【算法竞赛学习】资金流入流出预测-挑战Baseline

赛题简介

蚂蚁金服拥有上亿会员并且业务场景中每天都涉及大量的资金流入和流出，面对如此庞大的用户群，资金管理压力会非常大。在既保证资金流动性风险最小，又满足日常业务运转的情况下，精准地预测资金的流入流出情况变得尤为重要。此届大赛以《资金流入流出预测》为题，期望参赛者能够通过对例如余额宝用户的申购赎回数据的把握，精准预测未来每日的资金流入流出情况。对货币基金而言，资金流入意味着申购行为，资金流出为赎回行为。

赛题与数据

竞赛中使用的数据主要包含四个部分，分别为用户基本信息数据、用户申购赎回数据、收益率表和银行间拆借利率表。https://tianchi.aliyun.com/competition/entrance/231573/information

特征工程

import pandas as  pd
import numpy as npimport datetime
# import shap
# import eli5
import seaborn as sns
import matplotlib.pyplot as plt# from mvtpy import mvtest
# from wordcloud import WordCloud
from scipy import stats
# from eli5.sklearn import PermutationImportance
from sklearn import tree
from sklearn.preprocessing import OneHotEncoder
from sklearn.linear_model import LinearRegressionfrom typing import *
import warnings
warnings.filterwarnings('ignore')

# 为方面后面操作，设置全局index变量labels = ['total_purchase_amt','total_redeem_amt']
date_indexs = ['week','year','month','weekday','day']

# Load the balance data
def load_data(path: str = 'user_balance_table.csv')->pd.DataFrame:data_balance = pd.read_csv(path)return data_balance.reset_index(drop=True)# add tiemstamp to dataset
def add_timestamp(data: pd.DataFrame, time_index: str = 'report_date')->pd.DataFrame:data_balance = data.copy()data_balance['date'] = pd.to_datetime(data_balance[time_index], format= "%Y%m%d")data_balance['day'] = data_balance['date'].dt.daydata_balance['month'] = data_balance['date'].dt.monthdata_balance['year'] = data_balance['date'].dt.yeardata_balance['week'] = data_balance['date'].dt.weekdata_balance['weekday'] = data_balance['date'].dt.weekdayreturn data_balance.reset_index(drop=True)# total amount
def get_total_balance(data: pd.DataFrame, date: str = '2014-03-31')->pd.DataFrame:df_tmp = data.copy()df_tmp = df_tmp.groupby(['date'])['total_purchase_amt','total_redeem_amt'].sum()df_tmp.reset_index(inplace=True)return df_tmp[(df_tmp['date']>= date)].reset_index(drop=True)# Generate the test data
def generate_test_data(data: pd.DataFrame)->pd.DataFrame:total_balance = data.copy()start = datetime.datetime(2014,9,1)testdata = []while start != datetime.datetime(2014,10,15):temp = [start, np.nan, np.nan]testdata.append(temp)start += datetime.timedelta(days = 1)testdata = pd.DataFrame(testdata)testdata.columns = total_balance.columnstotal_balance = pd.concat([total_balance, testdata], axis = 0)total_balance = total_balance.reset_index(drop=True)return total_balance.reset_index(drop=True)# Load user's information
def load_user_information(path: str = 'user_profile_table.csv')->pd.DataFrame:return pd.read_csv(path)

# 读取数据集balance_data = load_data('Data/user_balance_table.csv')
balance_data = add_timestamp(balance_data, time_index='report_date')
total_balance = get_total_balance(balance_data)
total_balance = generate_test_data(total_balance)
total_balance = add_timestamp(total_balance, 'date')
user_information = load_user_information('Data/user_profile_table.csv')

