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| """Classical (gradient-boosted) methods for the MacroLens unified API. | |
| One concrete class — :class:`LightGBMRegressor` — that covers all 7 tasks | |
| via task-specific private methods. Sklearn-style ``Method`` contract:: | |
| LightGBMRegressor(*, task=..., config=...) ↦ | |
| .fit(X, y, *, seed=42) ↦ self | |
| .predict(X) ↦ ndarray | DataFrame | |
| .save(path) / .load(path) | |
| Per-task feature engineering mirrors the legacy ``baselines/classical.py`` | |
| recipe verbatim (numerics preserved); only the IO / canonical-indices / | |
| eval / subsampling layer is stripped. See plan §9 for the predict-output | |
| shape per task. | |
| Per-task summary (definitive — runner asserts ``predict`` shape): | |
| T1 — Time-series forecasting: | |
| X : ``np.ndarray`` ``(N, lookback, F)`` float32. | |
| y : ``np.ndarray`` ``(N, horizon)`` float32 close trajectory. | |
| Pipeline: per-horizon-step LightGBM. One booster per horizon | |
| index ``h ∈ [0, horizon)`` predicting ``y[:, h]`` from the | |
| flattened ``(lookback × F)`` panel + rolling-close stats. | |
| NO scalar+tile broadcasting hack. | |
| Output: ``(N, horizon)`` float32. | |
| T2 / T5 — Valuation: | |
| X : ``pd.DataFrame`` of ``stmt_*`` (+ ``derived_*`` for T2) | |
| numeric features plus sector / industry one-hot. | |
| y : ``np.ndarray`` ``(N,)`` market_cap. | |
| Pipeline: log-target via sklearn ``Pipeline([scale, lgbm])`` | |
| wrapped in ``TransformedTargetRegressor`` (log1p / expm1). | |
| Output: ``(N,)`` float32 — predicted equity value. | |
| T3 / T6 — Per-field generation: | |
| X : ``pd.DataFrame`` keyed by ``(ticker, fiscal_year)`` with | |
| numeric snapshot fields + sector + industry; T6 also has a | |
| ``company_description`` text column which is DROPPED in the | |
| default branch (``t6_text_handling="sector_industry_only"``). | |
| y : long-form ``pd.DataFrame[ticker, fiscal_year, field, value]``. | |
| Pipeline: ensemble of one booster per ``field``. ``fitted_fields`` | |
| is locked at fit time to ``sorted(y["field"].unique())``. At | |
| predict, every (ticker, fiscal_year) row in ``X`` emits one row | |
| per fitted field. | |
| Output: long-form ``[ticker, fiscal_year, field, pred]``. | |
| T4 — Scenario return: | |
| X : ``pd.DataFrame`` with object-dtype ``lookback`` cells (each | |
| a ``(L, F)`` ndarray) plus ``event_type`` and | |
| ``event_description`` string columns. ``event_description`` is | |
| DROPPED in v1. | |
| y : ``np.ndarray`` ``(N,)`` return_pct. | |
| Pipeline: flatten lookback (full L*F) + event_type one-hot. | |
| Output: ``(N,)`` float32 — predicted return %. | |
| T7 — Real-estate valuation: | |
| X : ``pd.DataFrame`` with property attributes (``sqft``, ``beds``, | |
| ``baths``, ``year_built``, optionally ``years_since_last_sale``) | |
| and a property-type column. | |
| y : ``pd.DataFrame[address, rent, price]``. | |
| Pipeline: two boosters (one for rent, one for price) with | |
| log-target via ``TransformedTargetRegressor``. | |
| Output: ``pd.DataFrame[address, pred_rent, pred_price]``. | |
| Hard rules (enforced by ``tests/test_layer_isolation.py``): | |
| * Zero IO (no ``pd.read_parquet``, no file reads, no ``config`` imports). | |
| * Zero ``meta`` consumption — methods take only ``X`` (and at fit time, | |
| ``y``). | |
| * Zero canonical-indices imports / subsampling. | |
| * Zero eval imports. | |
| """ | |
| from __future__ import annotations | |
| import importlib.metadata | |
| from typing import Any, ClassVar | |
| import numpy as np | |
| import pandas as pd | |
| from ._config import LightGBMConfig, RandomForestConfig | |
| from ._registry import register | |
| from .base import Method, _JoblibSaveMixin | |
| # ── Internal lib_versions helper ────────────────────────────────────────── | |
| def _classical_lib_versions() -> dict[str, str]: | |
| """Versions of the libs the classical family actually uses. | |
| Restricts the broader default in :class:`Method` (which probes torch / | |
| transformers / vllm too) — those are not imported here. | |
| """ | |
| out: dict[str, str] = {} | |
| for pkg in ("numpy", "pandas", "scikit-learn", "lightgbm"): | |
| try: | |
| out[pkg] = importlib.metadata.version(pkg) | |
| except importlib.metadata.PackageNotFoundError: | |
| pass | |
| return out | |
| # ── Internal helpers (private to LightGBMRegressor) ─────────────────────── | |
| def _flatten_panel( | |
| X: np.ndarray, | |
| *, | |
| add_rolling_close: bool = True, | |
| close_idx: int | None = None, | |
| ) -> np.ndarray: | |
| """Flatten an ``(N, L, F)`` panel and append rolling-close stats. | |
| Rolling stats over the lookback window: mean, std, min, max, last. | |
| Mirrors the recipe used by the legacy classical T1 baseline. | |
| """ | |
| if X.ndim != 3: | |
| raise ValueError(f"_flatten_panel: expected (N, L, F); got {X.shape}") | |
| n, lb, f = X.shape | |
| flat = X.reshape(n, lb * f).astype(np.float32) | |
| if not add_rolling_close or close_idx is None or close_idx < 0 or close_idx >= f: | |
| return flat | |
| close = X[:, :, close_idx].astype(np.float32) | |
| stats = np.stack( | |
| [ | |
| close.mean(axis=1), | |
| close.std(axis=1), | |
| close.min(axis=1), | |
| close.max(axis=1), | |
| close[:, -1], | |
| ], | |
| axis=1, | |
| ) | |
| return np.concatenate([flat, stats], axis=1) | |
| def _align_columns( | |
| X: pd.DataFrame, | |
| train_columns: list[str], | |
| *, | |
| fillna: bool = True, | |
| ) -> pd.DataFrame: | |
| """Align ``X`` to ``train_columns``: add missing as zero, drop extras. | |
| ``fillna=True`` (legacy / default): zero-fill any remaining NaN cells. | |
| ``fillna=False``: preserve NaN cells (used by the LightGBM-pipeline | |
| paths in T2/T5/T7 — LightGBM has native NaN handling and zero-filling | |
| distorts its learned splits). | |
| """ | |
| df = X.copy() | |
| for c in train_columns: | |
| if c not in df.columns: | |
