# Authors: Alexandre Gramfort # License: BSD 3 clause from __future__ import division import numpy as np from scipy import sparse from sklearn.model_selection import LeaveOneOut from sklearn.utils.testing import (assert_array_almost_equal, assert_equal, assert_greater, assert_almost_equal, assert_greater_equal, assert_array_equal, assert_raises, ignore_warnings) from sklearn.datasets import make_classification, make_blobs from sklearn.naive_bayes import MultinomialNB from sklearn.ensemble import RandomForestClassifier, RandomForestRegressor from sklearn.svm import LinearSVC from sklearn.pipeline import Pipeline from sklearn.preprocessing import Imputer from sklearn.metrics import brier_score_loss, log_loss from sklearn.calibration import CalibratedClassifierCV from sklearn.calibration import _sigmoid_calibration, _SigmoidCalibration from sklearn.calibration import calibration_curve @ignore_warnings def test_calibration(): """Test calibration objects with isotonic and sigmoid""" n_samples = 100 X, y = make_classification(n_samples=2 * n_samples, n_features=6, random_state=42) sample_weight = np.random.RandomState(seed=42).uniform(size=y.size) X -= X.min() # MultinomialNB only allows positive X # split train and test X_train, y_train, sw_train = \ X[:n_samples], y[:n_samples], sample_weight[:n_samples] X_test, y_test = X[n_samples:], y[n_samples:] # Naive-Bayes clf = MultinomialNB().fit(X_train, y_train, sample_weight=sw_train) prob_pos_clf = clf.predict_proba(X_test)[:, 1] pc_clf = CalibratedClassifierCV(clf, cv=y.size + 1) assert_raises(ValueError, pc_clf.fit, X, y) # Naive Bayes with calibration for this_X_train, this_X_test in [(X_train, X_test), (sparse.csr_matrix(X_train), sparse.csr_matrix(X_test))]: for method in ['isotonic', 'sigmoid']: pc_clf = CalibratedClassifierCV(clf, method=method, cv=2) # Note that this fit overwrites the fit on the entire training # set pc_clf.fit(this_X_train, y_train, sample_weight=sw_train) prob_pos_pc_clf = pc_clf.predict_proba(this_X_test)[:, 1] # Check that brier score has improved after calibration assert_greater(brier_score_loss(y_test, prob_pos_clf), brier_score_loss(y_test, prob_pos_pc_clf)) # Check invariance against relabeling [0, 1] -> [1, 2] pc_clf.fit(this_X_train, y_train + 1, sample_weight=sw_train) prob_pos_pc_clf_relabeled = pc_clf.predict_proba(this_X_test)[:, 1] assert_array_almost_equal(prob_pos_pc_clf, prob_pos_pc_clf_relabeled) # Check invariance against relabeling [0, 1] -> [-1, 1] pc_clf.fit(this_X_train, 2 * y_train - 1, sample_weight=sw_train) prob_pos_pc_clf_relabeled = pc_clf.predict_proba(this_X_test)[:, 1] assert_array_almost_equal(prob_pos_pc_clf, prob_pos_pc_clf_relabeled) # Check invariance against relabeling [0, 1] -> [1, 0] pc_clf.fit(this_X_train, (y_train + 1) % 2, sample_weight=sw_train) prob_pos_pc_clf_relabeled = \ pc_clf.predict_proba(this_X_test)[:, 1] if method == "sigmoid": assert_array_almost_equal(prob_pos_pc_clf, 1 - prob_pos_pc_clf_relabeled) else: # Isotonic calibration is not invariant against relabeling # but should improve in both cases assert_greater(brier_score_loss(y_test, prob_pos_clf), brier_score_loss((y_test + 1) % 2, prob_pos_pc_clf_relabeled)) # Check failure cases: # only "isotonic" and "sigmoid" should be accepted as methods clf_invalid_method = CalibratedClassifierCV(clf, method="foo") assert_raises(ValueError, clf_invalid_method.fit, X_train, y_train) # base-estimators should provide either decision_function or # predict_proba (most regressors, for instance, should