Feature Engineering Tutorial Series 6: Variable magnitude

Published by Aarya on

Does the magnitude of the variable matter?

In Linear Regression models, the scale of variables used to estimate the output matters. Linear models are of the type y = w x + b, where the regression coefficient w represents the expected change in y for a one unit change in x (the predictor). Thus, the magnitude of w is partly determined by the magnitude of the units being used for x. If x is a distance variable, just changing the scale from kilometers to miles will cause a change in the magnitude of the coefficient.

In addition, in situations where we estimate the outcome y by contemplating multiple predictors x1, x2, …xn, predictors with greater numeric ranges dominate over those with smaller numeric ranges.

Gradient descent converges faster when all the predictors (x1 to xn) are within a similar scale, therefore having features in a similar scale is useful for Neural Networks as well as.

In Support Vector Machines, feature scaling can decrease the time required to find the support vectors.

Finally, methods using Euclidean distances or distances in general are also affected by the magnitude of the features, as Euclidean distance is sensitive to variations in the magnitude or scales of the predictors. Therefore feature scaling is required for methods that utilise distance calculations like k-nearest neighbours (KNN) and k-means clustering.

In short:

Magnitude matters because:

  • The regression coefficient is directly influenced by the scale of the variable
  • Variables with bigger magnitude / value range dominate over the ones with smaller magnitude / value range
  • Gradient descent converges faster when features are on similar scales
  • Feature scaling helps decrease the time to find support vectors for SVMs
  • Euclidean distances are sensitive to feature magnitude.

The machine learning models affected by the magnitude of the feature are:

  • Linear and Logistic Regression
  • Neural Networks
  • Support Vector Machines
  • KNN
  • K-means clustering
  • Linear Discriminant Analysis (LDA)
  • Principal Component Analysis (PCA)

Machine learning models insensitive to feature magnitude are the ones based on Trees:

  • Classification and Regression Trees
  • Random Forests
  • Gradient Boosted Trees

In this Blog

We will study the effect of feature magnitude on the performance of different machine learning algorithms.

We will use the Titanic dataset.

Let’s Start!

We will start by importing the necessary libraries.

# to read the dataset into a dataframe and perform operations on it
import pandas as pd

# to perform basic array operations
import numpy as np

# import several machine learning algorithms
from sklearn.linear_model import LogisticRegression
from sklearn.ensemble import AdaBoostClassifier
from sklearn.ensemble import RandomForestClassifier
from sklearn.svm import SVC
from sklearn.neural_network import MLPClassifier
from sklearn.neighbors import KNeighborsClassifier

# to scale the features
from sklearn.preprocessing import MinMaxScaler

# to evaluate performance and separate into
# train and test set
from sklearn.metrics import roc_auc_score
from sklearn.model_selection import train_test_split

Load data with numerical variables only

We will start by loading only the variables having numeric values from the titanic dataset.

data = pd.read_csv('https://raw.githubusercontent.com/laxmimerit/All-CSV-ML-Data-Files-Download/master/titanic.csv',
                   usecols=['Pclass', 'Age', 'Fare', 'Survived'])
data.head()
SurvivedPclassAgeFare
00322.07.2500
11138.071.2833
21326.07.9250
31135.053.1000
40335.08.0500

Now we will have a look at the values of those variables to get an idea of the feature magnitudes. describe provides descriptive statistics including those that summarize the central tendency, dispersion and shape of a dataset’s distribution, excluding NaN values.

data.describe()
SurvivedPclassAgeFare
count891.000000891.000000714.000000891.000000
mean0.3838382.30864229.69911832.204208
std0.4865920.83607114.52649749.693429
min0.0000001.0000000.4200000.000000
25%0.0000002.00000020.1250007.910400
50%0.0000003.00000028.00000014.454200
75%1.0000003.00000038.00000031.000000
max1.0000003.00000080.000000512.329200

We can see that Fare varies between 0 and 512, Age between 0 and 80, and Pclass between 1 and 3. So the variables have different magnitudes.

