Note
Click here to download the full example code
Scoring Time Series Estimators¶
This examples demonstrates some of the caveats / issues when trying to calculate performance scores for time series estimators.
This pipeline has been designed to evaluate performance using segments (not series’) as instances of the data.
# Author: David Burns
# License: BSD
import itertools
import matplotlib.pyplot as plt
import numpy as np
import pandas as pd
from sklearn.ensemble import RandomForestClassifier
from sklearn.metrics import f1_score, confusion_matrix, make_scorer
from sklearn.model_selection import train_test_split, cross_validate
from sklearn.pipeline import Pipeline
from sklearn.preprocessing import StandardScaler
from seglearn.datasets import load_watch
from seglearn.pipe import Pype
from seglearn.transform import FeatureRep, Segment
CONFUSION PLOT¶
def plot_confusion_matrix(cm, classes,
normalize=True,
cmap=plt.cm.Blues):
""" plots confusion matrix """
if normalize:
cm = cm.astype('float') / cm.sum(axis=1)[:, np.newaxis]
plt.imshow(cm, interpolation='nearest', cmap=cmap)
plt.colorbar()
tick_marks = np.arange(len(classes))
plt.xticks(tick_marks, classes, rotation=45)
plt.yticks(tick_marks, classes)
fmt = '.2f' if normalize else 'd'
thresh = cm.max() / 2.
for i, j in itertools.product(range(cm.shape[0]), range(cm.shape[1])):
plt.text(j, i, format(cm[i, j], fmt),
horizontalalignment="center",
color="white" if cm[i, j] > thresh else "black")
plt.ylabel('True label')
plt.xlabel('Predicted label')
plt.tight_layout()
SETUP¶
# load the data
data = load_watch()
X = data['X']
y = data['y']
# create a feature representation pipeline
steps = [('seg', Segment()),
('features', FeatureRep()),
('scaler', StandardScaler()),
('rf', RandomForestClassifier(n_estimators=20))]
pipe = Pype(steps)
# split the data
X_train, X_test, y_train, y_test = train_test_split(X, y, test_size=0.25, random_state=42)
Out:
/home/circleci/miniconda/envs/testenv/lib/python3.8/site-packages/sklearn/utils/validation.py:67: FutureWarning: Pass memory=None as keyword args. From version 0.25 passing these as positional arguments will result in an error
warnings.warn("Pass {} as keyword args. From version 0.25 "
OPTION 1: Use the score SegPipe score method¶
pipe.fit(X_train, y_train)
score = pipe.score(X_test, y_test)
print("Accuracy score: ", score)
Out:
/home/circleci/miniconda/envs/testenv/lib/python3.8/site-packages/seglearn/transform.py:237: VisibleDeprecationWarning: Creating an ndarray from ragged nested sequences (which is a list-or-tuple of lists-or-tuples-or ndarrays with different lengths or shapes) is deprecated. If you meant to do this, you must specify 'dtype=object' when creating the ndarray
Xt = np.array([sliding_tensor(Xt[i], self.width, self._step, self.order)
/home/circleci/miniconda/envs/testenv/lib/python3.8/site-packages/seglearn/transform.py:237: VisibleDeprecationWarning: Creating an ndarray from ragged nested sequences (which is a list-or-tuple of lists-or-tuples-or ndarrays with different lengths or shapes) is deprecated. If you meant to do this, you must specify 'dtype=object' when creating the ndarray
Xt = np.array([sliding_tensor(Xt[i], self.width, self._step, self.order)
Accuracy score: 0.7875647668393783
OPTION 2: generate true and predicted target values for the segments¶
y_true, y_pred = pipe.transform_predict(X_test, y_test)
# use any of the sklearn scorers
f1_macro = f1_score(y_true, y_pred, average='macro')
print("F1 score: ", f1_macro)
cm = confusion_matrix(y_true, y_pred)
plot_confusion_matrix(cm, data['y_labels'])
Out:
/home/circleci/miniconda/envs/testenv/lib/python3.8/site-packages/seglearn/transform.py:237: VisibleDeprecationWarning: Creating an ndarray from ragged nested sequences (which is a list-or-tuple of lists-or-tuples-or ndarrays with different lengths or shapes) is deprecated. If you meant to do this, you must specify 'dtype=object' when creating the ndarray
Xt = np.array([sliding_tensor(Xt[i], self.width, self._step, self.order)
