{"metadata":{"kernelspec":{"language":"python","display_name":"Python 3","name":"python3"},"language_info":{"name":"python","version":"3.10.12","mimetype":"text/x-python","codemirror_mode":{"name":"ipython","version":3},"pygments_lexer":"ipython3","nbconvert_exporter":"python","file_extension":".py"},"kaggle":{"accelerator":"none","dataSources":[{"sourceId":50160,"databundleVersionId":7921029,"sourceType":"competition"}],"dockerImageVersionId":30635,"isInternetEnabled":false,"language":"python","sourceType":"notebook","isGpuEnabled":false}},"nbformat_minor":4,"nbformat":4,"cells":[{"cell_type":"code","source":"import polars as pl\nimport numpy as np\nimport pandas as pd\nimport lightgbm as lgb\n\nfrom sklearn.model_selection import train_test_split\nfrom sklearn.metrics import roc_auc_score ","metadata":{"execution":{"iopub.status.busy":"2024-03-25T15:36:55.374484Z","iopub.execute_input":"2024-03-25T15:36:55.374880Z","iopub.status.idle":"2024-03-25T15:36:58.949288Z","shell.execute_reply.started":"2024-03-25T15:36:55.374838Z","shell.execute_reply":"2024-03-25T15:36:58.948341Z"},"trusted":true},"execution_count":null,"outputs":[]},{"cell_type":"code","source":"def set_table_dtypes(df: pl.DataFrame) -> pl.DataFrame:\n    for col in df.columns:\n        if col[-1] in (\"P\", \"A\"):\n            df = df.with_columns(pl.col(col).cast(pl.Float64).alias(col))\n        elif col[-1] in (\"D\"):\n            df = df.with_columns(pl.col(col).cast(pl.Date).alias(col))\n    return df\n\ndef convert_strings(df: pd.DataFrame) -> pd.DataFrame:\n    for col in df.columns:  \n        if df[col].dtype.name in ['object', 'string']:\n            df[col] = df[col].astype(\"string\").astype('category')\n            current_categories = df[col].cat.categories\n            new_categories = current_categories.to_list() + [\"Unknown\"]\n            new_dtype = pd.CategoricalDtype(categories=new_categories, ordered=True)\n            df[col] = df[col].astype(new_dtype)\n    return df","metadata":{"execution":{"iopub.status.busy":"2024-03-25T15:37:02.777483Z","iopub.execute_input":"2024-03-25T15:37:02.777942Z","iopub.status.idle":"2024-03-25T15:37:02.788091Z","shell.execute_reply.started":"2024-03-25T15:37:02.777900Z","shell.execute_reply":"2024-03-25T15:37:02.786697Z"},"trusted":true},"execution_count":null,"outputs":[]},{"cell_type":"code","source":"dataPath = \"/kaggle/input/home-credit-credit-risk-model-stability/\"\n\ntrain_basetable = pl.read_csv(dataPath + \"csv_files/train/train_base.csv\")\n\ntrain_static = pl.concat(\n    [\n        pl.read_csv(dataPath + \"csv_files/train/train_static_0_0.csv\").pipe(set_table_dtypes),\n        pl.read_csv(dataPath + \"csv_files/train/train_static_0_1.csv\").pipe(set_table_dtypes),\n    ],\n    how=\"vertical_relaxed\",\n)\ntrain_static_cb = pl.read_csv(dataPath + \"csv_files/train/train_static_cb_0.csv\").pipe(set_table_dtypes)\n\ntrain_applprev_1 = pl.concat(\n    [\n        pl.read_csv(dataPath + \"csv_files/train/train_applprev_1_0.csv\").pipe(set_table_dtypes),\n        pl.read_csv(dataPath + \"csv_files/train/train_applprev_1_1.csv\").pipe(set_table_dtypes),\n    ],\n    how=\"vertical_relaxed\",\n)\n\ntrain_person_1 = pl.read_csv(dataPath + \"csv_files/train/train_person_1.csv\").pipe(set_table_dtypes) \n\ntrain_credit_bureau_b_2 = pl.read_csv(dataPath + \"csv_files/train/train_credit_bureau_b_2.csv\").pipe(set_table_dtypes) ","metadata":{"execution":{"iopub.status.busy":"2024-03-25T15:37:06.000847Z","iopub.execute_input":"2024-03-25T15:37:06.001230Z","iopub.status.idle":"2024-03-25T15:37:39.966461Z","shell.execute_reply.started":"2024-03-25T15:37:06.001199Z","shell.execute_reply":"2024-03-25T15:37:39.965457Z"},"trusted":true},"execution_count":null,"outputs":[]},{"cell_type":"code","source":"test_basetable = pl.read_csv(dataPath + \"csv_files/test/test_base.csv\")\n\ntest_static = pl.concat(\n    [\n        pl.read_csv(dataPath + \"csv_files/test/test_static_0_0.csv\").pipe(set_table_dtypes),\n        pl.read_csv(dataPath + \"csv_files/test/test_static_0_1.csv\").pipe(set_table_dtypes),\n        pl.read_csv(dataPath + \"csv_files/test/test_static_0_2.csv\").pipe(set_table_dtypes),\n    ],\n    how=\"vertical_relaxed\",\n)\n\ntest_static_cb = pl.read_csv(dataPath + \"csv_files/test/test_static_cb_0.csv\").pipe(set_table_dtypes)\n\ntest_applprev_1 = pl.concat(\n    [\n        pl.read_csv(dataPath + \"csv_files/test/test_applprev_1_0.csv\").pipe(set_table_dtypes),\n        pl.read_csv(dataPath + \"csv_files/test/test_applprev_1_1.csv\").pipe(set_table_dtypes),\n        pl.read_csv(dataPath + \"csv_files/test/test_applprev_1_2.csv\").pipe(set_table_dtypes),\n    ],\n    how=\"vertical_relaxed\",\n)\n\ntest_person_1 = pl.read_csv(dataPath + \"csv_files/test/test_person_1.csv\").pipe(set_table_dtypes) \n\ntest_credit_bureau_b_2 = pl.read_csv(dataPath + \"csv_files/test/test_credit_bureau_b_2.csv\").pipe(set_table_dtypes) ","metadata":{"execution":{"iopub.status.busy":"2024-03-25T15:37:48.977730Z","iopub.execute_input":"2024-03-25T15:37:48.978485Z","iopub.status.idle":"2024-03-25T15:37:49.121358Z","shell.execute_reply.started":"2024-03-25T15:37:48.978445Z","shell.execute_reply":"2024-03-25T15:37:49.120168Z"},"trusted":true},"execution_count":null,"outputs":[]},{"cell_type":"markdown","source":"## Feature engineering\n\nIn this part, we can see a simple example of joining tables via `case_id`. Here the loading and joining is done with polars library. Polars library is blazingly fast and has much smaller memory footprint than pandas. ","metadata":{}},{"cell_type":"code","source":"train_person_1_feats_1 = train_person_1.group_by(\"case_id\").agg(\n    pl.col(\"mainoccupationinc_384A\").max().alias(\"mainoccupationinc_384A_max\"),\n    (pl.col(\"incometype_1044T\") == \"SELFEMPLOYED\").max().alias(\"mainoccupationinc_384A_any_selfemployed\")\n)\n\n# num_group1 = 0 is the person who applied for the loan\ntrain_person_1_feats_2 = train_person_1.select([\"case_id\", \"num_group1\",\"housetype_905L\"]).filter(\n    pl.col(\"num_group1\") == 0\n).drop(\"num_group1\").rename({\"housetype_905L\": \"person_housetype\"})\n\n# Here we have num_goup1 and num_group2, so we need to aggregate again.\ntrain_credit_bureau_b_2_feats = train_credit_bureau_b_2.group_by(\"case_id\").agg(\n    pl.col(\"pmts_pmtsoverdue_635A\").max().alias(\"pmts_pmtsoverdue_635A_max\"),\n    (pl.col(\"pmts_dpdvalue_108P\") > 31).max().alias(\"pmts_dpdvalue_108P_over31\")\n)\n        \nselected_static_cols = []\nfor col in train_static.columns:\n    if col[-1] in (\"A\", \"M\", \"P\"):\n        selected_static_cols.append(col)\n    if col[-1] in (\"L\", \"T\"):\n        if train_static[col].dtype.is_float():\n            selected_static_cols.append(col)\n        elif \"type\" in col or \"equality\" in col:\n            selected_static_cols.append(col)\n        elif \"num\" in col:\n            train_static = train_static.with_columns(pl.col(col).cast(pl.Float64).alias(col))\n            selected_static_cols.append(col)\n        \nselected_static_cb_cols = []\nfor col in train_static_cb.columns:\n    if col[-1] in (\"A\", \"M\", \"P\"):\n        selected_static_cb_cols.append(col)\n    if col[-1] in (\"L\", \"T\"):\n        if train_static_cb[col].dtype.is_float():\n            train_static_cb = train_static_cb.with_columns(pl.col(col).cast(pl.Float64).alias(col))\n            selected_static_cb_cols.append(col)\n        elif \"type\" in col:\n            selected_static_cb_cols.append(col)\n    \nlist_cb =[\"contractssum_5085716L\", \"pmtcount_4527229L\", \"pmtcount_4955617L\"]\nfor col in list_cb:\n    train_static_cb = train_static_cb.with_columns(pl.col(col).cast(pl.Float64).alias(col))\n    selected_static_cb_cols.append(col)\n                \ndata = train_basetable.join(\n    train_static.select([\"case_id\"] + selected_static_cols), how=\"left\", on=\"case_id\"\n).join(\n    train_static_cb.select([\"case_id\"] + selected_static_cb_cols), how=\"left\", on=\"case_id\"\n).join(\n    train_person_1_feats_1, how=\"left\", on=\"case_id\"\n).join(\n    train_person_1_feats_2, how=\"left\", on=\"case_id\"\n).join(\n    train_credit_bureau_b_2_feats, how=\"left\", on=\"case_id\"\n)","metadata":{"execution":{"iopub.status.busy":"2024-03-25T15:38:36.447426Z","iopub.execute_input":"2024-03-25T15:38:36.447850Z","iopub.status.idle":"2024-03-25T15:38:40.029176Z","shell.execute_reply.started":"2024-03-25T15:38:36.447814Z","shell.execute_reply":"2024-03-25T15:38:40.028254Z"},"trusted":true},"execution_count":null,"outputs":[]},{"cell_type":"code","source":"test_person_1_feats_1 = train_person_1.group_by(\"case_id\").agg(\n    pl.col(\"mainoccupationinc_384A\").max().alias(\"mainoccupationinc_384A_max\"),\n    (pl.col(\"incometype_1044T\") == \"SELFEMPLOYED\").max().alias(\"mainoccupationinc_384A_any_selfemployed\")\n)\n\ntest_person_1_feats_2 = train_person_1.select([\"case_id\", \"num_group1\", \"housetype_905L\"]).filter(\n    pl.col(\"num_group1\") == 0\n).drop(\"num_group1\").rename({\"housetype_905L\": \"person_housetype\"})\n\ntest_credit_bureau_b_2_feats = train_credit_bureau_b_2.group_by(\"case_id\").agg(\n    pl.col(\"pmts_pmtsoverdue_635A\").max().alias(\"pmts_pmtsoverdue_635A_max\"),\n    (pl.col(\"pmts_dpdvalue_108P\") > 31).max().alias(\"pmts_dpdvalue_108P_over31\")\n)\n\ndata_submission = test_basetable.join(\n    test_static.select([\"case_id\"] + selected_static_cols), how=\"left\", on=\"case_id\"\n).join(\n    test_static_cb.select([\"case_id\"] + selected_static_cb_cols), how=\"left\", on=\"case_id\"\n).join(\n    test_person_1_feats_1, how=\"left\", on=\"case_id\"\n).join(\n    test_person_1_feats_2, how=\"left\", on=\"case_id\"\n).join(\n    test_credit_bureau_b_2_feats, how=\"left\", on=\"case_id\"\n)\n\nfor col in data_submission.columns:\n    if col[-1] in (\"L\", \"T\") and data[col].dtype.is_float():\n        data_submission = data_submission.with_columns(pl.col(col).cast(pl.Float64).alias(col))","metadata":{"execution":{"iopub.status.busy":"2024-03-25T15:39:28.173393Z","iopub.execute_input":"2024-03-25T15:39:28.173865Z","iopub.status.idle":"2024-03-25T15:39:28.818688Z","shell.execute_reply.started":"2024-03-25T15:39:28.173763Z","shell.execute_reply":"2024-03-25T15:39:28.817822Z"},"trusted":true},"execution_count":null,"outputs":[]},{"cell_type":"code","source":"case_ids = data[\"case_id\"].unique().shuffle(seed = 