🌊 River is a Python library for online machine learning.

This is a follow up to discussion in https://github.com/online-ml/river/issues/891#issuecomment-1080993289.

The current implementation of nearest neighbors was done for a performance tweak, but it is limited because we cannot be flexible to add slightly varying features (the vector size for X is fixed and you get an error if you vary from the first one) or to add additional metadata about a point in the window such as a UID that can be used to look up a point later. From an online ML standpoint (as I understand it) we should optimize for this kind of flexibility over a small performance tweak (but coming from the world of HPC I totally get the performance bit!)

This refactor takes the base logic from creme.neighbors, and adds some additional features,

1. a minimum distance to consider adding a new datum to the window, ensuring we have a more variable window that does better at learning. The default for my model was 0.05 because I had ~250K points with quite a bit of repetition so adding redundancy was expensive and led to bad results, but I chose a default of 0.0 here so the default miimcs what you would expect.
2. Given the window can change (and classes within it) I realized that the prediction dict would potentially have a lot of extra "no longer existing in the window" classes. So I added a class cleanup function for classification to iterate over data in the window and ensure the classes known to the class accurately reflect the current window. The default is False so this will not run (and the model maintains all memory of classes it has seen and returns 0 probability of the class) but it can be set to True to always run after learn (potentially at the cost of performance) or can be run on demand (e.g., I can see an online-ml server setting it to False, and then loading and running once a day or something like that.
3. optional support to add a UID, which is just another variable in the list added to the queue! This I've found incredibly useful in production cases where you do not just want a prediction back, but you want to look more into the closest points, metadata wise. The data in the window should be useful beyond having x , y, and class, and allowing an additional identifier allows the implementer to put more information elsewhere.

For the reasons in 3, I renamed the BaseNeighbors class to be KNeighbors because people can use it as a very simple model to return the neighbors verbatim.

This is likely a start (and I have not run tests locally) so we can discuss further changes that need to be done, a strategy for doing them, and what features / additional classes of the old implementation we want to preserve. I had this on another branch, but for some reason running pre-commit made changes outside of my changes (perhaps a different version of black or flake8 or something?) so I created a fresh clone and added the changed files verbatim.

Signed-off-by: vsoch [email protected]

Hi @MaxHalford ! Apologies for the beginner question.

How do we use creme on non scikit learn data sets. Bascilly I have two dictionaries.

X=

{(Timestamp('2012-01-10 00:00:00'), 'volume_change_ratio', 'AAPL'): -0.344719768623466, (Timestamp('2012-01-10 00:00:00'), 'volume_change_ratio', 'CSCO'): 0.20302817925763325, (Timestamp('2012-01-10 00:00:00'), 'volume_change_ratio', 'INTC'): -0.13517037149368347,

And Y =

{(Timestamp('2012-01-10 00:00:00'), 'AAPL'): -0.0013231888852133222, (Timestamp('2012-01-10 00:00:00'), 'CSCO'): 0.005841741901221553, (Timestamp('2012-01-10 00:00:00'), 'INTC'): -0.006252442360296984, (Timestamp('2012-01-10 00:00:00'), 'MSFT'): -0.014727011494252928, (Timestamp('2012-01-10 00:00:00'), 'SPY'): -0.003097653527452948, (Timestamp('2012-01-11 00:00:00'), 'AAPL'): -0.0004970178926441138, (Timestamp('2012-01-11 00:00:00'), 'CSCO'): 0.002621919244887305, (Timestamp('2012-01-11 00:00:00'), 'INTC'): 0.0019379844961240345,

And I want to do a basic iterative linear regression on the data sets.

Best, Andrew

Hi,

I read through all previous issues to make sure i have the right versions. I have:

• numpy 1.20.1
• river 0.10.1

However I still got the "ValueError: numpy.ufunc size changed, may indicate binary incompatibility. Expected 232 from C header, got 216 from PyObject"

What should I do? Thank you!

Description

The PR introduce bandits (epsilon-greedy and UCB) for model selection (see issue #270 ). The PR concerns only regressors, but I can add the classifiers in a subsequent PR.

The use of the classes are straightforward :

bandit = UCBRegressor(models=models, metric=metrics.MSE()),

for (x, y) in data.take(N):    
        y_pred = bandit.predict_one(x=x)
        bandit.learn_one(x=x, y=y)

best_model = bandit.best_model

There are convenience methods such as :

• percentage_pulled : to get the percentage each arm was pulled
• best_model : return the model with the highest average reward

Also I added a method add_models where the user can add models on the fly.

