I'm trying to do RFECV
on the transformed data using SciKit.
For that, I create a pipeline and pass the pipeline to the RFECV
. It works fine unless I have ColumnTransformer
as a pipeline step. It gives me the following error:
ValueError: Specifying the columns using strings is only supported for pandas DataFrames
I have checked the answer for this Question, but I'm not sure if they are applicable here. The code is as follows:
import pandas as pd
from sklearn.compose import ColumnTransformer
from sklearn.preprocessing import Normalizer
from sklearn.pipeline import Pipeline
from sklearn.feature_selection import RFECV
from sklearn.linear_model import LinearRegression
class CustomPipeline(Pipeline):
@property
def coef_(self):
return self._final_estimator.coef_
@property
def feature_importances_(self):
return self._final_estimator.feature_importances_
X = pd.DataFrame({
'col1': [i for i in range(100)] ,
'col2': [i*2 for i in range(100)],
})
y = pd.DataFrame({'out': [i*3 for i in range(100)]})
ct = ColumnTransformer([("norm", Normalizer(norm='l1'), ['col1'])])
pipe = CustomPipeline([
('col_transform', ct),
('lr', LinearRegression())
])
rfecv = RFECV(
estimator=pipe,
step=1,
cv=3,
)
#pipe.fit(X,y) # pipe can fit, no problems
rfecv.fit(X,y)
Obviously, I can do this transformation step outside the pipeline and then use the transformed X, but I was wondering if there is any workaround.
I'd also like to raise this as an RFECV
's design issue (it converts X to numpy array first thing, while other approaches with built-in cross-validation e.g. GridSearchCV
do not do that)