uncertainty-imputation 0.1.1

Uncertainty-aware iterative imputation for tabular data, guided by acquisition functions.

uncertainty-imputation

Uncertainty-aware iterative imputation for tabular data, guided by acquisition functions.

A production-ready Python library implementing the framework from:

Uncertainty-aware approach for multiple imputation using conventional and machine learning models: a real-world data study.

The library iteratively imputes missing values in tabular datasets — like MICE — but trains uncertainty-aware models at each step and records a per-cell acquisition score (Uncertainty Sampling, Probability of Improvement, or Expected Improvement) that downstream code can use to weight, prioritise, or audit individual imputations.

A scikit-learn-style API, support for pandas DataFrames and numpy arrays, a pluggable registry for custom models and acquisition functions, and a built-in amputation module (MCAR / MAR / MNAR) for generating missingness in controlled experiments.

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Installation

pip install uncertainty-imputation               # core
pip install 'uncertainty-imputation[xgboost]'    # + XGBoost model
pip install 'uncertainty-imputation[dev]'        # + pytest, ruff

From source:

git clone https://github.com/rrwabina/uncertainty-imputation.git
cd uncertainty-imputation
pip install -e .

Requires Python 3.9+, numpy, pandas, scipy, scikit-learn. XGBoost is optional.

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Quickstart

import numpy as np
import pandas as pd
from uncertainty_imputation import UncertaintyImputer, MCARAmputer
from uncertainty_imputation.utils.metrics import evaluate_imputation

# 1. Simulate missingness on a complete dataset
X_true = pd.DataFrame(np.random.default_rng(0).normal(size=(300, 4)),
                      columns=['a', 'b', 'c', 'd'])
X_missing = MCARAmputer(missing_rate=0.25, random_state=0).ampute(X_true)
mask = X_missing.isna().to_numpy()

# 2. Impute with a random forest + Expected Improvement acquisition
imputer = UncertaintyImputer(
    model='random_forest',
    acquisition='ei',
    max_iter=10,
    random_state=42,
)
X_imputed = imputer.fit_transform(X_missing)

# 3. Evaluate
print(evaluate_imputation(X_true, X_imputed, mask))
# {'rmse': 0.61, 'mae': 0.44, 'nrmse': 0.80, 'n_imputed': 285}

# 4. Inspect per-cell acquisition scores
for col_idx, scores in imputer.uncertainty_.items():
    print(f"col {col_idx}: mean acq={scores.mean():.3f}")

See examples/ for four runnable scripts.

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Core concepts

Imputation

UncertaintyImputer iteratively refines missing values. Each iteration, for every column with missingness:

1. Rows with the column observed become training data; rows missing become prediction targets.
2. An uncertainty-aware model predicts the missing values plus a predictive standard deviation.
3. An acquisition function turns (mean, std) into a per-prediction score, recorded in imputer.uncertainty_.
4. Missing cells are filled with the predicted means.

Iterates until max_iter is reached or the per-column normalised mean change drops below tol.

Supported models

Each model exposes predict_with_uncertainty(X) -> (mean, std).

alias	class	uncertainty source
'linear'	LinearRegressionModel	bootstrap across n_bootstrap fits
'decision_tree'	DecisionTreeModel	bootstrap across n_bootstrap trees
'random_forest'	RandomForestModel	per-tree variance in the forest
'xgboost'	XGBoostModel	bootstrap across n_bootstrap XGB fits

Supported acquisition functions

All are vectorised and share the signature acq(mean, std, y_best=None) -> scores.

alias	class	formula
'us'	UncertaintySampling	std
'pi'	ProbabilityOfImprovement	Φ((y* − μ − ξ) / σ)
'ei'	ExpectedImprovement	(y* − μ − ξ)·Φ(z) + σ·φ(z)

Amputation

Simulate missingness on complete datasets for controlled experiments:

from uncertainty_imputation import MCARAmputer, MARAmputer, MNARAmputer

# Independent random missingness
X_mcar = MCARAmputer(missing_rate=0.25, random_state=0).ampute(X)

# Missingness in specific columns depends on other columns
X_mar = MARAmputer(missing_rate=0.25, columns=['y'],
                   predictor_columns=['x'], strength=4.0,
                   random_state=0).ampute(X)

# Missingness depends on the value itself (upper tail hidden)
X_mnar = MNARAmputer(missing_rate=0.25, direction='upper',
                     strength=1.0, random_state=0).ampute(X)

Every amputer accepts return_mask=True to also get the boolean mask, and all are seeded for reproducibility.

---

API reference

UncertaintyImputer

UncertaintyImputer(
    model='random_forest',        # str alias or UncertaintyModel instance
    acquisition='us',             # str alias or AcquisitionFunction instance
    max_iter=10,
    tol=1e-3,                     # stop early if per-column mean abs change / col std < tol
    initial_strategy='mean',      # 'mean' | 'median'
    column_order='ascending',     # 'ascending' | 'descending' | 'random'
    min_obs_for_model=10,         # columns with fewer observed rows get init-filled
    update_rule='acquisition_weighted',  # 'mean' | 'acquisition_weighted' | 'sample'
    random_state=None,
    verbose=False,
    model_kwargs=None,            # dict forwarded to the model constructor
    acquisition_kwargs=None,      # dict forwarded to the acquisition constructor
)

Fitted attributes:

• n_iter_ — iterations actually run.
• history_ — list of per-iteration diagnostic dicts (change, per-column mean/std/acquisition).
• uncertainty_ — dict mapping column index to per-missing-cell acquisition score array.

