逻辑回归与评分卡

评分卡

• 建立逻辑回归模型
• 对模型进行评分映射

逻辑回归表达式

[ y = frac{1}{1 + e^{- heta}} ]

[ heta = WX + B ]

sigmoid函数

[sigmoid(x) = frac{1}{1 + e^{-x}} ]

sigmoid函数的导数

[delta sigmoid(x) = delta{frac{1}{1 + e^{-x}}} = delta{frac{e^{-x}}{(1 + e^{-x})^2}} = delta{frac{1}{1 + e^{-x}} * frac{e^{-x}}{1 + e^{-x}}} = sigmoid(x) * frac{1 + e^{-x} - 1}{1 + e^{-x}} = sigmoid(x) * (1 - sigmoid(x)) ]

损失函数(Cross-entropy, 交叉熵损失函数)

信息熵: (-PlogP)(P是概率, 小于1, 取反之后就是正数了), 这个值代表的是信息量, 如果值越大代表对当前情况越不确定, 信息不足.

[ loss = -sum{{y_t}log{y_p} + (1 - y_t)log{(1 - y_p)}} ]

(y_t): 真实的Y值, 需要进行独热编码

(y_p): 预测的Y值

交叉熵求导

[ frac{delta loss}{delta Y_p} = -frac{delta Y_tlogY_p}{delta Y_p} = sum_n^N{-frac{Y_i}{P_i} + frac{1 - Y_i}{1 - P_i}} ]

准确率计算

混淆矩阵

TPre	Positive	Negative
Positive	TP	FN
Negative	FP	TN

评估指标

召回率计算

[recall = frac{TP}{TP + FP} ]

精准率计算

[precision = frac{TP}{TP + FN} ]

import pandas as pd
from sklearn.metrics import roc_auc_score,roc_curve,auc
from sklearn.model_selection import train_test_split
from sklearn import metrics
from sklearn.linear_model import LogisticRegression
import numpy as np
import random
import math

data = pd.read_csv('Acard.txt')
data.head()

	obs_mth	bad_ind	uid	td_score	jxl_score	mj_score	rh_score	zzc_score	zcx_score	person_info	finance_info	credit_info	act_info
0	2018-10-31	0.0	A10000005	0.675349	0.144072	0.186899	0.483640	0.928328	0.369644	-0.322581	0.023810	0.00	0.217949
1	2018-07-31	0.0	A1000002	0.825269	0.398688	0.139396	0.843725	0.605194	0.406122	-0.128677	0.023810	0.00	0.423077
2	2018-09-30	0.0	A1000011	0.315406	0.629745	0.535854	0.197392	0.614416	0.320731	0.062660	0.023810	0.10	0.448718
3	2018-07-31	0.0	A10000481	0.002386	0.609360	0.366081	0.342243	0.870006	0.288692	0.078853	0.071429	0.05	0.179487
4	2018-07-31	0.0	A1000069	0.406310	0.405352	0.783015	0.563953	0.715454	0.512554	-0.261014	0.023810	0.00	0.423077

# 看一下月份分布，用最后一个月做为跨时间验证集合
data.obs_mth.unique()

array(['2018-10-31', '2018-07-31', '2018-09-30', '2018-06-30',
       '2018-11-30'], dtype=object)

# 划分训练集和验证集
train = data[data.obs_mth != '2018-11-30'].reset_index().copy()
val = data[data.obs_mth == '2018-11-30'].reset_index().copy()

# 这是我们全部的变量，info结尾的是自己做的无监督系统输出的个人表现，score结尾的是收费的外部征信数据
feature_lst = ['person_info','finance_info','credit_info','act_info','td_score','jxl_score','mj_score','rh_score']

x = train[feature_lst]
y = train['bad_ind']

val_x =  val[feature_lst]
val_y = val['bad_ind']

lr_model = LogisticRegression(C=0.1)
lr_model.fit(x,y)

E:Anaconda3envssklearnlibsite-packagessklearnlinear_modellogistic.py:432: FutureWarning: Default solver will be changed to 'lbfgs' in 0.22. Specify a solver to silence this warning.
  FutureWarning)