| df[c] = 0.0 | |
| df = df[train_columns] | |
| return df.fillna(0.0) if fillna else df | |
| def _numeric_feature_cols( | |
| df: pd.DataFrame, prefixes: tuple[str, ...] | None = None, | |
| ) -> list[str]: | |
| """Return numeric columns of ``df``, optionally filtered by prefix.""" | |
| if prefixes is None: | |
| return [c for c in df.columns if df[c].dtype.kind in "fiub"] | |
| return [ | |
| c for c in df.columns | |
| if df[c].dtype.kind in "fiub" and c.startswith(prefixes) | |
| ] | |
| # ── Concrete method ─────────────────────────────────────────────────────── | |
| class LightGBMRegressor(_JoblibSaveMixin, Method): | |
| """LightGBM regressor with per-task private dispatch. | |
| One class, one config (:class:`LightGBMConfig`); the task is fixed at | |
| construction time. Internally ``fit`` / ``predict`` dispatch on | |
| ``self.task`` to a private per-task implementation that owns its | |
| feature-engineering recipe and fitted state. | |
| """ | |
| name: ClassVar[str] = "lightgbm" | |
| family: ClassVar[str] = "classical" | |
| tasks: ClassVar[frozenset[str]] = frozenset( | |
| {"T1", "T2", "T3", "T4", "T5", "T6", "T7"} | |
| ) | |
| schema_version: ClassVar[int] = 1 | |
| def __init__( | |
| self, | |
| *, | |
| task: str, | |
| config: LightGBMConfig | None = None, | |
| **kwargs: Any, | |
| ) -> None: | |
| if task not in self.tasks: | |
| raise ValueError( | |
| f"LightGBMRegressor: unsupported task {task!r}; " | |
| f"supported = {sorted(self.tasks)}" | |
| ) | |
| self.task = task | |
| if config is None: | |
| config = LightGBMConfig(**kwargs) if kwargs else LightGBMConfig() | |
| elif kwargs: | |
| raise ValueError( | |
| "LightGBMRegressor: pass either ``config=`` or kwargs, not both" | |
| ) | |
| self.config = config | |
| # Per-task fitted state — populated by .fit(). | |
| self._state: dict[str, Any] = {} | |
| # ── public API ──────────────────────────────────────────────────────── | |
| def fit(self, X: Any, y: Any, *, seed: int = 42) -> "LightGBMRegressor": | |
| """Fit the regressor on ``(X, y)``. Returns ``self`` for chaining.""" | |
| self._seed = int(seed) | |
| if self.task == "T1": | |
| self._fit_t1(X, y) | |
| elif self.task in ("T2", "T5"): | |
| self._fit_t2_t5(X, y) | |
| elif self.task in ("T3", "T6"): | |
| self._fit_t3_t6(X, y) | |
| elif self.task == "T4": | |
| self._fit_t4(X, y) | |
| elif self.task == "T7": | |
| self._fit_t7(X, y) | |
| else: # pragma: no cover -- gated by __init__ | |
| raise ValueError(self.task) | |
| return self | |
| def predict(self, X: Any) -> np.ndarray | pd.DataFrame: | |
| if not self._state: | |
| raise RuntimeError( | |
| "LightGBMRegressor: call .fit(X, y) before .predict()." | |
| ) | |
| if self.task == "T1": | |
| return self._predict_t1(X) | |
| if self.task in ("T2", "T5"): | |
| return self._predict_t2_t5(X) | |
| if self.task in ("T3", "T6"): | |
| return self._predict_t3_t6(X) | |
| if self.task == "T4": | |
| return self._predict_t4(X) | |
| if self.task == "T7": | |
| return self._predict_t7(X) | |
| raise ValueError(self.task) # pragma: no cover | |
| def lib_versions(self) -> dict[str, str]: | |
| return _classical_lib_versions() | |
| def default_config(cls) -> LightGBMConfig: | |
| return LightGBMConfig() | |
| # ── LightGBM kwarg builder ──────────────────────────────────────────── | |
| def _lgbm_kwargs(self) -> dict[str, Any]: | |
| """Translate :class:`LightGBMConfig` → ``LGBMRegressor`` kwargs. | |
| Drops config keys that are not LGBM hyperparameters (e.g., | |
| ``t6_text_handling`` is a method-level switch). | |
| """ | |
| d = self.config.model_dump() | |
| d.pop("t6_text_handling", None) | |
| d["random_state"] = getattr(self, "_seed", 42) | |
| return d | |
| def _make_lgbm(self) -> Any: | |
| from lightgbm import LGBMRegressor | |
| return LGBMRegressor(**self._lgbm_kwargs()) | |
| def _make_log_pipeline(self) -> Any: | |
| """LightGBM wrapped in a log1p/expm1 target transform. | |
| Used by T2 / T5 / T7 (positive-target regression). | |
| Drops the previous ``StandardScaler`` step: LightGBM is | |
| scale-invariant AND handles NaN natively, while ``StandardScaler`` | |
| does not tolerate NaN. With high-NaN-density T2/T5 inputs (~28% | |
| NaN), the scaler step would either fail or, after a defensive | |
| ``np.nan_to_num(...,0)`` upstream, corrupt LightGBM's learned | |
| missing-direction splits. | |
| """ | |
| from sklearn.compose import TransformedTargetRegressor | |
| return TransformedTargetRegressor( | |
| regressor=self._make_lgbm(), func=np.log1p, inverse_func=np.expm1, | |
| ) | |
| # ── T1 — multi-output regression on per-window log-returns ──────────── | |
| def _fit_t1(self, X: np.ndarray, y: np.ndarray) -> None: | |
| """Multi-output regression on log-returns relative to last close. | |
| T1 close prices span $0.50 to $5,000+ across the 4,416-ticker | |
| small-cap universe. Training a regressor on raw close prices makes | |
| per-step error scale with price level — high-price tickers dominate | |
| the loss, low-price tickers see un-bounded predictions, and | |
| post-hoc MSE blows up by ten or more orders of magnitude | |
| (LightGBM T1 hit MSE 1.18e+16 on this codepath before the fix). | |
| Fix: target the *log-return relative to the per-window last close*:: | |
| c_i = X_i[-1, close_idx] # last close in window i | |
| y_log[i, h] = log(y[i, h] / c_i) # dimensionless O(1) target | |
| At predict time we exponentiate and rescale by the test window's | |
| last close. This matches Persistence's tile-last-close behaviour | |
| as the zero-output limit, and matches what every TSFM (Chronos / | |
| Moirai / TimesFM) does internally. | |
| NaN handling: LightGBM still handles NaN inputs natively; we | |
| scrub +/-inf only. Rows with non-positive c or y are dropped from | |
| training (log undefined). | |
| """ | |
| from sklearn.multioutput import MultiOutputRegressor | |
