RandomizedSearchCV：所有估计器均无法拟合

Question

我目前正在参加“法国汽车索赔数据集 freMTPL2freq”Kaggle 竞赛 ( https://www.kaggle.com/floser/french-motor-claims-datasets-fremtpl2freq )。不幸的是，每当我使用 RandomizedSearchCV 时，我都会收到“NotFittedError: All estimators failed to fit”错误，但我无法弄清楚这是为什么。任何帮助深表感谢。

import numpy as np
import statsmodels.api as sm
import scipy.stats as stats
from matplotlib import pyplot as plt
from sklearn.pipeline import Pipeline
from sklearn.compose import ColumnTransformer
from sklearn.preprocessing import OneHotEncoder
from sklearn.preprocessing import StandardScaler
from sklearn.preprocessing import KBinsDiscretizer
from sklearn.model_selection import train_test_split
from sklearn.model_selection import KFold
from sklearn.model_selection import cross_val_score
from sklearn.model_selection import GridSearchCV
from sklearn.model_selection import RandomizedSearchCV
from sklearn.model_selection import StratifiedKFold
from sklearn.metrics import mean_poisson_deviance
from sklearn.metrics import mean_squared_error
from sklearn.ensemble import VotingRegressor
from sklearn.ensemble import StackingRegressor
from sklearn.metrics import mean_gamma_deviance
from sklearn.metrics import mean_squared_error
from xgboost import XGBRegressor

data_freq = pd.read_csv('freMTPL2freq.csv')
data_freq['Area'] = data_freq['Area'].str.replace('\'','')
data_freq['VehBrand'] = data_freq['VehBrand'].str.replace('\'','')
data_freq['VehGas'] = data_freq['VehGas'].str.replace('\'','')
data_freq['Region'] = data_freq['Region'].str.replace('\'','')

    data_freq['frequency'] = data_freq['ClaimNb'] / data_freq['Exposure']
    y = data_freq['frequency']
    X = data_freq.drop(['frequency', 'ClaimNb', 'IDpol'], axis = 1)
    X_train, X_val, y_train, y_val = train_test_split(X,y, test_size=0.2, shuffle = True, random_state = 42)
    pt_columns = ['VehPower', 'VehAge', 'DrivAge', 'BonusMalus', 'Density']
    cat_columns = ['Area', 'Region', 'VehBrand', 'VehGas']

    from xgboost import XGBRegressor
    ct = ColumnTransformer([('pt', 'passthrough', pt_columns),
                       ('ohe', OneHotEncoder(), cat_columns)])
    pipe_xgbr = Pipeline([('cf_trans', ct),
                      ('ssc', StandardScaler(with_mean = False)),
    ('xgb_regressor', XGBRegressor())
    ])

    param = {'xgb_regressor__n_estimators':[3, 5],
        'xgb_regressor__max_depth':[3, 5, 7],
        'xgb_regressor__learning_rate':[0.1, 0.5],
        'xgb_regressor__colsample_bytree':[0.5, 0.8],
        'xgb_regressor__subsample':[0.5, 0.8]
        }

    rscv = RandomizedSearchCV(pipe_xgbr, param_distributions = param, n_iter = 2, scoring = mean_squared_error, n_jobs = -1, cv = 5, error_score = 'raise')
    rscv.fit(X_train, y_train, xgbr_regressor__sample_weight = X_train['Exposure'])

原始数据帧 data_freq 的前五行如下所示：

   IDpol    ClaimNb Exposure    Area    VehPower    VehAge  DrivAge BonusMalus  VehBrand    VehGas  Density Region
0   1.0        1        0.10       D           5         0       55        50        B12    Regular 1217    R82
1   3.0        1        0.77       D           5         0       55        50        B12    Regular 1217    R82
2   5.0        1        0.75       B           6         2       52        50        B12    Diesel  54      R22
3   10.0       1        0.09       B           7         0       46        50        B12    Diesel  76      R72
4   11.0       1        0.84       B           7         0       46        50        B12    Diesel  76      R72