I am also working on a notebook that studies the behavior of the bandits for model selection. The notebook also include Exp3, which seems promising but has numerical stability issue and yields counter-intuitive results (see section 3 of the NB). That's why I kept it out of this PR. More generally, the performances of UCB and epsilon-greedy are rather good but there seems to be some variance in the performance.

Improvements

It's still WIP on the following points :

• docstring, mainly add examples + cleaning.
• some comments might be removed.
• the name of the classes and the methods are open for changes

We now have SuccessiveHalvingClassifier and SuccessiveHalvingRegressor in the model_selection to module to perform, well, model selection. This allows doing hyperparameter-tuning by initializing a model with different parameter configuration and running them against each other. All in all it seems to be working pretty well and we should be getting some feedback on it soon. The implementations are handy because they implement the fit_one/predict_one interface and therefore make the whole process transparent to users. In other words you can use them as you would any other model. This design will go a long way and should make things simple in terms of deployment (I'm thinking of you chantilly).

The next step would be to implement multi-armed bandits. In progressive validation, all the remaining models are updated. This is called a "full feedback" situation. Bandits, on the other hand, use partial feedback, because only one model is picked and trained at a time. This is more efficient because it results in less model evaluations, but might also converge more slowly. Most bandit algorithms assume that the performance of the models is constant through time (this is called "stationarity"). However, the performance of each model is bound to change through time because the act of picking modifies the model. Therefore ideally we need to looking into non-stationary bandit algorithms. Here are some more details and references.

Here are the algortithms I would like to see implemented:

• Epsilon greedy
• UCB
• Discounted UCB
• Sliding-Window UCB

Also see this paper. We can probably open separate issues for each implementation. I think that the current best way of proceding is to provide one implementation for regression and one for classification in each case, much like what is done for successive halving. There's also this paper that discusses delayed feedback and how it affects bandits.

Hello again,

I was testing the OCC classifier with more than 90 classes and the accuracy is very poor. I assume I need a huge code size, however I was testing different code-sizes (staring with a code-size of 10) and recording the accuracy when I came to a code-size of 40 and received the following error: OverflowError: Python int too large to convert to C ssize_t. Is there a way we can modify the occ classifier to allow for compact codes (as short as possible) while still providing enough discriminating power between the different classes.

Versions

river version: River 0.1.0 Python version:Python 3.7.1 Operating system: Windows 10 Enterprise v1803

Describe the issue

Have been playing around with River/Creme for a couple of weeks now, and it's super useful for a project I am currently working on. That being said, I'm still pretty new to the workings of the algorithms, so unsure whether this is a bug or an issue with my setup.

When I call learn_one on the ARFR or HTR, I receive: "Attribute Error "NoneType" object has no attribute '_left'" from line 113 in best_evaluated_split_suggestion.py.

I have implemented a delayed prequential evaluation algorithm, and inspecting the loop, the error seems to be thrown when the model after the first delay period has been exceeded - ie when the model can first make a prediction that isn't zero. Before this point, learn_one doesn't throw this error.

Currently, I am using the default ARFR as in the example, with a simple Linear Regression as the leaf_model. The linear regression model itself has been working with my data, when not used in the ARFR. I want to try the ensemble/tree models with the data to see if accuracy is improved due to the drift detection methods that are included.

Has anyone also seen this error being thrown, or know the causes of it? Let me know if more information is needed! Thanks.

Yo @MaxHalford check out this

[Thanks to @gbolmier for inspiration]

Addresses #618 I've decided to implement L1 cumulative only because:

• L1 naive is just not efficient plus will likely take more hassle than it should (e.g. sign method for VectorDict)
• Truncateed Gradient approach acc to paper is overshadowed by L1 cumulative plus takes 3 params to tune instead of 1 (no thanks, as if online model tuning is not tricky enough)

Done some tests and showcase: https://gist.github.com/ColdTeapot273K/b7865bbfb9ad2e473b474c39c3d40413

Bonus:

• works with learn_many out of the box
• appears to be better than scikit-learn's impl of l1 on SGDRegressor (i think it uses truncated under the hood?)

As you might notice this implementation implies either l1 or l2 is used at a time. A small price to pay for the ability to finally do proper, optimal sparse feature selection.