| if not isinstance(X, np.ndarray) or X.ndim != 3: | |
| raise ValueError( | |
| f"T1 fit: expected ndarray X (N, L, F); got " | |
| f"{type(X).__name__} {getattr(X, 'shape', '?')}" | |
| ) | |
| if not isinstance(y, np.ndarray) or y.ndim != 2: | |
| raise ValueError( | |
| f"T1 fit: expected ndarray y (N, horizon); got " | |
| f"{type(y).__name__} {getattr(y, 'shape', '?')}" | |
| ) | |
| if y.shape[0] != X.shape[0]: | |
| raise ValueError( | |
| f"T1 fit: y/X length mismatch ({y.shape[0]} vs {X.shape[0]})." | |
| ) | |
| horizon = int(y.shape[1]) | |
| close_idx = 0 | |
| c = X[:, -1, close_idx].astype(np.float64) # (N,) last close | |
| y_f = y.astype(np.float64) # (N, H) | |
| # Drop windows where log target is undefined / unstable. | |
| keep = ( | |
| np.isfinite(c) & (c > 0.0) & | |
| np.isfinite(y_f).all(axis=1) & (y_f > 0.0).all(axis=1) | |
| ) | |
| n_total = int(X.shape[0]) | |
| n_keep = int(keep.sum()) | |
| if n_keep < 1: | |
| raise RuntimeError( | |
| f"T1 fit: only {n_keep}/{n_total} training windows have " | |
| "positive finite close + horizon prices; cannot fit " | |
| "log-return target." | |
| ) | |
| X_kept = X[keep] | |
| c_kept = c[keep] | |
| y_log = np.log(y_f[keep] / c_kept[:, None]).astype(np.float32) | |
| X_flat = _flatten_panel(X_kept, add_rolling_close=True, close_idx=close_idx) | |
| # Scrub +/-inf only (preserve NaN — LightGBM handles it natively). | |
| X_flat = np.where(np.isposinf(X_flat) | np.isneginf(X_flat), | |
| np.nan, X_flat) | |
| model = MultiOutputRegressor( | |
| self._make_lgbm(), | |
| n_jobs=int(self.config.n_jobs), | |
| ) | |
| model.fit(X_flat, y_log) | |
| self._state = { | |
| "model": model, | |
| "close_idx": close_idx, | |
| "horizon": horizon, | |
| "n_features_flat": X_flat.shape[1], | |
| "n_train_total": n_total, | |
| "n_train_kept": n_keep, | |
| # Log-return clip range: [-2, 2] = ~14% to ~700% of last close. | |
| "log_clip": 2.0, | |
| } | |
| self._horizon = horizon | |
| def _predict_t1(self, X: np.ndarray) -> np.ndarray: | |
| st = self._state | |
| if not isinstance(X, np.ndarray) or X.ndim != 3: | |
| raise ValueError( | |
| f"T1 predict: expected ndarray (N, L, F); got " | |
| f"{type(X).__name__} {getattr(X, 'shape', '?')}" | |
| ) | |
| close_idx = int(st["close_idx"]) | |
| c_test = X[:, -1, close_idx].astype(np.float64) # (N,) | |
| # Where last close is missing or non-positive we cannot rescale; tile | |
| # last close as the safest fallback (matches Persistence in that cell). | |
| c_safe = np.where(np.isfinite(c_test) & (c_test > 0.0), c_test, np.nan) | |
| X_flat = _flatten_panel( | |
| X, add_rolling_close=True, close_idx=close_idx, | |
| ) | |
| X_flat = np.where(np.isposinf(X_flat) | np.isneginf(X_flat), | |
| np.nan, X_flat) | |
| n_train_cols = st["n_features_flat"] | |
| if X_flat.shape[1] > n_train_cols: | |
| X_flat = X_flat[:, :n_train_cols] | |
| elif X_flat.shape[1] < n_train_cols: | |
| pad = np.zeros( | |
| (X_flat.shape[0], n_train_cols - X_flat.shape[1]), | |
| dtype=np.float32, | |
| ) | |
| X_flat = np.concatenate([X_flat, pad], axis=1) | |
| log_pred = st["model"].predict(X_flat).astype(np.float64) | |
| if log_pred.ndim == 1: | |
| log_pred = log_pred.reshape(-1, st["horizon"]) | |
| clip = float(st.get("log_clip", 2.0)) | |
| log_pred = np.clip(log_pred, -clip, clip) | |
| # Rescale: y_pred = c * exp(log_return). | |
| out = c_safe[:, None] * np.exp(log_pred) | |
| # Where c was missing, fall back to last-close tile (NaN here would | |
| # poison the eval; prefer Persistence-equivalent in degenerate cells). | |
| bad = ~np.isfinite(out) | |
| if bad.any(): | |
| tile = np.broadcast_to(c_test[:, None], out.shape).astype(np.float64) | |
| out = np.where(bad, tile, out) | |
| return out.astype(np.float32) | |
| # ── T2 / T5 — log-target regression ─────────────────────────────────── | |
| def _fit_t2_t5(self, X: pd.DataFrame, y: np.ndarray) -> None: | |
| if not isinstance(X, pd.DataFrame): | |
| raise TypeError( | |
| f"{self.task} fit: expected DataFrame X; got {type(X).__name__}" | |
| ) | |
| # T2 carries stmt_* + derived_* + macro snapshot (fred_*/eia_*); | |
| # T5 is price-stripped (no derived_*) but keeps the macro snapshot. | |
| # Prefix-picking collapses both into one code path. | |
| if self.task == "T2": | |
| prefixes: tuple[str, ...] = ("stmt_", "derived_", "fred_", "eia_") | |
| else: | |
| prefixes = ("stmt_", "fred_", "eia_") | |
| df = X.copy() | |
| feat_cols = [ | |
| c for c in _numeric_feature_cols(df, prefixes) | |
| if c not in {"derived_market_cap", "actual_market_cap"} | |
| ] | |
| # Sector / industry one-hot — same construction as the legacy code. | |
| if "sector" in df.columns: | |
| sec_dummies = pd.get_dummies( | |
| df["sector"], prefix="sector", dtype=np.float32, | |
| ) | |
| df = pd.concat( | |
| [df.reset_index(drop=True), sec_dummies.reset_index(drop=True)], | |
| axis=1, | |
| ) | |
| feat_cols += list(sec_dummies.columns) | |
| if "industry" in df.columns: | |
| ind_dummies = pd.get_dummies( | |
| df["industry"], prefix="industry", dtype=np.float32, | |
| ) | |
| df = pd.concat( | |
| [df.reset_index(drop=True), ind_dummies.reset_index(drop=True)], | |
| axis=1, | |
| ) | |
| feat_cols += list(ind_dummies.columns) | |
| # Cast numeric features to float32 WITHOUT zero-filling NaN — | |
| # LightGBM handles NaN natively; zero-filling 28% of T2/T5 cells | |
| # corrupted the learned missing-direction splits. | |
| X_feat = df[feat_cols].astype(np.float32) | |
| y_arr = pd.to_numeric(pd.Series(np.asarray(y).ravel()), errors="coerce").astype( | |
| np.float64 | |
| ) | |
| valid = y_arr.notna() & (y_arr > 0) | |
| X_feat = X_feat.loc[valid.values] | |
| y_arr = y_arr.loc[valid.values] | |
| if X_feat.empty: | |
| raise RuntimeError( | |
| f"{self.task} fit: no rows with positive market_cap after drop." | |
| ) | |
| # Scrub only +/-inf; LightGBM rejects non-finite-non-NaN values | |
| # but tolerates NaN. | |