balance_data

特征提取

基于日期的静态特征

# 获取节假日集合def get_holiday_set()->Set[datetime.date]:holiday_set = set()# 清明节holiday_set = holiday_set | {datetime.date(2014,4,5), datetime.date(2014,4,6), datetime.date(2014,4,7)}# 劳动节holiday_set = holiday_set | {datetime.date(2014,5,1), datetime.date(2014,5,2), datetime.date(2014,5,3)}# 端午节holiday_set = holiday_set | {datetime.date(2014,5,31), datetime.date(2014,6,1), datetime.date(2014,6,2)}# 中秋节holiday_set = holiday_set | {datetime.date(2014,9,6), datetime.date(2014,9,7), datetime.date(2014,9,8)}# 国庆节holiday_set = holiday_set | {datetime.date(2014,10,1), datetime.date(2014,10,2), datetime.date(2014,10,3),\datetime.date(2014,10,4), datetime.date(2014,10,5), datetime.date(2014,10,6),\datetime.date(2014,10,7)}# 中秋节holiday_set = holiday_set | {datetime.date(2013,9,19), datetime.date(2013,9,20), datetime.date(2013,9,21)}# 国庆节holiday_set = holiday_set | {datetime.date(2013,10,1), datetime.date(2013,10,2), datetime.date(2013,10,3),\datetime.date(2013,10,4), datetime.date(2013,10,5), datetime.date(2013,10,6),\datetime.date(2013,10,7)}return holiday_set

# 提取所有 is特征def extract_is_feature(data: pd.DataFrame)->pd.DataFrame:total_balance = data.copy().reset_index(drop=True)# 是否是Weekendtotal_balance['is_weekend'] = 0total_balance.loc[total_balance['weekday'].isin((5,6)), 'is_weekend'] = 1# 是否是假期total_balance['is_holiday'] = 0total_balance.loc[total_balance['date'].isin(get_holiday_set()), 'is_holiday'] = 1# 是否是节假日的第一天last_day_flag = 0total_balance['is_firstday_of_holiday'] = 0for index, row in total_balance.iterrows():if last_day_flag == 0 and row['is_holiday'] == 1:total_balance.loc[index, 'is_firstday_of_holiday'] = 1last_day_flag = row['is_holiday']# 是否是节假日的最后一天total_balance['is_lastday_of_holiday'] = 0for index, row in total_balance.iterrows():if row['is_holiday'] == 1 and total_balance.loc[index+1, 'is_holiday'] == 0:total_balance.loc[index, 'is_lastday_of_holiday'] = 1# 是否是节假日后的上班第一天total_balance['is_firstday_of_work'] = 0last_day_flag = 0for index, row in total_balance.iterrows():if last_day_flag == 1 and row['is_holiday'] == 0:total_balance.loc[index, 'is_firstday_of_work'] = 1last_day_flag = row['is_lastday_of_holiday']# 是否不用上班total_balance['is_work'] = 1total_balance.loc[(total_balance['is_holiday'] == 1) | (total_balance['is_weekend'] == 1), 'is_work'] = 0special_work_day_set = {datetime.date(2014,5,4), datetime.date(2014,9,28)}total_balance.loc[total_balance['date'].isin(special_work_day_set), 'is_work'] = 1# 是否明天要上班total_balance['is_gonna_work_tomorrow'] = 0for index, row in total_balance.iterrows():if index == len(total_balance)-1:breakif row['is_work'] == 0 and total_balance.loc[index+1, 'is_work'] == 1:total_balance.loc[index, 'is_gonna_work_tomorrow'] = 1# 昨天上班了吗total_balance['is_worked_yestday'] = 0for index, row in total_balance.iterrows():if index <= 1:continueif total_balance.loc[index-1, 'is_work'] == 1:total_balance.loc[index, 'is_worked_yestday'] = 1# 是否是放假前一天total_balance['is_lastday_of_workday'] = 0for index, row in total_balance.iterrows():if index == len(total_balance)-1:breakif row['is_holiday'] == 0 and total_balance.loc[index+1, 'is_holiday'] == 1:total_balance.loc[index, 'is_lastday_of_workday'] = 1# 是否周日要上班total_balance['is_work_on_sunday'] = 0for index, row in total_balance.iterrows():if index == len(total_balance)-1:breakif row['weekday'] == 6 and row['is_work'] == 1:total_balance.loc[index, 'is_work_on_sunday'] = 1# 是否是月初第一天total_balance['is_firstday_of_month'] = 0total_balance.loc[total_balance['day'] == 1, 'is_firstday_of_month'] = 1# 是否是月初第二天total_balance['is_secday_of_month'] = 0total_balance.loc[total_balance['day'] == 2, 'is_secday_of_month'] = 1# 是否是月初total_balance['is_premonth'] = 0total_balance.loc[total_balance['day'] <= 10, 'is_premonth'] = 1# 是否是月中total_balance['is_midmonth'] = 0total_balance.loc[(10 < total_balance['day']) & (total_balance['day'] <= 20), 'is_midmonth'] = 1# 是否是月末total_balance['is_tailmonth'] = 0total_balance.loc[20 < total_balance['day'], 'is_tailmonth'] = 1# 是否是每个月第一个周total_balance['is_first_week'] = 0total_balance.loc[total_balance['week'] % 4 == 1, 'is_first_week'] = 1# 是否是每个月第一个周total_balance['is_second_week'] = 0total_balance.loc[total_balance['week'] % 4 == 2, 'is_second_week'] = 1# 是否是每个月第一个周total_balance['is_third_week'] = 0total_balance.loc[total_balance['week'] % 4 == 3, 'is_third_week'] = 1# 是否是每个月第四个周total_balance['is_fourth_week'] = 0total_balance.loc[total_balance['week'] % 4 == 0, 'is_fourth_week'] = 1return total_balance.reset_index(drop=True)

