inst/doc/Guide-to-SuperLearner.R

## ----eval=F-------------------------------------------------------------------
#  install.packages("SuperLearner")

## ----eval=F-------------------------------------------------------------------
#  # Install remotes first:
#  # install.packages("remotes")
#  remotes::install_github("ecpolley/SuperLearner")

## ----eval=F-------------------------------------------------------------------
#  install.packages(c("caret", "glmnet", "randomForest", "ggplot2", "RhpcBLASctl"))

## ----eval=F-------------------------------------------------------------------
#  install.packages("xgboost", repos=c("http://dmlc.ml/drat/", getOption("repos")), type="source")

## ----setup-data---------------------------------------------------------------
############################
# Setup example dataset.

# Load a dataset from the MASS package.
data(Boston, package = "MASS")

# Review info on the Boston dataset.
?MASS::Boston

# Check for any missing data - looks like we don't have any.
colSums(is.na(Boston))

# Extract our outcome variable from the dataframe.
outcome = Boston$medv

# Create a dataframe to contain our explanatory variables.
data = subset(Boston, select = -medv)

# Check structure of our dataframe.
str(data)

# If we had factor variables we would use model.matrix() to convert to numerics.

# Review our dimensions.
dim(data)

# Set a seed for reproducibility in this random sampling.
set.seed(1)

# Reduce to a dataset of 150 observations to speed up model fitting.
train_obs = sample(nrow(data), 150)

# X is our training sample.
x_train = data[train_obs, ]

# Create a holdout set for evaluating model performance.
# Note: cross-validation is even better than a single holdout sample.
x_holdout = data[-train_obs, ]

# Create a binary outcome variable: towns in which median home value is > 22,000.
outcome_bin = as.numeric(outcome > 22)

y_train = outcome_bin[train_obs]
y_holdout = outcome_bin[-train_obs]

# Review the outcome variable distribution.
table(y_train, useNA = "ifany")


## -----------------------------------------------------------------------------
library(SuperLearner)

# Review available models.
listWrappers()

# Peek at code for a model.
SL.glmnet

## ----indiv-models-------------------------------------------------------------
# Set the seed for reproducibility.
set.seed(1)

# Fit lasso model.
sl_lasso = SuperLearner(Y = y_train, X = x_train, family = binomial(),
                        SL.library = "SL.glmnet")
sl_lasso

# Review the elements in the SuperLearner object.
names(sl_lasso)

# Here is the risk of the best model (discrete SuperLearner winner).
sl_lasso$cvRisk[which.min(sl_lasso$cvRisk)]

# Here is the raw glmnet result object:
str(sl_lasso$fitLibrary$SL.glmnet_All$object, max.level = 1)

# Fit random forest.
sl_rf = SuperLearner(Y = y_train, X = x_train, family = binomial(),
                     SL.library = "SL.ranger")
sl_rf

## ----multiple-models----------------------------------------------------------
set.seed(1)
sl = SuperLearner(Y = y_train, X = x_train, family = binomial(),
  SL.library = c("SL.mean", "SL.glmnet", "SL.ranger"))
sl

# Review how long it took to run the SuperLearner:
sl$times$everything

## ----predict------------------------------------------------------------------
# Predict back on the holdout dataset.
# onlySL is set to TRUE so we don't fit algorithms that had weight = 0, saving computation.
pred = predict(sl, x_holdout, onlySL = TRUE)

# Check the structure of this prediction object.
str(pred)

# Review the columns of $library.predict.
summary(pred$library.predict)

# Histogram of our predicted values.
library(ggplot2)
qplot(pred$pred[, 1]) + theme_minimal()

# Scatterplot of original values (0, 1) and predicted values.
# Ideally we would use jitter or slight transparency to deal with overlap.
qplot(y_holdout, pred$pred[, 1]) + theme_minimal()

# Review AUC - Area Under Curve
pred_rocr = ROCR::prediction(pred$pred, y_holdout)
auc = ROCR::performance(pred_rocr, measure = "auc", x.measure = "cutoff")@y.values[[1]]
auc

## ----cv-sl, fig.width=5-------------------------------------------------------
set.seed(1)

# Don't have timing info for the CV.SuperLearner unfortunately.
# So we need to time it manually.

system.time({
  # This will take about 2x as long as the previous SuperLearner.
  cv_sl = CV.SuperLearner(Y = y_train, X = x_train, family = binomial(),
                          # For a real analysis we would use V = 10.
                          cvControl = list(V = 2), innerCvControl = list(list(V=2)),
                          SL.library = c("SL.mean", "SL.glmnet", "SL.ranger"))
})

# We run summary on the cv_sl object rather than simply printing the object.
summary(cv_sl)


# Review the distribution of the best single learner as external CV folds.
table(simplify2array(cv_sl$whichDiscreteSL))

# Plot the performance with 95% CIs (use a better ggplot theme).
plot(cv_sl) + theme_bw()

# Save plot to a file.
# ggsave("SuperLearner.png")


## ----rf-custom, fig.width=5---------------------------------------------------
# Review the function argument defaults at the top.
SL.ranger