| X_arr = X_feat.values.astype(np.float32) | |
| X_arr = np.where(np.isposinf(X_arr) | np.isneginf(X_arr), | |
| np.nan, X_arr) | |
| model = self._make_log_pipeline() | |
| model.fit(X_arr, y_arr.values) | |
| self._state = { | |
| "model": model, | |
| "feat_cols": feat_cols, | |
| "prefixes": prefixes, | |
| } | |
| def _predict_t2_t5(self, X: pd.DataFrame) -> np.ndarray: | |
| st = self._state | |
| if not isinstance(X, pd.DataFrame): | |
| raise TypeError( | |
| f"{self.task} predict: expected DataFrame; got {type(X).__name__}" | |
| ) | |
| df = X.copy() | |
| if "sector" in df.columns: | |
| sec_dummies = pd.get_dummies( | |
| df["sector"], prefix="sector", dtype=np.float32, | |
| ) | |
| df = pd.concat( | |
| [df.reset_index(drop=True), sec_dummies.reset_index(drop=True)], | |
| axis=1, | |
| ) | |
| if "industry" in df.columns: | |
| ind_dummies = pd.get_dummies( | |
| df["industry"], prefix="industry", dtype=np.float32, | |
| ) | |
| df = pd.concat( | |
| [df.reset_index(drop=True), ind_dummies.reset_index(drop=True)], | |
| axis=1, | |
| ) | |
| X_feat = _align_columns( | |
| df, st["feat_cols"], fillna=False, | |
| ).astype(np.float32) | |
| # Preserve NaN for LightGBM (matches the fit-time distribution); | |
| # scrub only +/-inf. | |
| X_arr = X_feat.values.astype(np.float32) | |
| X_arr = np.where(np.isposinf(X_arr) | np.isneginf(X_arr), | |
| np.nan, X_arr) | |
| # TransformedTargetRegressor inverts log1p → expm1 internally. | |
| preds = st["model"].predict(X_arr) | |
| # Floor at zero to keep the (positive) market-cap interpretation. | |
| preds = np.clip(preds, 0.0, None) | |
| return preds.astype(np.float32) | |
| # ── T3 / T6 — per-field booster ensemble ────────────────────────────── | |
| def _t3_t6_build_ticker_features( | |
| self, X: pd.DataFrame, | |
| ) -> tuple[pd.DataFrame, list[str]]: | |
| """Return ``(per-ticker numeric+sector features DataFrame, feat_cols)``. | |
| Mirrors the legacy ``run_task_3_classical`` recipe: | |
| * Pick numeric columns excluding ``fiscal_year`` (the join key) | |
| and ``value_num`` (an internal scratch column). | |
| * For T6 with ``t6_text_handling="sector_industry_only"``, the NL | |
| ``company_description`` column is dropped here implicitly because | |
| string columns are non-numeric (and the explicit drop below is a | |
| belt-and-braces guard). | |
| * One-hot-encode ``sector`` (prefix=``sec``) deduped per ticker. | |
| """ | |
| df = X.copy() | |
| # Defensive: explicitly drop free-text columns (T6) so they cannot | |
| # accidentally leak into a future dtype check. | |
| for text_col in ("company_description",): | |
| if text_col in df.columns: | |
| df = df.drop(columns=[text_col]) | |
| ticker_feat_cols = [ | |
| c for c in _numeric_feature_cols(df) | |
| if c not in {"fiscal_year"} and c != "value_num" | |
| ] | |
| ticker_feats = df[["ticker"] + ticker_feat_cols].copy() | |
| ticker_feats[ticker_feat_cols] = ( | |
| ticker_feats[ticker_feat_cols].astype(np.float32).fillna(0.0) | |
| ) | |
| if "sector" in df.columns: | |
| sec_dummies = pd.get_dummies( | |
| df.set_index("ticker")["sector"], prefix="sec", dtype=np.float32, | |
| ) | |
| sec_dummies = sec_dummies.reset_index().drop_duplicates("ticker") | |
| ticker_feats = ( | |
| ticker_feats.drop_duplicates("ticker") | |
| .merge(sec_dummies, on="ticker", how="left") | |
| .fillna(0.0) | |
| ) | |
| else: | |
| ticker_feats = ticker_feats.drop_duplicates("ticker") | |
| feat_cols = [c for c in ticker_feats.columns if c != "ticker"] | |
| return ticker_feats, feat_cols | |
| def _fit_t3_t6(self, X: pd.DataFrame, y: pd.DataFrame) -> None: | |
| """Fit a SINGLE LightGBM that takes per-(ticker, fiscal_year) | |
| numeric features concatenated with a sparse one-hot of ``field``, | |
| predicting the scalar ``value``. | |
| Output panel: one row per (ticker, fiscal_year, fitted_field) at | |
| predict time. Per-field median fallback is kept for fields whose | |
| training pool is too small (``<5`` rows) to fit. | |
| """ | |
| from scipy.sparse import csr_matrix, hstack as sparse_hstack | |
| from sklearn.preprocessing import OneHotEncoder | |
| if not isinstance(X, pd.DataFrame): | |
| raise TypeError( | |
| f"{self.task} fit: expected DataFrame X; got {type(X).__name__}" | |
| ) | |
| if not isinstance(y, pd.DataFrame): | |
| raise TypeError( | |
| f"{self.task} fit: expected long-form DataFrame y; got " | |
| f"{type(y).__name__}" | |
| ) | |
| for col in ("ticker", "field", "value"): | |
| if col not in y.columns: | |
| raise ValueError( | |
| f"{self.task} fit: y missing required column {col!r}" | |
| ) | |
| ticker_feats, feat_cols = self._t3_t6_build_ticker_features(X) | |
| # Lock the field set to ``sorted(y["field"].unique())`` (per plan §1). | |
| fitted_fields: list[str] = sorted( | |
| str(f) for f in y["field"].astype(str).unique() | |
| ) | |
| # Long-form labels joined with per-ticker features (broadcast across | |
| # fiscal years). Drop rows with no parseable target. | |
| gt = y.copy() | |
| gt["value_num"] = pd.to_numeric(gt["value"], errors="coerce") | |
| gt["field"] = gt["field"].astype(str) | |
| gt = gt.merge(ticker_feats, on="ticker", how="left").fillna(0.0) | |
| gt = gt.dropna(subset=["value_num"]) | |
| # Per-field median fallback for fields with too few rows (the | |
| # legacy small-pool guard, preserved field-by-field). | |
| per_field_count = gt.groupby("field").size().to_dict() | |
| median_fields: dict[str, float] = {} | |
| small_field_set: set[str] = set() | |
| for field in fitted_fields: | |
| cnt = int(per_field_count.get(field, 0)) | |
| if cnt < 5: | |
| sub = gt[gt["field"] == field] | |
| med = float(sub["value_num"].median()) if not sub.empty else 0.0 | |
| median_fields[field] = med | |
| small_field_set.add(field) | |
| train_mask = ~gt["field"].isin(small_field_set) | |
| gt_train = gt[train_mask] | |
| # Decide a global log-transform heuristic (preserves legacy magnitude | |
