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A Statistically Sound 'data.frame' Processor/Conditioner

A 'data.frame' processor/conditioner that prepares real-world data for predictive modeling in a statistically sound manner. 'vtreat' prepares variables so that data has fewer exceptional cases, making it easier to safely use models in production. Common problems 'vtreat' defends against: 'Inf', 'NA', too many categorical levels, rare categorical levels, and new categorical levels (levels seen during application, but not during training). Reference: "'vtreat': a data.frame Processor for Predictive Modeling", Zumel, Mount, 2016, <DOI:10.5281/zenodo.1173313>.

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DOI DOI CRAN\_Status\_Badge

vtreat is a data.frame processor/conditioner that prepares real-world data for supervised machine learning or predictive modeling in a statistically sound manner.

vtreat takes an input data.frame that has a specified column called “the outcome variable” (or “y”) that is the quantity to be predicted (and must not have missing values). Other input columns are possible explanatory variables (typically numeric or categorical/string-valued, these columns may have missing values) that the user later wants to use to predict “y”. In practice such an input data.frame may not be immediately suitable for machine learning procedures that often expect only numeric explanatory variables, and may not tolerate missing values.

To solve this, vtreat builds a transformed data.frame where all explanatory variable columns have been transformed into a number of numeric explanatory variable columns, without missing values. The vtreat implementation produces derived numeric columns that capture most of the information relating the explanatory columns to the specified “y” or dependent/outcome column through a number of numeric transforms (indicator variables, impact codes, prevalence codes, and more). This transformed data.frame is suitable for a wide range of supervised learning methods from linear regression, through gradient boosted machines.

The idea is: you can take a data.frame of messy real world data and easily, faithfully, reliably, and repeatably prepare it for machine learning using documented methods using vtreat. Incorporating vtreat into your machine learning workflow lets you quickly work with very diverse structured data.

For more detail please see here: arXiv:1611.09477 stat.AP (the documentation describes the R version, however all of the examples can be found worked in Python here).

vtreat is available as an R package, and also as a Python/Pandas package.

(logo: Julie Mount, source: “The Harvest” by Boris Kustodiev 1914)

Even with modern machine learning techniques (random forests, support vector machines, neural nets, gradient boosted trees, and so on) or standard statistical methods (regression, generalized regression, generalized additive models) there are common data issues that can cause modeling to fail. vtreat deals with a number of these in a principled and automated fashion.

In particular vtreat emphasizes a concept called “y-aware pre-processing” and implements:

  • Treatment of missing values through safe replacement plus indicator column (a simple but very powerful method when combined with downstream machine learning algorithms).
  • Treatment of novel levels (new values of categorical variable seen during test or application, but not seen during training) through sub-models (or impact/effects coding of pooled rare events).
  • Explicit coding of categorical variable levels as new indicator variables (with optional suppression of non-significant indicators).
  • Treatment of categorical variables with very large numbers of levels through sub-models (again impact/effects coding).
  • (optional) User specified significance pruning on levels coded into effects/impact sub-models.
  • Correct treatment of nested models or sub-models through data split (see here) or through the generation of “cross validated” data frames (see here); these are issues similar to what is required to build statistically efficient stacked models or super-learners).
  • Safe processing of “wide data” (data with very many variables, often driving common machine learning algorithms to over-fit) through out of sample per-variable significance estimates and user controllable pruning (something we have lectured on previously here and here).
  • Collaring/Winsorizing of unexpected out of range numeric inputs.
  • (optional) Conversion of all variables into effects (or “y-scale”) units (through the optional scale argument to vtreat::prepare(), using some of the ideas discussed here). This allows correct/sensible application of principal component analysis pre-processing in a machine learning context.
  • Joining in additional training distribution data (which can be useful in analysis, called “catP” and “catD”).

The idea is: even with a sophisticated machine learning algorithm there are many ways messy real world data can defeat the modeling process, and vtreat helps with at least ten of them. We emphasize: these problems are already in your data, you simply build better and more reliable models if you attempt to mitigate them. Automated processing is no substitute for actually looking at the data, but vtreat supplies efficient, reliable, documented, and tested implementations of many of the commonly needed transforms.