Got problems with vectorizing the penalty. Didn't see a graceful way of imitating boolean indexing in VectorDict or at least a way to transfer from numpy restricted computation domain into VectorDict. So decided to just leave vectorized version as a dry-run thing with a test attached (see gist), maybe you'll have better ideas (@MaxHalford you should have the access to my forks).

Cheers.

Hi Guys,

Suppose, I trained a logistic-regression classifier using Python 3.x as Creme only supports Python 3. How can I use the model for classification in Python 2?

heyo! So this might be better suited for chantilly, but it's generally about river so I hope it's okay to put here. I'm creating a server that has a cluster model on the backend to handle clustering types of errors. I was planning on using a cluster model and then assigning new errors (saved as objects in the database) to clusters, but I realize if I have a preference for models with a changing number of centers then my assignments would also likely change over time (and not be valid). This makes the idea of saving the cluster id with the error object not a great idea. But then I was thinking - as long as we have some kind of ability for a model to output changes (e.g.,:

• Cluster 8 no longer exists
• Clusters 10 and 12 were merged into 10
• Cluster 5 was split into 5 and 101

Then it could be feasible to act on those events, and in the case of the above:

• Remove the assignment of any errors to cluster 8 (reclassify if it's computationally easy)
• find objects assigned to 10 and 12, assign all to 10
• Remove the assignment of 5, and reclassify if feasible

So my question - how do we integrate this functionality into river, at least exposing enough for a wrapper of some kind to assess changes? Or is it just a bad design idea on my part?

2 matters here:

1. after introducing the ThersholdFilter in the time_series pipeline, it is now hard to evaluate models with vectors that have anomalies. Is it possible to "pass-through" the anomaly score 1/0 to the output of the function model.forecast() ? this way one could skip metrics.update for those anomalies when looping around the dataset.

2. for a-posteriori evaluation of a time_series forecaster, i am try to replay the dataset with a pre-trained model and see how that model would have performed for "reconstructing" the whole dataset. to make this i would simply need to call model.forecast() using values in the past. but is this possible? how should i call the forecast method? And more in general, what is the difference between horizon, and xs in the forecast signature?

As discussed with @MaxHalford on Discord, caching the virtual environment allows us to bypass completely pip installs. The existing approach caches downloaded pip packages, although pip install takes considerable amounts of time even then.

Description of the PR

Hi ! 👋

This is a first version of Onelearn's library (classifiers only) implementation in River. It contains:

• Mondrian Tree (Base and Classifier)
• Aggregated Mondrian Forest (Base and Classifier)

The original repository with proof of working implementation can be found here (see script.py).

Known drawbacks of the current implementation

• Management of labels: labels must be positive integers at the moment, since it just makes my life easier. Please tell me how you would prefer this to be implemented in River's framework (I've seen labels presented as dictionary, but I'm not sure what these dictionaries contains: int? string?). This might be a simple trick for me to change how labels are managed I think, just need to know your preferences.
• Tree branches: I use branches mainly as the global tree structure, I'm not quite exactly sure how to use them better. Feel free to comment on that too if you have better suggestions !
• Examples of usage: MondrianTreeClassifier and AMFClassifier would need examples of implementations for users. I actually implemented one on my repo here already, but I didn't manage to compile River so I couldn't get the scores 😢
• Random state: I have a random state attribute, but it's not used at the moment. I'm not exactly sure where to put the random state in the Mondrian process, I'm afraid it'd be breaking the whole thing. If any expert in Random Forest could advise me on where random state should be placed, that would be great ❤️

Notes on the utils

Currently I placed two functions in the utils section:

• sample_discrete
• log_sum_2_exp

It might seem overkill to place them as utils right now looking at where they're used in the code, but I'll need them for the regressors too when the times come. Maybe there's a better place for them keeping the regressors in mind though.

We are currently working to implement PySAD into River, for the "polytechnique-project". It is a pull request for adding the method "xstream".

Sophie Normand

Hi 👋,

I spend some time on the benchmarks and tried to refactor them. I used vega for visualising the performances. This requires the mkdocs-charts-plugin which sometimes fails for the livedocs when reloading the documentation. Further, the index.md in the benchmark folder might get pretty big at some point.

As there are some drawbacks, I would like some feedback from you to see if I am on the right track.

Best, Cedric