mirror of
https://github.com/webclinic017/drift.git
synced 2026-07-28 11:17:47 +00:00
Mark Aron Szulyovszky
6b26643ece
* feat(Transformations): removed feature-selection pre-processing step completely * fix(Core): removed unnecessary `original_X` * fix(Transformations): use the X_expanding_window to transform subsequent data * fix(RFE): should check for model correctly * fix(Config): only re-train the model every 40 timestamp * fix(MetaLabeling): pass in the correct X to meta-labeling step * fix(Transformation): PCA should at least keep as many features as sliding_window_size * feat(Transformations): cache transformations across the same asset * fix(Tests): missing preloaded_transformations arg * chore(Config): got rid of unnecessary 'classification_models' and 'regression_models' dictionary keys
40 lines
1.2 KiB
Python
40 lines
1.2 KiB
Python
from __future__ import annotations
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from transformations.base import Transformation
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from typing import Optional
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from copy import deepcopy
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from sklearn.decomposition import PCA
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import pandas as pd
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class PCATransformation(Transformation):
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pca: PCA
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def __init__(self, ratio_components_to_keep: float, sliding_window_size: int):
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self.ratio_components_to_keep = ratio_components_to_keep
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self.sliding_window_size = sliding_window_size
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def fit(self, X: pd.DataFrame, y: Optional[pd.Series] = None) -> None:
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self.pca = PCA(n_components = min(int(len(X.columns) * self.ratio_components_to_keep), self.sliding_window_size))
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self.pca.fit(X, y)
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def fit_transform(self, X: pd.DataFrame, y: Optional[pd.Series] = None) -> pd.DataFrame:
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self.fit(X, y)
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return self.transform(X)
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def transform(self, X: pd.DataFrame) -> pd.DataFrame:
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X = pd.DataFrame(self.pca.transform(X), index = X.index)
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X.columns = ['PCA_' + str(i) for i in range(1, len(X.columns)+1)]
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return X
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def clone(self) -> PCATransformation:
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return deepcopy(self)
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def get_name(self) -> str:
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return "PCA"
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