autogen/flaml/ml.py

'''!
 * Copyright (c) 2020-2021 Microsoft Corporation. All rights reserved.
 * Licensed under the MIT License.
'''

import time
import numpy as np
import pandas as pd
from sklearn.metrics import mean_squared_error, r2_score, roc_auc_score, \
    accuracy_score, mean_absolute_error, log_loss, average_precision_score, \
    f1_score, mean_absolute_percentage_error, ndcg_score
from sklearn.model_selection import RepeatedStratifiedKFold, GroupKFold, TimeSeriesSplit
from .model import (
    XGBoostEstimator, XGBoostSklearnEstimator, RandomForestEstimator,
    LGBMEstimator, LRL1Classifier, LRL2Classifier, CatBoostEstimator,
    ExtraTreeEstimator, KNeighborsEstimator, FBProphet, ARIMA, SARIMAX)
from .data import group_counts

import logging
logger = logging.getLogger(__name__)


def get_estimator_class(task, estimator_name):
    ''' when adding a new learner, need to add an elif branch '''

    if 'xgboost' == estimator_name:
        if 'regression' == task:
            estimator_class = XGBoostEstimator
        else:
            estimator_class = XGBoostSklearnEstimator
    elif 'rf' == estimator_name:
        estimator_class = RandomForestEstimator
    elif 'lgbm' == estimator_name:
        estimator_class = LGBMEstimator
    elif 'lrl1' == estimator_name:
        estimator_class = LRL1Classifier
    elif 'lrl2' == estimator_name:
        estimator_class = LRL2Classifier
    elif 'catboost' == estimator_name:
        estimator_class = CatBoostEstimator
    elif 'extra_tree' == estimator_name:
        estimator_class = ExtraTreeEstimator
    elif 'kneighbor' == estimator_name:
        estimator_class = KNeighborsEstimator
    elif 'prophet' in estimator_name:
        estimator_class = FBProphet
    elif estimator_name == 'arima':
        estimator_class = ARIMA
    elif estimator_name == 'sarimax':
        estimator_class = SARIMAX
    else:
        raise ValueError(
            estimator_name + ' is not a built-in learner. '
            'Please use AutoML.add_learner() to add a customized learner.')
    return estimator_class


def sklearn_metric_loss_score(
    metric_name, y_predict, y_true, labels=None, sample_weight=None,
    groups=None,
):
    '''Loss using the specified metric

    Args:
        metric_name: A string of the metric name, one of
            'r2', 'rmse', 'mae', 'mse', 'accuracy', 'roc_auc', 'roc_auc_ovr',
            'roc_auc_ovo', 'log_loss', 'mape', 'f1', 'ap', 'ndcg',
            'micro_f1', 'macro_f1'.
        y_predict: A 1d or 2d numpy array of the predictions which can be
            used to calculate the metric. E.g., 2d for log_loss and 1d
            for others.
        y_true: A 1d numpy array of the true labels.
        labels: A 1d numpy array of the unique labels.
        sample_weight: A 1d numpy array of the sample weight.
        groups: A 1d numpy array of the group labels.