| # gate) using the pooled non-zero target distribution. | |
| global_model = None | |
| global_scaler = None | |
| use_log = False | |
| y_min = 0.0 | |
| y_max = 0.0 | |
| y_range = 1.0 | |
| ohe: OneHotEncoder | None = None | |
| if not gt_train.empty: | |
| y_tr = gt_train["value_num"].values.astype(np.float64) | |
| nz = y_tr[y_tr != 0] | |
| if nz.size > 0: | |
| use_log = float(np.median(np.abs(nz))) > 1000 | |
| y_tr_t = ( | |
| np.sign(y_tr) * np.log1p(np.abs(y_tr)) if use_log else y_tr | |
| ) | |
| # Per-ticker numerics already pass through ``.fillna(0.0)`` in | |
| # ``_t3_t6_build_ticker_features``, so the row-side has no NaN. | |
| # We still scrub +/-inf defensively before LightGBM. | |
| X_num_tr = gt_train[feat_cols].values.astype(np.float32) | |
| X_num_tr = np.where( | |
| np.isposinf(X_num_tr) | np.isneginf(X_num_tr), | |
| np.nan, X_num_tr, | |
| ) | |
| # Sparse one-hot of field id. Use the LOCKED fitted_fields set | |
| # as categories so the predict path can encode every field | |
| # (even those whose training pool was too small to fit; for | |
| # those we override with the median anyway). | |
| ohe = OneHotEncoder( | |
| categories=[fitted_fields], | |
| handle_unknown="ignore", | |
| sparse_output=True, | |
| dtype=np.float32, | |
| ) | |
| field_arr_tr = gt_train["field"].values.reshape(-1, 1) | |
| X_field_tr = ohe.fit_transform(field_arr_tr) | |
| X_full_tr = sparse_hstack( | |
| [csr_matrix(X_num_tr), X_field_tr], format="csr", | |
| ) | |
| # LightGBM accepts sparse CSR. Use a single booster. | |
| global_model = self._make_lgbm() | |
| global_model.fit(X_full_tr, y_tr_t) | |
| y_min = float(y_tr.min()) | |
| y_max = float(y_tr.max()) | |
| y_range = max(abs(y_max - y_min), abs(y_max) * 0.1, 1.0) | |
| self._state = { | |
| "ticker_feats": ticker_feats, | |
| "feat_cols": feat_cols, | |
| "fitted_fields": fitted_fields, | |
| "median_fields": median_fields, | |
| "model": global_model, | |
| "scaler": global_scaler, # kept for compat (always None now) | |
| "ohe": ohe, | |
| "use_log": use_log, | |
| "y_min": y_min, | |
| "y_max": y_max, | |
| "y_range": y_range, | |
| } | |
| self.fitted_fields = fitted_fields # public, per plan §1 | |
| def _predict_t3_t6(self, X: pd.DataFrame) -> pd.DataFrame: | |
| """Predict every (ticker, fiscal_year, fitted_field) cell with the | |
| single shared LightGBM (numeric features + sparse field one-hot), | |
| falling back to per-field medians for small-pool fields tagged at | |
| fit time. | |
| """ | |
| from scipy.sparse import csr_matrix, hstack as sparse_hstack | |
| st = self._state | |
| if not isinstance(X, pd.DataFrame): | |
| raise TypeError( | |
| f"{self.task} predict: expected DataFrame; got {type(X).__name__}" | |
| ) | |
| if "ticker" not in X.columns or "fiscal_year" not in X.columns: | |
| raise ValueError( | |
| f"{self.task} predict: X must include 'ticker' and " | |
| f"'fiscal_year'." | |
| ) | |
| fitted_fields: list[str] = st["fitted_fields"] | |
| median_fields: dict[str, float] = st["median_fields"] | |
| feat_cols: list[str] = st["feat_cols"] | |
| # Build test-side per-ticker features using the SAME recipe as fit, | |
| # then align columns to the train feature schema. | |
| test_feats, _ = self._t3_t6_build_ticker_features(X) | |
| test_feats = test_feats.set_index("ticker") | |
| for c in feat_cols: | |
| if c not in test_feats.columns: | |
| test_feats[c] = 0.0 | |
| test_feats = test_feats[feat_cols].fillna(0.0) | |
| # One row per (test row × every fitted field) — long-form predict. | |
| # We assemble the predict matrix as the cross-product of test rows | |
| # and fitted fields, run a single batched .predict, then map back. | |
| n_rows = len(X) | |
| n_fields = len(fitted_fields) | |
| rows: list[dict[str, Any]] = [] | |
| if n_rows == 0 or n_fields == 0: | |
| return pd.DataFrame( | |
| rows, columns=["ticker", "fiscal_year", "field", "pred"], | |
| ) | |
| # Pre-fetch numeric features per test row. | |
| ticker_arr = X["ticker"].astype(str).values | |
| fy_arr = X["fiscal_year"].values | |
| # For tickers absent from training-side ticker_feats the feature | |
| # vector is zero (matches the legacy behaviour for unseen tickers). | |
| zero_vec = np.zeros(len(feat_cols), dtype=np.float32) | |
| feats_by_ticker: dict[str, np.ndarray] = {} | |
| for t in set(ticker_arr.tolist()): | |
| try: | |
| v = test_feats.loc[t] | |
| if isinstance(v, pd.DataFrame): | |
| v = v.iloc[0] | |
| feats_by_ticker[t] = np.asarray( | |
| v.values, dtype=np.float32, | |
| ) | |
| except KeyError: | |
| feats_by_ticker[t] = zero_vec | |
| # Decide which (row, field) cells get the model vs. a median fallback. | |
| model = st["model"] | |
| # Note: ``scaler`` slot exists in state for save/load compat but is | |
| # always None now — LightGBM is scale-invariant so we dropped it. | |
| ohe = st["ohe"] | |
| use_log = bool(st["use_log"]) | |
| y_min = float(st["y_min"]) | |
| y_max = float(st["y_max"]) | |
| y_range = float(st["y_range"]) | |
| # Cache one prediction per unique (ticker, field) cell to avoid | |
| # duplicating the model call across the same ticker repeated for | |
| # multiple fiscal years. | |
| unique_tickers = list(dict.fromkeys(ticker_arr.tolist())) | |
| # Build the model batch only for fields with a fitted booster. | |
| model_fields = ( | |
| [f for f in fitted_fields if f not in median_fields] | |
| if model is not None else [] | |
| ) | |
| cell_pred: dict[tuple[str, str], float] = {} | |
| if model is not None and model_fields and unique_tickers: | |
| # Cross-product matrix: rows = (ticker × model_field) pairs. | |
| # Per-ticker numerics are already imputed to 0 in | |
| # ``_t3_t6_build_ticker_features`` (predict-side mirrors fit); | |
| # we only scrub +/-inf defensively for LightGBM. | |
| X_num = np.stack( | |
| [feats_by_ticker[t] for t in unique_tickers], axis=0, | |
| ).astype(np.float32) | |
| X_num = np.where( | |
