dddex 0.0.7

The package 'data-driven density estimation x' (dddex) turns any standard point forecasting model into an estimator of the underlying conditional density

dddex: Data-Driven Density Estimation x

Install

pip install dddex

What is dddex?

The package name dddex stands for Data-Driven Density Estimaton x. New approaches are being implemented for estimating conditional densities without any parametric assumption about the underlying distribution. All those approaches take an arbitrary point forecaster as input and turn them into a new object that outputs an estimation of the conditional density based on the point predictions of the original point forecaster. The x in the name emphasizes that the approaches can be applied to any point forecaster. The approaches are being implemented via the two classes LevelSetKDEx and LevelSetKDEx_kNN whose usage is explained in detail below.

All models can be run easily with only a few lines of code and are designed to be compatible with the well known Scikit-Learn framework.

How to use: LevelSetKDEx

To ensure compatibility with Scikit-Learn, as usual the classes LevelSetKDEx and LevelSetKDEx_kNN both implement a fit and predict method. As the purposes of both classes is to compute estimations of conditional densities, the predict method outputs p-quantiles rather than point forecasts.

Our choice of the class-names is supposed to be indicative of the underlying models: The name LevelSet stems from the fact that both methods operate with the underlying assumption that the values of point forecasts generated by the same point forecaster can be interpreted as a similarity measure between samples. KDE is short for Kernel Density Estimator and the x yet again signals that the classes can be initialized with any point forecasting model.

In the following, we demonstrate how to use the class LevelSetKDEx to compute estimations of the conditional densities and quantiles for the Yaz Data Set. As explained above, LevelSetKDEx is always based on a point forecaster that is being specified by the user. In our example we use the well known LightGBMRegressor as the underlying point predictor.

from lightgbm import LGBMRegressor
from dddex.levelSetKDEx import LevelSetKDEx
from dddex.loadData import loadDataYaz

dataYaz, XTrain, yTrain, XTest, yTest = loadDataYaz(testDays = 28, returnXY = True)
LGBM = LGBMRegressor(n_jobs = 1)

There are three parameters for LevelSetKDEx:

• estimator: A point forecasting model that must have a .predict method.
• binSize: The amount of training samples considered to compute the conditional densities (for more details, see To be written).
• weightsByDistance: If False, all considered training samples are weighted equally. If True, training samples are weighted by the inverse of the distance of their respective point forecast to the point forecast of the test sample at hand.

LSKDEx = LevelSetKDEx(estimator = LGBM, 
                      binSize = 100,
                      weightsByDistance = False)

There is no need to run fit on the point forecasting model before initializing LevelSetKDEx, because the fit method of LevelSetKDEx automatically checks whether the provided model has been fitted already or not and runs the respective fit method of the point forecaster if needed.

It should be noted, that running fit for the LevelSetKDEx approaches takes exceptionally little time even for datasets with $>10^6$ samples (provided, of course, that the underlying point forecasting model has been fitted before hand).

LSKDEx.fit(X = XTrain, y = yTrain)

In order to compute conditional densities for test samples now, we simply run the getWeights method.

conditionalDensities = LSKDEx.getWeights(X = XTest,
                                         outputType = 'summarized')

print(f"probabilities: {conditionalDensities[0][0]}")
print(f"demand values: {conditionalDensities[0][1]}")

weights: [0.49 0.01 0.21 0.01 0.16 0.07 0.04 0.01]
demand values: [0.         0.01075269 0.04       0.04878049 0.08       0.12
 0.16       0.2       ]

Here, conditionalDensities is a list whose elements correspond to the samples specified via X. Every element contains a tuple, whose first entry constitutes probabilities and the second entry corresponding demand values (side note: The demand values have been scaled to lie in $[0, 1]$). In the above example, we can for example see that our model estimates that for the first test sample the demand will be 0 with a probability of 49%.

Like the input argument outputType of getWeights suggests, we can output the conditional density estimations in various different forms. All in all, there are currently 5 output types specifying how the output for each sample looks like:

• all: An array with the same length as the number of training samples. Each entry represents the probability of each training sample.
• onlyPositiveWeights: A tuple. The first element of the tuple represents the probabilities and the second one the indices of the corresponding training sample. Only probalities greater than zero are returned. Note: This is the most memory and computationally efficient output type.
• summarized: A tuple. The first element of the tuple represents the probabilities and the second one the corresponding value of yTrain. The probabilities corresponding to identical values of yTrain are aggregated.
• cumulativeDistribution: A tuple. The first element of the tuple represents the probabilities and the second one the corresponding value of yTrain.
• cumulativeDistributionSummarized: A tuple. The first element of the tuple represents the probabilities and the second one the corresponding value of yTrain. The probabilities corresponding to identical values of yTrain are aggregated.