# 提取is特征到数据集total_balance = extract_is_feature(total_balance)

# 编码翌日特征def encode_data(data: pd.DataFrame, feature_name:str = 'weekday', encoder=OneHotEncoder())->pd.DataFrame():total_balance = data.copy()week_feature = encoder.fit_transform(np.array(total_balance[feature_name]).reshape(-1, 1)).toarray()week_feature = pd.DataFrame(week_feature,columns= [feature_name + '_onehot_'+ str(x) for x in range(len(week_feature[0]))])#featureWeekday = pd.concat([total_balance, week_feature], axis = 1).drop(feature_name, axis=1)featureWeekday = pd.concat([total_balance, week_feature], axis = 1)return featureWeekday

# 编码翌日特征到数据集total_balance = encode_data(total_balance)

# 生成is特征集合feature = total_balance[[x for x in total_balance.columns if x not in date_indexs]]

is特征的下标签分布分析

# 绘制箱型图def draw_boxplot(data: pd.DataFrame)->None:f, axes = plt.subplots(7, 4, figsize=(18, 24))global date_indexs, labelscount = 0for i in [x for x in data.columns if x not in date_indexs + labels + ['date']]:sns.boxenplot(x=i, y='total_purchase_amt', data=data, ax=axes[count // 4][count % 4])count += 1

draw_boxplot(feature)

## 剔除看起来较差的特征purchase_feature_seems_useless = [#样本量太少，建模时无效；但若确定这是一个有用规则，可以对结果做修正'is_work_on_sunday',#中位数差异不明显'is_first_week'
]

特征的相关性分析

# 画相关性热力图def draw_correlation_heatmap(data: pd.DataFrame, way:str = 'pearson')->None:feature = data.copy()plt.figure(figsize=(20,10))plt.title('The ' + way +' coleration between total purchase and each feature')sns.heatmap(feature[[x for x in feature.columns if x not in ['total_redeem_amt', 'date'] ]].corr(way),linecolor='white',linewidths=0.1,cmap="RdBu")

draw_correlation_heatmap(feature, 'spearman')

# 剔除相关性较低的特征temp = np.abs(feature[[x for x in feature.columns if x not in ['total_redeem_amt', 'date'] ]].corr('spearman')['total_purchase_amt'])
feature_low_correlation = list(set(temp[temp < 0.1].index))