To help explain the methods we have prepared some documentation:

Data treatments are “y-aware” (use distribution relations between independent variables and the dependent variable). For binary classification use designTreatmentsC() and for numeric regression use designTreatmentsN().

After the design step, prepare() should be used as you would use model.matrix. prepare() treated variables are all numeric and never take the value NA or +-Inf (so are very safe to use in modeling).

In application we suggest splitting your data into three sets: one for building vtreat encodings, one for training models using these encodings, and one for test and model evaluation.

The purpose of vtreat library is to reliably prepare data for supervised machine learning. We try to leave as much as possible to the machine learning algorithms themselves, but cover most of the truly necessary typically ignored precautions. The library is designed to produce a data.frame that is entirely numeric and takes common precautions to guard against the following real world data issues:

  • Categorical variables with very many levels.

    We re-encode such variables as a family of indicator or dummy variables for common levels plus an additional impact code (also called “effects coded”). This allows principled use (including smoothing) of huge categorical variables (like zip-codes) when building models. This is critical for some libraries (such as randomForest, which has hard limits on the number of allowed levels).

  • Rare categorical levels.

    Levels that do not occur often during training tend not to have reliable effect estimates and contribute to over-fit. vtreat helps with 2 precautions in this case. First the rareLevel argument suppresses levels with this count our below from modeling, except possibly through a grouped contribution. Also with enough data vtreat attempts to estimate out of sample performance of derived variables. Finally we suggest users reserve a portion of data for vtreat design, separate from any data used in additional training, calibration, or testing.

  • Novel categorical levels.

    A common problem in deploying a classifier to production is: new levels (levels not seen during training) encountered during model application. We deal with this by encoding categorical variables in a possibly redundant manner: reserving a dummy variable for all levels (not the more common all but a reference level scheme). This is in fact the correct representation for regularized modeling techniques and lets us code novel levels as all dummies simultaneously zero (which is a reasonable thing to try). This encoding while limited is cheaper than the fully Bayesian solution of computing a weighted sum over previously seen levels during model application.

  • Missing/invalid values NA, NaN, +-Inf.

    Variables with these issues are re-coded as two columns. The first column is clean copy of the variable (with missing/invalid values replaced with either zero or the grand mean, depending on the user chose of the scale parameter). The second column is a dummy or indicator that marks if the replacement has been performed. This is simpler than imputation of missing values, and allows the downstream model to attempt to use missingness as a useful signal (which it often is in industrial data).

  • Extreme values.

    Variables can be restricted to stay in ranges seen during training. This can defend against some run-away classifier issues during model application.

  • Constant and near-constant variables.

    Variables that “don’t vary” or “nearly don’t vary” are suppressed.

  • Need for estimated single-variable model effect sizes and significances.

    It is a dirty secret that even popular machine learning techniques need some variable pruning (when exposed to very wide data frames, see here and here). We make the necessary effect size estimates and significances easily available and supply initial variable pruning.

The above are all awful things that often lurk in real world data. Automating these steps ensures they are easy enough that you actually perform them and leaves the analyst time to look for additional data issues. For example this allowed us to essentially automate a number of the steps taught in chapters 4 and 6 of Practical Data Science with R (Zumel, Mount; Manning 2014) into a very short worksheet (though we think for understanding it is essential to work all the steps by hand as we did in the book). The 2nd edition of Practical Data Science with R covers using vtreat in R in chapter 8 “Advanced Data Preparation.”

The idea is: data.frames prepared with the vtreat library are somewhat safe to train on as some precaution has been taken against all of the above issues. Also of interest are the vtreat variable significances (help in initial variable pruning, a necessity when there are a large number of columns) and vtreat::prepare(scale=TRUE) which re-encodes all variables into effect units making them suitable for y-aware dimension reduction (variable clustering, or principal component analysis) and for geometry sensitive machine learning techniques (k-means, knn, linear SVM, and more). You may want to do more than the vtreat library does (such as Bayesian imputation, variable clustering, and more) but you certainly do not want to do less.