fail) clf_base_regressor = \ CalibratedClassifierCV(RandomForestRegressor(), method="sigmoid") assert_raises(RuntimeError, clf_base_regressor.fit, X_train, y_train) def test_sample_weight(): n_samples = 100 X, y = make_classification(n_samples=2 * n_samples, n_features=6, random_state=42) sample_weight = np.random.RandomState(seed=42).uniform(size=len(y)) X_train, y_train, sw_train = \ X[:n_samples], y[:n_samples], sample_weight[:n_samples] X_test = X[n_samples:] for method in ['sigmoid', 'isotonic']: base_estimator = LinearSVC(random_state=42) calibrated_clf = CalibratedClassifierCV(base_estimator, method=method) calibrated_clf.fit(X_train, y_train, sample_weight=sw_train) probs_with_sw = calibrated_clf.predict_proba(X_test) # As the weights are used for the calibration, they should still yield # a different predictions calibrated_clf.fit(X_train, y_train) probs_without_sw = calibrated_clf.predict_proba(X_test) diff = np.linalg.norm(probs_with_sw - probs_without_sw) assert_greater(diff, 0.1) def test_calibration_multiclass(): """Test calibration for multiclass """ # test multi-class setting with classifier that implements # only decision function clf = LinearSVC() X, y_idx = make_blobs(n_samples=100, n_features=2, random_state=42, centers=3, cluster_std=3.0) # Use categorical labels to check that CalibratedClassifierCV supports # them correctly target_names = np.array(['a', 'b', 'c']) y = target_names[y_idx] X_train, y_train = X[::2], y[::2] X_test, y_test = X[1::2], y[1::2] clf.fit(X_train, y_train) for method in ['isotonic', 'sigmoid']: cal_clf = CalibratedClassifierCV(clf, method=method, cv=2) cal_clf.fit(X_train, y_train) probas = cal_clf.predict_proba(X_test) assert_array_almost_equal(np.sum(probas, axis=1), np.ones(len(X_test))) # Check that log-loss of calibrated classifier is smaller than # log-loss of naively turned OvR decision function to probabilities # via softmax def softmax(y_pred): e = np.exp(-y_pred) return e / e.sum(axis=1).reshape(-1, 1) uncalibrated_log_loss = \ log_loss(y_test, softmax(clf.decision_function(X_test))) calibrated_log_loss = log_loss(y_test, probas) assert_greater_equal(uncalibrated_log_loss, calibrated_log_loss) # Test that calibration of a multiclass classifier decreases log-loss # for RandomForestClassifier X, y = make_blobs(n_samples=100, n_features=2, random_state=42, cluster_std=3.0) X_train, y_train = X[::2], y[::2] X_test, y_test = X[1::2], y[1::2] clf = RandomForestClassifier(n_estimators=10, random_state=42) clf.fit(X_train, y_train) clf_probs = clf.predict_proba(X_test) loss = log_loss(y_test, clf_probs) for method in ['isotonic', 'sigmoid']: cal_clf = CalibratedClassifierCV(clf, method=method, cv=3) cal_clf.fit(X_train, y_train) cal_clf_probs = cal_clf.predict_proba(X_test) cal_loss = log_loss(y_test, cal_clf_probs) assert_greater(loss, cal_loss) def test_calibration_prefit(): """Test calibration for prefitted classifiers""" n_samples = 50 X, y = make_classification(n_samples=3 * n_samples, n_features=6, random_state=42) sample_weight = np.random.RandomState(seed=42).uniform(size=y.size) X -= X.min() # MultinomialNB only allows positive X # split train and test X_train, y_train, sw_train = \ X[:n_samples], y[:n_samples], sample_weight[:n_samples] X_calib, y_calib, sw_calib = \ X[n_samples:2 * n_samples], y[n_samples:2 * n_samples], \ sample_weight[n_samples:2 * n_samples] X_test, y_test = X[2 * n_samples:], y[2 * n_samples:] # Naive-Bayes clf = MultinomialNB() clf.fit(X_train, y_train, sw_train) prob_pos_clf = clf.predict_proba(X_test)[:, 