Let’s calculate the range of each variable. The range of a set of data is the difference between the largest and smallest values.

for col in ['Pclass', 'Age', 'Fare']:
    print(col, 'range: ', data[col].max() - data[col].min())
Pclass range:  2
Age range:  79.58
Fare range:  512.3292

The range of values that each variable takes are quite different.

Now we will split the data into training and testing set with the help of train_test_split(). We will use the variables PclassAge and Fare as the feature space and Survived as the target. The test_size = 0.3 will keep 30% data for testing and 70% data will be used for training the model. random_state controls the shuffling applied to the data before applying the split. The titanic dataset contains missing information so for this demo, we will fill those with 0s using fillna().

X_train, X_test, y_train, y_test = train_test_split(
    data[['Pclass', 'Age', 'Fare']].fillna(0),
    data.Survived,
    test_size=0.3,
    random_state=0)

X_train.shape, X_test.shape
((623, 3), (268, 3))

The training dataset contains 623 rows while the test dataset contains 268 rows.

Feature Scaling

For this demonstration, we will scale the features between 0 and 1, using the MinMaxScaler from scikit-learn. To learn more about this scaling visit the Scikit-Learn website

The transformation is given by:

X_rescaled = (X – X.min) / (X.max – X.min)

And to transform the re-scaled features back to their original magnitude:

X = X_rescaled * (max – min) + min

We will first initialize scalar. Then we will fit the scalar to the training dataset. Using this scalar we will transform X_train as well as X_test.

# call the scaler
scaler = MinMaxScaler()

# fit the scaler
scaler.fit(X_train)

# re scale the datasets
X_train_scaled = scaler.transform(X_train)
X_test_scaled = scaler.transform(X_test)

Let’s have a look at the scaled training dataset.

print('Mean: ', X_train_scaled.mean(axis=0))
print('Standard Deviation: ', X_train_scaled.std(axis=0))
print('Minimum value: ', X_train_scaled.min(axis=0))
print('Maximum value: ', X_train_scaled.max(axis=0))
Mean:  [0.64365971 0.30131421 0.06335433]
Standard Deviation:  [0.41999093 0.21983527 0.09411705]
Minimum value:  [0. 0. 0.]
Maximum value:  [1. 1. 1.]

Now, the maximum values for all the features is 1, and the minimum value is zero, as expected. So they are in a similar scale.

Logistic Regression

Let’s evaluate the effect of feature scaling on a Logistic Regression. We will first build the model using unscaled variables and then the scaled variables.

# model built on unscaled variables

# call the model
logit = LogisticRegression(
    random_state=44,
    C=1000,  # Inverse of regularization strength (larger c to avoid regularization)
    solver='lbfgs') # Algorithm to use in the optimization problem.

# train the model
logit.fit(X_train, y_train)

# evaluate performance
print('Train set')
pred = logit.predict_proba(X_train)
print('Logistic Regression roc-auc: {}'.format(
    roc_auc_score(y_train, pred[:, 1])))
print('Test set')
pred = logit.predict_proba(X_test)
print('Logistic Regression roc-auc: {}'.format(
    roc_auc_score(y_test, pred[:, 1])))
Train set
Logistic Regression roc-auc: 0.7134823539619531
Test set
Logistic Regression roc-auc: 0.7080952380952381

Let’s look at the coefficients. coef_ gives the coefficient of the features in the decision function.

logit.coef_
array([[-0.92585764, -0.01822689,  0.00233577]])
# model built on scaled variables

# call the model
logit = LogisticRegression(
    random_state=44,
    C=1000,  # Inverse of regularization strength (larger c to avoid regularization)
    solver='lbfgs') # Algorithm to use in the optimization problem.

# train the model using the re-scaled data
logit.fit(X_train_scaled, y_train)

# evaluate performance
print('Train set')
pred = logit.predict_proba(X_train_scaled)
print('Logistic Regression roc-auc: {}'.format(
    roc_auc_score(y_train, pred[:, 1])))
print('Test set')
pred = logit.predict_proba(X_test_scaled)
print('Logistic Regression roc-auc: {}'.format(
    roc_auc_score(y_test, pred[:, 1])))
Train set
Logistic Regression roc-auc: 0.7134931997136721
Test set
Logistic Regression roc-auc: 0.7080952380952381

Let’s look at the coefficients.

logit.coef_
array([[-1.85170244, -1.45782986,  1.19540159]])

We observe that the performance of logistic regression did not change due to the datasets with the features scaled (compare roc-auc values for train and test set for models with and without feature scaling).