LogisticRegression(C=0.1, class_weight=None, dual=False, fit_intercept=True,
          intercept_scaling=1, max_iter=100, multi_class='warn',
          n_jobs=None, penalty='l2', random_state=None, solver='warn',
          tol=0.0001, verbose=0, warm_start=False)

模型评价

• KS值
• ROC曲线

ROC

描绘的是不同的截断点时，并以FPR和TPR为横纵坐标轴，描述随着截断点的变小，TPR随着FPR的变化。
纵轴：TPR=正例分对的概率 = TP/(TP+FN)，其实就是查全率
横轴：FPR=负例分错的概率 = FP/(FP+TN)

作图步骤：

根据学习器的预测结果（注意，是正例的概率值，非0/1变量）对样本进行排序（从大到小）-----这就是截断点依次选取的顺序
按顺序选取截断点，并计算TPR和FPR---也可以只选取n个截断点，分别在1/n，2/n，3/n等位置
连接所有的点（TPR，FPR）即为ROC图

KS值

作图步骤：

根据学习器的预测结果（注意，是正例的概率值，非0/1变量）对样本进行排序（从大到小）-----这就是截断点依次选取的顺序
按顺序选取截断点，并计算TPR和FPR ---也可以只选取n个截断点，分别在1/n，2/n，3/n等位置
横轴为样本的占比百分比（最大100%），纵轴分别为TPR和FPR，可以得到KS曲线
TPR和FPR曲线分隔最开的位置就是最好的”截断点“，最大间隔距离就是KS值，通常>0.2即可认为模型有比较好偶的预测准确性

# 训练集KS
y_pred = lr_model.predict_proba(x)[:,1]
fpr_lr_train,tpr_lr_train,_ = roc_curve(y,y_pred)
train_ks = abs(fpr_lr_train - tpr_lr_train).max()
print('train_ks : ',train_ks)

# 验证集KS
y_pred = lr_model.predict_proba(val_x)[:,1]
fpr_lr,tpr_lr,_ = roc_curve(val_y,y_pred)
val_ks = abs(fpr_lr - tpr_lr).max()
print('val_ks : ',val_ks)

# 训练集AUC
train_auc = auc(fpr_lr_train, tpr_lr_train)
print('train_auc:', train_auc)

# 验证集AUC
val_auc = auc(fpr_lr, tpr_lr)
print('val_auc:', val_auc)


# ROC曲线
from matplotlib import pyplot as plt
plt.plot(fpr_lr_train,tpr_lr_train,label = 'train LR')
plt.plot(fpr_lr,tpr_lr,label = 'evl LR')
plt.plot([0,1],[0,1],'k--')  # 虚线
plt.xlabel('False positive rate')
plt.ylabel('True positive rate')
plt.title('ROC Curve')
plt.legend(loc = 'best')
plt.show()

train_ks :  0.4144413866157737
val_ks :  0.3709405449809594
train_auc: 0.777913749438214
val_auc: 0.749188849417094

# 使用方差膨胀系数做特征筛选
from statsmodels.stats.outliers_influence import variance_inflation_factor
X = np.array(x)
for i in range(X.shape[1]):
    print(variance_inflation_factor(X,i))

1.3021397545577766
1.9579535743187253
1.289944208916368
2.9681708673324034
3.2871099722760153
3.286493284008913
3.3175087980337827
3.2910065791107597