F1 score: 0.798260921806575
OPTION 3: scoring during model selection¶
# model selection using the built-in score method for the final estimator
cv_scores = cross_validate(pipe, X, y, cv=4, return_train_score=True)
print("CV Scores: ", pd.DataFrame(cv_scores))
# model selection with scoring functions / dictionaries
#
# unfortunately, this is not possible withing the current framework due to how
# scoring is implemented within the model_selection functions / classes of sklearn
# running the code below will cause an error, because the model_selection
# functions / classes do not have access to y_true for the segments
#
# >>> scoring = ['accuracy','precision_macro','recall_macro','f1_macro']
# >>> cv_scores = cross_validate(pipe, X, y, cv = 4, return_train_score=True, scoring=scoring)
#
# workarounds for this issue are outlined below
Out:
/home/circleci/miniconda/envs/testenv/lib/python3.8/site-packages/sklearn/utils/validation.py:67: FutureWarning: Pass memory=None as keyword args. From version 0.25 passing these as positional arguments will result in an error
warnings.warn("Pass {} as keyword args. From version 0.25 "
/home/circleci/miniconda/envs/testenv/lib/python3.8/site-packages/seglearn/transform.py:237: VisibleDeprecationWarning: Creating an ndarray from ragged nested sequences (which is a list-or-tuple of lists-or-tuples-or ndarrays with different lengths or shapes) is deprecated. If you meant to do this, you must specify 'dtype=object' when creating the ndarray
Xt = np.array([sliding_tensor(Xt[i], self.width, self._step, self.order)
/home/circleci/miniconda/envs/testenv/lib/python3.8/site-packages/seglearn/transform.py:237: VisibleDeprecationWarning: Creating an ndarray from ragged nested sequences (which is a list-or-tuple of lists-or-tuples-or ndarrays with different lengths or shapes) is deprecated. If you meant to do this, you must specify 'dtype=object' when creating the ndarray
Xt = np.array([sliding_tensor(Xt[i], self.width, self._step, self.order)
/home/circleci/miniconda/envs/testenv/lib/python3.8/site-packages/seglearn/transform.py:237: VisibleDeprecationWarning: Creating an ndarray from ragged nested sequences (which is a list-or-tuple of lists-or-tuples-or ndarrays with different lengths or shapes) is deprecated. If you meant to do this, you must specify 'dtype=object' when creating the ndarray
Xt = np.array([sliding_tensor(Xt[i], self.width, self._step, self.order)
/home/circleci/miniconda/envs/testenv/lib/python3.8/site-packages/sklearn/utils/validation.py:67: FutureWarning: Pass memory=None as keyword args. From version 0.25 passing these as positional arguments will result in an error
warnings.warn("Pass {} as keyword args. From version 0.25 "
/home/circleci/miniconda/envs/testenv/lib/python3.8/site-packages/seglearn/transform.py:237: VisibleDeprecationWarning: Creating an ndarray from ragged nested sequences (which is a list-or-tuple of lists-or-tuples-or ndarrays with different lengths or shapes) is deprecated. If you meant to do this, you must specify 'dtype=object' when creating the ndarray
Xt = np.array([sliding_tensor(Xt[i], self.width, self._step, self.order)
/home/circleci/miniconda/envs/testenv/lib/python3.8/site-packages/seglearn/transform.py:237: VisibleDeprecationWarning: Creating an ndarray from ragged nested sequences (which is a list-or-tuple of lists-or-tuples-or ndarrays with different lengths or shapes) is deprecated. If you meant to do this, you must specify 'dtype=object' when creating the ndarray
Xt = np.array([sliding_tensor(Xt[i], self.width, self._step, self.order)
/home/circleci/miniconda/envs/testenv/lib/python3.8/site-packages/seglearn/transform.py:237: VisibleDeprecationWarning: Creating an ndarray from ragged nested sequences (which is a list-or-tuple of lists-or-tuples-or ndarrays with different lengths or shapes) is deprecated. If you meant to do this, you must specify 'dtype=object' when creating the ndarray