基于距离的特征

距离特征提取

# 提取距离特征def extract_distance_feature(data: pd.DataFrame)->pd.DataFrame:total_balance = data.copy()# 距离放假还有多少天total_balance['dis_to_nowork'] = 0for index, row in total_balance.iterrows():if row['is_work'] == 0:step = 1flag = 1while flag:if index - step >= 0 and total_balance.loc[index - step, 'is_work'] == 1:total_balance.loc[index - step, 'dis_to_nowork'] = stepstep += 1else:flag = 0total_balance['dis_from_nowork'] = 0step = 0for index, row in total_balance.iterrows():step += 1if row['is_work'] == 1:total_balance.loc[index, 'dis_from_nowork'] = stepelse:step = 0# 距离上班还有多少天total_balance['dis_to_work'] = 0for index, row in total_balance.iterrows():if row['is_work'] == 1:step = 1flag = 1while flag:if index - step >= 0 and total_balance.loc[index - step, 'is_work'] == 0:total_balance.loc[index - step, 'dis_to_work'] = stepstep += 1else:flag = 0total_balance['dis_from_work'] = 0step = 0for index, row in total_balance.iterrows():step += 1if row['is_work'] == 0:total_balance.loc[index, 'dis_from_work'] = stepelse:step = 0# 距离节假日还有多少天total_balance['dis_to_holiday'] = 0for index, row in total_balance.iterrows():if row['is_holiday'] == 1:step = 1flag = 1while flag:if index - step >= 0 and total_balance.loc[index - step, 'is_holiday'] == 0:total_balance.loc[index - step, 'dis_to_holiday'] = stepstep += 1else:flag = 0total_balance['dis_from_holiday'] = 0step = 0for index, row in total_balance.iterrows():step += 1if row['is_holiday'] == 0:total_balance.loc[index, 'dis_from_holiday'] = stepelse:step = 0# 距离节假日最后一天还有多少天total_balance['dis_to_holiendday'] = 0for index, row in total_balance.iterrows():if row['is_lastday_of_holiday'] == 1:step = 1flag = 1while flag:if index - step >= 0 and total_balance.loc[index - step, 'is_lastday_of_holiday'] == 0:total_balance.loc[index - step, 'dis_to_holiendday'] = stepstep += 1else:flag = 0total_balance['dis_from_holiendday'] = 0step = 0for index, row in total_balance.iterrows():step += 1if row['is_lastday_of_holiday'] == 0:total_balance.loc[index, 'dis_from_holiendday'] = stepelse:step = 0# 距离月初第几天total_balance['dis_from_startofmonth'] = np.abs(total_balance['day'])# 距离月的中心点有几天total_balance['dis_from_middleofmonth'] = np.abs(total_balance['day'] - 15)# 距离星期的中心有几天total_balance['dis_from_middleofweek'] = np.abs(total_balance['weekday'] - 3)# 距离星期日有几天total_balance['dis_from_endofweek'] = np.abs(total_balance['weekday'] - 6)return total_balance

# 拼接距离特征到原数据集total_balance = extract_distance_feature(total_balance)

距离特征分析

# 获取距离特征的列名feature = total_balance[[x for x in total_balance.columns if x not in date_indexs]]
dis_feature_indexs = [x for x in feature.columns if (x not in date_indexs + labels + ['date']) & ('dis' in x)]

# 画点线def draw_point_feature(data: pd.DataFrame)->None:feature = data.copy()f, axes = plt.subplots(data.shape[1] // 3, 3, figsize=(30, data.shape[1] // 3 * 4))count = 0for i in [x for x in feature.columns if (x not in date_indexs + labels + ['date'])]:sns.pointplot(x=i, y="total_purchase_amt",markers=["^", "o"], linestyles=["-", "--"],kind="point", data=feature, ax=axes[count // 3][count % 3] if data.shape[1] > 3 else axes[count])count += 1

draw_point_feature(feature[['total_purchase_amt'] + dis_feature_indexs])

# 处理距离过远的时间点
def dis_change(x):if x > 5:x = 10return x

# 处理特殊距离
dis_holiday_feature = [x for x in total_balance.columns if 'dis' in x and 'holi' in x]
dis_month_feature = [x for x in total_balance.columns if 'dis' in x and 'month' in x]
total_balance[dis_holiday_feature] = total_balance[dis_holiday_feature].applymap(dis_change)
total_balance[dis_month_feature] = total_balance[dis_month_feature].applymap(dis_change)

feature = total_balance[[x for x in total_balance.columns if x not in date_indexs]]

