#http://lazynight.me/4048.html
import math
import numpy as np
from scipy import stats
from sklearn.utils.multiclass import type_of_target
class WOE(object):
def __init__(self):
self._WOE_MIN = -20
self._WOE_MAX = 20
def processing(self, X, y, event=1):
self.check_target_binary(y)
X1 = self.feature_discretion(X)
res_woe = []
res_iv = []
for i in range(0, X1.shape[-1]):
x = X1[:, i]
woe_dict, iv1 = self.woe_single_x(x, y, event)
res_woe.append(woe_dict)
res_iv.append(iv1)
return np.array(res_woe), np.array(res_iv)
def woe_single_x(self, x, y, event=1):
self.check_target_binary(y)
event_total, non_event_total = self.count_binary(y, event=event)
x_labels = np.unique(x)
woe_dict = {}
iv = 0
for x1 in x_labels:
y1 = y[np.where(x == x1)[0]]
event_count, non_event_count = self.count_binary(y1, event=event)
rate_event = 1.0 * event_count / event_total
rate_non_event = 1.0 * non_event_count / non_event_total
if rate_event == 0:
woe1 = self._WOE_MIN
elif rate_non_event == 0:
woe1 = self._WOE_MAX
else:
woe1 = math.log(rate_event / rate_non_event)
woe_dict[x1] = woe1
iv += (rate_event - rate_non_event) * woe1
return woe_dict, iv
def woe_replace(self, X, woe_arr):
if X.shape[-1] != woe_arr.shape[-1]:
raise ValueError('WOE dict array length must be equal with features length')
res = np.copy(X).astype(float)
idx = 0
for woe_dict in woe_arr:
for k in woe_dict.keys():
woe = woe_dict[k]
res[:, idx][np.where(res[:, idx] == k)[0]] = woe * 1.0
idx += 1
return res
def combined_iv(self, X, y, masks, event=1):
if masks.shape[-1] != X.shape[-1]:
raise ValueError('Masks array length must be equal with features length')
x = X[:, np.where(masks == 1)[0]]
tmp = []
for i in range(x.shape[0]):
tmp.append(self.combine(x[i, :]))
dumy = np.array(tmp)
# dumy_labels = np.unique(dumy)
woe, iv = self.woe_single_x(dumy, y, event)
return woe, iv
def combine(self, list):
res = ''
for item in list:
res += str(item)
return res
def count_binary(self, a, event=1):
event_count = (a == event).sum()
non_event_count = a.shape[-1] - event_count
return event_count, non_event_count
def check_target_binary(self, y):
y_type = type_of_target(y)
if y_type not in ['binary']:
raise ValueError('Label type must be binary')
def feature_discretion(self, X):
temp = []
for i in range(0, X.shape[-1]):
x = X[:, i]
x_type = type_of_target(x)
if x_type == 'continuous':
x1 = self.discrete(x)
temp.append(x1)
else:
temp.append(x)
return np.array(temp).T
def discrete(self, x):
res = np.array([0] * x.shape[-1], dtype=int)
for i in range(5):
point1 = stats.scoreatpercentile(x, i * 20)
point2 = stats.scoreatpercentile(x, (i + 1) * 20)
x1 = x[np.where((x >= point1) & (x <= point2))]
mask = np.in1d(x, x1)
res[mask] = (i + 1)
return res
@property
def WOE_MIN(self):
return self._WOE_MIN
@WOE_MIN.setter
def WOE_MIN(self, woe_min):
self._WOE_MIN = woe_min
@property
def WOE_MAX(self):
return self._WOE_MAX
@WOE_MAX.setter
def WOE_MAX(self, woe_max):
self._WOE_MAX = woe_max
