I want to use LighgbmClassifier for a binary Classification. for Hyper Parameter tuning I want to use Hyperopt. The Dataset is imbalanced. Using Sklearns class_weight.compute_class_weight as shown below

        clas_wts_arr = class_weight.compute_class_weight('balanced',np.unique(y_trn),y_trn)   
        self.scale_pos_wt = clas_wts_arr[0] / clas_wts_arr[1]    

The following is the space parameter that I am passing to the objective function

        space = {'objective' : hp.choice('objective', objective_list),
                 'boosting' : hp.choice('boosting', boosting_list),
                 'metric' : hp.choice('metric', metric_list),
                 "max_depth": hp.quniform("max_depth", 1, 15,2),
                 'min_data_in_leaf': hp.quniform('min_data_in_leaf', 1, 256, 1),                     
                 'num_leaves': hp.quniform('num_leaves', 7, 150, 1),
                 'feature_fraction' : hp.quniform('feature_fraction', 0.5, 1, 0.01),
                 'min_gain_to_split' : hp.quniform('min_gain_to_split', 0.1, 5, 0.01),
                 'lambda_l1' : hp.uniform('lambda_l1', 0, 5),
                 'lambda_l2' : hp.uniform('lambda_l2', 0, 5),
                 'feature_pre_filter': False}

My question will the following set scale_pos_weight properly in the space dictionary

        #set scale pos weight explicitly
        space['scale_pos_weight'] = self.scale_pos_wt

If that is wrong then what would be the correct way to set scale_pos_weight at runtime in the space dictionary that is passed to the Objective fn that is in turn passed to the fmin of Hyperopt.

Thanks for your help and answers.


1 Answer 1


Use Sklearns class_weight.compute_class_weight, which will return an array of weights. My problem here is binary hence i had two elements in the array. We need to increase the weightage of the minority class. The target variable 1 was my minority class, thus I set the maximum scale_pos_weight so to the value from the second element in the array.

 clas_wts_arr = class_weight.compute_class_weight('balanced',np.unique(y_trn),y_trn)   
 self.scale_pos_wt = clas_wts_arr[1]

As part of the space dictionary passed to the objective fn defined within fmin we include scale_pos_weight like the following

'scale_pos_weight' :hp.choice('scale_pos_weight',scl_ps_wt)

if the fmin object has been defined as follows

            best = fmin(fn=objective,

Best will have the index of the best value in the array . Using this index we get the actual value of scale_pos_weight . We use this value to set the scale_pos_weight in best .

 best['scale_pos_weight'] = scl_ps_wt[best['scale_pos_weight']]

Now, use can set best as parameter to you classifier.


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