方差膨胀系数VIF越大，说明自变量之间存在共线性的可能性越大。一般来讲，如果方差膨胀因子超过10，则回归模型存在严重的多重共线性。又根据Hair(1995)的共线性诊断标准，当自变量的容忍度大于0.1，方差膨胀系数小于10的范围是可以接受的，表明白变量之间没有共线性问题存在。

import lightgbm as lgb
from sklearn.model_selection import train_test_split
train_x,test_x,train_y,test_y = train_test_split(x,y,random_state=0,test_size=0.2)
def lgb_test(train_x,train_y,test_x,test_y):
    clf =lgb.LGBMClassifier(boosting_type = 'gbdt',
                           objective = 'binary',
                           metric = 'auc',
                           learning_rate = 0.1,
                           n_estimators = 24,
                           max_depth = 5,
                           num_leaves = 20,
                           max_bin = 45,
                           min_data_in_leaf = 6,
                           bagging_fraction = 0.6,
                           bagging_freq = 0,
                           feature_fraction = 0.8,
                           )
    clf.fit(train_x,train_y,eval_set = [(train_x,train_y),(test_x,test_y)],eval_metric = 'auc')
    return clf,clf.best_score_['valid_1']['auc'],
lgb_model , lgb_auc  = lgb_test(train_x,train_y,test_x,test_y)
feature_importance = pd.DataFrame({'name':lgb_model.booster_.feature_name(),
                                   'importance':lgb_model.feature_importances_}).sort_values(by=['importance'],ascending=False)
feature_importance

[1]	training's auc: 0.759467	valid_1's auc: 0.753322
[2]	training's auc: 0.809023	valid_1's auc: 0.805658
[3]	training's auc: 0.809328	valid_1's auc: 0.803858
[4]	training's auc: 0.810298	valid_1's auc: 0.801355
[5]	training's auc: 0.814873	valid_1's auc: 0.807356
[6]	training's auc: 0.816492	valid_1's auc: 0.809279
[7]	training's auc: 0.820213	valid_1's auc: 0.809208
[8]	training's auc: 0.823931	valid_1's auc: 0.812081
[9]	training's auc: 0.82696	valid_1's auc: 0.81453
[10]	training's auc: 0.827882	valid_1's auc: 0.813428
[11]	training's auc: 0.828881	valid_1's auc: 0.814226
[12]	training's auc: 0.829577	valid_1's auc: 0.813749
[13]	training's auc: 0.830406	valid_1's auc: 0.813156
[14]	training's auc: 0.830843	valid_1's auc: 0.812973
[15]	training's auc: 0.831587	valid_1's auc: 0.813501
[16]	training's auc: 0.831898	valid_1's auc: 0.813611
[17]	training's auc: 0.833751	valid_1's auc: 0.81393
[18]	training's auc: 0.834139	valid_1's auc: 0.814532
[19]	training's auc: 0.835177	valid_1's auc: 0.815209
[20]	training's auc: 0.837368	valid_1's auc: 0.815205
[21]	training's auc: 0.837946	valid_1's auc: 0.815099
[22]	training's auc: 0.839585	valid_1's auc: 0.815602
[23]	training's auc: 0.840781	valid_1's auc: 0.816105
[24]	training's auc: 0.841174	valid_1's auc: 0.816869

	name	importance
2	credit_info	98
3	act_info	62
4	td_score	54
5	jxl_score	50
7	rh_score	50
0	person_info	49
1	finance_info	47
6	mj_score	46

feature_lst = ['person_info','finance_info','credit_info','act_info']
# 训练集
x = train[feature_lst]
y = train['bad_ind']
# 验证集
val_x =  val[feature_lst]
val_y = val['bad_ind']

lr_model = LogisticRegression(C=0.1, class_weight='balanced')
lr_model.fit(x,y)
y_pred = lr_model.predict_proba(x)[:,1]
fpr_lr_train,tpr_lr_train,_ = roc_curve(y,y_pred)
train_ks = abs(fpr_lr_train - tpr_lr_train).max()
print('train_ks : ',train_ks)

y_pred = lr_model.predict_proba(val_x)[:,1]
fpr_lr,tpr_lr,_ = roc_curve(val_y,y_pred)
val_ks = abs(fpr_lr - tpr_lr).max()
print('val_ks : ',val_ks)
from matplotlib import pyplot as plt
plt.plot(fpr_lr_train,tpr_lr_train,label = 'train LR')
plt.plot(fpr_lr,tpr_lr,label = 'evl LR')
plt.plot([0,1],[0,1],'k--')
plt.xlabel('False positive rate')
plt.ylabel('True positive rate')
plt.title('ROC Curve')
plt.legend(loc = 'best')
plt.show()

