Variance Thresholding For Feature Selection

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Goal

This post aims to introduce how to conduct feature selection by variance thresholding

Reference

Libraries

In [26]:
from sklearn.feature_selection import VarianceThreshold
from sklearn.datasets import load_boston
import pandas as pd
import numpy as np
import matplotlib.pyplot as plt
%matplotlib inline

Load Boston housing data

In [4]:
boston = load_boston()
df_boston = pd.DataFrame(boston.data, columns=boston.feature_names)
df_boston.head()
Out[4]:
CRIM ZN INDUS CHAS NOX RM AGE DIS RAD TAX PTRATIO B LSTAT
0 0.00632 18.0 2.31 0.0 0.538 6.575 65.2 4.0900 1.0 296.0 15.3 396.90 4.98
1 0.02731 0.0 7.07 0.0 0.469 6.421 78.9 4.9671 2.0 242.0 17.8 396.90 9.14
2 0.02729 0.0 7.07 0.0 0.469 7.185 61.1 4.9671 2.0 242.0 17.8 392.83 4.03
3 0.03237 0.0 2.18 0.0 0.458 6.998 45.8 6.0622 3.0 222.0 18.7 394.63 2.94
4 0.06905 0.0 2.18 0.0 0.458 7.147 54.2 6.0622 3.0 222.0 18.7 396.90 5.33

Add low variance columns

In [14]:
np.var(np.random.random(size=df_boston.shape[0]))
Out[14]:
0.08309365785384086
In [16]:
df_boston['low_variance'] = 1
df_boston['low_variance2'] = (np.random.random(size=df_boston.shape[0]) > 0.5) * 1
df_boston.head()
Out[16]:
CRIM ZN INDUS CHAS NOX RM AGE DIS RAD TAX PTRATIO B LSTAT low_variance low_variance2
0 0.00632 18.0 2.31 0.0 0.538 6.575 65.2 4.0900 1.0 296.0 15.3 396.90 4.98 1 0
1 0.02731 0.0 7.07 0.0 0.469 6.421 78.9 4.9671 2.0 242.0 17.8 396.90 9.14 1 1
2 0.02729 0.0 7.07 0.0 0.469 7.185 61.1 4.9671 2.0 242.0 17.8 392.83 4.03 1 0
3 0.03237 0.0 2.18 0.0 0.458 6.998 45.8 6.0622 3.0 222.0 18.7 394.63 2.94 1 1
4 0.06905 0.0 2.18 0.0 0.458 7.147 54.2 6.0622 3.0 222.0 18.7 396.90 5.33 1 1

Variance Thresholding

In [50]:
variance_threshold = 0.1
selection = VarianceThreshold(threshold=variance_threshold)
selection.fit(df_boston)
Out[50]:
VarianceThreshold(threshold=0.1)
In [51]:
ax = pd.Series(selection.variances_, index=df_boston.columns).plot(kind='bar', logy=True);
ax.axhline(variance_threshold, ls='dotted', c='r');
In [52]:
df_boston_selected = pd.DataFrame(selection.transform(df_boston), columns=df_boston.columns[selection.get_support()])
df_boston_selected.head()
Out[52]:
CRIM ZN INDUS RM AGE DIS RAD TAX PTRATIO B LSTAT low_variance2
0 0.00632 18.0 2.31 6.575 65.2 4.0900 1.0 296.0 15.3 396.90 4.98 0.0
1 0.02731 0.0 7.07 6.421 78.9 4.9671 2.0 242.0 17.8 396.90 9.14 1.0
2 0.02729 0.0 7.07 7.185 61.1 4.9671 2.0 242.0 17.8 392.83 4.03 0.0
3 0.03237 0.0 2.18 6.998 45.8 6.0622 3.0 222.0 18.7 394.63 2.94 1.0
4 0.06905 0.0 2.18 7.147 54.2 6.0622 3.0 222.0 18.7 396.90 5.33 1.0

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