--- title: Introduction to `spFSR` - feature selection and ranking by simultaneous perturbation stochastic approximation author: - Vural Aksakalli - Babak Abbasi - Yong Kai Wong date: "10 May 2018" output: rmarkdown::html_vignette vignette: > %\VignetteIndexEntry{Introduction to `spFSR` - feature selection and ranking by simultaneous perturbation stochastic approximation} %\VignetteEngine{knitr::rmarkdown} %\VignetteEncoding{UTF-8} references: - author: - family: Spall given: James C. container-title: IEEE Transactions on Automatic Control id: spall issue: 37 issued: month: 3 year: 1992 number: 3 page: 322 - 341 publisher: IEEE title: Multivariate Stochastic Approximation Using a Simultaneous Perturbation Gradient Approximation type: article-journal - author: - family: Aksakalli given: Vural - family: Malekipirbazari given: Milad container-title: Pattern Recognition Letters id: vural issue: 75 issued: year: 2016 page: 41 - 47 publisher: Elsevier B.V. title: Feature Selection via Binary Simultaneous Perturbation Stochastic Approximation type: article-journal - author: - family: Yenice given: Zeren D. - family: Adhikari given: Niranjan - family: Wong given: Yong Kai - family: Gumus given: Alev Taskin - family: Aksakalli given: Vural - family: Abbasi given: Babak id: zeren issued: year: 2018 title: 'SPSA-FSR: Simultaneous Perturbation Stochastic Approximation for Feature Selection and Ranking' type: article-journal - id: bb author: - family: Barzilai given: J. - family: Borwein given: J. title: Two-point step size gradient methods volume: 8 issued: year: 1988 number: 3 page: 141--148 container-title: IMA Journal of Numerical Analysis subtitle: Package Version 1.0.0 linkcolor: blue --- ```{r setup, include = FALSE} knitr::opts_chunk$set( collapse = TRUE, comment = "#>" ) ``` # Introduction Feature selection can be loosely defined as finding an optimal subset of available features in a dataset that are asssociated with the response variable. There are three broad categories of featue selection methods: filter methods, wrapper methods, and embedded methods. In the vignette, we introduce the Simultaneous Perturbation Stochastic Approximation for Feature Selection and Ranking (SPSA-FSR) Algorithm as one of the wrapper methods and how to use the `spFSR` package which implements this algorithm. The `spFSR` package is built upon the works by @vural and @zeren . As the `spFSR` package depends upon the [mlr](https://www.rdocumentation.org/packages/mlr/versions/2.10) package, we shall follow the [mlr workflow](https://mlr-org.github.io/mlr-tutorial/devel/html/) to define a learner and a task. The `spFSR` package supports classification and regression problems. We show how to perform feature selection with the `spFSR` package with two applications - one classification problem and one regression problem. The `spFSR` package does not support unsupervised learning (such as clustering), cost-sensitive classification, and survival analysis. # SPSA-FSR Algorithm Let **X** be an $n \times p$ data matrix of $p$ features and $n$ observations whereas $Y$ denotes the $n \times 1$ response vector consitute as the dataset. Let $X:= \{ X_1, X_2, ....X_p \}$ denote the feature set where $X_j$ represents the $j^{th}$ feature in. For a nonempty subset $X' \subset X$, we define $\mathcal{L}_{C}(X', Y)$ as the true value of performance criterion of a wrapper classifier (the model) $C$ on the dataset. As $\mathcal{L}_{C}$ is not known, we train the classifier $C$ and compute the error rate, which is denoted by $y_C(X', Y)$. Therefore, $y_C = \mathcal{L}_C + \varepsilon$. The wrapper feature selection problem is defined as determining the non-empty feature set $X^{*}$: $$X^{*} := \arg \min_{X' \subset