For example, by setting outputType = 'cumulativeDistributionSummarized' we can compute an estimation of the conditional cumulative distribution function for each sample. Below, we can see that our model predicts the demand of the first sample to be lower or equal than 0.16 with a probability of 99%.

cumulativeDistributions = LSKDEx.getWeights(X = XTest,
                                            outputType = 'cumulativeDistributionSummarized')

print(f"cumulated probabilities: {cumulativeDistributions[0][0]}")
print(f"demand values: {cumulativeDistributions[0][1]}")

(array([0.49, 0.5 , 0.71, 0.72, 0.88, 0.95, 0.99, 1.  ]),
 array([0.        , 0.01075269, 0.04      , 0.04878049, 0.08      ,
        0.12      , 0.16      , 0.2       ]))

We can also compute estimations of quantiles using the predict method. The parameter probs specifies the quantiles we want to predict.

predRes = LSKDEx.predict(X = XTest,
                         outputAsDf = True, 
                         probs = [0.1, 0.5, 0.75, 0.99])
print(predRes.iloc[0:6, :].to_markdown())

|    |       0.1 |       0.5 |   0.75 |   0.99 |
|---:|----------:|----------:|-------:|-------:|
|  0 | 0         | 0.0107527 |   0.08 |   0.16 |
|  1 | 0         | 0.08      |   0.12 |   0.2  |
|  2 | 0.04      | 0.0967742 |   0.12 |   0.24 |
|  3 | 0.056338  | 0.12      |   0.16 |   0.28 |
|  4 | 0.04      | 0.0967742 |   0.12 |   0.24 |
|  5 | 0.0666667 | 0.16      |   0.2  |   0.32 |

How to tune binSize parameter of LevelSetKDEx

dddex also comes with the class binSizeCV that tunes the important binSize parameter via cross-validation in an efficient manner. The class is designed in a very similar fashion to the cross-validation classes of Scikit-Learn. As such, at first binSizeCVis initialized with all the settings for the cross-validation.

• estimatorLSx: Either an object of class LevelSetKDEx or LevelSetKDEx_kNN
• cvFolds: An iterable yielding (train, test) splits as arrays of indices
• binSizeGrid: The candidate values of binSize to evaluate
• probs: The probabilities for which quantiles are computed and evaluated.
• refitPerProb: If True, for ever probability a fitted copy of estimatorLSx with the best binSize for the respective p-quantile is stored in the attribute bestEstimatorLSx. If False, only a single fitted copy of estimatorLSx is stored with the binSize that yielded the lowest average aggregated costs over all quantile estimations.
• n_jobs: How many cross-validation split results to compute in parallel.

After specifying the settings, fit has to be called to compute the results of the cross validation. The performance of every binSize candidate value is being evaluated by computing the relative reduction of the pinball loss in comparison to the quantile estimations generated by SAA (Sample Average Approximation) for every quantile.

from dddex.levelSetKDEx import binSizeCV
from dddex.utils import groupedTimeSeriesSplit

dataTrain = dataYaz[dataYaz['label'] == 'train']
cvFolds = groupedTimeSeriesSplit(data = dataTrain, 
                                 kFolds = 3,
                                 testLength = 28,
                                 groupFeature = 'id',
                                 timeFeature = 'dayIndex')

LSKDEx = LevelSetKDEx(estimator = LGBM,
                      binSize = None,
                      weightsByDistance = False)

CV = binSizeCV(estimatorLSx = LSKDEx,
               cvFolds = cvFolds,
               binSizeGrid = [20, 100, 400, 1000],
               probs = [0.01, 0.25, 0.5, 0.75, 0.99],
               refitPerProb = True,
               n_jobs = 3)

CV.fit(X = XTrain, y = yTrain)

The best value for binSize can either be computed for every quantile separately or for all quantiles at once by computing the average cost reduction over all quantiles.

print(f"Best binSize over all quantiles: {CV.bestBinSize}")
CV.bestBinSize_perProb

Best binSize over all quantiles: 1000

0.01    1000
0.25      20
0.50     100
0.75     100
0.99    1000
dtype: int64

The exact results are also stored as attributes. The easiest way to view the results is given via cv_results, which depicts the average results over all cross-validation folds:

print(CV.cv_results.to_markdown())

|      |    0.01 |     0.25 |      0.5 |     0.75 |    0.99 |
|-----:|--------:|---------:|---------:|---------:|--------:|
|   20 | 3.23956 | 0.849528 | 0.808262 | 0.854069 | 2.46195 |
|  100 | 1.65191 | 0.857026 | 0.803632 | 0.835323 | 1.81003 |
|  400 | 1.64183 | 0.860281 | 0.812806 | 0.837641 | 1.57534 |
| 1000 | 1.54641 | 0.869606 | 0.854369 | 0.88065  | 1.52644 |

The attentive reader will certainly notice that values greater than 1 imply that the respective model performed worse than SAA. This is, of course, simply due to the fact, that we didn’t tune the hyperparameters of the underlying LGBMRegressor point predictor and instead used the default parameter values. The LevelSetKDExclasses are able to produce highly accurate density estimations, but are obviously not able to turn a terrible point predictor into a highly performant conditional density estimator. The performance of the underlying point predictor and the constructed LevelSetKDEx model go hand in hand.

