• 特征工程

　　　　特征工程可以有效地改善模型效果，减少训练时间。

　　　　简单的方法包括：

　　　　　　1. 进行特征转换

　　　　　　2. 增加语义特征

A Guiding Principle of Feature Engineering

For a feature to be useful, it must have a relationship to the target that your model is able to learn. Linear models, for instance, are only able to learn linear relationships. So, when using a linear model, your goal is to transform the features to make their relationship to the target linear.

The key idea here is that a transformation you apply to a feature becomes in essence a part of the model itself. Say you were trying to predict the Price of square plots of land from the Length of one side. Fitting a linear model directly to Length gives poor results: the relationship is not linear.

A linear model fits poorly with only Length as feature.

If we square the Length feature to get ‘Area‘, however, we create a linear relationship. Adding Area to the feature set means this linear model can now fit a parabola. Squaring a feature, in other words, gave the linear model the ability to fit squared features.

• 互信息

　　面对大量特征，可以使用特征效益函数对特征进行排序，选择有效的特征子集。互信息是最常用的方法，相较于相关度，互信息可以衡量各种关系，而相关度只能衡量线性关　　　　　　系。互信息以不确定性（熵）的角度进行特征相关度的衡量。

　　互信息的好处：

• easy to use and interpret,
• computationally efficient,
• theoretically well-founded,
• resistant to overfitting, and,
• able to detect any kind of relationship

互信息的下限是0，上限是正无穷，但一般不大于2.

互信息是一种单变量尺度。

注意：类别特征编码

# Label encoding for categoricals
for colname in X.select_dtypes("object"):
    X[colname], _ = X[colname].factorize()

针对实数类型的标签使用mutual_info_regression，针对整数类型的标签使用mutual_info_classif

kaggle教程之特征工程

原文：https://www.cnblogs.com/big-zoo/p/14477887.html