In this demo, we will build an optimized fraud prediction model using EvalML. To optimize the pipeline, we will set up an objective function to minimize the percentage of total transaction value lost to fraud. At the end of this demo, we also show you how introducing the right objective during the training is over 4x better than using a generic machine learning metric like AUC.
[1]:
import evalml from evalml import AutoMLSearch from evalml.objectives import FraudCost
To optimize the pipelines toward the specific business needs of this model, you can set your own assumptions for the cost of fraud. These parameters are
retry_percentage - what percentage of customers will retry a transaction if it is declined?
retry_percentage
interchange_fee - how much of each successful transaction do you collect?
interchange_fee
fraud_payout_percentage - the percentage of fraud will you be unable to collect
fraud_payout_percentage
amount_col - the column in the data the represents the transaction amount
amount_col
Using these parameters, EvalML determines attempt to build a pipeline that will minimize the financial loss due to fraud.
[2]:
fraud_objective = FraudCost(retry_percentage=.5, interchange_fee=.02, fraud_payout_percentage=.75, amount_col='amount')
In order to validate the results of the pipeline creation and optimization process, we will save some of our data as a holdout set
[3]:
X, y = evalml.demos.load_fraud(n_rows=2500)
Number of Features Boolean 1 Categorical 6 Numeric 5 Number of training examples: 2500 Labels False 85.92% True 14.08% Name: fraud, dtype: object
EvalML natively supports one-hot encoding. Here we keep 1 out of the 6 categorical columns to decrease computation time.
[4]:
X = X.drop(['datetime', 'expiration_date', 'country', 'region', 'provider'], axis=1) X_train, X_holdout, y_train, y_holdout = evalml.preprocessing.split_data(X, y, test_size=0.2, random_state=0) print(X.dtypes)
card_id int64 store_id int64 amount int64 currency object customer_present bool lat float64 lng float64 dtype: object
Because the fraud labels are binary, we will use AutoMLSearch(problem_type='binary'). When we call .search(), the search for the best pipeline will begin.
AutoMLSearch(problem_type='binary')
.search()
[5]:
automl = AutoMLSearch(problem_type='binary', objective=fraud_objective, additional_objectives=['auc', 'f1', 'precision'], max_pipelines=5, optimize_thresholds=True) automl.search(X_train, y_train)
Generating pipelines to search over... ***************************** * Beginning pipeline search * ***************************** Optimizing for Fraud Cost. Lower score is better. Searching up to 5 pipelines. Allowed model families: random_forest, linear_model, catboost, xgboost, extra_trees
(1/5) Mode Baseline Binary Classification P... Elapsed:00:00 Starting cross validation Finished cross validation - mean Fraud Cost: 0.023 (2/5) Extra Trees Classifier w/ Imputer + O... Elapsed:00:01 Starting cross validation Finished cross validation - mean Fraud Cost: 0.002 (3/5) Elastic Net Classifier w/ Imputer + O... Elapsed:00:04 Starting cross validation Finished cross validation - mean Fraud Cost: 0.002 (4/5) CatBoost Classifier w/ Imputer Elapsed:00:06 Starting cross validation Finished cross validation - mean Fraud Cost: 0.002 (5/5) XGBoost Classifier w/ Imputer + One H... Elapsed:00:08 Starting cross validation Finished cross validation - mean Fraud Cost: 0.007 Search finished after 00:26 Best pipeline: Extra Trees Classifier w/ Imputer + One Hot Encoder Best pipeline Fraud Cost: 0.002316
Once the fitting process is done, we can see all of the pipelines that were searched, ranked by their score on the fraud detection objective we defined
[6]:
automl.rankings
to select the best pipeline we can run
[7]:
best_pipeline = automl.best_pipeline
You can get more details about any pipeline. Including how it performed on other objective functions.