| np.isposinf(X_num) | np.isneginf(X_num), | |
| np.nan, X_num, | |
| ) | |
| # Repeat per model-field so the one-hot lookup aligns 1-to-1. | |
| n_t = len(unique_tickers) | |
| n_mf = len(model_fields) | |
| X_num_rep = np.repeat(X_num, n_mf, axis=0) | |
| field_arr = np.tile( | |
| np.asarray(model_fields, dtype=object), n_t, | |
| ).reshape(-1, 1) | |
| assert ohe is not None # set whenever model is set | |
| X_field = ohe.transform(field_arr) | |
| X_full = sparse_hstack( | |
| [csr_matrix(X_num_rep), X_field], format="csr", | |
| ) | |
| y_pred_t = np.asarray(model.predict(X_full)) | |
| if use_log: | |
| y_pred = np.sign(y_pred_t) * np.expm1(np.abs(y_pred_t)) | |
| else: | |
| y_pred = y_pred_t | |
| y_pred = np.clip(y_pred, y_min - y_range, y_max + y_range) | |
| # Re-shape into (n_t, n_mf) for cell-key indexing. | |
| y_pred = y_pred.reshape(n_t, n_mf) | |
| for ti, t in enumerate(unique_tickers): | |
| for fi, f in enumerate(model_fields): | |
| cell_pred[(t, f)] = float(y_pred[ti, fi]) | |
| for i in range(n_rows): | |
| t = ticker_arr[i] | |
| fy = fy_arr[i] | |
| for field in fitted_fields: | |
| if field in median_fields: | |
| val = median_fields[field] | |
| else: | |
| val = cell_pred.get((t, field), 0.0) | |
| rows.append({ | |
| "ticker": t, | |
| "fiscal_year": fy, | |
| "field": field, | |
| "pred": float(val), | |
| }) | |
| return pd.DataFrame( | |
| rows, columns=["ticker", "fiscal_year", "field", "pred"], | |
| ) | |
| # ── T4 — flat-lookback + event-type one-hot ─────────────────────────── | |
| def _t4_flatten_lookback(lb_col: pd.Series) -> tuple[np.ndarray, int]: | |
| """Stack object-dtype ``lookback`` cells into ``(N, L*F)`` float32. | |
| Each cell is a ``(L, F)`` ndarray. Empty / malformed cells are | |
| replaced with zeros sized to the modal panel shape. | |
| """ | |
| arrays: list[np.ndarray] = [] | |
| for cell in lb_col.values: | |
| if isinstance(cell, np.ndarray) and cell.ndim == 2: | |
| arrays.append(cell.astype(np.float32)) | |
| if not arrays: | |
| raise RuntimeError( | |
| "T4: no usable lookback ndarrays in X['lookback']." | |
| ) | |
| L = arrays[0].shape[0] | |
| F = arrays[0].shape[1] | |
| flat_rows: list[np.ndarray] = [] | |
| for cell in lb_col.values: | |
| if isinstance(cell, np.ndarray) and cell.shape == (L, F): | |
| flat_rows.append(cell.reshape(-1).astype(np.float32)) | |
| else: | |
| flat_rows.append(np.zeros(L * F, dtype=np.float32)) | |
| flat = np.stack(flat_rows, axis=0) | |
| return flat, L * F | |
| def _fit_t4(self, X: pd.DataFrame, y: np.ndarray) -> None: | |
| if not isinstance(X, pd.DataFrame): | |
| raise TypeError( | |
| f"T4 fit: expected DataFrame X; got {type(X).__name__}" | |
| ) | |
| if "lookback" not in X.columns or "event_type" not in X.columns: | |
| raise ValueError( | |
| "T4 fit: X must include 'lookback' and 'event_type' columns." | |
| ) | |
| flat, n_lb_flat = self._t4_flatten_lookback(X["lookback"]) | |
| et_arr = X["event_type"].astype(str).values | |
| et_dummies = pd.get_dummies( | |
| pd.Series(et_arr), prefix="evt", dtype=np.float32, | |
| ) | |
| X_arr = np.concatenate( | |
| [flat, et_dummies.values.astype(np.float32)], axis=1, | |
| ) | |
| # Preserve NaN for LightGBM; scrub only +/-inf. | |
| X_arr = np.where(np.isposinf(X_arr) | np.isneginf(X_arr), | |
| np.nan, X_arr) | |
| y_arr = np.asarray(y, dtype=np.float32).ravel() | |
| if y_arr.shape[0] != X_arr.shape[0]: | |
| raise ValueError( | |
| f"T4 fit: y/X length mismatch ({y_arr.shape[0]} vs " | |
| f"{X_arr.shape[0]})." | |
| ) | |
| model = self._make_lgbm() | |
| model.fit(X_arr, y_arr) | |
| self._state = { | |
| "model": model, | |
| "evt_columns": list(et_dummies.columns), | |
| "n_lb_flat": int(n_lb_flat), | |
| } | |
| def _predict_t4(self, X: pd.DataFrame) -> np.ndarray: | |
| st = self._state | |
| if not isinstance(X, pd.DataFrame): | |
| raise TypeError( | |
| f"T4 predict: expected DataFrame; got {type(X).__name__}" | |
| ) | |
| if "lookback" not in X.columns or "event_type" not in X.columns: | |
| raise ValueError( | |
| "T4 predict: X must include 'lookback' and 'event_type'." | |
| ) | |
| flat, _ = self._t4_flatten_lookback(X["lookback"]) | |
| # Align lookback flat-width to train (defensive — tolerate small | |
| # column drift coming from a slightly-different feature panel). | |
| if flat.shape[1] > st["n_lb_flat"]: | |
| flat = flat[:, : st["n_lb_flat"]] | |
| elif flat.shape[1] < st["n_lb_flat"]: | |
| pad = np.zeros( | |
| (flat.shape[0], st["n_lb_flat"] - flat.shape[1]), | |
| dtype=np.float32, | |
| ) | |
| flat = np.concatenate([flat, pad], axis=1) | |
| et_arr = X["event_type"].astype(str).values | |
| et_dummies = pd.get_dummies( | |
| pd.Series(et_arr), prefix="evt", dtype=np.float32, | |
| ) | |
| for c in st["evt_columns"]: | |
| if c not in et_dummies.columns: | |
| et_dummies[c] = 0.0 | |
| et_dummies = et_dummies[st["evt_columns"]].fillna(0.0) | |
| X_arr = np.concatenate( | |
| [flat, et_dummies.values.astype(np.float32)], axis=1, | |
| ) | |
| # Preserve NaN for LightGBM; scrub only +/-inf. | |
| X_arr = np.where(np.isposinf(X_arr) | np.isneginf(X_arr), | |
| np.nan, X_arr) | |
| return st["model"].predict(X_arr).astype(np.float32) | |
| # ── T7 — dual-output (rent, price) ──────────────────────────────────── | |
| def _t7_first_col( | |
| df: pd.DataFrame, candidates: tuple[str, ...], | |
| ) -> str | None: | |
| """Return the first column whose name (lowercased) contains any of | |
| ``candidates`` (substring match), else ``None``. | |
| """ | |
| for c in df.columns: | |
| cl = c.lower() | |
| if any(cand in cl for cand in candidates): | |
| return c | |
| return None | |
| def _t7_build_features( | |
| self, X: pd.DataFrame, *, fit: bool, | |
| ) -> tuple[pd.DataFrame, list[str], str | None]: | |
| """Build the property-feature frame; returns ``(X_feat, feat_cols, | |
| prop_type_col)``. | |
| Same numeric feature recipe as the legacy T7 baseline. | |
