LGB+XGB+CNN一般写法

现在的比赛，想要拿到一个好的名次，就一定要进行模型融合，这里总结一下三种基础的模型：
- lightgbm：由于现在的比赛数据越来越大，想要获得一个比较高的预测精度，同时又要减少内存占用以及提升训练速度，lightgbm是一个非常不错的选择，其可达到与xgboost相似的预测效果。
- xgboost：在lightgbm出来之前，是打比赛的不二之选，现在由于需要做模型融合以提高预测精度，所以也需要使用到xgboost。
- ANN：得益于现在的计算机技术的高度发展，以及GPU性能的提高，还有Keras，tensorflow，pytorch等多重工具的使用，人工神经网络也可以作为最后模型融合的子模型之一，可以有效地提升最终的预测结果。

下面附上使用三个函数的Python代码，可以直接运行。（参考：https://blog.csdn.net/meyh0x5vdtk48p2/article/details/78816334）

LGB

def LGB_predict(train_x,train_y,test_x,res,index):
    print("LGB test")
    clf = lgb.LGBMClassifier(
        boosting_type='gbdt', num_leaves=31, reg_alpha=0.0, reg_lambda=1,
        max_depth=-1, n_estimators=5000, objective='binary',
        subsample=0.7, colsample_bytree=0.7, subsample_freq=1,
        learning_rate=0.05, min_child_weight=50, random_state=2018, n_jobs=-1
    )
    clf.fit(train_x, train_y, eval_set=[(train_x, train_y)], eval_metric='auc',early_stopping_rounds=100)
    res['score'+str(index)] = clf.predict_proba(test_x)[:,1]
    res['score'+str(index)] = res['score'+str(index)].apply(lambda x: float('%.6f' % x))
    print(str(index)+' predict finish!')
    gc.collect()
    res=res.reset_index(drop=True)
    return res['score'+str(index)]

XGB

def XGB_predict(train_x,train_y,val_X,val_Y,test_x,res):
    print("XGB test")
    # create dataset for lightgbm

    xgb_val = xgb.DMatrix(val_X, label=val_Y)
    xgb_train = xgb.DMatrix(X_train, label=y_train)
    xgb_test = xgb.DMatrix(test_x)
    # specify your configurations as a dict
    params = {
              'booster': 'gbtree',
              # 'objective': 'multi:softmax', # 多分类的问题、
              # 'objective': 'multi:softprob', # 多分类概率
              'objective': 'binary:logistic',
              'eval_metric': 'auc',
              # 'num_class': 9, # 类别数，与 multisoftmax 并用
              'gamma': 0.1, # 用于控制是否后剪枝的参数,越大越保守，一般0.1、0.2这样子。
              'max_depth': 8, # 构建树的深度，越大越容易过拟合
              'alpha': 0, # L1正则化系数
              'lambda': 10, # 控制模型复杂度的权重值的L2正则化项参数，参数越大，模型越不容易过拟合。
              'subsample': 0.7, # 随机采样训练样本
              'colsample_bytree': 0.5, # 生成树时进行的列采样
              'min_child_weight': 3,
              # 这个参数默认是 1，是每个叶子里面 h 的和至少是多少，对正负样本不均衡时的 0-1 分类而言
              # ，假设 h 在 0.01 附近，min_child_weight 为 1 意味着叶子节点中最少需要包含 100 个样本。
              # 这个参数非常影响结果，控制叶子节点中二阶导的和的最小值，该参数值越小，越容易 overfitting。
              'silent': 0, # 设置成1则没有运行信息输出，最好是设置为0.
              'eta': 0.03, # 如同学习率
              'seed': 1000,
              'nthread': -1, # cpu 线程数
              'missing': 1,
              'scale_pos_weight': (np.sum(y==0)/np.sum(y==1)) # 用来处理正负样本不均衡的问题,通常取：sum(negative cases) / sum(positive cases)
              # 'eval_metric': 'auc'
              }