E:Anaconda3envssklearnlibsite-packagessklearnlinear_modellogistic.py:432: FutureWarning: Default solver will be changed to 'lbfgs' in 0.22. Specify a solver to silence this warning.
  FutureWarning)


train_ks :  0.4482453222991063
val_ks :  0.4198642457760936

# 系数
print('变量名单：',feature_lst)
print('系数：',lr_model.coef_)
print('截距：',lr_model.intercept_)

变量名单： ['person_info', 'finance_info', 'credit_info', 'act_info', 'td_score', 'jxl_score', 'mj_score', 'rh_score']
系数： [[ 2.49234624  4.35064917  1.83110927 -1.63300006 -0.18766591 -0.11007296
  -0.20273074 -0.08850626]]
截距： [-3.53854743]

# 生成报告

# 模型
model = lr_model
row_num, col_num = 0, 0
# 分箱的数量
bins = 20
# 预测的概率
Y_predict = [s[1] for s in model.predict_proba(val_x)]
# 标签
Y = val_y
# 样本个数
nrows = Y.shape[0]
# 列表
lis = [(Y_predict[i], Y[i]) for i in range(nrows)]
# 按概率大小排序
ks_lis = sorted(lis, key=lambda x: x[0], reverse=True)
# 每一箱中的样本数量
bin_num = int(nrows/bins+1)
# 负样本数量
bad = sum([1 for (p, y) in ks_lis if y > 0.5])
# 正样本数量
good = sum([1 for (p, y) in ks_lis if y <= 0.5])

bad_cnt, good_cnt = 0, 0
KS = []
BAD = []
GOOD = []
BAD_CNT = []
GOOD_CNT = []
BAD_PCTG = []
BADRATE = []
dct_report = {}
for j in range(bins):
    # 每一箱中的list
    ds = ks_lis[j*bin_num: min((j+1)*bin_num, nrows)]
    # 每一箱中的负样本数量
    bad1 = sum([1 for (p, y) in ds if y > 0.5])
    # 每一箱中的正样本数量
    good1 = sum([1 for (p, y) in ds if y <= 0.5])
    bad_cnt += bad1
    good_cnt += good1
    # 负样本率
    bad_pctg = round(bad_cnt/sum(val_y),3)
    # bad_rate
    badrate = round(bad1/(bad1+good1),3)
    ks = round(math.fabs((bad_cnt / bad) - (good_cnt / good)),3)
    KS.append(ks)
    BAD.append(bad1)
    GOOD.append(good1)
    BAD_CNT.append(bad_cnt)
    GOOD_CNT.append(good_cnt)
    BAD_PCTG.append(bad_pctg)
    BADRATE.append(badrate)
    dct_report['KS'] = KS
    dct_report['BAD'] = BAD
    dct_report['GOOD'] = GOOD
    dct_report['BAD_CNT'] = BAD_CNT
    dct_report['GOOD_CNT'] = GOOD_CNT
    dct_report['BAD_PCTG'] = BAD_PCTG
    dct_report['BADRATE'] = BADRATE
val_repot = pd.DataFrame(dct_report)
val_repot

	KS	BAD	GOOD	BAD_CNT	GOOD_CNT	BAD_PCTG	BADRATE
0	0.164	69	730	69	730	0.210	0.086
1	0.271	51	748	120	1478	0.366	0.064
2	0.292	23	776	143	2254	0.436	0.029
3	0.356	37	762	180	3016	0.549	0.046
4	0.364	19	780	199	3796	0.607	0.024
5	0.363	16	783	215	4579	0.655	0.020
6	0.355	14	785	229	5364	0.698	0.018
7	0.363	19	780	248	6144	0.756	0.024
8	0.353	13	786	261	6930	0.796	0.016
9	0.336	11	788	272	7718	0.829	0.014
10	0.313	9	790	281	8508	0.857	0.011
11	0.277	5	794	286	9302	0.872	0.006
12	0.251	8	791	294	10093	0.896	0.010
13	0.234	11	788	305	10881	0.930	0.014
14	0.202	6	793	311	11674	0.948	0.008
15	0.173	7	792	318	12466	0.970	0.009
16	0.134	4	795	322	13261	0.982	0.005
17	0.092	3	796	325	14057	0.991	0.004
18	0.045	1	798	326	14855	0.994	0.001
19	0.000	2	792	328	15647	1.000	0.003