X}y_C(X', Y)$$ It is a stochastic optimisation problem because the functional form of $Y$ is unknown and can be estmated using stochastic optimisation algorithms, including the Simultaneous Perturbation Stochastic Approximation (SPSA). Introduced by @spall, the SPSA is a pseudo-gradient descent stochastic optimisation algorithm. It starts with a random solution (vector) and moves toward the optimal solution in successive iterations in which the current solution is perturbed simultaneously by random offsets generated from a specified probability distribution. The SPSA-FSR algorithm is therefore an application of the SPSA for feature selection. In the context of SPSA, given $w \in D \subset \mathbb{R}^{p}$, the loss function is given as: $$\mathcal{L}(w): D \mapsto \mathbb{R}$$ where its functional form is unknown but one can observe noisy measurement: $$y(w) := \mathcal{L}(w) + \varepsilon(w)$$ where $\varepsilon$ is the noise. Let $g(w)$ denote the gradient of $\mathcal{L}$: $$g(w): = \nabla \mathcal{L} = \frac{\partial \mathcal{L} }{\partial w}$$ The SPSA-FSR algorithm uses a binary version of the SPSA where $w \in \mathbb{Z}^{p}$. Hence, the loss function becomes $\mathcal{L}: \{0,1\}^{p} \mapsto \mathbb{R}$. The SPSA-FSR algorithm starts with an initial solution $\hat{w}_0$ and iterates following the recursion below in search for a local minima $w^{*}$: $$\hat{w}_{k+1} := \hat{w}_{k} - a_k \hat{g}(\hat{w}_{k})$$ where: * $a_{k}$ is an iteration gain sequence; $a_{k} \geq 0$; * $\hat{g}(\hat{w}_{k})$ is the approximate gradient at $\hat{w}_{k}$. Let $\Delta_k \in \mathbb{R}^p$ be a **simultaneous perturbation vector** at iteration $k$. @spall suggests to imposes certain regularity conditions on $\Delta_k$: * The components of $\Delta_{k}$ must be mutually independent; * Each component of $\Delta_{k}$ must be generated from a symmetric zero mean probability distribution; * The distribution must have a finite inverse; * In addition, $\{ \Delta_k\}_{k=1}$ must be a mutually independent sequence which is independent of $\hat{w}_0, \hat{w}_1,...\hat{w}_k$. The finite inverse requirement basically precludes $\Delta_k$ from uniform or normal distributions. A good candidate is a symmetric zero mean Bernoulli distribution, say $\pm 1$ with 0.5 probability. The SPSA-FSR algorithm "perturbs" the current iterate $\hat{w}_k$ by an amount of $c_k \Delta_k$ in each direction of $\hat{w}_k + c_k \Delta_k$ and $\hat{w}_k - c_k \Delta_k$ respectively. Hence, the **simultaneous perturbations** around $\hat{w}_{k}$ are defined as: $$\hat{w}^{\pm}_k := \hat{w}_{k} \pm c_k \Delta_k$$ where $c_k$ is a nonnegative gradient gain sequence. The noisy measurements of $\hat{w}^{\pm}_k$ at iteration $k$ become: $$y^{+}_k:=\mathcal{L}(\hat{w}_k + c_k \Delta_k) + \varepsilon_{k}^{+} \\ y^{-}_k:=\mathcal{L}(\hat{w}_k - c_k \Delta_k) + \varepsilon_{k}^{-}$$ where $\mathbb{E}( \varepsilon_{k}^{+} - \varepsilon_{k}^{-}|\hat{w}_0, \hat{w}_1,...\hat{w}_k, \Delta_k) = 0 \forall k$. At each iteration, $\hat{w}_k^{\pm}$ are bounded and rounded before $y_k^{\pm}$ are evaluated. Therefore, $\hat{g}_k$ is computed as: $$\hat{g}_k(\hat{w}_k):=\bigg[ \frac{y^{+}_k-y^{-}_k}{w^{+}_{k1}-w^{-}_{k1}},...,\frac{y^{+}_k-y^{-}_k}{w^{+}_{kp}-w^{-}_{kp}} \bigg]^{T} = \bigg[ \frac{y^{+}_k-y^{-}_k}{2c_k \Delta_{k1}},...,\frac{y^{+}_k-y^{-}_k}{2c_k \Delta_{kp}} \bigg]^{T} = \frac{y^{+}_k-y^{-}_k}{2c_k}[\Delta_{k1}^{-1},...,\Delta_{kp}^{-1}]^{T}$$ For convergence, @spall proposes the iteration and gradient gain sequences to be: * $a_k := \frac{a}{(A+k)^{\alpha}}$ * $c_k := \frac{c}{\gamma^{k}}$ $A$, $a$, $\alpha$, $c$ and $\gamma$ are pre-defined; these parameters must be fine-tuned properly. In the SPSA-FSR