Files
drift/models/base.py
T
Mark Aron Szulyovszky cc70d3f907 feat(Selection): added toggleable feature selection step into the pipeline (#83)
* feat(Selection): added prototype feature selection python script

* feat(Utils): added some helpers for the future from Advances in Financial ML book

* feat(Selection): added RFECV

* feat(Selection): added configurable feature selection step into pipeline

* feat(Config): added level_1 & level_2 default config, PCA before feature selection process starts

* feat(Selection): added backup feature selector models if current one can't output feature importance, removed unnecessary array for level-2 models

* fix(Training): deal with zero first value coming out of static models

* feat(Sweep): added feature selection sweep

* fix(Sweep): config problem

* fix(Sweep): config

* chore(Utils): removed unnecessary purged k-fold crossval class

* feat(Config): added dimensionality_reduction as a separate flag

* fix(Sweep): config updated

* fix(Sweep): sweep name

* chore(Config): updated level_2 config to the best performing configuation
2021-12-27 21:59:22 +01:00

44 lines
931 B
Python

from typing import Literal, Optional
from sklearn.base import clone
from abc import ABC, abstractmethod, abstractproperty
class Model(ABC):
data_scaling: Literal["scaled", "unscaled"]
feature_selection: Literal["on", "off"]
# data_format: Literal["wide", "narrow"]
only_column: Optional[str]
model_type: Literal['ml', 'static']
@abstractmethod
def fit(self, X, y, prev_model):
pass
@abstractmethod
def predict(self, X):
pass
@abstractmethod
def clone(self):
pass
class SKLearnModel(Model):
data_scaling = 'scaled'
only_column = None
feature_selection = 'on'
model_type = 'ml'
def __init__(self, model):
self.model = model
def fit(self, X, y, prev_model):
self.model.fit(X, y)
def predict(self, X):
return self.model.predict(X)
def clone(self):
return SKLearnModel(clone(self.model))