Cyclic Boosting Machines

This is an efficient and Scikit-learn compatible implementation of the machine learning algorithm Cyclic Boosting -- an explainable supervised machine learning algorithm, specifically for predicting count-data, such as sales and demand.

Features

• Optimized for categorical features
• Continuous features are discretized using pandas.qcut.
• Date auto-expansion (weekday + month).
• Feature importance plots: categorical, continuous and interactions.
• Metrics to stop training: RMSE, L1, SMAPE.

Usage

The CBM model predicts by multiplying the global mean with each weight estimate for each bin and feature. Thus the weights can be interpreted as % increase or decrease from the global mean. e.g. a weight of 1.2 for the bin Monday of the feature Day-of-Week can be interpreted as a 20% increase of the target.

with

pip install cyclicbm

import cbm
from sklearn.metrics import mean_squared_error

# load data using https://www.kaggle.com/c/demand-forecasting-kernels-only
train = pd.read_csv('data/train.csv', parse_dates=['date'])
test  = pd.read_csv('data/test.csv',  parse_dates=['date']) 

# feature engineering
min_date = train['date'].min()

def featurize(df):
    out = pd.DataFrame({
        # TODO: for prediction such features need separate modelling
        'seasonal' : (df['date'] - min_date).dt.days // 60,
        'store'    : df['store'], 
        'item'     : df['item'], 
        'date'     : df['date'],
        #  _X_  to mark interaction features
        'item_X_month': df['item'].astype(str) + '_' + df['date'].dt.month.astype(str)
    })
    
    return out

x_train_df = featurize(train)
x_test_df  = featurize(test)
y_train = train['sales']

# model training
model = cbm.CBM()
model.fit(x_train_df, y_train)

# test on train error
y_pred_train = model.predict(x_train_df).flatten()
print('RMSE', mean_squared_error(y_pred_train, y_train, squared=False))

# plotting
model.plot_importance(figsize=(20, 20), continuous_features=['seasonal'])

Contributing

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