There have been a number of recent substantial improvements to the library, including:

  • Out of sample scoring.
  • Ability to use parallel.
  • More general calculation of effect sizes and significances.

Some of our related articles (which should make clear some of our motivations, and design decisions):

Examples of current best practice using vtreat (variable coding, train, test split) can be found here and here.

Trivial example:

library("vtreat")
packageVersion("vtreat")
 #  [1] '1.4.5'
citation('vtreat')
 #  
 #  To cite package 'vtreat' in publications use:
 #  
 #    John Mount and Nina Zumel (2019). vtreat: A Statistically Sound
 #    'data.frame' Processor/Conditioner.
 #    https://github.com/WinVector/vtreat/,
 #    https://winvector.github.io/vtreat/.
 #  
 #  A BibTeX entry for LaTeX users is
 #  
 #    @Manual{,
 #      title = {vtreat: A Statistically Sound 'data.frame' Processor/Conditioner},
 #      author = {John Mount and Nina Zumel},
 #      year = {2019},
 #      note = {https://github.com/WinVector/vtreat/, https://winvector.github.io/vtreat/},
 #    }

# categorical example
dTrainC <- data.frame(x=c('a', 'a', 'a', 'b', 'b', NA, NA),
   z=c(1, 2, 3, 4, NA, 6, NA),
   y=c(FALSE, FALSE, TRUE, FALSE, TRUE, TRUE, TRUE))
dTestC <- data.frame(x=c('a', 'b', 'c', NA), z=c(10, 20, 30, NA))

# help("designTreatmentsC")

treatmentsC <- designTreatmentsC(dTrainC, colnames(dTrainC), 'y', TRUE,
                                 verbose=FALSE)
print(treatmentsC$scoreFrame[, c('origName', 'varName', 'code', 'rsq', 'sig', 'extraModelDegrees')])
 #    origName   varName  code          rsq        sig extraModelDegrees
 #  1        x    x_catP  catP 1.030137e-01 0.32099590                 2
 #  2        x    x_catB  catB 1.125399e-05 0.99172381                 2
 #  3        z         z clean 2.376018e-01 0.13176020                 0
 #  4        z   z_isBAD isBAD 2.960654e-01 0.09248399                 0
 #  5        x  x_lev_NA   lev 2.960654e-01 0.09248399                 0
 #  6        x x_lev_x_a   lev 1.300057e-01 0.26490379                 0
 #  7        x x_lev_x_b   lev 6.067337e-03 0.80967242                 0