我得到的错误如下：

---------------------------------------------------------------------------
_RemoteTraceback                          Traceback (most recent call last)
_RemoteTraceback: 
"""
Traceback (most recent call last):
  File "C:\Users\Jan\anaconda3\lib\site-packages\joblib\externals\loky\process_executor.py", line 418, in _process_worker
    r = call_item()
  File "C:\Users\Jan\anaconda3\lib\site-packages\joblib\externals\loky\process_executor.py", line 272, in __call__
    return self.fn(*self.args, **self.kwargs)
  File "C:\Users\Jan\anaconda3\lib\site-packages\joblib\_parallel_backends.py", line 608, in __call__
    return self.func(*args, **kwargs)
  File "C:\Users\Jan\anaconda3\lib\site-packages\joblib\parallel.py", line 256, in __call__
    for func, args, kwargs in self.items]
  File "C:\Users\Jan\anaconda3\lib\site-packages\joblib\parallel.py", line 256, in <listcomp>
    for func, args, kwargs in self.items]
  File "C:\Users\Jan\anaconda3\lib\site-packages\sklearn\utils\fixes.py", line 222, in __call__
    return self.function(*args, **kwargs)
  File "C:\Users\Jan\anaconda3\lib\site-packages\sklearn\model_selection\_validation.py", line 598, in _fit_and_score
    estimator.fit(X_train, y_train, **fit_params)
  File "C:\Users\Jan\anaconda3\lib\site-packages\sklearn\pipeline.py", line 340, in fit
    fit_params_steps = self._check_fit_params(**fit_params)
  File "C:\Users\Jan\anaconda3\lib\site-packages\sklearn\pipeline.py", line 261, in _check_fit_params
    fit_params_steps[step][param] = pval
KeyError: 'xgbr_regressor'
"""

The above exception was the direct cause of the following exception:

KeyError                                  Traceback (most recent call last)
<ipython-input-68-0c1886d1e985> in <module>
----> 1 rscv.fit(X_train, y_train, xgbr_regressor__sample_weight = X_train['Exposure'])
      2 #pipe_xgbr.fit(X_train, y_train)
      3 #X_train.describe(include = 'all')

~\anaconda3\lib\site-packages\sklearn\utils\validation.py in inner_f(*args, **kwargs)
     61             extra_args = len(args) - len(all_args)
     62             if extra_args <= 0:
---> 63                 return f(*args, **kwargs)
     64 
     65             # extra_args > 0

~\anaconda3\lib\site-packages\sklearn\model_selection\_search.py in fit(self, X, y, groups, **fit_params)
    839                 return results
    840 
--> 841             self._run_search(evaluate_candidates)
    842 
    843             # multimetric is determined here because in the case of a callable

~\anaconda3\lib\site-packages\sklearn\model_selection\_search.py in _run_search(self, evaluate_candidates)
   1633         evaluate_candidates(ParameterSampler(
   1634             self.param_distributions, self.n_iter,
-> 1635             random_state=self.random_state))

~\anaconda3\lib\site-packages\sklearn\model_selection\_search.py in evaluate_candidates(candidate_params, cv, more_results)
    807                                    (split_idx, (train, test)) in product(
    808                                    enumerate(candidate_params),
--> 809                                    enumerate(cv.split(X, y, groups))))
    810 
    811                 if len(out) < 1:

~\anaconda3\lib\site-packages\joblib\parallel.py in __call__(self, iterable)
   1015 
   1016             with self._backend.retrieval_context():
-> 1017                 self.retrieve()
   1018             # Make sure that we get a last message telling us we are done
   1019             elapsed_time = time.time() - self._start_time

~\anaconda3\lib\site-packages\joblib\parallel.py in retrieve(self)
    907             try:
    908                 if getattr(self._backend, 'supports_timeout', False):
--> 909                     self._output.extend(job.get(timeout=self.timeout))
    910                 else:
    911                     self._output.extend(job.get())

~\anaconda3\lib\site-packages\joblib\_parallel_backends.py in wrap_future_result(future, timeout)
    560         AsyncResults.get from multiprocessing."""
    561         try:
--> 562             return future.result(timeout=timeout)
    563         except LokyTimeoutError:
    564             raise TimeoutError()

~\anaconda3\lib\concurrent\futures\_base.py in result(self, timeout)
    433                 raise CancelledError()
    434             elif self._state == FINISHED:
--> 435                 return self.__get_result()
    436             else:
    437                 raise TimeoutError()