    Returns:
        score: A float number of the loss, the lower the better.
    '''
    metric_name = metric_name.lower()
    if 'r2' == metric_name:
        score = 1.0 - r2_score(y_true, y_predict, sample_weight=sample_weight)
    elif metric_name == 'rmse':
        score = np.sqrt(mean_squared_error(
            y_true, y_predict, sample_weight=sample_weight))
    elif metric_name == 'mae':
        score = mean_absolute_error(
            y_true, y_predict, sample_weight=sample_weight)
    elif metric_name == 'mse':
        score = mean_squared_error(
            y_true, y_predict, sample_weight=sample_weight)
    elif metric_name == 'accuracy':
        score = 1.0 - accuracy_score(
            y_true, y_predict, sample_weight=sample_weight)
    elif metric_name == 'roc_auc':
        score = 1.0 - roc_auc_score(
            y_true, y_predict, sample_weight=sample_weight)
    elif metric_name == 'roc_auc_ovr':
        score = 1.0 - roc_auc_score(
            y_true, y_predict, sample_weight=sample_weight, multi_class='ovr')
    elif metric_name == 'roc_auc_ovo':
        score = 1.0 - roc_auc_score(
            y_true, y_predict, sample_weight=sample_weight, multi_class='ovo')
    elif 'log_loss' == metric_name:
        score = log_loss(
            y_true, y_predict, labels=labels, sample_weight=sample_weight)
    elif 'mape' == metric_name:
        try:
            score = mean_absolute_percentage_error(
                y_true, y_predict)
        except ValueError:
            return np.inf
    elif 'micro_f1' == metric_name:
        score = 1 - f1_score(
            y_true, y_predict, sample_weight=sample_weight, average='micro')
    elif 'macro_f1' == metric_name:
        score = 1 - f1_score(
            y_true, y_predict, sample_weight=sample_weight, average='macro')
    elif 'f1' == metric_name:
        score = 1 - f1_score(y_true, y_predict, sample_weight=sample_weight)
    elif 'ap' == metric_name:
        score = 1 - average_precision_score(
            y_true, y_predict, sample_weight=sample_weight)
    elif 'ndcg' in metric_name:
        if '@' in metric_name:
            k = int(metric_name.split('@', 1)[-1])
            counts = group_counts(groups)
            score = 0
            psum = 0
            for c in counts:
                score -= ndcg_score(np.asarray([y_true[psum:psum + c]]),
                                    np.asarray([y_predict[psum:psum + c]]), k=k)
                psum += c
            score /= len(counts)
            score += 1
        else:
            score = 1 - ndcg_score([y_true], [y_predict])
    else:
        raise ValueError(
            metric_name + ' is not a built-in metric, '
            'currently built-in metrics are: '
            'r2, rmse, mae, mse, accuracy, roc_auc, roc_auc_ovr, roc_auc_ovo,'
            'log_loss, mape, f1, micro_f1, macro_f1, ap. '
            'please pass a customized metric function to AutoML.fit(metric=func)')
    return score


def get_y_pred(estimator, X, eval_metric, obj):
    if eval_metric in ['roc_auc', 'ap'] and 'binary' in obj:
        y_pred_classes = estimator.predict_proba(X)
        y_pred = y_pred_classes[
            :, 1] if y_pred_classes.ndim > 1 else y_pred_classes
    elif eval_metric in ['log_loss', 'roc_auc', 'roc_auc_ovr', 'roc_auc_ovo']:
        y_pred = estimator.predict_proba(X)
    else:
        y_pred = estimator.predict(X)
    return y_pred


def _eval_estimator(config, estimator, X_train, y_train, X_test, y_test, weight_test,
                    groups_test, eval_metric, obj, labels=None,
                    log_training_metric=False, fit_kwargs={}):
    if isinstance(eval_metric, str):
        pred_start = time.time()
        test_pred_y = get_y_pred(estimator, X_test, eval_metric, obj)
        pred_time = (time.time() - pred_start) / X_test.shape[0]
        test_loss = sklearn_metric_loss_score(eval_metric, test_pred_y, y_test,
                                              labels, weight_test, groups_test)
        metric_for_logging = {}
        if log_training_metric:
            train_pred_y = get_y_pred(estimator, X_train, eval_metric, obj)
            metric_for_logging['train_loss'] = sklearn_metric_loss_score(
                eval_metric, train_pred_y, y_train, labels,
                fit_kwargs.get('sample_weight'), fit_kwargs.get('groups'))
    else:  # customized metric function
        test_loss, metric_for_logging = eval_metric(
            X_test, y_test, estimator, labels, X_train, y_train, weight_test,
            fit_kwargs.get('sample_weight'), config, groups_test,
            fit_kwargs.get('groups'))
        if isinstance(metric_for_logging, dict):
            pred_time = metric_for_logging.get('pred_time', 0)
        test_pred_y = None
        # eval_metric may return test_pred_y but not necessarily. Setting None for now.
    return test_loss, metric_for_logging, pred_time, test_pred_y


def get_test_loss(config, estimator, X_train, y_train, X_test, y_test, weight_test,
                  groups_test, eval_metric, obj, labels=None, budget=None,
                  log_training_metric=False, fit_kwargs={}):