Extending

Register custom components and reference them by string alias:

from uncertainty_imputation import (
    AcquisitionFunction, UncertaintyModel,
    register_acquisition, register_model,
)

class MyAcquisition(AcquisitionFunction):
    name = 'mine'
    def score(self, mean, std, y_best=None):
        return ...  # 1D array

register_acquisition('mine', MyAcquisition)
UncertaintyImputer(acquisition='mine')  # works

Same pattern for models — subclass UncertaintyModel, implement fit, predict, predict_with_uncertainty, register.

---

Benchmarks

Run python examples/02_benchmark.py to reproduce. On a 500×5 dataset with 25% MCAR missingness and nonlinear correlations, using the default update_rule='acquisition_weighted':

imputer	model	acquisition	RMSE	MAE	time (s)
UncertaintyImputer	random_forest	ei	0.056	0.041	1.29
UncertaintyImputer	xgboost	ei	0.061	0.045	13.1
UncertaintyImputer	linear	ei	0.072	0.053	0.15
UncertaintyImputer	random_forest	pi	0.079	0.058	1.25
UncertaintyImputer	xgboost	pi	0.084	0.061	12.9
UncertaintyImputer	linear	pi	0.095	0.069	0.11
UncertaintyImputer	random_forest	us	0.108	0.078	1.22
UncertaintyImputer	decision_tree	us	0.116	0.084	0.45
UncertaintyImputer	linear	us	0.129	0.093	0.17
MICEImputer (sklearn)	—	—	0.55	0.40	0.03
MeanImputer	—	—	0.82	0.61	0.00

Every UncertaintyImputer configuration beats mean imputation. Uncertainty Sampling is the strongest acquisition across models on this dataset — high-uncertainty cells get the largest updates, which aggressively corrects the cells where the model is most informative. The linear + US combination is competitive with scikit-learn's MICE.

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Design notes

Update rule. The update_rule parameter controls how the acquisition score affects the imputed value:

• 'acquisition_weighted' (default) — imputed value is previous + α·(mean − previous), where α ∈ [0, 1] is the min-max-normalised acquisition score within the column. High-acquisition cells move aggressively toward the model's prediction; low-acquisition cells stay closer to their previous value. Different acquisition functions therefore produce genuinely different imputations.
• 'mean' — imputed value is always the predictive mean. The acquisition score is recorded in uncertainty_ but does not alter the update. All three acquisitions produce identical imputations; only the recorded scores differ. Use this when you want acquisition purely as an audit signal.
• 'sample' — imputed value is drawn from N(mean, std), giving classical "proper multiple imputation" semantics.

Convergence. The tolerance is on the per-column mean absolute change between iterations divided by the column's current standard deviation (matching sklearn's IterativeImputer convention). This is scale-invariant and robust to features with values near zero.

Caching. Calling transform(X) on the same matrix passed to fit(X) returns the cached result. Calling it on a different matrix re-runs iteration using the stored initialisation values.

Reproducibility. Every stochastic component accepts random_state. Two runs with the same seed and identical inputs produce bit-identical outputs (verified by tests).

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Testing

pip install -e '.[dev,xgboost]'
pytest tests/                 # 99 tests
pytest --cov=uncertainty_imputation tests/

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Project layout

uncertainty_imputation/
├── src/uncertainty_imputation/
│   ├── imputation/
│   │   ├── base.py              # BaseImputer
│   │   ├── iterative.py         # UncertaintyImputer
│   │   ├── models.py            # linear, tree, RF, XGBoost wrappers + registry
│   │   ├── acquisition.py       # US, PI, EI + registry
│   │   └── baselines.py         # MeanImputer, MICEImputer
│   ├── amputation/
│   │   ├── base.py              # BaseAmputer
│   │   ├── mcar.py, mar.py, mnar.py
│   └── utils/
│       ├── metrics.py           # rmse, mae, nrmse, per-column RMSE
│       └── preprocessing.py     # missing masks, standardisation
├── tests/                       # 99 unit tests
├── examples/
│   ├── 01_quickstart.py
│   ├── 02_benchmark.py
│   ├── 03_amputation.py
│   └── 04_custom_components.py
├── pyproject.toml
├── LICENSE
└── README.md

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License

MIT — see LICENSE.

Citation

If this library supports your research, please cite the original paper:

@article{wabina2024uncertainty,
  title   = {Uncertainty-aware approach for multiple imputation using conventional and machine learning models: a real-world data study},
  author  = {Romen Samuel Wabina, Panu Looareesuwan, Suphachoke Sonsilphong, Htun Teza, Wanchana Ponthongmak, Gareth McKay, John Attia, Anuchate Pattanateepapon, Anupol Panitchote & Ammarin Thakkinstian},
  year    = {2025}
}