algorithm, we set $\gamma = 1$ so that $c_k$ is a constant. The detail of fine-tuning values are found in @vural. @zeren propose a nonmonotone Barzilai-Borwein method [@bb] to smooth the gain via $$\hat{b}_k = \frac{\sum_{n=k-t}^k{\hat{a}_{n}^{'}}}{t+1}$$ The role of $\hat{b}_k$ is to eliminate the irrational fluctuations in the gains and ensure the stability of the SPSA-FSR algorithm. It averages the gains at the current and last two iterations, i.e. $t=2$. Gain smoothing results in a decrease in convergence time. Due to its stochastic nature and noisy measurements, the gradients $\hat{g}(\hat{w})$ can be approximately wrongly and hence distort the convergence direction in SPSA-FRS algorithm. To mitigate such side effect, the current and the previous $m$ gradients are averaged as a gradient estimate at the current iteration: $$\hat{g_k}(\hat{w_k}) = \frac{\sum_{n=k-m}^k{\hat{g_{n}}(\hat{w_{k}})}}{m+1}$$ The SPSA-FSR algorithm does not have automatic stopping rules. So, we can specify a maximum number of iterations as a stopping criterion. The SPSA-FSR algorithm is summarised as: * **Inputs**: $\hat{w}_0$, $\{a_k\}$, $c$, and maximum number of iterations $M$. * Initialise $k=0$ * While $(k < M)$, do: > 1. Generate $\Delta_{k, j} \sim \text{Bernoulli}(-1, +1)$ with $\mathbb{P}(\Delta_{k, j}=1) = \mathbb{P}(\Delta_{k, j}=-1) = 0.5$ for $j=1,..p$ > 2. Compute $\hat{w}^{\pm}_k:=\hat{w}_{k} \pm c \Delta_k$ > 3. Bound and then round: > > + $\hat{w}^{\pm}_k \mapsto B(\hat{w}^{\pm}_k)$ where $B( \bullet)$ is the component-wise $[0,1]$ operator. > > + $B(\hat{w}^{\pm}_k) \mapsto R(\hat{w}^{\pm}_k)$ where $R( \bullet)$ is the component-wise rounding operator. > 4. Evaluate $y^{\pm}_k:=\mathcal{L}(\hat{w}_k + c_k \Delta_k) \pm \varepsilon_{k}^{+}$ > 5. Compute the gradient estimate: $$\hat{g}_k(\hat{w}_k):=\bigg( \frac{y^{+}_k-y^{-}_k}{2c}\bigg)[\Delta_{k1}^{-1},...,\Delta_{kp}^{-1}]^{T}$$ > 6. Update $\hat{w}^{\pm}_k := \hat{w}_{k} \pm c_k \Delta_k$ * Round $\hat{w}_M$ if necessary. * **Output**: Estimate of solution vector $\hat{w}^{*}:=\hat{w}_M$. # Installation The `spFSR` package can be installed from CRAN as follow: ```{r install1, eval = FALSE} install.packages("spFSR") ``` If it is installed manually from an archive (tar.gz), then the following dependency and imported packages must be installed first: ```{r dependencies, eval = FALSE} if(!require("mlr") ){ install.packages("mlr") } # mlr (>= 2.11) if(!require("parallelMap") ){ install.packages("parallelMap") } # parallelMap (>= 1.3) if(!require("parallel") ){ install.packages("parallel")} # parallel (>= 3.4.2) if(!require("tictoc") ){ install.packages("tictoc") } # tictoc (>= 1.0) if(!require("ggplot2") ){ install.packages("ggplot2") } # tictoc (>= 1.0) ``` ```{r install2, message = FALSE, eval = FALSE} if(!require('spFSR') ){ install.packages('spFSR_1.0.0.tar.gz', repos = NULL) } ``` The `mlr` depends on other packages. Although only some are utilised in the `spFSR`, it is highly recommended to install the suggested packages: \color{blue} > ada, adabag, bartMachine, batchtools, brnn, bst, C50, care, caret (>= 6.0-57), class, clue, cluster, clusterSim (>= 0.44-5), clValid, cmaes, CoxBoost, crs, Cubist, deepnet, DiceKriging, DiceOptim, DiscriMiner, e1071, earth, elasticnet, elmNN, emoa, evtree, extraTrees, flare, fields, FNN, fpc, frbs, FSelector, gbm, GenSA, ggvis, glmnet, h2o (>= 3.6.0.8), GPfit, Hmisc, ipred, irace (>= 2.0), kernlab, kknn, klaR, knitr, kohonen, laGP, LiblineaR, lqa, MASS, mboost, mco, mda, mlbench, mldr, mlrMBO, modeltools, mRMRe, nnet, nodeHarvest (>= 0.7-3), neuralnet, numDeriv, pamr, party, penalized (>= 0.9-47), pls, PMCMR (>= 4.1), pROC (>= 1.8), randomForest, randomForestSRC (>= 2.2.0), ranger (>= 0.6.0), RCurl, Rfast, rFerns, rjson, rknn, rmarkdown, robustbase, ROCR, rotationForest, rpart, RRF, rrlda, rsm, RSNNS, RWeka, sda, shiny, smoof, sparsediscrim, sparseLDA, stepPlr, SwarmSVM, svglite, testthat, tgp, TH.data, xgboost (>= 0.6-2), XML \color{black} To see why, say we would like to apply k-nearest neighbour (knn) on a classification problem. In the `mlr`, this can be done by defining a `learner` as `mlr::makeLearner("classif.knn", k = 5)` in `R`. Note that `"classif.knn"` is called from the `class` package via `mlr`. So it the `class` package has not been installed, this learner cannot be defined. To get the full list of learners from the `mlr` package, see `listLearners()` for more details. # Applications ## Classification Problem ### Dataset Using the classical iris data, the goal is to choose 3 of 4 features (`Sepal.Length`, `Sepal.Width`, `Petal.Length`, and `Petal.Width`) that give the highest mean accuracy rate in predicting `Species`. ```{r iris, warning = FALSE} data(iris) head(iris) ``` ### Define Task and Wrapper After loading the `mlr` package, we create a `wrapper` which is a knn learner with $k=5$. Then, we make a classification `task` by specifying `Species` as the response or target variable we would like to predict. Lastly, we specify `acc` (accuracy) to evaluate the wrapper's performance. ```{r mlr} library(mlr) knnWrapper <- makeLearner("classif.knn", k = 5) classifTask <- makeClassifTask(data = iris, target = "Species") perf.measure <- acc ``` ### Select features using `spFeatureSelection` The `spFeatureSelection` function requires four main arguments: * `task`: a `task` object created using `mlr` package. In this example, `task = classifTask ` * `wrapper`: a `Learner` object created using `mlr` package. In this example, it is `wrapper = knnWrapper` * `measure`: a performance measure supported by `task`; here, `measure = perf.measure` * `num.features.selected`: number of features to be selected. In this example, we aim to choose three features (`num.features.selected = 3`). In addition, due to the stochastic nature of the SPSA-FSR algorithm, we recommend user to run it multiple iterations by specifying `iters.max` in `spFeatureSelection`. The default value of `iters.max` is 25. For illustration, we shall run up to 10 iterations by specifying `iters.max = 10`. To speed up, user can specify how many processor cores to run the algorithm. The default value is 2 or the minimum core available on the computer. In this example, we apply a single core (`num.cores = 1`). ```{r spsaoutput, warning = FALSE} library(spFSR) set.seed(123) spsaMod <- spFeatureSelection( task = classifTask, wrapper = knnWrapper, measure = perf.measure , num.features.selected = 3, iters.max = 10, num.cores = 1) ``` The output above shows that the result produced by `spFeatureSelection`. At each iteration (`iter`), it shows mean accuracy rate (`value`) and its standard deviation (`st.dev`) on three features (`num.fit` = 3). The `best.value` represents the best mean accuracy rate produced by `spFeatureSelection`. At the first iteration (`iter` = 1), the best mean accuracy rate is 0.96 and it is denoted by '*'. At the second iteration, the mean accuracy rate is lower and hence the accuracy rate from the first iteration remains as the best value. At the third iteration, the accuracy rate improves to `r spsaMod$best.value` which is higher the previous best value. The accuracy rate of the third iteration therefore becomes the best value. ### Generic methods The `spFSR` package supports three S3 generic methods: `print`, `summary`, and `plot`. The usages of `print` and `summary` are quite straighforward. The summary return the following information: ```{r