# help("prepare")

dTrainCTreated <- prepare(treatmentsC, dTrainC, pruneSig=1.0, scale=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 
 #   2.537498e-16 -1.268826e-16  6.336166e-17  2.536414e-16 -2.537653e-16 
 #      x_lev_x_a     x_lev_x_b 
 #  -6.345680e-17  1.189718e-17
# all non NA slopes should be 1
sapply(varsC, function(c) { lm(paste('y', c, sep='~'),
   data=dTrainCTreated)$coefficients[[2]]})
 #      x_catP     x_catB          z    z_isBAD   x_lev_NA  x_lev_x_a 
 #  0.23254609 0.05841932 0.16062145 0.03162633 0.03162633 0.23254609 
 #   x_lev_x_b 
 #  0.24663035
dTestCTreated <- prepare(treatmentsC, dTestC, pruneSig=c(), scale=TRUE)
print(dTestCTreated)
 #        x_catP    x_catB         z   z_isBAD  x_lev_NA  x_lev_x_a  x_lev_x_b
 #  1 -1.0238626 -3.248380  7.437329 -5.420438 -5.420438 -1.0238626  0.1158472
 #  2  0.7678969 -2.550396 18.374578 -5.420438 -5.420438  0.7678969 -0.2896179
 #  3  3.4555361 -2.260694 29.311827 -5.420438 -5.420438  0.7678969  0.1158472
 #  4  0.7678969  7.422967  0.000000 13.551095 13.551095  0.7678969  0.1158472
# numeric example
dTrainN <- data.frame(x=c('a', 'a', 'a', 'a', 'b', 'b', NA, NA),
   z=c(1, 2, 3, 4, 5, NA, 7, NA), y=c(0, 0, 0, 1, 0, 1, 1, 1))
dTestN <- data.frame(x=c('a', 'b', 'c', NA), z=c(10, 20, 30, NA))
# help("designTreatmentsN")
treatmentsN = designTreatmentsN(dTrainN, colnames(dTrainN), 'y',
                                verbose=FALSE)
print(treatmentsN$scoreFrame[, c('origName', 'varName', 'code', 'rsq', 'sig', 'extraModelDegrees')])
 #    origName   varName  code          rsq       sig extraModelDegrees
 #  1        x    x_catP  catP 2.105263e-01 0.2528101                 2
 #  2        x    x_catN  catN 3.205128e-03 0.8940756                 2
 #  3        x    x_catD  catD 6.666667e-02 0.5369633                 2
 #  4        z         z clean 2.880952e-01 0.1701892                 0
 #  5        z   z_isBAD isBAD 3.333333e-01 0.1339746                 0
 #  6        x  x_lev_NA   lev 3.333333e-01 0.1339746                 0
 #  7        x x_lev_x_a   lev 2.500000e-01 0.2070312                 0
 #  8        x x_lev_x_b   lev 1.110223e-16 1.0000000                 0
dTrainNTreated <- prepare(treatmentsN, dTrainN, pruneSig=1.0, scale=TRUE)
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 
 #   2.775558e-17  0.000000e+00 -2.775558e-17  4.857226e-17  6.938894e-18 
 #       x_lev_NA     x_lev_x_a     x_lev_x_b 
 #   6.938894e-18  0.000000e+00  7.703720e-34
# all non NA slopes should be 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
dTestNTreated <- prepare(treatmentsN, dTestN, pruneSig=c(), scale=TRUE)
print(dTestNTreated)
 #    x_catP x_catN      x_catD         z    z_isBAD   x_lev_NA x_lev_x_a
 #  1 -0.250  -0.25 -0.06743804 0.9952381 -0.1666667 -0.1666667     -0.25
 #  2  0.250   0.00 -0.25818161 2.5666667 -0.1666667 -0.1666667      0.25
 #  3  0.625   0.00 -0.25818161 4.1380952 -0.1666667 -0.1666667      0.25
 #  4  0.250   0.50  0.39305768 0.0000000  0.5000000  0.5000000      0.25
 #        x_lev_x_b
 #  1 -2.266233e-17
 #  2  6.798700e-17
 #  3 -2.266233e-17
 #  4 -2.266233e-17

# for large data sets you can consider designing the treatments on 
# a subset like: d[sample(1:dim(d)[[1]], 1000), ]

# One can also use treatment plans as pipe targets.
dTrainN %.>% 
  treatmentsN %.>% 
  knitr::kable(.)
x_catP x_catN x_catD z z_isBAD x_lev_NA x_lev_x_a x_lev_x_b y
0.50 -0.25 0.5000000 1.000000 0 0 1 0 0
0.50 -0.25 0.5000000 2.000000 0 0 1 0 0
0.50 -0.25 0.5000000 3.000000 0 0 1 0 0
0.50 -0.25 0.5000000 4.000000 0 0 1 0 1
0.25 0.00 0.7071068 5.000000 0 0 0 1 0
0.25 0.00 0.7071068 3.666667 1 0 0 1 1
0.25 0.50 0.0000000 7.000000 0 1 0 0 1
0.25 0.50 0.0000000 3.666667 1 1 0 0 1

Related work:

Installation

To install, from inside R please run:

install.packages("vtreat")

Note

Note: vtreat is meant only for “tame names”, that is: variables and column names that are also valid simple (without quotes) R variables names.

