45 lines
1.5 KiB
Python
45 lines
1.5 KiB
Python
"""
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===================================================
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Recursive feature elimination with cross-validation
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===================================================
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Recursive feature elimination with automatic tuning of the
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number of features selected with cross-validation
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"""
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print __doc__
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import numpy as np
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from scikits.learn.svm import SVC
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from scikits.learn.cross_val import StratifiedKFold
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from scikits.learn.feature_selection import RFECV
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from scikits.learn.datasets import samples_generator
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from scikits.learn.metrics import zero_one
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################################################################################
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# Loading a dataset
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X, y = samples_generator.test_dataset_classif(n_features=500, k=5, seed=0)
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################################################################################
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# Create the RFE object and compute a cross-validated score
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svc = SVC(kernel='linear')
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rfecv = RFECV(estimator=svc, n_features=2, percentage=0.1, loss_func=zero_one)
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rfecv.fit(X, y, cv=StratifiedKFold(y, 2))
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print 'Optimal number of features : %d' % rfecv.support_.sum()
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import pylab as pl
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pl.figure()
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pl.semilogx(rfecv.n_features_, rfecv.cv_scores_)
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pl.xlabel('Number of features selected')
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pl.ylabel('Cross validation score (nb of misclassifications)')
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# 15 ticks regularly-space in log
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x_ticks = np.unique(np.logspace(np.log10(2),
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np.log10(rfecv.n_features_.max()),
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15,
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).astype(np.int))
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pl.xticks(x_ticks, x_ticks)
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pl.show()
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