| """ | |
| df = X.copy() | |
| feat_cols: list[str] = [] | |
| for col in ( | |
| "sqft", "squareFootage", "square_footage", | |
| "beds", "bedrooms", "baths", "bathrooms", | |
| "year_built", "yearBuilt", | |
| "years_since_last_sale", | |
| ): | |
| if col in df.columns: | |
| df[col] = pd.to_numeric(df[col], errors="coerce") | |
| feat_cols.append(col) | |
| prop_type_col = next( | |
| (c for c in ("property_type", "propertyType", "type") | |
| if c in df.columns), | |
| None, | |
| ) | |
| if prop_type_col: | |
| prop_dummies = pd.get_dummies( | |
| df[prop_type_col], prefix="ptype", dtype=np.float32, | |
| ) | |
| df = pd.concat( | |
| [df.reset_index(drop=True), prop_dummies.reset_index(drop=True)], | |
| axis=1, | |
| ) | |
| feat_cols += list(prop_dummies.columns) | |
| if not feat_cols: | |
| raise RuntimeError( | |
| f"T7 {'fit' if fit else 'predict'}: no usable property features." | |
| ) | |
| return df, feat_cols, prop_type_col | |
| def _fit_t7(self, X: pd.DataFrame, y: pd.DataFrame) -> None: | |
| if not isinstance(X, pd.DataFrame): | |
| raise TypeError( | |
| f"T7 fit: expected DataFrame X; got {type(X).__name__}" | |
| ) | |
| if "address" not in X.columns: | |
| raise ValueError("T7 fit: X must include 'address'.") | |
| df, feat_cols, prop_type_col = self._t7_build_features(X, fit=True) | |
| # Targets: prefer rent / price columns already on X (canonical T7 | |
| # train carries them); fall back to a per-address merge with y. | |
| rent_col = self._t7_first_col(df, ("rent",)) | |
| price_col = self._t7_first_col(df, ("price", "lastsaleprice")) | |
| if isinstance(y, pd.DataFrame) and "address" in y.columns: | |
| if rent_col is None and "rent" in y.columns: | |
| df = df.merge( | |
| y[["address", "rent"]], on="address", how="left", | |
| ) | |
| rent_col = "rent" | |
| if price_col is None and "price" in y.columns: | |
| df = df.merge( | |
| y[["address", "price"]], on="address", how="left", | |
| ) | |
| price_col = "price" | |
| if rent_col is None and price_col is None: | |
| raise RuntimeError("T7 fit: no rent or price target found.") | |
| # Preserve NaN for LightGBM's native missing-value handling; | |
| # scrub only +/-inf (LightGBM rejects them but tolerates NaN). | |
| X_feat = df[feat_cols].astype(np.float32) | |
| X_arr = X_feat.values.astype(np.float32) | |
| X_arr = np.where(np.isposinf(X_arr) | np.isneginf(X_arr), | |
| np.nan, X_arr) | |
| models: dict[str, Any] = {} | |
| for target_name, target_col in (("rent", rent_col), ("price", price_col)): | |
| if target_col is None: | |
| continue | |
| y_all = pd.to_numeric(df[target_col], errors="coerce") | |
| valid = y_all.notna() & (y_all > 0) | |
| n_valid = int(valid.sum()) | |
| if n_valid < 1: | |
| continue | |
| X_tr = X_arr[valid.values] | |
| y_tr = y_all.loc[valid].values.astype(np.float64) | |
| if n_valid < 2: | |
| # LightGBM rejects n<2; emit a constant-predictor (the single | |
| # training value) so eval is well-defined. Real T7 trains | |
| # have ~10k rows; this branch only triggers in micro-scale | |
| # smoke runs where dedup-by-address leaves 1 row. | |
| models[target_name] = ("constant", float(y_tr.mean())) | |
| continue | |
| m = self._make_log_pipeline() | |
| m.fit(X_tr, y_tr) | |
| models[target_name] = m | |
| if not models: | |
| raise RuntimeError( | |
| f"T7 fit: insufficient training data " | |
| f"(rent_col={rent_col!r}, price_col={price_col!r}, " | |
| f"n_rows={len(df)}); need >=1 row with a positive target." | |
| ) | |
| self._state = { | |
| "feat_cols": feat_cols, | |
| "prop_type_col": prop_type_col, | |
| "models": models, | |
| } | |
| def _predict_t7(self, X: pd.DataFrame) -> pd.DataFrame: | |
| st = self._state | |
| if not isinstance(X, pd.DataFrame): | |
| raise TypeError( | |
| f"T7 predict: expected DataFrame; got {type(X).__name__}" | |
| ) | |
| if "address" not in X.columns: | |
| raise ValueError("T7 predict: X must include 'address'.") | |
| df = X.copy() | |
| for col in ( | |
| "sqft", "squareFootage", "square_footage", | |
| "beds", "bedrooms", "baths", "bathrooms", | |
| "year_built", "yearBuilt", | |
| "years_since_last_sale", | |
| ): | |
| if col in df.columns: | |
| df[col] = pd.to_numeric(df[col], errors="coerce") | |
| prop_type_col = st["prop_type_col"] | |
| if prop_type_col and prop_type_col in df.columns: | |
| prop_dummies = pd.get_dummies( | |
| df[prop_type_col], prefix="ptype", dtype=np.float32, | |
| ) | |
| df = pd.concat( | |
| [df.reset_index(drop=True), prop_dummies.reset_index(drop=True)], | |
| axis=1, | |
| ) | |
| X_feat = _align_columns( | |
| df, st["feat_cols"], fillna=False, | |
| ).astype(np.float32) | |
| X_arr = X_feat.values.astype(np.float32) | |
| X_arr = np.where(np.isposinf(X_arr) | np.isneginf(X_arr), | |
| np.nan, X_arr) | |
| out = pd.DataFrame({"address": X["address"].astype(str).values}) | |
| for target_name in ("rent", "price"): | |
| model = st["models"].get(target_name) | |
| if model is None: | |
| out[f"pred_{target_name}"] = np.full( | |
| len(X), np.nan, dtype=np.float32, | |
| ) | |
| continue | |
| if isinstance(model, tuple) and model[0] == "constant": | |
| out[f"pred_{target_name}"] = np.full( | |
| len(X), float(model[1]), dtype=np.float32, | |
| ) | |
| continue | |
| preds = model.predict(X_arr) | |
| preds = np.clip(preds, 0.0, None) | |
| out[f"pred_{target_name}"] = preds.astype(np.float32) | |
| return out | |
| # ── RandomForest variant ────────────────────────────────────────────────── | |
| def _make_rf_estimator( | |
| cfg: RandomForestConfig, *, seed: int, | |
| ) -> Any: | |
| """Build a fresh sklearn ``RandomForestRegressor`` from ``cfg``. | |
| Lazy-imports sklearn so the import-time cost is only paid when the | |
| classical/random_forest method is actually instantiated. | |
| """ | |
| from sklearn.ensemble import RandomForestRegressor | |
| return RandomForestRegressor( | |
| n_estimators=int(cfg.n_estimators), | |
