"""Feature selection strategies for the error predictor. Strategies: 1. ``rank_by_roc_auc`` — univariate ROC-AUC ranking against the "model is wrong" label. 2. ``greedy_forward_select`` — TOHA-style Algorithm 1: greedy forward CV-AUC. 3. ``top_k_per_group`` — paper-faithful "up to K of each type" using univariate ranking inside each group. 4. ``shapley_top_k_per_group`` — **paper-faithful**: fit a logistic regression on the wrongness label, compute exact Shapley values for it via ``shap.LinearExplainer``, then keep top-K per group by mean |Shapley|. """ from __future__ import annotations from typing import List, Tuple import numpy as np from sklearn.linear_model import LogisticRegression from sklearn.model_selection import StratifiedKFold from sklearn.metrics import roc_auc_score from sklearn.preprocessing import StandardScaler from tqdm import tqdm def _safe_auc(y_true: np.ndarray, score: np.ndarray) -> float: if len(np.unique(y_true)) < 2: return 0.5 # Higher score should mean "more likely to be wrong". return float(roc_auc_score(y_true, score)) def rank_by_roc_auc(X: np.ndarray, y_wrong: np.ndarray) -> np.ndarray: """Return per-feature ROC-AUC scores (vs the better of feature/feature-negated).""" n_features = X.shape[1] scores = np.zeros(n_features, dtype=np.float32) for j in range(n_features): v = X[:, j] auc_pos = _safe_auc(y_wrong, v) auc_neg = _safe_auc(y_wrong, -v) scores[j] = max(auc_pos, auc_neg) return scores def top_k_by_univariate_auc(X: np.ndarray, y_wrong: np.ndarray, k: int) -> List[int]: scores = rank_by_roc_auc(X, y_wrong) order = np.argsort(scores)[::-1] return order[:k].tolist() def shapley_top_k_per_group( X: np.ndarray, y_wrong: np.ndarray, group_of: List[str], k_per_group: dict, *, random_state: int = 42, nsamples_background: int = 100, ) -> List[int]: """Paper-faithful Shapley-based feature selection. Train a logistic regression on the binary wrongness target, then use ``shap.LinearExplainer`` (exact Shapley values for linear models, O(N·F)) to obtain per-sample contributions. Score each feature by mean absolute Shapley value. Keep the top-K within each named group. """ import shap from sklearn.linear_model import LogisticRegression from sklearn.preprocessing import StandardScaler assert len(group_of) == X.shape[1], (len(group_of), X.shape[1]) scaler = StandardScaler() Xs = scaler.fit_transform(X).astype(np.float32) clf = LogisticRegression(max_iter=2000, n_jobs=1, solver="lbfgs", random_state=random_state) clf.fit(Xs, y_wrong) bg = shap.sample(Xs, min(nsamples_background, Xs.shape[0]), random_state=random_state) explainer = shap.LinearExplainer(clf, bg, feature_perturbation="interventional") shap_values = explainer.shap_values(Xs) # (N, F) importance = np.abs(shap_values).mean(axis=0) # (F,) selected: List[int] = [] by_group: dict = {} for i, g in enumerate(group_of): by_group.setdefault(g, []).append(i) for g, idx_list in by_group.items(): k = k_per_group.get(g, len(idx_list)) if k >= len(idx_list): selected.extend(idx_list) continue scores = importance[idx_list] order = np.argsort(scores)[::-1][:k] selected.extend([idx_list[j] for j in order]) return sorted(selected) def top_k_per_group( X: np.ndarray, y_wrong: np.ndarray, group_of: List[str], k_per_group: dict, ) -> List[int]: """Per-group univariate top-K selection. Args: X: (N, F) feature matrix. y_wrong: (N,) binary target. group_of: list of length F naming each column's group ("ripser", "cb", …). k_per_group: dict {group_name: int}. Groups not in the dict keep all columns. Returns: Sorted list of selected column indices. """ assert len(group_of) == X.shape[1], (len(group_of), X.shape[1]) selected: List[int] = [] by_group: dict = {} for i, g in enumerate(group_of): by_group.setdefault(g, []).append(i) for g, idx_list in by_group.items(): k = k_per_group.get(g, len(idx_list)) if k >= len(idx_list): selected.extend(idx_list) continue Xg = X[:, idx_list] scores = rank_by_roc_auc(Xg, y_wrong) order = np.argsort(scores)[::-1][:k] selected.extend([idx_list[j] for j in order]) return sorted(selected) def greedy_forward_select( X: np.ndarray, y_wrong: np.ndarray, *, max_features: int = 30, min_gain: float = 1e-3, cv_folds: int = 5, candidate_pool: List[int] | None = None, random_state: int = 0, ) -> Tuple[List[int], List[float]]: """TOHA-style Algorithm 1.""" pool = list(range(X.shape[1])) if candidate_pool is None else list(candidate_pool) selected: List[int] = [] history: List[float] = [] best_auc = 0.5 # Standardize once up front so the inner LogReg converges quickly. Xz = StandardScaler().fit_transform(X).astype(np.float32) skf = StratifiedKFold(n_splits=cv_folds, shuffle=True, random_state=random_state) pbar = tqdm(total=max_features, desc="TOHA-greedy") while pool and len(selected) < max_features: best_j, best_step_auc = -1, best_auc for j in pool: cols = selected + [j] Xs = Xz[:, cols] fold_aucs = [] for tr, va in skf.split(Xs, y_wrong): clf = LogisticRegression(max_iter=2000, n_jobs=1, solver="lbfgs") clf.fit(Xs[tr], y_wrong[tr]) proba = clf.predict_proba(Xs[va])[:, 1] fold_aucs.append(_safe_auc(y_wrong[va], proba)) mean_auc = float(np.mean(fold_aucs)) if mean_auc > best_step_auc: best_step_auc = mean_auc best_j = j if best_j == -1 or (best_step_auc - best_auc) < min_gain: break selected.append(best_j) pool.remove(best_j) history.append(best_step_auc) pbar.update(1) pbar.set_postfix(auc=f"{best_step_auc:.4f}", picked=best_j) best_auc = best_step_auc pbar.close() return selected, history