1] # Naive Bayes with calibration for this_X_calib, this_X_test in [(X_calib, X_test), (sparse.csr_matrix(X_calib), sparse.csr_matrix(X_test))]: for method in ['isotonic', 'sigmoid']: pc_clf = CalibratedClassifierCV(clf, method=method, cv="prefit") for sw in [sw_calib, None]: pc_clf.fit(this_X_calib, y_calib, sample_weight=sw) y_prob = pc_clf.predict_proba(this_X_test) y_pred = pc_clf.predict(this_X_test) prob_pos_pc_clf = y_prob[:, 1] assert_array_equal(y_pred, np.array([0, 1])[np.argmax(y_prob, axis=1)]) assert_greater(brier_score_loss(y_test, prob_pos_clf), brier_score_loss(y_test, prob_pos_pc_clf)) def test_sigmoid_calibration(): """Test calibration values with Platt sigmoid model""" exF = np.array([5, -4, 1.0]) exY = np.array([1, -1, -1]) # computed from my python port of the C++ code in LibSVM AB_lin_libsvm = np.array([-0.20261354391187855, 0.65236314980010512]) assert_array_almost_equal(AB_lin_libsvm, _sigmoid_calibration(exF, exY), 3) lin_prob = 1. / (1. + np.exp(AB_lin_libsvm[0] * exF + AB_lin_libsvm[1])) sk_prob = _SigmoidCalibration().fit(exF, exY).predict(exF) assert_array_almost_equal(lin_prob, sk_prob, 6) # check that _SigmoidCalibration().fit only accepts 1d array or 2d column # arrays assert_raises(ValueError, _SigmoidCalibration().fit, np.vstack((exF, exF)), exY) def test_calibration_curve(): """Check calibration_curve function""" y_true = np.array([0, 0, 0, 1, 1, 1]) y_pred = np.array([0., 0.1, 0.2, 0.8, 0.9, 1.]) prob_true, prob_pred = calibration_curve(y_true, y_pred, n_bins=2) prob_true_unnormalized, prob_pred_unnormalized = \ calibration_curve(y_true, y_pred * 2, n_bins=2, normalize=True) assert_equal(len(prob_true), len(prob_pred)) assert_equal(len(prob_true), 2) assert_almost_equal(prob_true, [0, 1]) assert_almost_equal(prob_pred, [0.1, 0.9]) assert_almost_equal(prob_true, prob_true_unnormalized) assert_almost_equal(prob_pred, prob_pred_unnormalized) # probabilities outside [0, 1] should not be accepted when normalize # is set to False assert_raises(ValueError, calibration_curve, [1.1], [-0.1], normalize=False) def test_calibration_nan_imputer(): """Test that calibration can accept nan""" X, y = make_classification(n_samples=10, n_features=2, n_informative=2, n_redundant=0, random_state=42) X[0, 0] = np.nan clf = Pipeline( [('imputer', Imputer()), ('rf', RandomForestClassifier(n_estimators=1))]) clf_c = CalibratedClassifierCV(clf, cv=2, method='isotonic') clf_c.fit(X, y) clf_c.predict(X) def test_calibration_prob_sum(): # Test that sum of probabilities is 1. A non-regression test for # issue #7796 num_classes = 2 X, y = make_classification(n_samples=10, n_features=5, n_classes=num_classes) clf = LinearSVC(C=1.0) clf_prob = CalibratedClassifierCV(clf, method="sigmoid", cv=LeaveOneOut()) clf_prob.fit(X, y) probs = clf_prob.predict_proba(X) assert_array_almost_equal(probs.sum(axis=1), np.ones(probs.shape[0])) def test_calibration_less_classes(): # Test to check calibration works fine when train set in a test-train # split does not contain all classes # Since this test uses LOO, at each iteration train set will not contain a # class label X = np.random.randn(10, 5) y = np.arange(10) clf = LinearSVC(C=1.0) cal_clf = CalibratedClassifierCV(clf, method="sigmoid", cv=LeaveOneOut()) cal_clf.fit(X, y) for i, calibrated_classifier in \ enumerate(cal_clf.calibrated_classifiers_): proba = calibrated_classifier.predict_proba(X) assert_array_equal(proba[:, i], np.zeros(len(y))) assert_equal(np.all(np.hstack([proba[:, :i], proba[:, i + 1:]])), True)