    start = time.time()
    # if groups_test is not None:
    #     fit_kwargs['groups_val'] = groups_test
    #     fit_kwargs['X_val'] = X_test
    #     fit_kwargs['y_val'] = y_test
    estimator.fit(X_train, y_train, budget, **fit_kwargs)
    test_loss, metric_for_logging, pred_time, _ = _eval_estimator(
        config, estimator, X_train, y_train, X_test, y_test,
        weight_test, groups_test, eval_metric, obj,
        labels, log_training_metric, fit_kwargs)
    train_time = time.time() - start
    return test_loss, metric_for_logging, train_time, pred_time


def evaluate_model_CV(config, estimator, X_train_all, y_train_all, budget, kf,
                      task, eval_metric, best_val_loss,
                      log_training_metric=False, fit_kwargs={}):
    start_time = time.time()
    total_val_loss = 0
    total_metric = None
    metric = None
    train_time = pred_time = 0
    valid_fold_num = total_fold_num = 0
    n = kf.get_n_splits()
    X_train_split, y_train_split = X_train_all, y_train_all
    if task in ('binary', 'multi'):
        labels = np.unique(y_train_all)
    else:
        labels = None
    groups = None
    shuffle = True
    if isinstance(kf, RepeatedStratifiedKFold):
        kf = kf.split(X_train_split, y_train_split)
    elif isinstance(kf, GroupKFold):
        groups = kf.groups
        kf = kf.split(X_train_split, y_train_split, groups)
        shuffle = False
    elif isinstance(kf, TimeSeriesSplit) and task == 'forecast':
        y_train_all = pd.DataFrame(y_train_all, columns=['y'])
        train = X_train_all.join(y_train_all)
        kf = kf.split(train)
        shuffle = False
    elif isinstance(kf, TimeSeriesSplit):
        kf = kf.split(X_train_split, y_train_split)
    else:
        kf = kf.split(X_train_split)
    rng = np.random.RandomState(2020)
    val_loss_list = []
    budget_per_train = budget / n
    if 'sample_weight' in fit_kwargs:
        weight = fit_kwargs['sample_weight']
        weight_val = None
    else:
        weight = weight_val = None
    for train_index, val_index in kf:
        if shuffle:
            train_index = rng.permutation(train_index)
        if isinstance(X_train_all, pd.DataFrame):
            X_train, X_val = X_train_split.iloc[
                train_index], X_train_split.iloc[val_index]
        else:
            X_train, X_val = X_train_split[
                train_index], X_train_split[val_index]
        y_train, y_val = y_train_split[train_index], y_train_split[val_index]
        estimator.cleanup()
        if weight is not None:
            fit_kwargs['sample_weight'], weight_val = weight[
                train_index], weight[val_index]
        if groups is not None:
            fit_kwargs['groups'] = groups[train_index]
            groups_val = groups[val_index]
        else:
            groups_val = None
        val_loss_i, metric_i, train_time_i, pred_time_i = get_test_loss(
            config, estimator, X_train, y_train, X_val, y_val, weight_val,
            groups_val, eval_metric, task, labels, budget_per_train,
            log_training_metric=log_training_metric, fit_kwargs=fit_kwargs)
        if weight is not None:
            fit_kwargs['sample_weight'] = weight
        valid_fold_num += 1
        total_fold_num += 1
        total_val_loss += val_loss_i
        if log_training_metric or not isinstance(eval_metric, str):
            if isinstance(total_metric, list):
                total_metric = [
                    total_metric[i] + v for i, v in enumerate(metric_i)]
            elif isinstance(total_metric, dict):
                total_metric = {
                    k: total_metric[k] + v for k, v in metric_i.items()}
            elif total_metric is not None:
                total_metric += metric_i
            else:
                total_metric = metric_i
        train_time += train_time_i
        pred_time += pred_time_i
        if valid_fold_num == n:
            val_loss_list.append(total_val_loss / valid_fold_num)
            total_val_loss = valid_fold_num = 0
        elif time.time() - start_time >= budget:
            val_loss_list.append(total_val_loss / valid_fold_num)
            break
    val_loss = np.max(val_loss_list)
    n = total_fold_num
    if log_training_metric or not isinstance(eval_metric, str):
        if isinstance(total_metric, list):
            metric = [v / n for v in total_metric]
        elif isinstance(total_metric, dict):
            metric = {k: v / n for k, v in total_metric.items()}
        else:
            metric = total_metric / n
    pred_time /= n
    # budget -= time.time() - start_time
    # if val_loss < best_val_loss and budget > budget_per_train:
    #     estimator.cleanup()
    #     estimator.fit(X_train_all, y_train_all, budget, **fit_kwargs)
    return val_loss, metric, train_time, pred_time


