‘vtreat’ is a data.frame processor/conditioner that prepares real-world data for predictive modeling in a statistically sound manner. A formal article on the method can be found here: arXiv:1611.09477 stat.AP.
A ‘vtreat’ clean data frame:
To achieve this a number of techniques are used. Principally:
For more details see: the ‘vtreat’ article and update.
The use pattern is:
designTreatmentsC()
or designTreatmentsN()
to design a treatment planprepare()
to apply the plan to data frames.The main feature of ‘vtreat’ is that all data preparation is “y-aware”: it uses the relations of effective variables to the dependent or outcome variable to encode the effective variables.
The structure returned from designTreatmentsN()
or designTreatmentsC()
includes a list of “treatments”: objects that encapsulate the transformation process from the original variables to the new “clean” variables.
In addition to the treatment objects designTreatmentsC()
and designTreatmentsN()
also return a data frame named scoreFrame
which contains columns:
varName
: name of new variableorigName
: name of original variable that the variable was derived from (can repeat).code
: what time of treatment was performed to create the derived variable (useful for filtering).varMoves
: logical TRUE if the variable varied during training; only variables that move will be in the treated frame.sig
: linear significance of regressing derived variable against a 0/1 indicator target for numeric targets, logistic regression significance otherwise.needsSplit
: is the variable a sub model and require out of sample scoring.In all cases we have two undesirable upward biases on the scores:
‘vtreat’ uses a number of cross-training and jackknife style procedures to try to mitigate these effects. The suggested best practice (if you have enough data) is to split your data randomly into at least the following disjoint data sets:
designTreatmentsC()
or designTreatmentsN()
step and not used again for training or test.prepare()
) for training your model.prepare()
) for estimating your model’s out of training performance.Taking the extra step to perform the designTreatmentsC()
or designTreatmentsN()
on data disjoint from training makes the training data more exchangeable with test and avoids the issue that ‘vtreat’ may be hiding a large number of degrees of freedom in variables it derives from large categoricals.
Some trivial execution examples (not demonstrating any cal/train/test split) are given below. Variables that do not move during hold-out testing are considered “not to move.”
library(vtreat)
dTrainC <- data.frame(x=c('a','a','a','b','b',NA),
z=c(1,2,3,4,NA,6),y=c(FALSE,FALSE,TRUE,FALSE,TRUE,TRUE))
head(dTrainC)
## x z y
## 1 a 1 FALSE
## 2 a 2 FALSE
## 3 a 3 TRUE
## 4 b 4 FALSE
## 5 b NA TRUE
## 6 <NA> 6 TRUE
dTestC <- data.frame(x=c('a','b','c',NA),z=c(10,20,30,NA))
head(dTestC)
## x z
## 1 a 10
## 2 b 20
## 3 c 30
## 4 <NA> NA
treatmentsC <- designTreatmentsC(dTrainC,colnames(dTrainC),'y',TRUE)
## [1] "vtreat 1.3.8 inspecting inputs Sun Mar 31 10:11:00 2019"
## [1] "designing treatments Sun Mar 31 10:11:00 2019"
## [1] " have initial level statistics Sun Mar 31 10:11:00 2019"
## [1] " scoring treatments Sun Mar 31 10:11:00 2019"
## [1] "have treatment plan Sun Mar 31 10:11:00 2019"
## [1] "rescoring complex variables Sun Mar 31 10:11:00 2019"
## [1] "done rescoring complex variables Sun Mar 31 10:11:00 2019"
print(treatmentsC)
## origName varName code rsq sig extraModelDegrees
## 1 x x_catP catP 0.54085208 0.03392101 2
## 2 x x_catB catB 0.00000000 1.00000000 2
## 3 z z clean 0.25792985 0.14299775 0
## 4 z z_isBAD isBAD 0.19087450 0.20766228 0
## 5 x x_lev_NA lev 0.19087450 0.20766228 0
## 6 x x_lev_x_a lev 0.08170417 0.40972582 0
## 7 x x_lev_x_b lev 0.00000000 1.00000000 0
print(treatmentsC$treatments[[1]])
## [1] "vtreat 'Categoric Indicators'('x'(integer,factor)->character->'x_lev_NA','x_lev_x_a','x_lev_x_b')"
Here we demonstrate the optional scaling feature of prepare()
, which scales and centers all significant variables to mean 0, and slope 1 with respect to y: In other words, it re-scales the variables to “y-units”. This is useful for downstream principal components analysis. Note: variables perfectly uncorrelated with y necessarily have slope 0 and can’t be “scaled” to slope 1, however for the same reason these variables will be insignificant and can be pruned by pruneSig.