Xt = np.array([sliding_tensor(Xt[i], self.width, self._step, self.order)
/home/circleci/miniconda/envs/testenv/lib/python3.8/site-packages/sklearn/utils/validation.py:67: FutureWarning: Pass memory=None as keyword args. From version 0.25 passing these as positional arguments will result in an error
warnings.warn("Pass {} as keyword args. From version 0.25 "
/home/circleci/miniconda/envs/testenv/lib/python3.8/site-packages/seglearn/transform.py:237: VisibleDeprecationWarning: Creating an ndarray from ragged nested sequences (which is a list-or-tuple of lists-or-tuples-or ndarrays with different lengths or shapes) is deprecated. If you meant to do this, you must specify 'dtype=object' when creating the ndarray
Xt = np.array([sliding_tensor(Xt[i], self.width, self._step, self.order)
/home/circleci/miniconda/envs/testenv/lib/python3.8/site-packages/seglearn/transform.py:237: VisibleDeprecationWarning: Creating an ndarray from ragged nested sequences (which is a list-or-tuple of lists-or-tuples-or ndarrays with different lengths or shapes) is deprecated. If you meant to do this, you must specify 'dtype=object' when creating the ndarray
Xt = np.array([sliding_tensor(Xt[i], self.width, self._step, self.order)
/home/circleci/miniconda/envs/testenv/lib/python3.8/site-packages/seglearn/transform.py:237: VisibleDeprecationWarning: Creating an ndarray from ragged nested sequences (which is a list-or-tuple of lists-or-tuples-or ndarrays with different lengths or shapes) is deprecated. If you meant to do this, you must specify 'dtype=object' when creating the ndarray
Xt = np.array([sliding_tensor(Xt[i], self.width, self._step, self.order)
/home/circleci/miniconda/envs/testenv/lib/python3.8/site-packages/sklearn/utils/validation.py:67: FutureWarning: Pass memory=None as keyword args. From version 0.25 passing these as positional arguments will result in an error
warnings.warn("Pass {} as keyword args. From version 0.25 "
/home/circleci/miniconda/envs/testenv/lib/python3.8/site-packages/seglearn/transform.py:237: VisibleDeprecationWarning: Creating an ndarray from ragged nested sequences (which is a list-or-tuple of lists-or-tuples-or ndarrays with different lengths or shapes) is deprecated. If you meant to do this, you must specify 'dtype=object' when creating the ndarray
Xt = np.array([sliding_tensor(Xt[i], self.width, self._step, self.order)
/home/circleci/miniconda/envs/testenv/lib/python3.8/site-packages/seglearn/transform.py:237: VisibleDeprecationWarning: Creating an ndarray from ragged nested sequences (which is a list-or-tuple of lists-or-tuples-or ndarrays with different lengths or shapes) is deprecated. If you meant to do this, you must specify 'dtype=object' when creating the ndarray
Xt = np.array([sliding_tensor(Xt[i], self.width, self._step, self.order)
/home/circleci/miniconda/envs/testenv/lib/python3.8/site-packages/seglearn/transform.py:237: VisibleDeprecationWarning: Creating an ndarray from ragged nested sequences (which is a list-or-tuple of lists-or-tuples-or ndarrays with different lengths or shapes) is deprecated. If you meant to do this, you must specify 'dtype=object' when creating the ndarray
Xt = np.array([sliding_tensor(Xt[i], self.width, self._step, self.order)
CV Scores: fit_time ... train_score
0 0.490943 ... 1.0
1 0.530598 ... 1.0
2 0.513644 ... 1.0
3 0.491369 ... 1.0
[4 rows x 4 columns]
SCORING WORKAROUND 1: USE ANOTHER SCORER FUNCTION¶
# ``SegPipe`` can be initialized with a scorer callable made with sklearn.metrics.make_scorer
# this can be used to cross_validate or grid search with any 1 score
scorer = make_scorer(f1_score, average='macro')
pipe = Pype(steps, scorer=scorer)
cv_scores = cross_validate(pipe, X, y, cv=4, return_train_score=True)
print("CV F1 Scores: ", pd.DataFrame(cv_scores))
Out:
/home/circleci/miniconda/envs/testenv/lib/python3.8/site-packages/sklearn/utils/validation.py:67: FutureWarning: Pass memory=None as keyword args. From version 0.25 passing these as positional arguments will result in an error