~\anaconda3\lib\concurrent\futures\_base.py in __get_result(self)
    382     def __get_result(self):
    383         if self._exception:
--> 384             raise self._exception
    385         else:
    386             return self._result

KeyError: 'xgbr_regressor'

我还尝试在没有sample_weight参数的情况下运行fit。在这种情况下，错误将更改为：

---------------------------------------------------------------------------
_RemoteTraceback                          Traceback (most recent call last)
_RemoteTraceback: 
"""
Traceback (most recent call last):
  File "C:\Users\Jan\anaconda3\lib\site-packages\joblib\externals\loky\process_executor.py", line 418, in _process_worker
    r = call_item()
  File "C:\Users\Jan\anaconda3\lib\site-packages\joblib\externals\loky\process_executor.py", line 272, in __call__
    return self.fn(*self.args, **self.kwargs)
  File "C:\Users\Jan\anaconda3\lib\site-packages\joblib\_parallel_backends.py", line 608, in __call__
    return self.func(*args, **kwargs)
  File "C:\Users\Jan\anaconda3\lib\site-packages\joblib\parallel.py", line 256, in __call__
    for func, args, kwargs in self.items]
  File "C:\Users\Jan\anaconda3\lib\site-packages\joblib\parallel.py", line 256, in <listcomp>
    for func, args, kwargs in self.items]
  File "C:\Users\Jan\anaconda3\lib\site-packages\sklearn\utils\fixes.py", line 222, in __call__
    return self.function(*args, **kwargs)
  File "C:\Users\Jan\anaconda3\lib\site-packages\sklearn\model_selection\_validation.py", line 625, in _fit_and_score
    test_scores = _score(estimator, X_test, y_test, scorer, error_score)
  File "C:\Users\Jan\anaconda3\lib\site-packages\sklearn\model_selection\_validation.py", line 687, in _score
    scores = scorer(estimator, X_test, y_test)
  File "C:\Users\Jan\anaconda3\lib\site-packages\sklearn\utils\validation.py", line 74, in inner_f
    return f(**kwargs)
  File "C:\Users\Jan\anaconda3\lib\site-packages\sklearn\metrics\_regression.py", line 336, in mean_squared_error
    y_true, y_pred, multioutput)
  File "C:\Users\Jan\anaconda3\lib\site-packages\sklearn\metrics\_regression.py", line 88, in _check_reg_targets
    check_consistent_length(y_true, y_pred)
  File "C:\Users\Jan\anaconda3\lib\site-packages\sklearn\utils\validation.py", line 316, in check_consistent_length
    lengths = [_num_samples(X) for X in arrays if X is not None]
  File "C:\Users\Jan\anaconda3\lib\site-packages\sklearn\utils\validation.py", line 316, in <listcomp>
    lengths = [_num_samples(X) for X in arrays if X is not None]
  File "C:\Users\Jan\anaconda3\lib\site-packages\sklearn\utils\validation.py", line 249, in _num_samples
    raise TypeError(message)
TypeError: Expected sequence or array-like, got <class 'sklearn.pipeline.Pipeline'>
"""

The above exception was the direct cause of the following exception:

TypeError                                 Traceback (most recent call last)
<ipython-input-69-a9be9cc5df4a> in <module>
----> 1 rscv.fit(X_train, y_train)#, xgbr_regressor__sample_weight = X_train['Exposure'])
      2 #pipe_xgbr.fit(X_train, y_train)
      3 #X_train.describe(include = 'all')

~\anaconda3\lib\site-packages\sklearn\utils\validation.py in inner_f(*args, **kwargs)
     61             extra_args = len(args) - len(all_args)
     62             if extra_args <= 0:
---> 63                 return f(*args, **kwargs)
     64 
     65             # extra_args > 0

~\anaconda3\lib\site-packages\sklearn\model_selection\_search.py in fit(self, X, y, groups, **fit_params)
    839                 return results
    840 
--> 841             self._run_search(evaluate_candidates)
    842 
    843             # multimetric is determined here because in the case of a callable

