BART-VI use mean of leaf nodes when prunning instead of zero (#54)

* use mean when prunning instead of zero

* fix labels

* use r2, improve labels

Author: aloctavodia

pymc_experimental/bart/tree.py

@@ -49,10 +49,7 @@ class Tree:
     def __init__(self, num_observations=0, shape=1):
         self.tree_structure = {}
         self.idx_leaf_nodes = []
-        self.shape = shape
-        self.output = (
-            np.zeros((num_observations, self.shape)).astype(aesara.config.floatX).squeeze()
-        )
+        self.output = np.zeros((num_observations, shape)).astype(aesara.config.floatX).squeeze()
 
     def __getitem__(self, index):
         return self.get_node(index)
@@ -93,29 +90,30 @@ def _predict(self):
             output[leaf_node.idx_data_points] = leaf_node.value
         return output.T
 
-    def predict(self, X, excluded=None):
+    def predict(self, x, excluded=None):
         """
-        Predict output of tree for an (un)observed point X.
+        Predict output of tree for an (un)observed point x.
 
         Parameters
         ----------
-        X : numpy array
+        x : numpy array
             Unobserved point
 
         Returns
         -------
         float
             Value of the leaf value where the unobserved point lies.
         """
-        leaf_node = self._traverse_tree(X, node_index=0)
-        leaf_value = leaf_node.value
-        if excluded is not None:
-            parent_node = leaf_node.get_idx_parent_node()
-            if self.get_node(parent_node).idx_split_variable in excluded:
-                leaf_value = np.zeros(self.shape)
+        if excluded is None:
+            excluded = []
+        node = self._traverse_tree(x, 0, excluded)
+        if isinstance(node, LeafNode):
+            leaf_value = node.value
+        else:
+            leaf_value = node
         return leaf_value
 
-    def _traverse_tree(self, x, node_index=0):
+    def _traverse_tree(self, x, node_index, excluded):
         """
         Traverse the tree starting from a particular node given an unobserved point.
 
@@ -126,18 +124,44 @@ def _traverse_tree(self, x, node_index=0):
 
         Returns
         -------
-        LeafNode
+        LeafNode or mean of leaf node values
         """
         current_node = self.get_node(node_index)
         if isinstance(current_node, SplitNode):
+            if current_node.idx_split_variable in excluded:
+                leaf_values = []
+                self._traverse_leaf_values(leaf_values, node_index)
+                return np.mean(leaf_values, 0)
+
             if x[current_node.idx_split_variable] <= current_node.split_value:
                 left_child = current_node.get_idx_left_child()
-                current_node = self._traverse_tree(x, left_child)
+                current_node = self._traverse_tree(x, left_child, excluded)
             else:
                 right_child = current_node.get_idx_right_child()
-                current_node = self._traverse_tree(x, right_child)
+                current_node = self._traverse_tree(x, right_child, excluded)
         return current_node
 
+    def _traverse_leaf_values(self, leaf_values, node_index):
+        """
+        Traverse the tree appending leaf values starting from a particular node.
+
+        Parameters
+        ----------
+        node_index : int
+
+        Returns
+        -------
+        List of leaf node values
+        """
+        current_node = self.get_node(node_index)
+        if isinstance(current_node, SplitNode):
+            left_child = current_node.get_idx_left_child()
+            self._traverse_leaf_values(leaf_values, left_child)
+            right_child = current_node.get_idx_right_child()
+            self._traverse_leaf_values(leaf_values, right_child)
+        else:
+            leaf_values.append(current_node.value)
+
     @staticmethod
     def init_tree(leaf_node_value, idx_data_points, shape):
         """

pymc_experimental/bart/utils.py

@@ -309,7 +309,9 @@ def plot_dependence(
     return axes
 
 
-def plot_variable_importance(idata, X, labels=None, figsize=None, samples=100, random_seed=None):
+def plot_variable_importance(
+    idata, X, labels=None, sort_vars=True, figsize=None, samples=100, random_seed=None
+):
     """
     Estimates variable importance from the BART-posterior.
 
@@ -319,9 +321,11 @@ def plot_variable_importance(idata, X, labels=None, figsize=None, samples=100, r
         InferenceData containing a collection of BART_trees in sample_stats group
     X : array-like
         The covariate matrix.
-    labels: list
+    labels : list
         List of the names of the covariates. If X is a DataFrame the names of the covariables will
         be taken from it and this argument will be ignored.
+    sort_vars : bool
+        Whether to sort the variables according to their variable importance. Defaults to True.
     figsize : tuple
         Figure size. If None it will be defined automatically.
     samples : int
@@ -337,23 +341,29 @@ def plot_variable_importance(idata, X, labels=None, figsize=None, samples=100, r
     _, axes = plt.subplots(2, 1, figsize=figsize)
 
     if hasattr(X, "columns") and hasattr(X, "values"):
-        labels = list(X.columns)
+        labels = X.columns
         X = X.values
 
     VI = idata.sample_stats["variable_inclusion"].mean(("chain", "draw")).values
     if labels is None:
-        labels = range(len(VI))
+        labels = np.arange(len(VI))
+    else:
+        labels = np.array(labels)
 
     ticks = np.arange(len(VI), dtype=int)
     idxs = np.argsort(VI)
     subsets = [idxs[:-i] for i in range(1, len(idxs))]
     subsets.append(None)
 
-    axes[0].plot(VI / VI.sum(), "o-")
+    if sort_vars:
+        indices = idxs[::-1]
+    else:
+        indices = np.arange(len(VI))
+    axes[0].plot((VI / VI.sum())[indices], "o-")
     axes[0].set_xticks(ticks)
-    axes[0].set_xticklabels(labels)
-    axes[0].set_xlabel("variable index")
-    axes[0].set_ylabel("relative importance")
+    axes[0].set_xticklabels(labels[indices])
+    axes[0].set_xlabel("covariables")
+    axes[0].set_ylabel("importance")
 
     predicted_all = predict(idata, rng, X=X, size=samples, excluded=None)
 
@@ -363,16 +373,18 @@ def plot_variable_importance(idata, X, labels=None, figsize=None, samples=100, r
         predicted_subset = predict(idata, rng, X=X, size=samples, excluded=subset)
         pearson = np.zeros(samples)
         for j in range(samples):
-            pearson[j] = pearsonr(predicted_all[j].flatten(), predicted_subset[j].flatten())[0]
+            pearson[j] = (
+                pearsonr(predicted_all[j].flatten(), predicted_subset[j].flatten())[0]
+            ) ** 2
         EV_mean[idx] = np.mean(pearson)
         EV_hdi[idx] = az.hdi(pearson)
 
     axes[1].errorbar(ticks, EV_mean, np.array((EV_mean - EV_hdi[:, 0], EV_hdi[:, 1] - EV_mean)))
 
     axes[1].set_xticks(ticks)
     axes[1].set_xticklabels(ticks + 1)
-    axes[1].set_xlabel("number of components")
-    axes[1].set_ylabel("correlation")
+    axes[1].set_xlabel("number of covariables")
+    axes[1].set_ylabel("R²", rotation=0, labelpad=12)
     axes[1].set_ylim(0, 1)
 
     axes[0].set_xlim(-0.5, len(VI) - 0.5)