We can also access the results for every fold separately via cv_results_raw, which is a list with one entry per fold:

CV.cv_results_raw

[          0.01      0.25      0.50      0.75      0.99
 20    3.068598  0.854633  0.855041  0.953362  3.663885
 100   1.626054  0.871327  0.833379  0.907911  2.591117
 400   1.732673  0.860440  0.828015  0.890643  2.190292
 1000  1.464534  0.873277  0.858563  0.891858  1.830334,
           0.01      0.25      0.50      0.75      0.99
 20    4.157297  0.841141  0.795929  0.830544  1.883320
 100   1.752709  0.862970  0.812126  0.819613  1.416013
 400   2.085622  0.887758  0.839370  0.859290  1.296445
 1000  1.767468  0.869484  0.860893  0.876293  1.464460,
           0.01      0.25      0.50      0.75      0.99
 20    2.492787  0.852811  0.773815  0.778301  1.838642
 100   1.576956  0.836781  0.765390  0.778446  1.422947
 400   1.107203  0.832645  0.771034  0.762992  1.239275
 1000  1.407221  0.866058  0.843651  0.873799  1.284521]

The models with the best binSize parameter are automatically computed while running fit and can be accessed via bestEstimatorLSx. If refitPerProb = True, then bestEstimatorLSx is a dictionary whose keys are the probabilities specified via the paramater probs.

LSKDEx_best99 = CV.bestEstimatorLSx[0.99]
predRes = LSKDEx_best99.predict(X = XTest,
                                probs = 0.99)
print(predRes.iloc[0:6, ].to_markdown())

|    |   0.99 |
|---:|-------:|
|  0 |   0.32 |
|  1 |   0.32 |
|  2 |   0.32 |
|  3 |   0.32 |
|  4 |   0.32 |
|  5 |   0.32 |

Benchmarks: Random Forest wSAA

The dddex package also contains useful non-parametric benchmark models to compare the performance of the LevelSetKDEx models to other state of the art non-parametric models capable of generating conditional density estimations. In a meta analysis conducted by S. Butler et al. the most performant model has been found to be weighted sample average approximation (wSAA) based on Random Forest. This model has been implemented in a Scikit-Learn fashion as well.

from dddex.wSAA import RandomForestWSAA
RF = RandomForestWSAA()

RandomForestWSAA is a class derived from the original RandomForestRegressor class from Scikit-Learn, that has been extended to be able to generate conditional density estimations in the manner described by Bertsimas et al. in their paper From Predictive to prescriptive analytics. The Random Forest modell is being fitted in exactly the same way as the original RandomForestRegressor:

RF.fit(X = XTrain, y = yTrain)

Identical to the LevelSetKDEx and LevelSetKDEx_kNN classes, an identical method called getWeights and predictare implemented to compute conditional density estimations and quantiles. The output is the same as before.

conditionalDensities = RF.getWeights(X = XTest,
                                     outputType = 'summarized')

print(f"probabilities: {conditionalDensities[0][0]}")
print(f"demand values: {conditionalDensities[0][1]}")

(array([0.06347258, 0.17158478, 0.27107937, 0.22641306, 0.11972294,
        0.0765956 , 0.05928644, 0.0085119 , 0.00333333]),
 array([0.  , 0.04, 0.08, 0.12, 0.16, 0.2 , 0.24, 0.28, 0.36]))

predRes = RF.predict(X = XTest,
                     probs = [0.01, 0.5, 0.99],
                     outputAsDf = True)
print(predRes.iloc[0:6, :].to_markdown())

|    |   0.01 |   0.5 |   0.99 |
|---:|-------:|------:|-------:|
|  0 |      0 |  0.08 |   0.28 |
|  1 |      0 |  0.12 |   0.32 |
|  2 |      0 |  0.12 |   0.32 |
|  3 |      0 |  0.16 |   0.28 |
|  4 |      0 |  0.12 |   0.32 |
|  5 |      0 |  0.2  |   0.32 |

The original predict method of the RandomForestRegressor has been renamed to pointPredict:

RF.pointPredict(X = XTest)[0:6]

array([0.1084, 0.1076, 0.1288, 0.1456, 0.1552, 0.1944])