# 画处理后的点线图
draw_point_feature(feature[['total_purchase_amt'] + dis_feature_indexs])

## 剔除看起来用处不大的特征
purchase_feature_seems_useless += [#即使做了处理，但方差太大，不可信，规律不明显'dis_to_holiday',#方差太大，不可信'dis_from_startofmonth',#方差太大，不可信'dis_from_middleofmonth'
]

# 画出相关性图
draw_correlation_heatmap(feature[['total_purchase_amt'] + dis_feature_indexs])

# 剔除相关性较差的特征
temp = np.abs(feature[[x for x in feature.columns if ('dis' in x) | (x in ['total_purchase_amt']) ]].corr()['total_purchase_amt'])
feature_low_correlation += list(set(temp[temp < 0.1].index) )

波峰波谷特征

提取波峰特征

# 观察波峰特点
fig = plt.figure(figsize=(15,15))
for i in range(6, 10):plt.subplot(5,1,i - 5)total_balance_2 = total_balance[(total_balance['date'].dt.date >= datetime.date(2014,8,1)) & (total_balance['date'].dt.date < datetime.date(2014,9,1))]sns.pointplot(x=total_balance_2['day'],y=total_balance_2['total_purchase_amt'])plt.legend().set_title('Month:' + str(i))

#Purchase
#0401(周二)                                     0406（周日，清明节第二天）
#0410(周四，与周二近似)                         0412（周六，与周日近似）
#0415（周二）                                   0420（周日）
#0424（周四，与周二在近似水平）                 0427（周日）
#0429（周二）                                   0502（周五，劳动节第二天）
#0507（周三，与周二差异较大，可能受劳务节影响） 0511（周日）
#0512（周一，与周二有一定差距）                 0518（周日）
#0519（周二）                                   0525（周日）
#0526（周一，与周二有一定差距）                 0531（周六，月末）
#0605（周四，与周二差异大，可能受端午节影响）   0607（周六，可能受端午节影响）
#0609（周一，与周二近似）                       0615（周日）
#0616（周一，与周二差异大）                     0622（周日）
#0626（周四，与周二差异不大）                   0629（周日）
#0701（周二）                                   0705（周六，与周日差距不大）
#0707（周一，与周二有差距）                     0713（周日）
#0716（周三，与周二有一定差距）                 0720（周日）
#0721（周一，与周二有明显差距）                 0726（周六，与周日近似）
#0728（周一，与周二有明显差距）                 0803（周日）
#0805（周二）                                   0809（周六，与周日有较大差距）
#0811（周一，有周二有较大差距）                 0817（周日）
#0818（周一，与周二差距不大）                   0824（周日）

# 设定波峰日期
def extract_peak_feature(data: pd.DataFrame)->pd.DataFrame:total_balance = data.copy()# 距离purchase波峰（即周二）有几天total_balance['dis_from_purchase_peak'] = np.abs(total_balance['weekday'] - 1)# 距离purchase波谷（即周日）有几天，与dis_from_endofweek相同total_balance['dis_from_purchase_valley'] = np.abs(total_balance['weekday'] - 6)return total_balance

# 提取波峰特征
total_balance = extract_peak_feature(total_balance)
feature = total_balance[[x for x in total_balance.columns if x not in date_indexs]]
draw_point_feature(feature[['total_purchase_amt'] + ['dis_from_purchase_peak','dis_from_purchase_valley']])

分析波峰特征

draw_point_feature(feature[['total_purchase_amt'] + ['dis_from_purchase_peak','dis_from_purchase_valley']])

分析波峰特征相关性

temp = np.abs(feature[[x for x in feature.columns if ('peak' in x) or ('valley' in x) or (x in ['total_purchase_amt']) ]].corr()['total_purchase_amt'])

