finregistry-xgboost

Code for training xgboost models using the FinRegistry matrices as input. More detailed instructions coming.

Installation

ePouta and FinnGen sandbox

Probably the easiest way to install the required packages is to create a separate conda environment using the environment.yml file:

conda env create --file environment.yml

Then activate the environment

conda activate fr_xgb

Note that if you use this environment in ePouta or in FinnGen sandbox. You need to import it using conda-pack (which is included in the requirements.yml). So after activating the environment, you should run

conda pack -n fr_xgb

More instructions regarding conda-pack in ePouta can be found from the FinRegistry master document

Puhti

If you use this code at CSC's Puhti machine (for example INTERVENE UKBB data), the module python-data already has almost all of the dependencies installed. You only need to manually install the scikit-optimize package follwing the instructions here: https://docs.csc.fi/apps/python/#installing-python-packages-to-existing-modules .

SD Desktop

Coming soon...

Usage instructions

See command line options by typing

> python train_xgboost_fr_skopt.py -h
usage: train_xgboost_fr_skopt.py [-h] [--outdir OUTDIR] [--allvars ALLVARS] [--targetvar TARGETVAR] [--nproc NPROC] [--varname VARNAME] [--trainfile TRAINFILE]
                                 [--testfile TESTFILE] [--niter NITER] [--tree_method {hist,gpu_hist}] [--n_estimators N_ESTIMATORS [N_ESTIMATORS ...]]
                                 [--max_depth MAX_DEPTH [MAX_DEPTH ...]] [--balanced {1,0}]

optional arguments:
  -h, --help            show this help message and exit
  --outdir OUTDIR       Full path to the output directory.
  --allvars ALLVARS     Full path to the text file containing names of all variables used in the model.
  --targetvar TARGETVAR
                        Target variable for prediction (default=COVIDVax).
  --nproc NPROC         Number of parallel processes used default=2).
  --varname VARNAME     Variable name.
  --trainfile TRAINFILE
                        Full path to the file containing training samples.
  --testfile TESTFILE   Full path to the file containing test samples.
  --niter NITER         Number of hyperparameter combinatons sampled for each CV run (default=75).
  --tree_method {hist,gpu_hist}
                        Default = hist.
  --n_estimators N_ESTIMATORS [N_ESTIMATORS ...]
                        Comma-separated list for input for n_estimators xgboost paramemter.
  --max_depth MAX_DEPTH [MAX_DEPTH ...]
                        Comma-separated list for input for max_depth xgboost parameter.
  --balanced {1,0}      1 if balanced class weights are used (=default), 0 if not.

Input

The input file format follows the finregistry-matrices data format. These matrices can be created using the code in the following repository: https://github.com/dsgelab/finregistry-matrices . Notice that all the relevant variables need to be merged into one matrix. Rows used to train the model should be in one file (--trainfile) and rows used to test in one file (--testfile). Use the flag --targetvar to set the classification target variable.

If you use the code with some other input data, make sure the data format follows what is described in the finregistry-matrices repository.

Output

The code outputs the following files:

• args.outdir+args.varname+'-xgbrun.log' = log file
• args.outdir+args.varname+'BayesSearchCV.pkl' = skopt.BayesSearchCV-object in pickle-format
• args.outdir+args.varname+'optimization_path.csv' = optimization path from skopt
• args.outdir+args.varname+"_best_xgb_model.pkl" = xgboost model with best optimized hyperparameters in pickle-format
• args.outdir+args.varname+"_test_set_xgb_pred_probas.csv.gz" = predicted test set probabilities in gzipped csv file
• args.outdir+args.varname+"_xgb_precision_recall_curve.png" = precision-recall curve
• args.outdir+args.varname+"_xgb_roc_curve.png" = ROC-curve
• args.outdir+args.varname+"_xgb_AUPRC_AUC_CIs.txt" = AUPRC and AUC and their 95% confidence intervals estimated by bootstrapping (2000 samples).

Loading a saved model

The training script saves the hyperparemeter-optimized model in to a pickle-file as detailed in the previous section. To load the saved model into Python, you can use the following piece of code:

import pickle
model_file = args.outdir+args.varname+"_best_xgb_model.pkl"
model = pickle.load(open(model_file,'rb'))

where you obviously need to replace the model_file variable value with the correct file path. Note that in order to avoid issues, it is best to read in the test data file exactly as is done in the training script:

import pandas as pd
import csv

#read in the variable names used by the model
all_vars_file = args.allvars
with open(all_vars_file,'rt') as infile:
        r = csv.reader(infile,delimiter=',')
        for row in r: all_vars = row

#read in the test data
test_file = args.testfile
df = pd.read_csv(test_file,usecols=all_vars+[args.targetvar])
df = df[all_vars+[args.targetvar]] #to make sure the order of features is the same as in all_vars_file

#reformat the data for xgboost
import numpy as np
X_test, y_test =  df.drop(args.targetvar,axis=1).values, df.loc[:,args.targetvar].values

#make predictons
X_test_pred = model.predict_proba(X_test)

where again, you should replace the file paths and the target variable name.

Notes

• Some of the hyperparameter ranges are currently hard-coded. These could be changed in the future so that they can be set using command line arguments.
• Objective is currently hard-coded as binary:logistic, should be changed if using the model in a regression task.
• Random number generator seeds are hard-coded.