However, when looking at the coefficients we do see a big difference in the values. This is because the magnitude of the variable was affecting the coefficients. After scaling, all 3 variables have the relatively the same effect (coefficient) towards survival, whereas before scaling, we would be inclined to think that PClass was driving the Survival outcome.

Support Vector Machines

Let’s evaluate the effect of feature scaling on Support Vector Machines. We will first build the model using unscaled variables and then the scaled variables.

# model build on unscaled variables

# call the model
SVM_model = SVC(random_state=44, probability=True, gamma='auto')

#  train the model
SVM_model.fit(X_train, y_train)

# evaluate performance
print('Train set')
pred = SVM_model.predict_proba(X_train)
print('SVM roc-auc: {}'.format(roc_auc_score(y_train, pred[:, 1])))
print('Test set')
pred = SVM_model.predict_proba(X_test)
print('SVM roc-auc: {}'.format(roc_auc_score(y_test, pred[:, 1])))
Train set
SVM roc-auc: 0.9016995292943755
Test set
SVM roc-auc: 0.6768154761904762
# model built on scaled variables

# call the model
SVM_model = SVC(random_state=44, probability=True, gamma='auto')

# train the model
SVM_model.fit(X_train_scaled, y_train)

# evaluate performance
print('Train set')
pred = SVM_model.predict_proba(X_train_scaled)
print('SVM roc-auc: {}'.format(roc_auc_score(y_train, pred[:, 1])))
print('Test set')
pred = SVM_model.predict_proba(X_test_scaled)
print('SVM roc-auc: {}'.format(roc_auc_score(y_test, pred[:, 1])))
Train set
SVM roc-auc: 0.7047081408212403
Test set
SVM roc-auc: 0.6988690476190476

Feature scaling improved the performance of the support vector machine. After feature scaling the model is no longer over-fitting to the training set (compare the roc-auc of 0.9 for the model on unscaled features vs the roc-auc of 0.7). In addition, the roc-auc for the testing set increased as well (0.67 vs 0.69).

K-Nearest Neighbours

Let’s evaluate the effect of feature scaling on K-Nearest Neighbours. We will first build the model using unscaled variables and then the scaled variables.

#model built on unscaled features

# call the model
KNN = KNeighborsClassifier(n_neighbors=5)

# train the model
KNN.fit(X_train, y_train)

# evaluate performance
print('Train set')
pred = KNN.predict_proba(X_train)
print('KNN roc-auc: {}'.format(roc_auc_score(y_train, pred[:,1])))
print('Test set')
pred = KNN.predict_proba(X_test)
print('KNN roc-auc: {}'.format(roc_auc_score(y_test, pred[:,1])))
Train set
KNN roc-auc: 0.8131141849360215
Test set
KNN roc-auc: 0.6947901111664178
# model built on scaled

# call the model
KNN = KNeighborsClassifier(n_neighbors=5)

# train the model
KNN.fit(X_train_scaled, y_train)

# evaluate performance
print('Train set')
pred = KNN.predict_proba(X_train_scaled)
print('KNN roc-auc: {}'.format(roc_auc_score(y_train, pred[:,1])))
print('Test set')
pred = KNN.predict_proba(X_test_scaled)
print('KNN roc-auc: {}'.format(roc_auc_score(y_test, pred[:,1])))
Train set
KNN roc-auc: 0.826928785995703
Test set
KNN roc-auc: 0.7232453957192633

We observe for KNN as well that feature scaling improved the performance of the model. The model built on scaled features shows a better generalisation, with a higher roc-auc 0.72 for the testing set vs 0.69 for model built on unscaled features.