加入周期因子作为特征

提取周期因子

def generate_rate(df, month_index):total_balance = df.copy()pure_balance = total_balance[['date','total_purchase_amt','total_redeem_amt']]pure_balance = pure_balance[(pure_balance['date'].dt.date >= datetime.date(2014,3,1)) & (pure_balance['date'].dt.date < datetime.date(2014, month_index, 1))]pure_balance['weekday'] = pure_balance['date'].dt.weekdaypure_balance['day'] = pure_balance['date'].dt.daypure_balance['week'] = pure_balance['date'].dt.weekpure_balance['month'] = pure_balance['date'].dt.monthweekday_rate = pure_balance[['weekday']+labels].groupby('weekday',as_index=False).mean()for name in labels:weekday_rate = weekday_rate.rename(columns={name: name+'_weekdaymean'})weekday_rate['total_purchase_amt_weekdaymean'] /= np.mean(pure_balance['total_purchase_amt'])weekday_rate['total_redeem_amt_weekdaymean'] /= np.mean(pure_balance['total_redeem_amt'])pure_balance = pd.merge(pure_balance, weekday_rate, on='weekday', how='left')weekday_count = pure_balance[['day','weekday','date']].groupby(['day','weekday'],as_index=False).count()weekday_count = pd.merge(weekday_count, weekday_rate, on = 'weekday')weekday_count['total_purchase_amt_weekdaymean'] *= weekday_count['date'] / (len(set(pure_balance['month'])) - 1)weekday_count['total_redeem_amt_weekdaymean'] *= weekday_count['date'] / (len(set(pure_balance['month'])) - 1)day_rate = weekday_count.drop(['weekday','date'],axis=1).groupby('day',as_index=False).sum()weekday_rate.columns = ['weekday','purchase_weekdayrate','redeem_weekdayrate']day_rate.columns = ['day','purchase_dayrate','redeem_dayrate']day_rate['date'] = datetime.datetime(2014, month_index, 1)for index, row in day_rate.iterrows():if month_index in (2,4,6,9) and row['day'] == 31:continueday_rate.loc[index, 'date'] = datetime.datetime(2014, month_index, int(row['day']))day_rate['weekday'] = day_rate['date'].dt.weekdayday_rate = pd.merge(day_rate, weekday_rate, on='weekday')day_rate['purchase_dayrate'] = day_rate['purchase_weekdayrate'] / day_rate['purchase_dayrate']day_rate['redeem_dayrate'] = day_rate['redeem_weekdayrate'] / day_rate['redeem_dayrate']weekday_rate['month'] = month_indexday_rate['month'] = month_indexreturn weekday_rate, day_rate[['day','purchase_dayrate','redeem_dayrate','month']].sort_values('day')

# 生成周期因子并合并到数据集
weekday_rate_list = []
day_rate_list = []
for i in range(3, 10):weekday_rate, day_rate = generate_rate(total_balance, i)weekday_rate_list.append(weekday_rate.reset_index(drop=True))day_rate_list.append(day_rate.reset_index(drop=True))weekday_rate_list = pd.concat(weekday_rate_list).reset_index(drop=True)
day_rate_list = pd.concat(day_rate_list).reset_index(drop=True)
total_balance = pd.merge(total_balance, weekday_rate_list, on=['weekday','month'], how='left')
total_balance = pd.merge(total_balance, day_rate_list, on=['day','month'], how='left')

# 对周期因子进行特殊处理
for i in [x for x in total_balance.columns if 'rate' in x and x not in labels + date_indexs]:total_balance[i] = total_balance[i].fillna(np.nanmedian(total_balance[i]))

# 画出相关性图
draw_correlation_heatmap(total_balance[['total_purchase_amt'] + [x for x in total_balance.columns if 'rate' in x and x not in labels + date_indexs]])

分析周期因子的相关性

# 画出相关性图
draw_correlation_heatmap(total_balance[['total_purchase_amt'] + [x for x in total_balance.columns if 'rate' in x and x not in labels + date_indexs]])