# Create a new function that changes just the ntree argument.
# (We could do this in a single line.)
# "..." means "all other arguments that were sent to the function"
SL.rf.better = function(...) {
  SL.randomForest(..., num.trees = 1000)
}

set.seed(1)

# Fit the CV.SuperLearner.
# We use V = 3 to save computation time; for a real analysis use V = 10 or 20.
cv_sl = CV.SuperLearner(Y = y_train, X = x_train, family = binomial(), cvControl = list(V=3),
                        SL.library = c("SL.mean", "SL.glmnet", "SL.rf.better", "SL.ranger"))

# Review results.
summary(cv_sl)

## ----rf-create-learner--------------------------------------------------------
# Customize the defaults for random forest.
learners = create.Learner("SL.ranger", params = list(num.trees = 1000))

# Look at the object.
learners

# List the functions that were created
learners$names

# Review the code that was automatically generated for the function.
# Notice that it's exactly the same as the function we made manually.
SL.ranger_1

set.seed(1)

# Fit the CV.SuperLearner.
# We use V = 3 to save computation time; for a real analysis use V = 10 or 20.
cv_sl = CV.SuperLearner(Y = y_train, X = x_train, family = binomial(),
                        V = 3,
                        SL.library = c("SL.mean", "SL.glmnet", learners$names, "SL.ranger"))

# Review results.
summary(cv_sl)

## ----rf-mtry------------------------------------------------------------------
# sqrt(p) is the default value of mtry for classification.
floor(sqrt(ncol(x_train)))

# Let's try 3 multiplies of this default: 0.5, 1, and 2.
(mtry_seq = floor(sqrt(ncol(x_train)) * c(0.5, 1, 2)))

learners = create.Learner("SL.ranger", tune = list(mtry = mtry_seq))

# Review the resulting object
learners

# Check code for the learners that were created.
SL.ranger_1
SL.ranger_2
SL.ranger_3

set.seed(1)

# Fit the CV.SuperLearner.
# We use V = 3 to save computation time; for a real analysis use V = 10 or 20.
cv_sl = CV.SuperLearner(Y = y_train, X = x_train, family = binomial(), cvControl = list(V = 3),
                        SL.library = c("SL.mean", "SL.glmnet", learners$names, "SL.ranger"))

# Review results.
summary(cv_sl)

## ----multicore-cvsl-----------------------------------------------------------
# Setup parallel computation - use all cores on our computer.
(num_cores = RhpcBLASctl::get_num_cores())

# Use 2 of those cores for parallel SuperLearner.
# Replace "2" with "num_cores" (without quotes) to use all cores.
options(mc.cores = 2)

# Check how many parallel workers we are using (on macOS/Linux).
getOption("mc.cores")

# We need to set a different type of seed that works across cores.
# Otherwise the other cores will go rogue and we won't get repeatable results.
# This version is for the "multicore" parallel system in R.
set.seed(1, "L'Ecuyer-CMRG")

# While this is running check CPU using in Activity Monitor / Task Manager.
system.time({
  cv_sl = CV.SuperLearner(Y = y_train, X = x_train, family = binomial(),
                          # For a real analysis we would use V = 10.
                          cvControl = list(V = 3),
                          parallel = "multicore",
                          SL.library = c("SL.mean", "SL.glmnet", learners$names, "SL.ranger"))
})

# Review results.
summary(cv_sl)

## ----snow-cvsl, eval = FALSE--------------------------------------------------
#  # Make a snow cluster
#  # Again, replace 2 with num_cores to use all available cores.
#  cluster = parallel::makeCluster(2)
#  
#  # Check the cluster object.
#  cluster
#  
#  # Load the SuperLearner package on all workers so they can find
#  # SuperLearner::All(), the default screening function which keeps all variables.
#  parallel::clusterEvalQ(cluster, library(SuperLearner))
#  
#  # We need to explictly export our custom learner functions to the workers.
#  parallel::clusterExport(cluster, learners$names)
#  
#  # We need to set a different type of seed that works across cores.
#  # This version is for SNOW parallelization.
#  # Otherwise the other cores will go rogue and we won't get repeatable results.
#  parallel::clusterSetRNGStream(cluster, 1)
#  
#  # While this is running check CPU using in Activity Monitor / Task Manager.
#  system.time({
#    cv_sl = CV.SuperLearner(Y = y_train, X = x_train, family = binomial(),
#                            # For a real analysis we would use V = 10.
#                            cvControl = list(V = 3),
#                            parallel = cluster,
#                            SL.library = c("SL.mean", "SL.glmnet", learners$names, "SL.ranger"))
#  })
#  
#  # Review results.
#  summary(cv_sl)
#  
#  # Stop the cluster workers now that we're done.
#  parallel::stopCluster(cluster)

## ----mcSuperLearner, eval = FALSE---------------------------------------------
#  # Set multicore compatible seed.
#  set.seed(1, "L'Ecuyer-CMRG")
#  
#  # Fit the SuperLearner.
#  (sl = mcSuperLearner(Y = y_train, X = x_train, family = binomial(),
#                      SL.library = c("SL.mean", "SL.glmnet", learners$names, "SL.ranger")))
#  
#  # We see the time is reduced over our initial single-core superlearner.
#  sl$times$everything

## ----snowSuperLearner---------------------------------------------------------
# Make a snow cluster
# Reminder: change "2" to "num_cores" (without quotes) to use all available cores.
(cluster = parallel::makeCluster(2))

# Load the SuperLearner package on all workers so they can find
# SuperLearner::All(), the default screening function which keeps all variables.
parallel::clusterEvalQ(cluster, library(SuperLearner))

# We need to explictly export our custom learner functions to the workers.
parallel::clusterExport(cluster, learners$names)

# We need to set a different type of seed that works across cores.
# This version is for SNOW parallelization.
# Otherwise the other cores will go rogue and we won't get repeatable results.
parallel::clusterSetRNGStream(cluster, 1)

# Fit the SuperLearner.
(sl = snowSuperLearner(Y = y_train, X = x_train, family = binomial(),
                      cluster = cluster,
                      SL.library = c("SL.mean", "SL.glmnet", learners$names, "SL.ranger")))

# We see the time is reduced over our initial single-core superlearner.
sl$times$everything

## ----review-weights-----------------------------------------------------------
# Review meta-weights (coefficients) from a CV.SuperLearner object
review_weights = function(cv_sl) {
  meta_weights = coef(cv_sl)
  means = colMeans(meta_weights)
  sds = apply(meta_weights, MARGIN = 2,  FUN = sd)
  mins = apply(meta_weights, MARGIN = 2, FUN = min)
  maxs = apply(meta_weights, MARGIN = 2, FUN = max)
  # Combine the stats into a single matrix.
  sl_stats = cbind("mean(weight)" = means, "sd" = sds, "min" = mins, "max" = maxs)
  # Sort by decreasing mean weight.
  sl_stats[order(sl_stats[, 1], decreasing = TRUE), ]
}

print(review_weights(cv_sl), digits = 3)

## ----feature-selection--------------------------------------------------------
listWrappers()

# Review code for corP, which is based on univariate correlation.
screen.corP

set.seed(1)

# Fit the SuperLearner.
# We need to use list() instead of c().
cv_sl = CV.SuperLearner(Y = y_train, X = x_train, family = binomial(),
                        # For a real analysis we would use V = 10.
                        cvControl = list(V = 3),
                        parallel = "multicore",
                        SL.library = list("SL.mean", "SL.glmnet", c("SL.glmnet", "screen.corP")))
summary(cv_sl)

## ----auc, cache=FALSE---------------------------------------------------------
set.seed(1)

cv_sl = CV.SuperLearner(Y = y_train, X = x_train, family = binomial(),
                        # For a real analysis we would use V = 10.
                        cvControl = list(V = 3),
                        method = "method.AUC",
                        SL.library = list("SL.mean", "SL.glmnet", c("SL.glmnet", "screen.corP")))
summary(cv_sl)


## ----xgboost, cache=FALSE-----------------------------------------------------
# 2 * 2 * 2 = 8 different configurations.
# For a real analysis we would do 100, 500, or 1000 trees - this is just a demo.
tune = list(ntrees = c(10, 20),
            max_depth = 1:2,
            shrinkage = c(0.001, 0.01))

# Set detailed names = TRUE so we can see the configuration for each function.
# Also shorten the name prefix.
learners = create.Learner("SL.xgboost", tune = tune, detailed_names = TRUE, name_prefix = "xgb")

# 8 configurations - not too shabby.
length(learners$names)
learners$names

# Confirm we have multiple cores configured. This should be > 1.
getOption("mc.cores")

# Remember to set multicore-compatible seed.
set.seed(1, "L'Ecuyer-CMRG")

# Fit the CV.SuperLearner.
system.time({
  cv_sl = CV.SuperLearner(Y = y_train, X = x_train, family = binomial(),
                          # For a real analysis we would use V = 10.
                          cvControl = list(V = 3),
                          parallel = "multicore",
                          SL.library = c("SL.mean", "SL.glmnet", learners$names, "SL.ranger"))
})

# Review results.
summary(cv_sl)
review_weights(cv_sl)

## ----xgb-plot, fig.width=5, fig.height=8--------------------------------------
plot(cv_sl) + theme_bw()

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SuperLearner documentation built on May 10, 2021, 9:10 a.m.