Both KNN methods are over-fitting to the train set. Thus, we would need to change the parameters of the model or use less features to try and decrease over-fitting, which exceeds the purpose of this demonstration.

Random Forests

Let’s evaluate the effect of feature scaling on Random Forests. We will first build the model using unscaled variables and then the scaled variables.

# model built on unscaled features

# call the model
rf = RandomForestClassifier(n_estimators=200, random_state=39)

# train the model
rf.fit(X_train, y_train)

# evaluate performance
print('Train set')
pred = rf.predict_proba(X_train)
print('Random Forests roc-auc: {}'.format(roc_auc_score(y_train, pred[:, 1])))
print('Test set')
pred = rf.predict_proba(X_test)
print('Random Forests roc-auc: {}'.format(roc_auc_score(y_test, pred[:, 1])))
Train set
Random Forests roc-auc: 0.9916108110453136
Test set
Random Forests roc-auc: 0.7614285714285715
# model built in scaled features

# call the model
rf = RandomForestClassifier(n_estimators=200, random_state=39)

# train the model
rf.fit(X_train_scaled, y_train)

# evaluate performance
print('Train set')
pred = rf.predict_proba(X_train_scaled)
print('Random Forests roc-auc: {}'.format(roc_auc_score(y_train, pred[:,1])))
print('Test set')
pred = rf.predict_proba(X_test_scaled)
print('Random Forests roc-auc: {}'.format(roc_auc_score(y_test, pred[:,1])))
Train set
Random Forests roc-auc: 0.9916541940521898
Test set
Random Forests roc-auc: 0.7610714285714285

As expected, Random Forests shows no change in performance regardless of whether it is trained on a dataset with scaled or unscaled features. This model in particular, is over-fitting to the training set. So we need to do some work to remove the over-fitting. That exceeds the scope of this demonstration.

AdaBoost

Let’s evaluate the effect of feature scaling on AdaBoost. We will first build the model using unscaled variables and then the scaled variables.

# train adaboost on non-scaled features

# call the model
ada = AdaBoostClassifier(n_estimators=200, random_state=44)

# train the model
ada.fit(X_train, y_train)

# evaluate model performance
print('Train set')
pred = ada.predict_proba(X_train)
print('AdaBoost roc-auc: {}'.format(roc_auc_score(y_train, pred[:,1])))
print('Test set')
pred = ada.predict_proba(X_test)
print('AdaBoost roc-auc: {}'.format(roc_auc_score(y_test, pred[:,1])))
Train set
AdaBoost roc-auc: 0.8477364916162339
Test set
AdaBoost roc-auc: 0.7733630952380953
# train adaboost on scaled features

# call the model
ada = AdaBoostClassifier(n_estimators=200, random_state=44)

# train the model
ada.fit(X_train_scaled, y_train)

# evaluate model performance
print('Train set')
pred = ada.predict_proba(X_train_scaled)
print('AdaBoost roc-auc: {}'.format(roc_auc_score(y_train, pred[:,1])))
print('Test set')
pred = ada.predict_proba(X_test_scaled)
print('AdaBoost roc-auc: {}'.format(roc_auc_score(y_test, pred[:,1])))
Train set
AdaBoost roc-auc: 0.8477364916162339
Test set
AdaBoost roc-auc: 0.7733630952380953

As expected, AdaBoost shows no change in performance regardless of whether it is trained on a dataset with scaled or unscaled features

Machine learning is like making a mixed fruit juice. If we want to get the best-mixed juice, we need to mix all fruit not by their size but based on their right proportion. We just need to remember apple and strawberry are not the same unless we make them similar in some context to compare their attribute. Similarly, in many machine learning algorithms, to bring all features in the same standing, we need to do scaling so that one significant number doesn’t impact the model just because of their large magnitude. Feature scaling in machine learning is one of the most critical steps during the pre-processing of data before creating a machine learning model. Scaling can make a difference between a weak machine learning model and a better one.


Aarya

Hi, I am Aarya Tadvalkar! Currently, I am pursuing Computer Engineering. I have a keen interest in Machine Learning and Data Science. I am always enthusiastic about learning new things and expanding my knowledge!

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