    plst = list(params.items())
    num_rounds = 5000 # 迭代次数
    watchlist = [(xgb_train, 'train'), (xgb_val, 'val')]
    # 交叉验证
    # result = xgb.cv(plst, xgb_train, num_boost_round=200, nfold=4, early_stopping_rounds=200, verbose_eval=True, folds=StratifiedKFold(n_splits=4).split(X, y))
    # 训练模型并保存
    # early_stopping_rounds 当设置的迭代次数较大时，early_stopping_rounds 可在一定的迭代次数内准确率没有提升就停止训练
    model = xgb.train(plst, xgb_train, num_rounds, watchlist, early_stopping_rounds=200)
    res['score'] = model.predict(xgb_test)
    res['score'] = res['score'].apply(lambda x: float('%.6f' % x))
    return res

CNN

imp = Imputer(missing_values='NaN', strategy='mean', axis=0)
X_train = imp.fit_transform(X_train)
sc = StandardScaler(with_mean=False)
sc.fit(X_train)
X_train = sc.transform(X_train)
val_X = sc.transform(val_X)
X_test = sc.transform(X_test)

ann_scale = 1

from keras.layers import Embedding

model = Sequential()

model.add(Embedding(X_train.shape[1] + 1,
                    EMBEDDING_DIM,
                    input_length=MAX_SEQUENCE_LENGTH))
#model.add(Dense(int(256 / ann_scale), input_shape=(X_train.shape[1],)))
model.add(Dense(int(256 / ann_scale)))
model.add(Activation('tanh'))
model.add(Dropout(0.3))
model.add(Dense(int(512 / ann_scale)))
model.add(Activation('relu'))
model.add(Dropout(0.3))
model.add(Dense(int(512 / ann_scale)))
model.add(Activation('tanh'))
model.add(Dropout(0.3))
model.add(Dense(int(256 / ann_scale)))
model.add(Activation('linear'))
model.add(Dense(1))
model.add(Activation('sigmoid'))
# For a multi-class classification problem
model.summary()

class_weight1 = class_weight.compute_class_weight('balanced',
                                                 np.unique(y),
                                                 y)

#-----------------------------------------------------------------------------------------------------------------------------------------------------
# AUC for a binary classifier
def auc(y_true, y_pred):
    ptas = tf.stack([binary_PTA(y_true,y_pred,k) for k in np.linspace(0, 1, 1000)],axis=0)
    pfas = tf.stack([binary_PFA(y_true,y_pred,k) for k in np.linspace(0, 1, 1000)],axis=0)
    pfas = tf.concat([tf.ones((1,)) ,pfas],axis=0)
    binSizes = -(pfas[1:]-pfas[:-1])
    s = ptas*binSizes
    return K.sum(s, axis=0)  

# PFA, prob false alert for binary classifier
def binary_PFA(y_true, y_pred, threshold=K.variable(value=0.5)):
    y_pred = K.cast(y_pred >= threshold, 'float32')
    # N = total number of negative labels
    N = K.sum(1 - y_true)
    # FP = total number of false alerts, alerts from the negative class labels
    FP = K.sum(y_pred - y_pred * y_true)
    return FP/N  

# P_TA prob true alerts for binary classifier
def binary_PTA(y_true, y_pred, threshold=K.variable(value=0.5)):
    y_pred = K.cast(y_pred >= threshold, 'float32')
    # P = total number of positive labels
    P = K.sum(y_true)
    # TP = total number of correct alerts, alerts from the positive class labels
    TP = K.sum(y_pred * y_true)
    return TP/P
#-----------------------------------------------------------------------------------------------------------------------------------------------------  

model.compile(loss='binary_crossentropy',
              optimizer='rmsprop',
#              metrics=['accuracy'],
              metrics=[auc])
epochs = 100
model.fit(X_train, y, epochs=epochs, batch_size=2000,
          validation_data=(val_X, val_y), shuffle=True,
          class_weight = class_weight1)