Functions in vtreat

Name Description
design_missingness_treatment Design a simple treatment plan to indicate missingingness and perform simple imputation.
getSplitPlanAppLabels read application labels off a split plan.
designTreatmentsC Build all treatments for a data frame to predict a categorical outcome.
designTreatmentsN build all treatments for a data frame to predict a numeric outcome
as_rquery_plan Convert vtreatment plans into a sequence of rquery operations.
center_scale Center and scale a set of variables.
format.vtreatment Display treatment plan.
flatten_fn_list Flatten a list of functions onto d.
designTreatmentsZ Design variable treatments with no outcome variable.
mkCrossFrameCExperiment Run categorical cross-frame experiment.
mkCrossFrameMExperiment Function to build multi-outcome vtreat cross frame and treatment plan.
kWayStratifiedY k-fold cross validation stratified on y, a splitFunction in the sense of vtreat::buildEvalSets
rqdatatable_prepare Apply a treatment plan using rqdatatable.
spline_variable Spline variable numeric target.
kWayCrossValidation k-fold cross validation, a splitFunction in the sense of vtreat::buildEvalSets
reexports Objects exported from other packages
solve_piecewisec Solve as piecewise logit problem, categorical target.
prepare.treatmentplan Apply treatments and restrict to useful variables.
print.multinomial_plan Print treatmentplan.
square_windowc Build a square windows variable, categorical target.
ppCoderC Solve a categorical partial pooling problem.
track_values Track unique character values for variables.
buildEvalSets Build set carve-up for out-of sample evaluation.
oneWayHoldout One way holdout, a splitFunction in the sense of vtreat::buildEvalSets.
kWayStratifiedYReplace k-fold cross validation stratified with replacement on y, a splitFunction in the sense of vtreat::buildEvalSets .
print.vtreatment Print treatmentplan.
patch_columns_into_frame Patch columns into data.frame.
prepare Apply treatments and restrict to useful variables.
pre_comp_xval Pre-computed cross-plan (so same split happens each time).
ppCoderN Solve a numeric partial pooling problem.
problemAppPlan check if appPlan is a good carve-up of 1:nRows into nSplits groups
makekWayCrossValidationGroupedByColumn Build a k-fold cross validation splitter, respecting (never splitting) groupingColumn.
print.simple_plan Print treatmentplan.
print.treatmentplan Print treatmentplan.
value_variables_C Value variables for prediction a categorical outcome.
solveNonDecreasing Solve for best non-decreasing fit using isotone regression (from the "isotone" package https://CRAN.R-project.org/package=isotone).
solveIsotone Solve for best single-direction (non-decreasing or non-increasing) fit.
rquery_prepare Materialize a treated data frame remotely.
spline_variablec Spline variable categorical target.
square_window Build a square windows variable, numeric target.
run_vtreat_tests Run vtreat tests.
value_variables_N Value variables for prediction a numeric outcome.
novel_value_summary Report new/novel appearances of character values.
prepare.simple_plan Prepare a simple treatment.
solveNonIncreasing Solve for best non-increasing fit.
prepare.multinomial_plan Function to apply mkCrossFrameMExperiment treatemnts.
mkCrossFrameNExperiment Run a numeric cross frame experiment.
solve_piecewise Solve as piecewise linear problem, numeric target.
vnames New treated variable names from a treatmentplan$treatment item.
vtreat vtreat: A Statistically Sound 'data.frame' Processor/Conditioner
variable_values Return variable evaluations.
vorig Original variable name from a treatmentplan$treatment item.
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Vignettes of vtreat

Name
MultiClassVtreat.Rmd
SavingTreamentPlans.Rmd
VariableImportance.Rmd
superX.png
vtreat.Rmd
vtreatCrossFrames.Rmd
vtreatGrouping.Rmd
vtreatOverfit.Rmd
vtreatRareLevels.Rmd
vtreatScaleMode.Rmd
vtreatSignificance.Rmd
vtreatSplitting.Rmd
vtreatVariableTypes.Rmd
vtreatX.png
vtreat_article.pdf.asis
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Details

Type Package
Date 2019-09-11
URL https://github.com/WinVector/vtreat/, https://winvector.github.io/vtreat/
BugReports https://github.com/WinVector/vtreat/issues
License GPL-2 | GPL-3
LazyData true
VignetteBuilder knitr, R.rsp
RoxygenNote 6.1.1
ByteCompile true
NeedsCompilation no
Packaged 2019-09-11 15:33:57 UTC; johnmount
Repository CRAN
Date/Publication 2019-09-11 16:00:02 UTC

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