~\anaconda3\lib\site-packages\sklearn\model_selection\_search.py in _run_search(self, evaluate_candidates)
   1633         evaluate_candidates(ParameterSampler(
   1634             self.param_distributions, self.n_iter,
-> 1635             random_state=self.random_state))

~\anaconda3\lib\site-packages\sklearn\model_selection\_search.py in evaluate_candidates(candidate_params, cv, more_results)
    807                                    (split_idx, (train, test)) in product(
    808                                    enumerate(candidate_params),
--> 809                                    enumerate(cv.split(X, y, groups))))
    810 
    811                 if len(out) < 1:

~\anaconda3\lib\site-packages\joblib\parallel.py in __call__(self, iterable)
   1015 
   1016             with self._backend.retrieval_context():
-> 1017                 self.retrieve()
   1018             # Make sure that we get a last message telling us we are done
   1019             elapsed_time = time.time() - self._start_time

~\anaconda3\lib\site-packages\joblib\parallel.py in retrieve(self)
    907             try:
    908                 if getattr(self._backend, 'supports_timeout', False):
--> 909                     self._output.extend(job.get(timeout=self.timeout))
    910                 else:
    911                     self._output.extend(job.get())

~\anaconda3\lib\site-packages\joblib\_parallel_backends.py in wrap_future_result(future, timeout)
    560         AsyncResults.get from multiprocessing."""
    561         try:
--> 562             return future.result(timeout=timeout)
    563         except LokyTimeoutError:
    564             raise TimeoutError()

~\anaconda3\lib\concurrent\futures\_base.py in result(self, timeout)
    433                 raise CancelledError()
    434             elif self._state == FINISHED:
--> 435                 return self.__get_result()
    436             else:
    437                 raise TimeoutError()

~\anaconda3\lib\concurrent\futures\_base.py in __get_result(self)
    382     def __get_result(self):
    383         if self._exception:
--> 384             raise self._exception
    385         else:
    386             return self._result

TypeError: Expected sequence or array-like, got <class 'sklearn.pipeline.Pipeline'>

当设置 verbose = 10 和 n_jobs = 1 时，会显示以下错误消息：

Fitting 5 folds for each of 2 candidates, totalling 10 fits
[CV 1/5; 1/2] START xgb_regressor__colsample_bytree=0.5, xgb_regressor__learning_rate=0.5, xgb_regressor__max_depth=5, xgb_regressor__n_estimators=5, xgb_regressor__subsample=0.5
C:\Users\Jan\anaconda3\lib\site-packages\sklearn\utils\validation.py:72: FutureWarning: Pass sample_weight=406477    1.0
393150    0.0
252885    0.0
260652    0.0
661256    0.0
         ... 
154663    0.0
398414    0.0
42890     0.0
640774    0.0
114446    0.0
Name: frequency, Length: 108482, dtype: float64 as keyword args. From version 1.0 (renaming of 0.25) passing these as positional arguments will result in an error
  "will result in an error", FutureWarning)
---------------------------------------------------------------------------
TypeError                                 Traceback (most recent call last)
<ipython-input-84-74435f74c470> in <module>
----> 1 rscv.fit(X_train, y_train, xgb_regressor__sample_weight = X_train['Exposure'])
      2 #pipe_xgbr.fit(X_train, y_train)
      3 #X_train.describe(include = 'all')

~\anaconda3\lib\site-packages\sklearn\utils\validation.py in inner_f(*args, **kwargs)
     61             extra_args = len(args) - len(all_args)
     62             if extra_args <= 0:
---> 63                 return f(*args, **kwargs)
     64 
     65             # extra_args > 0

~\anaconda3\lib\site-packages\sklearn\model_selection\_search.py in fit(self, X, y, groups, **fit_params)
    839                 return results
    840 
--> 841             self._run_search(evaluate_candidates)
    842 
    843             # multimetric is determined here because in the case of a callable

~\anaconda3\lib\site-packages\sklearn\model_selection\_search.py in _run_search(self, evaluate_candidates)
   1633         evaluate_candidates(ParameterSampler(
   1634             self.param_distributions, self.n_iter,
-> 1635             random_state=self.random_state))

