クレジットカードの支払い履行・不履行の予測

β版ProbSpaceコンペ第1弾!

賞金: 100,000 参加チーム数: 287 4ヶ月前に終了

不均衡データにおけるSamplingについて

不均衡データの調整にSMOTEやUnderSampling, OverSamplingを使ってみました。

その結果、以下のような結果になりました。

$ python svm_new.py NONE
{'classifier__C': 0.4, 'classifier__gamma': 0.1}
Accuracy: 0.8134074074074074
[[20287   719]
 [ 4319  1675]]

$ python svm_new.py UNDER
{'classifier__C': 0.4, 'classifier__gamma': 0.1}
Accuracy: 0.7540370370370371
[[17062  3944]
 [ 2697  3297]]

$ python svm_new.py OVER
{'classifier__C': 0.4, 'classifier__gamma': 0.4}
Accuracy: 0.7635555555555555
[[17202  3804]
 [ 2580  3414]]

$ python svm_new.py SMOTE
{'classifier__C': 0.4, 'classifier__gamma': 0.4}
Accuracy: 0.7822222222222223
[[17875  3131]
 [ 2749  3245]]

精度こそ下がっているものの、混同行列を見れば分かる通り偽陰性率を下げていることが分かります。つまり、債務不履行にならない人に限った検出ならOverSamplingやSMOTEで少ない陽性のデータを水増しして、既存の検出方法と組み合わせることで正確性を上げられる可能性があります。
#!usr/bin/env python3
import numpy as np
import pandas as pd
import sys
from sklearn.pipeline import Pipeline
from sklearn.model_selection import KFold
from sklearn.preprocessing import StandardScaler
from sklearn.model_selection import GridSearchCV
from sklearn.ensemble import RandomForestClassifier as RFC
from sklearn.svm import SVC
from sklearn.feature_selection import SelectFromModel
from sklearn.decomposition import PCA
from sklearn.metrics import confusion_matrix
from imblearn.under_sampling import RandomUnderSampler
from imblearn.over_sampling import RandomOverSampler
from imblearn.over_sampling import SMOTE


def Sampling(X_train, y_train, mode):
    positive_count_train = y_train.sum()
    negative_count_train = len(y_train) - positive_count_train
    if mode == "UNDER":
        sample = RandomUnderSampler(
            ratio={0: positive_count_train, 1: positive_count_train})
    if mode == "OVER":
        sample = RandomOverSampler(
            ratio={0: negative_count_train, 1: negative_count_train})
    if mode == "SMOTE":
        sample = SMOTE(
            ratio={0: negative_count_train, 1: negative_count_train})
    if mode == "NONE":
        sample = RandomUnderSampler(
            ratio={0: negative_count_train, 1: positive_count_train})
    X_train_resampled, y_train_resampled = sample.fit_sample(X_train, y_train)
    return X_train_resampled, y_train_resampled


def main():
    mode = sys.argv[1]

    # パイプライン構築
    pipe = Pipeline([('preprocessing', StandardScaler()),
                     ('feature_selection', SelectFromModel(
                         RFC(n_estimators=20), threshold="median")),
                     ("pca", PCA(n_components=0.8)), ('classifier', SVC())])

    # パラメータの設定
    param_grid = [
        {
            'classifier__gamma': [0.2],
            'classifier__C':[0.4],
        }
    ]

    gclf = GridSearchCV(pipe, param_grid, cv=5, n_jobs=32,
                        verbose=False, scoring='roc_auc')

    # データのロード
    X_train = np.loadtxt("train_data.csv", delimiter=",", skiprows=1,
                         usecols=[i for i in range(1, 24)])
    X_test = np.loadtxt("test_data.csv", delimiter=",", skiprows=1,
                        usecols=[i for i in range(1, 24)])
    y_train = np.loadtxt("train_data.csv", delimiter=",", skiprows=1,
                         usecols=(24), dtype='int64')

    # GridSearchCVでハイパーパラメータを決定
    # KFoldでAccuracyを検証
    acc_ave = 0
    epoch = 0
    kf = KFold(n_splits=5, shuffle=True)
    X_train_resampled, y_train_resampled = Sampling(X_train, y_train, mode)
    gclf.fit(X_train_resampled, y_train_resampled)
    clf = gclf.best_estimator_
    print(gclf.best_params_)
    clf_list = []
    accuracy_list = []
    for train_index, test_index in kf.split(X_train, y_train):

        # resampling
        X_train_resampled, y_train_resampled = Sampling(X_train[train_index],
                                                        y_train[train_index], mode)
        clf.fit(X_train_resampled, y_train_resampled)
        acc = clf.score(X_train[test_index], y_train[test_index])
        acc_ave = acc_ave + acc
        epoch = epoch + 1
        clf_list.append(clf)
        accuracy_list.append(acc)

    clf = clf_list[accuracy_list.index(max(accuracy_list))]
    score = clf.score(X_train, y_train)
    print('Accuracy: {}'.format(score))

    # 訓練用データの正確性
    y_pred = clf.predict(X_train)
    cm = confusion_matrix(y_train, y_pred)
    print(cm)

    # テストデータで予測
    pred = clf.predict(X_test)

    # csv形式に加工
    submit = pd.DataFrame(
        {"ID": [i for i in range(0, 3000)], "Y": pred.astype(int)})
    submit.to_csv("submit.csv", index=None)


if __name__ == "__main__":
    main()

# 参考文献
# https://www.haya-programming.com/entry/2018/02/22/234011#%E4%BA%A4%E5%B7%AE%E6%A4%9C%E8%A8%BC
# http://datanerd.hateblo.jp/entry/2017/09/15/160742
# http://drilldripper.hatenablog.com/entry/2016/09/01/181259

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