from pyecharts.charts import *
from pyecharts import options as opts
from pylab import *
mpl.rcParams['font.sans-serif'] = ['SimHei']
np.set_printoptions(suppress=True)
pd.set_option('display.unicode.ambiguous_as_wide', True)
pd.set_option('display.unicode.east_asian_width', True)
line = (

    Line()
    .add_xaxis(list(val_repot.index))
    .add_yaxis(
        "分组坏人占比",
        list(val_repot.BADRATE),
        yaxis_index=0,
        color="red",
    )
    .set_global_opts(
        title_opts=opts.TitleOpts(title="行为评分卡模型表现"),
    )
    .extend_axis(
        yaxis=opts.AxisOpts(
            name="累计坏人占比",
            type_="value",
            min_=0,
            max_=0.5,
            position="right",
            axisline_opts=opts.AxisLineOpts(
                linestyle_opts=opts.LineStyleOpts(color="red")
            ),
            axislabel_opts=opts.LabelOpts(formatter="{value}"),
        )

    )
    .add_xaxis(list(val_repot.index))
    .add_yaxis(
        "KS",
        list(val_repot['KS']),
        yaxis_index=1,
        color="blue",
        label_opts=opts.LabelOpts(is_show=False),
    )
)
line.render_notebook()

# ['person_info','finance_info','credit_info','act_info']
# 算分数onekey 
def score(person_info, finance_info, credit_info, act_info):
    xbeta = person_info * ( 3.49460978) + finance_info * ( 11.40051582 ) + credit_info * (2.45541981) + act_info * ( -1.68676079) --0.34484897 
    score = 650-34* (xbeta)/math.log(2)
    return score
val['score'] = val.apply(lambda x : score(x.person_info,x.finance_info,x.credit_info,x.act_info) ,axis=1)

fpr_lr,tpr_lr,_ = roc_curve(val_y,val['score'])
val_ks = abs(fpr_lr - tpr_lr).max()
print('val_ks : ',val_ks)
print(val['score'].head())

# 对应评级区间
def level(score):
    level = 0
    if score <= 600:
        level = "D"
    elif score <= 640 and score > 600 : 
        level = "C"
    elif score <= 680 and score > 640:
        level = "B"
    elif  score > 680 :
        level = "A"
    return level
val['level'] = val.score.map(lambda x : level(x) )

val.level.groupby(val.level).count()/len(val)

val_ks :  0.4198642457760936
0    514.314551
1    636.487029
2    643.092121
3    668.413494
4    636.487029
Name: score, dtype: float64





level
A    0.144351
B    0.240188
C    0.391299
D    0.224163
Name: level, dtype: float64

import seaborn as sns
sns.distplot(val.score,kde=True)

val = val.sort_values('score',ascending=True).reset_index(drop=True)
df2=val.bad_ind.groupby(val['level']).sum()
df3=val.bad_ind.groupby(val['level']).count()
print(df2/df3)    

E:Anaconda3envssklearnlibsite-packagesscipystatsstats.py:1713: FutureWarning: Using a non-tuple sequence for multidimensional indexing is deprecated; use `arr[tuple(seq)]` instead of `arr[seq]`. In the future this will be interpreted as an array index, `arr[np.array(seq)]`, which will result either in an error or a different result.
  return np.add.reduce(sorted[indexer] * weights, axis=axis) / sumval


level
A    0.002168
B    0.008079
C    0.014878
D    0.055571
Name: bad_ind, dtype: float64