~\anaconda3\lib\site-packages\sklearn\model_selection\_search.py in evaluate_candidates(candidate_params, cv, more_results)
    807                                    (split_idx, (train, test)) in product(
    808                                    enumerate(candidate_params),
--> 809                                    enumerate(cv.split(X, y, groups))))
    810 
    811                 if len(out) < 1:

~\anaconda3\lib\site-packages\joblib\parallel.py in __call__(self, iterable)
   1002             # remaining jobs.
   1003             self._iterating = False
-> 1004             if self.dispatch_one_batch(iterator):
   1005                 self._iterating = self._original_iterator is not None
   1006 

~\anaconda3\lib\site-packages\joblib\parallel.py in dispatch_one_batch(self, iterator)
    833                 return False
    834             else:
--> 835                 self._dispatch(tasks)
    836                 return True
    837 

~\anaconda3\lib\site-packages\joblib\parallel.py in _dispatch(self, batch)
    752         with self._lock:
    753             job_idx = len(self._jobs)
--> 754             job = self._backend.apply_async(batch, callback=cb)
    755             # A job can complete so quickly than its callback is
    756             # called before we get here, causing self._jobs to

~\anaconda3\lib\site-packages\joblib\_parallel_backends.py in apply_async(self, func, callback)
    207     def apply_async(self, func, callback=None):
    208         """Schedule a func to be run"""
--> 209         result = ImmediateResult(func)
    210         if callback:
    211             callback(result)

~\anaconda3\lib\site-packages\joblib\_parallel_backends.py in __init__(self, batch)
    588         # Don't delay the application, to avoid keeping the input
    589         # arguments in memory
--> 590         self.results = batch()
    591 
    592     def get(self):

~\anaconda3\lib\site-packages\joblib\parallel.py in __call__(self)
    254         with parallel_backend(self._backend, n_jobs=self._n_jobs):
    255             return [func(*args, **kwargs)
--> 256                     for func, args, kwargs in self.items]
    257 
    258     def __len__(self):

~\anaconda3\lib\site-packages\joblib\parallel.py in <listcomp>(.0)
    254         with parallel_backend(self._backend, n_jobs=self._n_jobs):
    255             return [func(*args, **kwargs)
--> 256                     for func, args, kwargs in self.items]
    257 
    258     def __len__(self):

~\anaconda3\lib\site-packages\sklearn\utils\fixes.py in __call__(self, *args, **kwargs)
    220     def __call__(self, *args, **kwargs):
    221         with config_context(**self.config):
--> 222             return self.function(*args, **kwargs)

~\anaconda3\lib\site-packages\sklearn\model_selection\_validation.py in _fit_and_score(estimator, X, y, scorer, train, test, verbose, parameters, fit_params, return_train_score, return_parameters, return_n_test_samples, return_times, return_estimator, split_progress, candidate_progress, error_score)
    623 
    624         fit_time = time.time() - start_time
--> 625         test_scores = _score(estimator, X_test, y_test, scorer, error_score)
    626         score_time = time.time() - start_time - fit_time
    627         if return_train_score:

~\anaconda3\lib\site-packages\sklearn\model_selection\_validation.py in _score(estimator, X_test, y_test, scorer, error_score)
    685             scores = scorer(estimator, X_test)
    686         else:
--> 687             scores = scorer(estimator, X_test, y_test)
    688     except Exception:
    689         if error_score == 'raise':

~\anaconda3\lib\site-packages

    

Answer 1

哇，这是一团乱七八糟的回溯，但我想我终于找到了它。您设置了scoring=mean_squared_error, 并且应该使用scoring="neg_mean_squared_error".

度量函数mean_squared_error有签名(y_true, y_pred, *, <kwargs>)，而使用字符串得到的评分器"neg_mean_squared_error"有签名(estimator, X_test, y_test)。所以在回溯中，你会看到

--> 687             scores = scorer(estimator, X_test, y_test)

它使用mean_squared_error, y_true=estimator, y_test=X_testand sample_weight=y_test（第一个 kwarg，因此是关于将关键字参数指定为位置的 FutureWarning）进行调用。深入回溯，我们看到检查 和 的形状y_true是否y_pred兼容，但它认为前者是您的管道对象（因此是最终的错误消息）！