def compute_estimator(
    X_train, y_train, X_val, y_val, weight_val, groups_val, budget, kf,
    config_dic, task, estimator_name, eval_method, eval_metric,
    best_val_loss=np.Inf, n_jobs=1, estimator_class=None, log_training_metric=False,
    fit_kwargs={}
):
    estimator_class = estimator_class or get_estimator_class(
        task, estimator_name)
    estimator = estimator_class(
        **config_dic, task=task, n_jobs=n_jobs)
    if 'holdout' in eval_method:
        val_loss, metric_for_logging, train_time, pred_time = get_test_loss(
            config_dic, estimator, X_train, y_train, X_val, y_val, weight_val,
            groups_val, eval_metric, task, budget=budget,
            log_training_metric=log_training_metric, fit_kwargs=fit_kwargs)
    else:
        val_loss, metric_for_logging, train_time, pred_time = evaluate_model_CV(
            config_dic, estimator, X_train, y_train, budget, kf, task,
            eval_metric, best_val_loss, log_training_metric=log_training_metric,
            fit_kwargs=fit_kwargs)
    return estimator, val_loss, metric_for_logging, train_time, pred_time


def train_estimator(
    X_train, y_train, config_dic, task,
    estimator_name, n_jobs=1, estimator_class=None, budget=None, fit_kwargs={}
):
    start_time = time.time()
    estimator_class = estimator_class or get_estimator_class(
        task, estimator_name)
    estimator = estimator_class(**config_dic, task=task, n_jobs=n_jobs)
    if X_train is not None:
        train_time = estimator.fit(X_train, y_train, budget, **fit_kwargs)
    else:
        estimator = estimator.estimator_class(**estimator.params)
    train_time = time.time() - start_time
    return estimator, train_time


def get_classification_objective(num_labels: int) -> str:
    if num_labels == 2:
        objective_name = 'binary'
    else:
        objective_name = 'multi'
    return objective_name


def norm_confusion_matrix(y_true, y_pred):
    '''normalized confusion matrix

    Args:
        estimator: A multi-class classification estimator
        y_true: A numpy array or a pandas series of true labels
        y_pred: A numpy array or a pandas series of predicted labels

    Returns:
        A normalized confusion matrix
    '''
    from sklearn.metrics import confusion_matrix
    conf_mat = confusion_matrix(y_true, y_pred)
    norm_conf_mat = conf_mat.astype('float') / conf_mat.sum(axis=1)[:, np.newaxis]
    return norm_conf_mat


def multi_class_curves(y_true, y_pred_proba, curve_func):
    '''Binarize the data for multi-class tasks and produce ROC or precision-recall curves

    Args:
        y_true: A numpy array or a pandas series of true labels
        y_pred_proba: A numpy array or a pandas dataframe of predicted probabilites
        curve_func: A function to produce a curve (e.g., roc_curve or precision_recall_curve)

    Returns:
        A tuple of two dictionaries with the same set of keys (class indices)
        The first dictionary curve_x stores the x coordinates of each curve, e.g.,
            curve_x[0] is an 1D array of the x coordinates of class 0
        The second dictionary curve_y stores the y coordinates of each curve, e.g.,
            curve_y[0] is an 1D array of the y coordinates of class 0
    '''
    from sklearn.preprocessing import label_binarize
    classes = np.unique(y_true)
    y_true_binary = label_binarize(y_true, classes=classes)

    curve_x, curve_y = {}, {}
    for i in range(len(classes)):
        curve_x[i], curve_y[i], _ = curve_func(y_true_binary[:, i], y_pred_proba[:, i])
    return curve_x, curve_y