scale=FALSE
by default.
dTrainCTreated <- prepare(treatmentsC,dTrainC,pruneSig=c(),scale=TRUE)
head(dTrainCTreated)
## x_catP x_catB z z_isBAD x_lev_NA x_lev_x_a x_lev_x_b
## 1 -0.9396225 -1.894112 -2.2158976 -3.161922 -3.161922 -0.6931472 0
## 2 -0.9396225 -1.894112 -1.2086714 -3.161922 -3.161922 -0.6931472 0
## 3 -0.9396225 -1.894112 -0.2014452 -3.161922 -3.161922 -0.6931472 0
## 4 0.4698112 -1.196414 0.8057809 -3.161922 -3.161922 0.6931472 0
## 5 0.4698112 -1.196414 0.0000000 15.809611 -3.161922 0.6931472 0
## 6 1.8792449 8.075166 2.8202333 -3.161922 15.809611 0.6931472 0
## y
## 1 FALSE
## 2 FALSE
## 3 TRUE
## 4 FALSE
## 5 TRUE
## 6 TRUE
varsC <- setdiff(colnames(dTrainCTreated),'y')
# all input variables should be mean 0
sapply(dTrainCTreated[,varsC,drop=FALSE],mean)
## x_catP x_catB z z_isBAD x_lev_NA
## 3.700743e-16 7.401487e-17 7.408715e-17 2.220446e-16 0.000000e+00
## x_lev_x_a x_lev_x_b
## 0.000000e+00 0.000000e+00
# all slopes should be 1 for variables with dTrainCTreated$scoreFrame$sig<1
sapply(varsC,function(c) { glm(paste('y',c,sep='~'),family=binomial,
data=dTrainCTreated)$coefficients[[2]]})
## x_catP x_catB z z_isBAD x_lev_NA x_lev_x_a x_lev_x_b
## 1 1 1 1 1 1 NA
dTestCTreated <- prepare(treatmentsC,dTestC,pruneSig=c(),scale=TRUE)
head(dTestCTreated)
## x_catP x_catB z z_isBAD x_lev_NA x_lev_x_a x_lev_x_b
## 1 -0.9396225 -1.894112 6.849138 -3.161922 -3.161922 -0.6931472 0
## 2 0.4698112 -1.196414 16.921400 -3.161922 -3.161922 0.6931472 0
## 3 2.5839618 -1.196414 26.993662 -3.161922 -3.161922 0.6931472 0
## 4 1.8792449 8.075166 0.000000 15.809611 15.809611 0.6931472 0
# numeric example
dTrainN <- data.frame(x=c('a','a','a','a','b','b',NA),
z=c(1,2,3,4,5,NA,7),y=c(0,0,0,1,0,1,1))
head(dTrainN)
## x z y
## 1 a 1 0
## 2 a 2 0
## 3 a 3 0
## 4 a 4 1
## 5 b 5 0
## 6 b NA 1
dTestN <- data.frame(x=c('a','b','c',NA),z=c(10,20,30,NA))
head(dTestN)
## x z
## 1 a 10
## 2 b 20
## 3 c 30
## 4 <NA> NA
treatmentsN = designTreatmentsN(dTrainN,colnames(dTrainN),'y')
## [1] "vtreat 1.3.8 inspecting inputs Sun Mar 31 10:11:00 2019"
## [1] "designing treatments Sun Mar 31 10:11:00 2019"
## [1] " have initial level statistics Sun Mar 31 10:11:00 2019"
## [1] " scoring treatments Sun Mar 31 10:11:00 2019"
## [1] "have treatment plan Sun Mar 31 10:11:00 2019"
## [1] "rescoring complex variables Sun Mar 31 10:11:00 2019"
## [1] "done rescoring complex variables Sun Mar 31 10:11:00 2019"
print(treatmentsN)