# 剔除相关性低的特征
feature = total_balance.drop(date_indexs, axis=1)

加入动态时序特征

提取动态特征

## 提取动态特征
def get_amtfeature_with_time(data: pd.DataFrame)->pd.DataFrame:df_tmp_ = data[labels + date_indexs + ['date']].copy()total_balance = data.copy()df_tmp_ = df_tmp_[(df_tmp_['date'].dt.date>=datetime.date(2014,3,3))]df_tmp_['weekday'] = df_tmp_['date'].dt.weekday + 1df_tmp_['week'] = df_tmp_['date'].dt.week - min(df_tmp_['date'].dt.week) + 1df_tmp_['day'] = df_tmp_['date'].dt.daydf_tmp_['month'] = df_tmp_['date'].dt.monthdf_tmp_.reset_index(inplace=True)del df_tmp_['index']df_purchase = pd.DataFrame(columns = ['weekday1','weekday2','weekday3','weekday4','weekday5','weekday6','weekday7'])count = 0for i in range(len(df_tmp_)):df_purchase.loc[count,'weekday'+str(df_tmp_.loc[i,'weekday'])] = df_tmp_.loc[i,'total_purchase_amt']if df_tmp_.loc[i,'weekday'] == 7:count = count + 1df_tmp_['purchase_weekday_median'] = np.nandf_tmp_['purchase_weekday_mean'] = np.nandf_tmp_['purchase_weekday_min'] = np.nandf_tmp_['purchase_weekday_max'] = np.nandf_tmp_['purchase_weekday_std'] = np.nandf_tmp_['purchase_weekday_skew'] = np.nanfor i in range(len(df_tmp_)):#从2014年3月31日开始统计if i > 4*7-1:df_tmp_.loc[i,'purchase_weekday_median'] = df_purchase.loc[:df_tmp_.loc[i,'week']-2,'weekday'+str(df_tmp_.loc[i,'weekday'])].median()df_tmp_.loc[i,'purchase_weekday_mean'] = df_purchase.loc[:df_tmp_.loc[i,'week']-2,'weekday'+str(df_tmp_.loc[i,'weekday'])].mean()df_tmp_.loc[i,'purchase_weekday_min'] = df_purchase.loc[:df_tmp_.loc[i,'week']-2,'weekday'+str(df_tmp_.loc[i,'weekday'])].min()    df_tmp_.loc[i,'purchase_weekday_max'] = df_purchase.loc[:df_tmp_.loc[i,'week']-2,'weekday'+str(df_tmp_.loc[i,'weekday'])].max()   df_tmp_.loc[i,'purchase_weekday_std'] = df_purchase.loc[:df_tmp_.loc[i,'week']-2,'weekday'+str(df_tmp_.loc[i,'weekday'])].std() df_tmp_.loc[i,'purchase_weekday_skew'] = df_purchase.loc[:df_tmp_.loc[i,'week']-2,'weekday'+str(df_tmp_.loc[i,'weekday'])].skew() colList = ['purchase_weekday_median','purchase_weekday_mean','purchase_weekday_min','purchase_weekday_max','purchase_weekday_std','purchase_weekday_skew']total_balance = pd.merge(total_balance, df_tmp_[colList+['day','month']], on=['day','month'], how='left')return total_balance

# 合并特征到数据集
total_balance = get_amtfeature_with_time(total_balance)

# 对动态特征做特殊处理
for i in [x for x in total_balance.columns if '_weekday_' in x and x not in labels + date_indexs]:total_balance[i] = total_balance[i].fillna(np.nanmedian(total_balance[i]))

# 绘制动态特征的相关性图
draw_correlation_heatmap(total_balance[['total_purchase_amt'] + ['purchase_weekday_median','purchase_weekday_mean','purchase_weekday_min','purchase_weekday_max','purchase_weekday_std','purchase_weekday_skew']])

分析动态特征相关性

# 绘制动态特征的相关性图
draw_correlation_heatmap(total_balance[['total_purchase_amt'] + ['purchase_weekday_median','purchase_weekday_mean','purchase_weekday_min','purchase_weekday_max','purchase_weekday_std','purchase_weekday_skew']])

feature[labels + ['dis_to_nowork', 'dis_to_work', 'dis_from_work', 'purchase_weekdayrate','redeem_dayrate', 'weekday_onehot_5', 'weekday_onehot_6','dis_from_nowork', 'is_holiday', 'weekday_onehot_1', 'weekday_onehot_2','weekday_onehot_0', 'dis_from_middleofweek', 'dis_from_holiendday','weekday_onehot_3', 'is_lastday_of_holiday', 'is_firstday_of_holiday','weekday_onehot_4', 'is_worked_yestday', 'is_second_week','is_third_week', 'dis_from_startofmonth', 'dis_from_holiday', 'total_purchase_amt','total_redeem_amt', 'date']].to_csv('Data/0615_residual_purchase_origined.csv', index=False)

