Author: Vitaly Radchenko. All content is distributed under the Creative Commons CC BY-NC-SA 4.0 license.
Same assignment as a Kaggle Kernel + solution.
In this assignment, you will build models and answer questions using data on credit scoring.
Please write your code in the cells with the "Your code here" placeholder. Then, answer the questions in the form.
Let's start with a warm-up exercise.
Question 1. There are 5 jurors in a courtroom. Each of them can correctly identify the guilt of the defendant with 70% probability, independent of one another. What is the probability that the jurors will jointly reach the correct verdict if the final decision is by majority vote?
Great! Let's move on to machine learning.
Predict whether the customer will repay their credit within 90 days. This is a binary classification problem; we will assign customers into good or bad categories based on our prediction.
Feature | Variable Type | Value Type | Description |
---|---|---|---|
age | Input Feature | integer | Customer age |
DebtRatio | Input Feature | real | Total monthly loan payments (loan, alimony, etc.) / Total monthly income percentage |
NumberOfTime30-59DaysPastDueNotWorse | Input Feature | integer | The number of cases when client has overdue 30-59 days (not worse) on other loans during the last 2 years |
NumberOfTimes90DaysLate | Input Feature | integer | Number of cases when customer had 90+dpd overdue on other credits |
NumberOfTime60-89DaysPastDueNotWorse | Input Feature | integer | Number of cased when customer has 60-89dpd (not worse) during the last 2 years |
NumberOfDependents | Input Feature | integer | The number of customer dependents |
SeriousDlqin2yrs | Target Variable | binary: 0 or 1 |
Customer hasn't paid the loan debt within 90 days |
Let's set up our environment:
# Disable warnings in Anaconda
import warnings
warnings.filterwarnings("ignore")
import numpy as np
import pandas as pd
%matplotlib inline
import matplotlib.pyplot as plt
import seaborn as sns
sns.set()
from matplotlib import rcParams
rcParams["figure.figsize"] = 11, 8
Let's write the function that will replace NaN values with the median for each column.
def fill_nan(table):
for col in table.columns:
table[col] = table[col].fillna(table[col].median())
return table
Now, read the data:
data = pd.read_csv("../../data/credit_scoring_sample.csv", sep=";")
data.head()
Look at the variable types:
data.dtypes
Check the class balance:
ax = data["SeriousDlqin2yrs"].hist(orientation="horizontal", color="red")
ax.set_xlabel("number_of_observations")
ax.set_ylabel("unique_value")
ax.set_title("Target distribution")
print("Distribution of the target:")
data["SeriousDlqin2yrs"].value_counts() / data.shape[0]
Separate the input variable names by excluding the target:
independent_columns_names = [x for x in data if x != "SeriousDlqin2yrs"]
independent_columns_names
Apply the function to replace NaN values:
table = fill_nan(data)
Separate the target variable and input features:
X = table[independent_columns_names]
y = table["SeriousDlqin2yrs"]
Question 2. Make an interval estimate of the average age for the customers who delayed repayment at the 90% confidence level. Use the example from the article as reference, if needed. Also, use np.random.seed(0)
as before. What is the resulting interval estimate?
# Your code here
Let's set up to use logistic regression:
from sklearn.linear_model import LogisticRegression
from sklearn.model_selection import GridSearchCV, StratifiedKFold
Now, we will create a LogisticRegression
model and use class_weight='balanced'
to make up for our unbalanced classes.
lr = LogisticRegression(random_state=5, class_weight="balanced")
Let's try to find the best regularization coefficient, which is the coefficient C
for logistic regression. Then, we will have an optimal model that is not overfit and is a good predictor of the target variable.
parameters = {"C": (0.0001, 0.001, 0.01, 0.1, 1, 10)}
In order to find the optimal value of C
, let's apply stratified 5-fold validation and look at the ROC AUC against different values of the parameter C
. Use the StratifiedKFold
function for this:
skf = StratifiedKFold(n_splits=5, shuffle=True, random_state=5)
One of the important metrics of model quality is the Area Under the Curve (AUC). ROC AUC varies from 0 to 1. The closer ROC AUC is to 1, the better the quality of the classification model.
Question 3. Perform a Grid Search with the scoring metric "roc_auc" for the parameter C
. Which value of the parameter C
is optimal?
# Your code here
Question 4. Can we consider the best model stable? The model is stable if the standard deviation on validation is less than 0.5%. Save the ROC AUC value of the best model; it will be useful for the following tasks.
# Your code here
Question 5. Feature importance is defined by the absolute value of its corresponding coefficient. First, you need to normalize all of the feature values so that it will be valid to compare them. What is the most important feature for the best logistic regression model?
# Your code here
Question 6. Calculate how much DebtRatio
affects our prediction using the softmax function. What is its value?
# Your code here
Question 7. Let's see how we can interpret the impact of our features. For this, recalculate the logistic regression with absolute values, that is without scaling. Next, modify the customer's age by adding 20 years, keeping the other features unchanged. How many times will the chance that the customer will not repay their debt increase? You can find an example of the theoretical calculation here.
# Your code here
Import the Random Forest classifier:
from sklearn.ensemble import RandomForestClassifier
Initialize Random Forest with 100 trees and balance target classes:
rf = RandomForestClassifier(
n_estimators=100, n_jobs=-1, random_state=42, class_weight="balanced"
)
We will search for the best parameters among the following values:
parameters = {
"max_features": [1, 2, 4],
"min_samples_leaf": [3, 5, 7, 9],
"max_depth": [5, 10, 15],
}
Also, we will use the stratified k-fold validation again. You should still have the skf
variable.
Question 8. How much higher is the ROC AUC of the best random forest model than that of the best logistic regression on validation?
# Your code here
Question 9. What feature has the weakest impact in the Random Forest model?
# Your code here
Question 10. What is the most significant advantage of using Logistic Regression versus Random Forest for this problem?
Import modules and set up the parameters for bagging:
from sklearn.ensemble import BaggingClassifier
from sklearn.model_selection import RandomizedSearchCV, cross_val_score
parameters = {
"max_features": [2, 3, 4],
"max_samples": [0.5, 0.7, 0.9],
"base_estimator__C": [0.0001, 0.001, 0.01, 1, 10, 100],
}
Question 11. Fit a bagging classifier with random_state=42
. For the base classifiers, use 100 logistic regressors and use RandomizedSearchCV
instead of GridSearchCV
. It will take a lot of time to iterate over all 54 variants, so set the maximum number of iterations for RandomizedSearchCV
to 20. Don't forget to set the parameters cv
and random_state=1
. What is the best ROC AUC you achieve?
# Your code here
Question 12. Give an interpretation of the best parameters for bagging. Why are these values of max_features
and max_samples
the best?