summary} summary(spsaMod) ``` We can produce a scatterplot of mean accuracy rate at each iteration by calling the `plot` function on `spsaMod`. We can also add an error bar of $\pm 1$ standard deviation around the mean accuracy rate at each iteration by specifying `errorBar = TRUE`. Other graphical parameters such as `pch`, `type`, `ylab`, and `col` are allowed. ```{r} plot(spsaMod, errorBar = TRUE) ``` ### Other functions The `spFSR` package has: * `getImportance` which returns the importance ranks of best performing features as a `data.frame` object * `plotImportance` which plots the importance ranks of best performing features * `getBestModel` which returns the trained or wrapped model based on the set of best performing features. ```{r importance} getImportance(spsaMod) plotImportance(spsaMod) ``` The vertical bar chart generated by `plotImportance` shows that `Petal.Width` is the most important feature. We can obtain the best performing model by calling `getBestModel`. ```{r getBestModel} bestMod <- getBestModel(spsaMod) ``` `bestMod` is an object of `WrapperModel` class from the `mlr` package. ```{r} class(bestMod) ``` It inherits all methods of this class including `predict`. The `predict` function can be used to predict out-of-sample data using setting `new.data` to a test data. It can be also used to return the predicted responses by incorporating the `task = spsaMod$task.spfs` (which contains only the best performing features). The code chunk below illustrates how predicted responses can be obtained and used to calculate the confusion matrix by calling `calculateConfusionMatrix` from the `mlr` package. ```{r wrappedModel} # predict using the best mod pred <- predict(bestMod, task = spsaMod$task.spfs ) # Obtain confusion matrix calculateConfusionMatrix( pred ) ``` ## Regression Problem ### Dataset The goal is to select 10 out of 14 features which predict the median house price (`medv` in USD 1000's) from the "BostonHosuing" data. The data is loaded from the `mlbench` package ```{r, message = FALSE} if( !require(mlbench) ){install.packages('mlbench')} library(mlbench) data("BostonHousing") head(BostonHousing) ``` ### Select features using `spFeatureSelection` We start configuring a regression task and a linear regression (lm) wrapper: ```{r} regTask <- makeRegrTask(data = BostonHousing, target = 'medv') regWrapper <- makeLearner('regr.lm') ``` For a regression problem, stratified sampling is not supported and so `cv.stratify` must be `FALSE`. We use mean squared error (`mse`) to evaluate the linear regression's performance. Similar to the previous example, we shall run up to 10 iterations by specifying `iters.max = 10` on a single core (`num.cores = 1`). ```{r} regSPSA <- spFeatureSelection( task = regTask, wrapper = regWrapper, measure = mse, num.features.selected = 10, cv.stratify = FALSE, iters.max = 10, num.cores = 1 ) ``` ### Methods and functions The methods and importance functions can be also used for regression problems. ```{r} summary(regSPSA) getImportance(regSPSA) plotImportance(regSPSA) ``` The importance plot reveals `r getImportance(regSPSA)[1,1]` and `r getImportance(regSPSA)[2,1]` to be two most important features in predicting the median housing value. We can also obtain the best model via `getBestModel` and make predictions. ```{r} bestRegMod <- getBestModel(regSPSA) predData <- predict(bestRegMod, task = regSPSA$task.spfs) # obtain the prediction ``` # Summary Leveraging on the `mlr` package, the `spFSR` package implements the SPSA-FSR Algorithm for feature selection. Given a wrapper, the `spFSR` package can determine a subset of features which predicts the response variable while optimising a specified performance measure. # References