ELI5 library makes it quite easy for us to use permutation importance for sklearn models. First, we train our model. Here we note that Reactions, Interceptions and BallControl are the most important features to access a player's quality. We can also use eli5 to calculate feature importance for non scikit-learn models also. Here we train a LightGBM model.
Feature importance refers to techniques that assign a score to input features based on how useful they are at predicting a target variable. There are many types and sources of feature importance scores, although popular examples include statistical correlation scores, coefficients calculated as part of linear models, decision trees, and permutation importance scores. Feature importance scores play an important role in a predictive modeling project, including providing insight into the data, insight into the model, and the basis for dimensionality reduction and feature selection that can improve the efficiency and effectiveness of a predictive model on the problem. How to Calculate Feature Importance With Python Photo by Bonnie Moreland, some rights reserved. Feature importance refers to a class of techniques for assigning scores to input features to a predictive model that indicates the relative importance of each feature when making a prediction.
Data Science is the study of algorithms. I grapple through with many algorithms on a day to day basis, so I thought of listing some of the most common and most used algorithms one will end up using in this new DS Algorithm series. How many times it has happened when you create a lot of features and then you need to come up with ways to reduce the number of features? Last time I wrote a post titled "The 5 Feature Selection Algorithms every Data Scientist should know" in which I talked about using correlation or tree-based methods and adding some structure to the process of feature selection. Recently I got introduced to another novel way of feature selection called Permutation Importance and really liked it.
Different features have different relevance to a particular learning problem. Some features are less relevant; while some very important. Instead of selecting the most relevant features using feature selection, an algorithm can be given this knowledge of feature importance based on expert opinion or prior learning. Learning can be faster and more accurate if learners take feature importance into account. Correlation aided Neural Networks (CANN) is presented which is such an algorithm. CANN treats feature importance as the correlation coefficient between the target attribute and the features. CANN modifies normal feed-forward Neural Network to fit both correlation values and training data. Empirical evaluation shows that CANN is faster and more accurate than applying the two step approach of feature selection and then using normal learning algorithms.
A benefit of using ensembles of decision tree methods like gradient boosting is that they can automatically provide estimates of feature importance from a trained predictive model. In this post you will discover how you can estimate the importance of features for a predictive modeling problem using the XGBoost library in Python. Feature Importance and Feature Selection With XGBoost in Python Photo by Keith Roper, some rights reserved. XGBoost is the high performance implementation of gradient boosting that you can now access directly in Python. A benefit of using gradient boosting is that after the boosted trees are constructed, it is relatively straightforward to retrieve importance scores for each attribute.