warnings.warn("Pass {} as keyword args. From version 0.25 "
/home/circleci/miniconda/envs/testenv/lib/python3.8/site-packages/sklearn/utils/validation.py:67: FutureWarning: Pass memory=None as keyword args. From version 0.25 passing these as positional arguments will result in an error
warnings.warn("Pass {} as keyword args. From version 0.25 "
/home/circleci/miniconda/envs/testenv/lib/python3.8/site-packages/seglearn/transform.py:237: VisibleDeprecationWarning: Creating an ndarray from ragged nested sequences (which is a list-or-tuple of lists-or-tuples-or ndarrays with different lengths or shapes) is deprecated. If you meant to do this, you must specify 'dtype=object' when creating the ndarray
Xt = np.array([sliding_tensor(Xt[i], self.width, self._step, self.order)
/home/circleci/miniconda/envs/testenv/lib/python3.8/site-packages/seglearn/transform.py:237: VisibleDeprecationWarning: Creating an ndarray from ragged nested sequences (which is a list-or-tuple of lists-or-tuples-or ndarrays with different lengths or shapes) is deprecated. If you meant to do this, you must specify 'dtype=object' when creating the ndarray
Xt = np.array([sliding_tensor(Xt[i], self.width, self._step, self.order)
/home/circleci/miniconda/envs/testenv/lib/python3.8/site-packages/seglearn/transform.py:237: VisibleDeprecationWarning: Creating an ndarray from ragged nested sequences (which is a list-or-tuple of lists-or-tuples-or ndarrays with different lengths or shapes) is deprecated. If you meant to do this, you must specify 'dtype=object' when creating the ndarray
Xt = np.array([sliding_tensor(Xt[i], self.width, self._step, self.order)
/home/circleci/miniconda/envs/testenv/lib/python3.8/site-packages/sklearn/utils/validation.py:67: FutureWarning: Pass memory=None as keyword args. From version 0.25 passing these as positional arguments will result in an error
warnings.warn("Pass {} as keyword args. From version 0.25 "
/home/circleci/miniconda/envs/testenv/lib/python3.8/site-packages/seglearn/transform.py:237: VisibleDeprecationWarning: Creating an ndarray from ragged nested sequences (which is a list-or-tuple of lists-or-tuples-or ndarrays with different lengths or shapes) is deprecated. If you meant to do this, you must specify 'dtype=object' when creating the ndarray
Xt = np.array([sliding_tensor(Xt[i], self.width, self._step, self.order)
/home/circleci/miniconda/envs/testenv/lib/python3.8/site-packages/seglearn/transform.py:237: VisibleDeprecationWarning: Creating an ndarray from ragged nested sequences (which is a list-or-tuple of lists-or-tuples-or ndarrays with different lengths or shapes) is deprecated. If you meant to do this, you must specify 'dtype=object' when creating the ndarray
Xt = np.array([sliding_tensor(Xt[i], self.width, self._step, self.order)
/home/circleci/miniconda/envs/testenv/lib/python3.8/site-packages/seglearn/transform.py:237: VisibleDeprecationWarning: Creating an ndarray from ragged nested sequences (which is a list-or-tuple of lists-or-tuples-or ndarrays with different lengths or shapes) is deprecated. If you meant to do this, you must specify 'dtype=object' when creating the ndarray
Xt = np.array([sliding_tensor(Xt[i], self.width, self._step, self.order)
/home/circleci/miniconda/envs/testenv/lib/python3.8/site-packages/sklearn/utils/validation.py:67: FutureWarning: Pass memory=None as keyword args. From version 0.25 passing these as positional arguments will result in an error
warnings.warn("Pass {} as keyword args. From version 0.25 "
/home/circleci/miniconda/envs/testenv/lib/python3.8/site-packages/seglearn/transform.py:237: VisibleDeprecationWarning: Creating an ndarray from ragged nested sequences (which is a list-or-tuple of lists-or-tuples-or ndarrays with different lengths or shapes) is deprecated. If you meant to do this, you must specify 'dtype=object' when creating the ndarray
Xt = np.array([sliding_tensor(Xt[i], self.width, self._step, self.order)