## origName varName code rsq sig extraModelDegrees
## 1 x x_catP catP 0.127604167 0.4315084 2
## 2 x x_catN catN 0.006816532 0.8603151 2
## 3 x x_catD catD 0.173611111 0.3524132 2
## 4 z z clean 0.336111111 0.1724763 0
## 5 z z_isBAD isBAD 0.222222222 0.2855909 0
## 6 x x_lev_NA lev 0.222222222 0.2855909 0
## 7 x x_lev_x_a lev 0.173611111 0.3524132 0
## 8 x x_lev_x_b lev 0.008333333 0.8456711 0
dTrainNTreated <- prepare(treatmentsN,dTrainN,
pruneSig=c(),scale=TRUE)
head(dTrainNTreated)
## x_catP x_catN x_catD z z_isBAD x_lev_NA
## 1 -0.2 -0.17857143 -0.1785714 -0.41904762 -0.0952381 -0.0952381
## 2 -0.2 -0.17857143 -0.1785714 -0.26190476 -0.0952381 -0.0952381
## 3 -0.2 -0.17857143 -0.1785714 -0.10476190 -0.0952381 -0.0952381
## 4 -0.2 -0.17857143 -0.1785714 0.05238095 -0.0952381 -0.0952381
## 5 0.2 0.07142857 0.2380952 0.20952381 -0.0952381 -0.0952381
## 6 0.2 0.07142857 0.2380952 0.00000000 0.5714286 -0.0952381
## x_lev_x_a x_lev_x_b y
## 1 -0.1785714 -0.02857143 0
## 2 -0.1785714 -0.02857143 0
## 3 -0.1785714 -0.02857143 0
## 4 -0.1785714 -0.02857143 1
## 5 0.2380952 0.07142857 0
## 6 0.2380952 0.07142857 1
varsN <- setdiff(colnames(dTrainNTreated),'y')
# all input variables should be mean 0
sapply(dTrainNTreated[,varsN,drop=FALSE],mean)
## x_catP x_catN x_catD z z_isBAD
## -5.551115e-17 -3.965082e-18 -9.515810e-17 4.757324e-17 -3.967986e-18
## x_lev_NA x_lev_x_a x_lev_x_b
## -3.965082e-18 0.000000e+00 -2.974054e-18
# all slopes should be 1 for variables with treatmentsN$scoreFrame$sig<1
sapply(varsN,function(c) { lm(paste('y',c,sep='~'),
data=dTrainNTreated)$coefficients[[2]]})
## x_catP x_catN x_catD z z_isBAD x_lev_NA x_lev_x_a
## 1 1 1 1 1 1 1
## x_lev_x_b
## 1
# prepared frame
dTestNTreated <- prepare(treatmentsN,dTestN,
pruneSig=c())
head(dTestNTreated)
## x_catP x_catN x_catD z z_isBAD x_lev_NA x_lev_x_a
## 1 0.57142857 -0.17857143 0.5000000 10.000000 0 0 1
## 2 0.28571429 0.07142857 0.7071068 20.000000 0 0 0
## 3 0.07142857 0.00000000 0.7071068 30.000000 0 0 0
## 4 0.14285714 0.57142857 0.7071068 3.666667 1 1 0
## x_lev_x_b
## 1 0
## 2 1
## 3 0
## 4 0
# scaled prepared frame
dTestNTreatedS <- prepare(treatmentsN,dTestN,
pruneSig=c(),scale=TRUE)
head(dTestNTreatedS)
## x_catP x_catN x_catD z z_isBAD x_lev_NA
## 1 -0.2 -1.785714e-01 -0.1785714 0.9952381 -0.0952381 -0.0952381
## 2 0.2 7.142857e-02 0.2380952 2.5666667 -0.0952381 -0.0952381
## 3 0.5 -1.586033e-17 0.2380952 4.1380952 -0.0952381 -0.0952381
## 4 0.4 5.714286e-01 0.2380952 0.0000000 0.5714286 0.5714286
## x_lev_x_a x_lev_x_b
## 1 -0.1785714 -0.02857143
## 2 0.2380952 0.07142857
## 3 0.2380952 -0.02857143
## 4 0.2380952 -0.02857143
Related work: