R/xgb.importance.R

In xgboost: Extreme Gradient Boosting

#' Importance of features in a model.
#'
#' Creates a \code{data.table} of feature importances in a model.
#'
#' @param feature_names character vector of feature names. If the model already
#'       contains feature names, those would be used when \code{feature_names=NULL} (default value).
#'       Non-null \code{feature_names} could be provided to override those in the model.
#' @param model object of class \code{xgb.Booster}.
#' @param trees (only for the gbtree booster) an integer vector of tree indices that should be included
#'          into the importance calculation. If set to \code{NULL}, all trees of the model are parsed.
#'          It could be useful, e.g., in multiclass classification to get feature importances
#'          for each class separately. IMPORTANT: the tree index in xgboost models
#'          is zero-based (e.g., use \code{trees = 0:4} for first 5 trees).
#' @param data deprecated.
#' @param label deprecated.
#' @param target deprecated.
#'
#' @details
#'
#' This function works for both linear and tree models.
#'
#' For linear models, the importance is the absolute magnitude of linear coefficients.
#' For that reason, in order to obtain a meaningful ranking by importance for a linear model,
#' the features need to be on the same scale (which you also would want to do when using either
#' L1 or L2 regularization).
#'
#' @return
#'
#' For a tree model, a \code{data.table} with the following columns:
#' \itemize{
#'   \item \code{Features} names of the features used in the model;
#'   \item \code{Gain} represents fractional contribution of each feature to the model based on
#'        the total gain of this feature's splits. Higher percentage means a more important
#'        predictive feature.
#'   \item \code{Cover} metric of the number of observation related to this feature;
#'   \item \code{Frequency} percentage representing the relative number of times
#'        a feature have been used in trees.
#' }
#'
#' A linear model's importance \code{data.table} has the following columns:
#' \itemize{
#'   \item \code{Features} names of the features used in the model;
#'   \item \code{Weight} the linear coefficient of this feature;
#'   \item \code{Class} (only for multiclass models) class label.
#' }
#'
#' If \code{feature_names} is not provided and \code{model} doesn't have \code{feature_names},
#' index of the features will be used instead. Because the index is extracted from the model dump
#' (based on C++ code), it starts at 0 (as in C/C++ or Python) instead of 1 (usual in R).
#'
#' @examples
#'
#' # binomial classification using gbtree:
#' data(agaricus.train, package='xgboost')
#' bst <- xgboost(data = agaricus.train$data, label = agaricus.train$label, max_depth = 2,
#'                eta = 1, nthread = 2, nrounds = 2, objective = "binary:logistic")
#' xgb.importance(model = bst)
#'
#' # binomial classification using gblinear:
#' bst <- xgboost(data = agaricus.train$data, label = agaricus.train$label, booster = "gblinear",
#'                eta = 0.3, nthread = 1, nrounds = 20, objective = "binary:logistic")
#' xgb.importance(model = bst)
#'
#' # multiclass classification using gbtree:
#' nclass <- 3
#' nrounds <- 10
#' mbst <- xgboost(data = as.matrix(iris[, -5]), label = as.numeric(iris$Species) - 1,
#'                max_depth = 3, eta = 0.2, nthread = 2, nrounds = nrounds,
#'                objective = "multi:softprob", num_class = nclass)
#' # all classes clumped together:
#' xgb.importance(model = mbst)
#' # inspect importances separately for each class:
#' xgb.importance(model = mbst, trees = seq(from=0, by=nclass, length.out=nrounds))
#' xgb.importance(model = mbst, trees = seq(from=1, by=nclass, length.out=nrounds))
#' xgb.importance(model = mbst, trees = seq(from=2, by=nclass, length.out=nrounds))
#'
#' # multiclass classification using gblinear:
#' mbst <- xgboost(data = scale(as.matrix(iris[, -5])), label = as.numeric(iris$Species) - 1,
#'                booster = "gblinear", eta = 0.2, nthread = 1, nrounds = 15,
#'                objective = "multi:softprob", num_class = nclass)
#' xgb.importance(model = mbst)
#'
#' @export
xgb.importance <- function(feature_names = NULL, model = NULL, trees = NULL,
                           data = NULL, label = NULL, target = NULL){

  if (!(is.null(data) && is.null(label) && is.null(target)))
    warning("xgb.importance: parameters 'data', 'label' and 'target' are deprecated")

  if (!inherits(model, "xgb.Booster"))
    stop("model: must be an object of class xgb.Booster")

  if (is.null(feature_names) && !is.null(model$feature_names))
    feature_names <- model$feature_names

  if (!(is.null(feature_names) || is.character(feature_names)))
    stop("feature_names: Has to be a character vector")

  model <- xgb.Booster.complete(model)
  config <- jsonlite::fromJSON(xgb.config(model))
  if (config$learner$gradient_booster$name == "gblinear") {
    args <- list(importance_type = "weight", feature_names = feature_names)
    results <- .Call(
      XGBoosterFeatureScore_R, model$handle, jsonlite::toJSON(args, auto_unbox = TRUE, null = "null")
    )
    names(results) <- c("features", "shape", "weight")
    n_classes <-  if (length(results$shape) == 2) { results$shape[2] } else { 0 }
    importance <- if (n_classes == 0) {
      data.table(Feature = results$features, Weight = results$weight)[order(-abs(Weight))]
    } else {
      data.table(
        Feature = rep(results$features, each = n_classes), Weight = results$weight, Class = seq_len(n_classes) - 1
      )[order(Class, -abs(Weight))]
    }
  } else {
    concatenated <- list()
    output_names <- vector()
    for (importance_type in c("weight", "total_gain", "total_cover")) {
      args <- list(importance_type = importance_type, feature_names = feature_names, tree_idx = trees)
      results <- .Call(
        XGBoosterFeatureScore_R, model$handle, jsonlite::toJSON(args, auto_unbox = TRUE, null = "null")
      )
      names(results) <- c("features", "shape", importance_type)
      concatenated[
        switch(importance_type, "weight" = "Frequency", "total_gain" = "Gain", "total_cover" = "Cover")
      ] <- results[importance_type]
      output_names <- results$features
    }
    importance <- data.table(
        Feature = output_names,
        Gain = concatenated$Gain / sum(concatenated$Gain),
        Cover = concatenated$Cover / sum(concatenated$Cover),
        Frequency = concatenated$Frequency / sum(concatenated$Frequency)
    )[order(Gain, decreasing = TRUE)]
  }
  importance
}

# Avoid error messages during CRAN check.
# The reason is that these variables are never declared
# They are mainly column names inferred by Data.table...
globalVariables(c(".", ".N", "Gain", "Cover", "Frequency", "Feature", "Class"))