[8]:
automl.describe_pipeline(automl.rankings.iloc[1]["id"])
************************************************************************* * Elastic Net Classifier w/ Imputer + One Hot Encoder + Standard Scaler * ************************************************************************* Problem Type: Binary Classification Model Family: Linear Pipeline Steps ============== 1. Imputer * categorical_impute_strategy : most_frequent * numeric_impute_strategy : mean * categorical_fill_value : None * numeric_fill_value : None 2. One Hot Encoder * top_n : 10 * categories : None * drop : None * handle_unknown : ignore * handle_missing : error 3. Standard Scaler 4. Elastic Net Classifier * alpha : 0.5 * l1_ratio : 0.5 * n_jobs : -1 * max_iter : 1000 * penalty : elasticnet * loss : log Training ======== Training for Binary Classification problems. Objective to optimize binary classification pipeline thresholds for: <evalml.objectives.fraud_cost.FraudCost object at 0x7f48e79234e0> Total training time (including CV): 1.8 seconds Cross Validation ---------------- Fraud Cost AUC F1 Precision # Training # Testing 0 0.002 0.500 0.247 0.141 1066.000 667.000 1 0.002 0.500 0.247 0.141 1066.000 667.000 2 0.002 0.500 0.247 0.141 1067.000 666.000 mean 0.002 0.500 0.247 0.141 - - std 0.000 0.000 0.000 0.000 - - coef of var 0.055 0.000 0.001 0.001 - -
Finally, we retrain the best pipeline on all of the training data and evaluate on the holdout
[9]:
best_pipeline.fit(X_train, y_train)
<evalml.pipelines.utils.make_pipeline.<locals>.GeneratedPipeline at 0x7f48ebabb6d8>
Now, we can score the pipeline on the hold out data using both the fraud cost score and the AUC.
[10]:
best_pipeline.score(X_holdout, y_holdout, objectives=["auc", fraud_objective])
OrderedDict([('AUC', 0.8114617940199336), ('Fraud Cost', 0.016752475893993042)])
To demonstrate the importance of optimizing for the right objective, let’s search for another pipeline using AUC, a common machine learning metric. After that, we will score the holdout data using the fraud cost objective to see how the best pipelines compare.
[11]:
automl_auc = AutoMLSearch(problem_type='binary', objective='auc', additional_objectives=['f1', 'precision'], max_pipelines=5, optimize_thresholds=True) automl_auc.search(X_train, y_train)
Generating pipelines to search over... ***************************** * Beginning pipeline search * ***************************** Optimizing for AUC. Greater score is better. Searching up to 5 pipelines. Allowed model families: random_forest, linear_model, catboost, xgboost, extra_trees
(1/5) Mode Baseline Binary Classification P... Elapsed:00:00 Starting cross validation Finished cross validation - mean AUC: 0.500 (2/5) Extra Trees Classifier w/ Imputer + O... Elapsed:00:00 Starting cross validation Finished cross validation - mean AUC: 0.823 (3/5) Elastic Net Classifier w/ Imputer + O... Elapsed:00:02 Starting cross validation Finished cross validation - mean AUC: 0.500 (4/5) CatBoost Classifier w/ Imputer Elapsed:00:02 Starting cross validation Finished cross validation - mean AUC: 0.844 (5/5) XGBoost Classifier w/ Imputer + One H... Elapsed:00:03 Starting cross validation Finished cross validation - mean AUC: 0.849 Search finished after 00:24 Best pipeline: XGBoost Classifier w/ Imputer + One Hot Encoder Best pipeline AUC: 0.849405
like before, we can look at the rankings and pick the best pipeline
[12]:
automl_auc.rankings
[13]:
best_pipeline_auc = automl_auc.best_pipeline # train on the full training data best_pipeline_auc.fit(X_train, y_train)
<evalml.pipelines.utils.make_pipeline.<locals>.GeneratedPipeline at 0x7f48bd819d68>
[14]:
# get the fraud score on holdout data best_pipeline_auc.score(X_holdout, y_holdout, objectives=["auc", fraud_objective])
OrderedDict([('AUC', 0.8446179401993354), ('Fraud Cost', 0.004329350526560073)])
[15]:
# fraud score on fraud optimized again best_pipeline.score(X_holdout, y_holdout, objectives=["auc", fraud_objective])
When we optimize for AUC, we can see that the AUC score from this pipeline is better than the AUC score from the pipeline optimized for fraud cost. However, the losses due to fraud are over 3% of the total transaction amount when optimized for AUC and under 1% when optimized for fraud cost. As a result, we lose more than 2% of the total transaction amount by not optimizing for fraud cost specifically.
This happens because optimizing for AUC does not take into account the user-specified retry_percentage, interchange_fee, fraud_payout_percentage values. Thus, the best pipelines may produce the highest AUC but may not actually reduce the amount loss due to your specific type fraud.
This example highlights how performance in the real world can diverge greatly from machine learning metrics.