特征劣汰剔除

剔除无法有效分割数据集的特征

# 画出各个特征分割数据集的分布估计图
plt.figure(figsize=(4 * 6, 6 * len(feature.columns) / 6))
count = 0
for i in [x for x in feature.columns if (x not in labels + date_indexs + ['date']) & ('amt' not in x) & ('dis' not in x) & ('rate' not in x)]:count += 1if feature[feature[i] == 0].empty:continueplt.subplot(len(feature.columns) / 4, 4, count)ax = sns.kdeplot(feature[feature[i] == 0]['total_purchase_amt'], label= str(i) + ' == 0, purchase')ax = sns.kdeplot(feature[feature[i] == 1]['total_purchase_amt'], label= str(i) + ' == 1, purchase')

# 画出各个特征分割数据集的分布估计图
plt.figure(figsize=(4 * 6, 6 * len(feature.columns) / 6))
count = 0
for i in [x for x in feature.columns if (x not in labels + date_indexs + ['date']) & ('amt' not in x) & ('dis' not in x) & ('rate' not in x)]:count += 1if feature[feature[i] == 0].empty:continueplt.subplot(len(feature.columns) / 4, 4, count)ax = sns.kdeplot(feature[feature[i] == 0]['total_purchase_amt'], label= str(i) + ' == 0, purchase')ax = sns.kdeplot(feature[feature[i] == 1]['total_purchase_amt'], label= str(i) + ' == 1, purchase')

# 剔除对数据集划分不明显的特征
purchase_feature_seems_useless += ['is_gonna_work_tomorrow','is_fourth_week','weekday_onehot_4']

剔除复共线特征

feature = feature[[x for x in feature.columns if (x not in feature_low_correlation + purchase_feature_seems_useless) or\(x in feature_saved_from_mv_purchase )]]

purchase_cors = feature.corr()
purchase_cors['total_purchase_amt'] = np.abs(purchase_cors['total_purchase_amt'])
feature_lists = list(purchase_cors.sort_values(by='total_purchase_amt',ascending=False).index)[2:]
feature_temp = feature.dropna()

# 这里要注意 保留的时候按照相关性降序排序 剔除按照相关性升序排序的顺序
thershold = 0.8
for i in range(len(feature_lists)):for k in range(len(feature_lists)-1, -1, -1):if i >= len(feature_lists) or k >= len(feature_lists) or i == k:breakif np.abs(np.corrcoef(feature_temp[feature_lists[i]], feature_temp[feature_lists[k]])[0][1]) > thershold:higher_feature_temp = feature_temp[feature_lists[i]] * feature_temp[feature_lists[k]]if np.abs(np.corrcoef(feature_temp[feature_lists[i]], higher_feature_temp)[0][1]) <= thershold:name = str(feature_lists[i]) + '%%%%' + str(feature_lists[k])feature_temp[name] = higher_feature_tempfeature[name] = feature[feature_lists[i]] * feature[feature_lists[k]]feature_lists.append(name)feature_temp = feature_temp.drop(feature_lists[k], axis=1)feature_lists.remove(feature_lists[k])

feature = feature[[x for x in feature_lists if x not in labels] + labels + ['date']]
feature_lists

feature.to_csv('Feature/purchase_feature_droped_0614.csv',index=False)

选出优胜特征

# 分割数据集
def split_data_underline(data):trainset = data[(datetime.date(2014,4,1) <= data['date']) & (data['date'] < datetime.date(2014,8,1))]testset = data[(datetime.date(2014,8,1) <= data['date']) & (data['date'] < datetime.date(2014,9,1))]return trainset, testset

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