1)\ncase_ids_train, case_ids_test = train_test_split(case_ids, train_size=0.60, random_state=1)\ncase_ids_valid, case_ids_test = train_test_split(case_ids_test, train_size=0.5, random_state=1)\n\ncols_pred = []\nfor col in data.columns:\n    if (col[-1].isupper() and col[:-1].islower()) or (\"_max\" in col):\n        cols_pred.append(col)\n\ndef from_polars_to_pandas(case_ids: pl.DataFrame) -> pl.DataFrame:\n    return (\n        data.filter(pl.col(\"case_id\").is_in(case_ids))[[\"case_id\", \"WEEK_NUM\", \"target\"]].to_pandas(),\n        data.filter(pl.col(\"case_id\").is_in(case_ids))[cols_pred].to_pandas(),\n        data.filter(pl.col(\"case_id\").is_in(case_ids))[\"target\"].to_pandas()\n    )\n\nbase_train, X_train, y_train = from_polars_to_pandas(case_ids_train)\nbase_valid, X_valid, y_valid = from_polars_to_pandas(case_ids_valid)\nbase_test, X_test, y_test = from_polars_to_pandas(case_ids_test)\n\nfor df in [X_train, X_valid, X_test]:\n    df = convert_strings(df)","metadata":{"execution":{"iopub.status.busy":"2024-03-25T15:39:32.208713Z","iopub.execute_input":"2024-03-25T15:39:32.210092Z","iopub.status.idle":"2024-03-25T15:39:47.340976Z","shell.execute_reply.started":"2024-03-25T15:39:32.210045Z","shell.execute_reply":"2024-03-25T15:39:47.339997Z"},"trusted":true},"execution_count":null,"outputs":[]},{"cell_type":"code","source":"print(f\"Train: {X_train.shape}\")\nprint(f\"Valid: {X_valid.shape}\")\nprint(f\"Test: {X_test.shape}\")","metadata":{"execution":{"iopub.status.busy":"2024-03-25T15:40:30.270713Z","iopub.execute_input":"2024-03-25T15:40:30.271101Z","iopub.status.idle":"2024-03-25T15:40:30.277505Z","shell.execute_reply.started":"2024-03-25T15:40:30.271071Z","shell.execute_reply":"2024-03-25T15:40:30.276480Z"},"trusted":true},"execution_count":null,"outputs":[]},{"cell_type":"markdown","source":"## Training LightGBM\n\nMinimal example of LightGBM training is shown below.","metadata":{}},{"cell_type":"code","source":"lgb_train = lgb.Dataset(X_train, label=y_train)\nlgb_valid = lgb.Dataset(X_valid, label=y_valid, reference=lgb_train)\n\nparams = {\n    \"boosting_type\": \"gbdt\",\n    \"objective\": \"binary\",\n    \"metric\": \"auc\",\n    \"max_depth\": 3,\n    \"num_leaves\": 31,\n    \"learning_rate\": 0.05,\n    \"feature_fraction\": 0.9,\n    \"bagging_fraction\": 0.8,\n    \"bagging_freq\": 5,\n    \"n_estimators\": 1000,\n    \"verbose\": -1,\n}\n\ngbm = lgb.train(\n    params,\n    lgb_train,\n    valid_sets=lgb_valid,\n    callbacks=[lgb.log_evaluation(50), lgb.early_stopping(10)]\n)","metadata":{"execution":{"iopub.status.busy":"2024-03-25T15:40:56.650779Z","iopub.execute_input":"2024-03-25T15:40:56.651140Z","iopub.status.idle":"2024-03-25T15:44:36.262463Z","shell.execute_reply.started":"2024-03-25T15:40:56.651112Z","shell.execute_reply":"2024-03-25T15:44:36.261285Z"},"trusted":true},"execution_count":null,"outputs":[]},{"cell_type":"code","source":"for base, X in [(base_train, X_train), (base_valid, X_valid), (base_test, X_test)]:\n    y_pred = gbm.predict(X, num_iteration=gbm.best_iteration)\n    base[\"score\"] = y_pred\n\nprint(f'The AUC score on the train set is: {roc_auc_score(base_train[\"target\"], base_train[\"score\"])}') \nprint(f'The AUC score on the valid set is: {roc_auc_score(base_valid[\"target\"], base_valid[\"score\"])}') \nprint(f'The AUC score on the test set is: {roc_auc_score(base_test[\"target\"], base_test[\"score\"])}')  ","metadata":{"execution":{"iopub.status.busy":"2024-03-25T15:45:19.608243Z","iopub.execute_input":"2024-03-25T15:45:19.608697Z","iopub.status.idle":"2024-03-25T15:45:59.538469Z","shell.execute_reply.started":"2024-03-25T15:45:19.608641Z","shell.execute_reply":"2024-03-25T15:45:59.537094Z"},"trusted":true},"execution_count":null,"outputs":[]},{"cell_type":"code","source":"def gini_stability(base, w_fallingrate=88.0, w_resstd=-0.5):\n    gini_in_time = base.loc[:, [\"WEEK_NUM\", \"target\", \"score\"]]\\\n        .sort_values(\"WEEK_NUM\")\\\n        .groupby(\"WEEK_NUM\")[[\"target\", \"score\"]]\\\n        .apply(lambda x: 2*roc_auc_score(x[\"target\"], x[\"score\"])-1).tolist()\n    \n    x = np.arange(len(gini_in_time))\n    y = gini_in_time\n    a, b = np.polyfit(x, y, 1)\n    y_hat = a*x + b\n    residuals = y - y_hat\n    res_std = np.std(residuals)\n    avg_gini = np.mean(gini_in_time)\n    return avg_gini + w_fallingrate * min(0, a) + w_resstd * res_std\n\nstability_score_train = gini_stability(base_train)\nstability_score_valid = gini_stability(base_valid)\nstability_score_test = gini_stability(base_test)\n\nprint(f'The stability score on the train set is: {stability_score_train}') \nprint(f'The stability score on the valid set is: {stability_score_valid}') \nprint(f'The stability score on the test set is: {stability_score_test}')  ","metadata":{"execution":{"iopub.status.busy":"2024-03-25T15:46:46.125197Z","iopub.execute_input":"2024-03-25T15:46:46.125608Z","iopub.status.idle":"2024-03-25T15:46:47.182747Z","shell.execute_reply.started":"2024-03-25T15:46:46.125576Z","shell.execute_reply":"2024-03-25T15:46:47.181464Z"},"trusted":true},"execution_count":null,"outputs":[]},{"cell_type":"markdown","source":"## Submission\n\nScoring the submission dataset is below, we need to take care of new categories. Then we save the score as a last step. ","metadata":{}},{"cell_type":"code","source":"X_submission = data_submission[cols_pred].to_pandas()\nX_submission = convert_strings(X_submission)\ncategorical_cols = X_train.select_dtypes(include=['category']).columns\n\nfor col in categorical_cols:\n    train_categories = set(X_train[col].cat.categories)\n    submission_categories = set(X_submission[col].cat.categories)\n    new_categories = submission_categories - train_categories\n    X_submission.loc[X_submission[col].isin(new_categories), col] = \"Unknown\"\n    new_dtype = pd.CategoricalDtype(categories=train_categories, ordered=True)\n    X_train[col] = X_train[col].astype(new_dtype)\n    X_submission[col] = X_submission[col].astype(new_dtype)\n\ny_submission_pred = gbm.predict(X_submission, num_iteration=gbm.best_iteration)","metadata":{"trusted":true},"execution_count":null,"outputs":[]},{"cell_type":"code","source":"submission = pd.DataFrame({\n    \"case_id\": data_submission[\"case_id\"].to_numpy(),\n    \"score\": y_submission_pred\n}).set_index('case_id')\nsubmission.to_csv(\"./submission.csv\")","metadata":{"execution":{"iopub.status.busy":"2024-01-29T13:08:31.057099Z","iopub.execute_input":"2024-01-29T13:08:31.057571Z","iopub.status.idle":"2024-01-29T13:08:31.067813Z","shell.execute_reply.started":"2024-01-29T13:08:31.057529Z","shell.execute_reply":"2024-01-29T13:08:31.066714Z"},"trusted":true},"execution_count":null,"outputs":[]},{"cell_type":"markdown","source":"Best of luck, and most importantly, enjoy the process of learning and discovery! \n\n<img src=\"https://i.imgur.com/obVWIBh.png\" alt=\"Image\" width=\"700\"/>","metadata":{}}]}