/home/circleci/miniconda/envs/testenv/lib/python3.8/site-packages/seglearn/transform.py:237: VisibleDeprecationWarning: Creating an ndarray from ragged nested sequences (which is a list-or-tuple of lists-or-tuples-or ndarrays with different lengths or shapes) is deprecated. If you meant to do this, you must specify 'dtype=object' when creating the ndarray
Xt = np.array([sliding_tensor(Xt[i], self.width, self._step, self.order)
/home/circleci/miniconda/envs/testenv/lib/python3.8/site-packages/seglearn/transform.py:237: VisibleDeprecationWarning: Creating an ndarray from ragged nested sequences (which is a list-or-tuple of lists-or-tuples-or ndarrays with different lengths or shapes) is deprecated. If you meant to do this, you must specify 'dtype=object' when creating the ndarray
Xt = np.array([sliding_tensor(Xt[i], self.width, self._step, self.order)
/home/circleci/miniconda/envs/testenv/lib/python3.8/site-packages/sklearn/utils/validation.py:67: FutureWarning: Pass memory=None as keyword args. From version 0.25 passing these as positional arguments will result in an error
warnings.warn("Pass {} as keyword args. From version 0.25 "
/home/circleci/miniconda/envs/testenv/lib/python3.8/site-packages/seglearn/transform.py:237: VisibleDeprecationWarning: Creating an ndarray from ragged nested sequences (which is a list-or-tuple of lists-or-tuples-or ndarrays with different lengths or shapes) is deprecated. If you meant to do this, you must specify 'dtype=object' when creating the ndarray
Xt = np.array([sliding_tensor(Xt[i], self.width, self._step, self.order)
/home/circleci/miniconda/envs/testenv/lib/python3.8/site-packages/seglearn/transform.py:237: VisibleDeprecationWarning: Creating an ndarray from ragged nested sequences (which is a list-or-tuple of lists-or-tuples-or ndarrays with different lengths or shapes) is deprecated. If you meant to do this, you must specify 'dtype=object' when creating the ndarray
Xt = np.array([sliding_tensor(Xt[i], self.width, self._step, self.order)
/home/circleci/miniconda/envs/testenv/lib/python3.8/site-packages/seglearn/transform.py:237: VisibleDeprecationWarning: Creating an ndarray from ragged nested sequences (which is a list-or-tuple of lists-or-tuples-or ndarrays with different lengths or shapes) is deprecated. If you meant to do this, you must specify 'dtype=object' when creating the ndarray
Xt = np.array([sliding_tensor(Xt[i], self.width, self._step, self.order)
CV F1 Scores: fit_time ... train_score
0 0.492376 ... 1.0
1 0.521578 ... 1.0
2 0.518972 ... 1.0
3 0.516250 ... 1.0
[4 rows x 4 columns]
SCORING WORKAROUND 2: WORK OUTSIDE THE PIPELINE¶
# If you want to have multiple score computed, the only way is as follows
#
# First transform the time series data into segments and then use an sklearn Pipeline
#
# The disadvantage of this is that the parameters of the segmentation cannot be
# optimized with this approach
segmenter = Segment()
X_seg, y_seg, _ = segmenter.fit_transform(X, y)
clf = Pipeline([('features', FeatureRep()),
('scaler', StandardScaler()),
('rf', RandomForestClassifier())])
scoring = ['accuracy', 'precision_macro', 'recall_macro', 'f1_macro']
cv_scores = cross_validate(clf, X_seg, y_seg,
cv=4, return_train_score=False, scoring=scoring)
print("CV Scores (workaround): ", pd.DataFrame(cv_scores))
Out:
/home/circleci/miniconda/envs/testenv/lib/python3.8/site-packages/seglearn/transform.py:237: VisibleDeprecationWarning: Creating an ndarray from ragged nested sequences (which is a list-or-tuple of lists-or-tuples-or ndarrays with different lengths or shapes) is deprecated. If you meant to do this, you must specify 'dtype=object' when creating the ndarray
Xt = np.array([sliding_tensor(Xt[i], self.width, self._step, self.order)
CV Scores (workaround): fit_time ... test_f1_macro
0 1.551326 ... 0.817762
1 1.572378 ... 0.828056
2 1.535842 ... 0.828378
3 1.498286 ... 0.813035
[4 rows x 6 columns]
Total running time of the script: ( 0 minutes 14.340 seconds)