MDI)')

result = permutation_importance(reg, X_test, y_test, n_repeats=10,
                                random_state=42, n_jobs=2)
sorted_idx = result.importances_mean.argsort()
plt.subplot(1, 2, 2)
plt.boxplot(result.importances[sorted_idx].T,
            vert=False, labels=np.array(diabetes.feature_names)[sorted_idx])
plt.title("Permutation Importance (test set)")
fig.tight_layout()
plt.show()