| max_depth=cfg.max_depth, | |
| min_samples_leaf=int(cfg.min_samples_leaf), | |
| n_jobs=int(cfg.n_jobs), | |
| random_state=int(seed), | |
| ) | |
| def _make_rf_log_pipeline( | |
| cfg: RandomForestConfig, *, seed: int, | |
| ) -> Any: | |
| """RandomForest wrapped in a log1p/expm1 target transform. | |
| Used by T2 / T5 / T7 (positive-target regression). Mirrors | |
| :meth:`LightGBMRegressor._make_log_pipeline` but with sklearn's RF | |
| as the regressor. RF is scale-invariant; no StandardScaler step. | |
| """ | |
| from sklearn.compose import TransformedTargetRegressor | |
| return TransformedTargetRegressor( | |
| regressor=_make_rf_estimator(cfg, seed=seed), | |
| func=np.log1p, | |
| inverse_func=np.expm1, | |
| ) | |
| class RandomForestMethod(_JoblibSaveMixin, Method): | |
| """sklearn RandomForestRegressor with per-task private dispatch. | |
| Mirrors :class:`LightGBMRegressor` per-task adapter shape (T1..T7) but | |
| swaps the base estimator for ``sklearn.ensemble.RandomForestRegressor``. | |
| Reuses the module-level helpers (``_flatten_panel``, ``_align_columns``, | |
| ``_numeric_feature_cols``, plus the ``_t3_t6_build_ticker_features`` / | |
| ``_t7_build_features`` helpers from :class:`LightGBMRegressor`). | |
| Key behaviour differences from LightGBM: | |
| * sklearn RandomForest does NOT handle NaN inputs natively; every fit / | |
| predict path zero-fills NaN before calling the estimator. | |
| * sklearn RandomForest does NOT accept sparse CSR matrices on the T3/T6 | |
| ensemble path; we densify with ``.toarray()`` before fit/predict | |
| (acceptable for the small-pool T3/T6 train sets). | |
| * The class is named ``RandomForestMethod`` (not | |
| ``RandomForestRegressor``) to avoid the name collision with | |
| ``sklearn.ensemble.RandomForestRegressor``. | |
| """ | |
| name: ClassVar[str] = "random_forest" | |
| family: ClassVar[str] = "classical" | |
| tasks: ClassVar[frozenset[str]] = frozenset( | |
| {"T1", "T2", "T3", "T4", "T5", "T6", "T7"} | |
| ) | |
| schema_version: ClassVar[int] = 1 | |
| def __init__( | |
| self, | |
| *, | |
| task: str, | |
| config: RandomForestConfig | None = None, | |
| **kwargs: Any, | |
| ) -> None: | |
| if task not in self.tasks: | |
| raise ValueError( | |
| f"RandomForestMethod: unsupported task {task!r}; " | |
| f"supported = {sorted(self.tasks)}" | |
| ) | |
| self.task = task | |
| if config is None: | |
| config = ( | |
| RandomForestConfig(**kwargs) if kwargs else RandomForestConfig() | |
| ) | |
| elif kwargs: | |
| raise ValueError( | |
| "RandomForestMethod: pass either ``config=`` or kwargs, not both" | |
| ) | |
| self.config = config | |
| self._state: dict[str, Any] = {} | |
| # ── public API ──────────────────────────────────────────────────────── | |
| def fit(self, X: Any, y: Any, *, seed: int = 42) -> "RandomForestMethod": | |
| self._seed = int(seed) | |
| if self.task == "T1": | |
| self._fit_t1(X, y) | |
| elif self.task in ("T2", "T5"): | |
| self._fit_t2_t5(X, y) | |
| elif self.task in ("T3", "T6"): | |
| self._fit_t3_t6(X, y) | |
| elif self.task == "T4": | |
| self._fit_t4(X, y) | |
| elif self.task == "T7": | |
| self._fit_t7(X, y) | |
| else: # pragma: no cover -- gated by __init__ | |
| raise ValueError(self.task) | |
| return self | |
| def predict(self, X: Any) -> np.ndarray | pd.DataFrame: | |
| if not self._state: | |
| raise RuntimeError( | |
| "RandomForestMethod: call .fit(X, y) before .predict()." | |
| ) | |
| if self.task == "T1": | |
| return self._predict_t1(X) | |
| if self.task in ("T2", "T5"): | |
| return self._predict_t2_t5(X) | |
| if self.task in ("T3", "T6"): | |
| return self._predict_t3_t6(X) | |
| if self.task == "T4": | |
| return self._predict_t4(X) | |
| if self.task == "T7": | |
| return self._predict_t7(X) | |
| raise ValueError(self.task) # pragma: no cover | |
| def lib_versions(self) -> dict[str, str]: | |
| return _classical_lib_versions() | |
| def default_config(cls) -> RandomForestConfig: | |
| return RandomForestConfig() | |
| # ── helpers (re-use LightGBM's T3/T6 + T7 feature builders) ─────────── | |
| def _t3_t6_build_ticker_features( | |
| self, X: pd.DataFrame, | |
| ) -> tuple[pd.DataFrame, list[str]]: | |
| return LightGBMRegressor._t3_t6_build_ticker_features(self, X) | |
| def _t7_build_features( | |
| self, X: pd.DataFrame, *, fit: bool, | |
| ) -> tuple[pd.DataFrame, list[str], str | None]: | |
| return LightGBMRegressor._t7_build_features(self, X, fit=fit) | |
| def _t4_flatten_lookback(lb_col: pd.Series) -> tuple[np.ndarray, int]: | |
| return LightGBMRegressor._t4_flatten_lookback(lb_col) | |
| def _t7_first_col( | |
| df: pd.DataFrame, candidates: tuple[str, ...], | |
| ) -> str | None: | |
| return LightGBMRegressor._t7_first_col(df, candidates) | |
| # ── T1 — multi-output regression on per-window log-returns ──────────── | |
| def _fit_t1(self, X: np.ndarray, y: np.ndarray) -> None: | |
| """Multi-output log-return regression; mirrors LightGBM T1. | |
| sklearn RandomForest natively supports multi-output targets — fit | |
| ONE forest with ``y.shape == (N, horizon)`` rather than wrapping in | |
| ``MultiOutputRegressor`` (which trains horizon-many forests | |
| sequentially). The ONE-forest path is ~horizon× faster and matches | |
| what sklearn's reference docs recommend for vector-valued targets. | |
| sklearn RandomForest does NOT handle NaN natively, so we zero-fill | |
| any NaN cells before fitting (in addition to scrubbing +/-inf). | |
| """ | |
| if not isinstance(X, np.ndarray) or X.ndim != 3: | |
| raise ValueError( | |
| f"T1 fit: expected ndarray X (N, L, F); got " | |
| f"{type(X).__name__} {getattr(X, 'shape', '?')}" | |
| ) | |
| if not isinstance(y, np.ndarray) or y.ndim != 2: | |
| raise ValueError( | |
| f"T1 fit: expected ndarray y (N, horizon); got " | |
| f"{type(y).__name__} {getattr(y, 'shape', '?')}" | |
| ) | |
| if y.shape[0] != X.shape[0]: | |
| raise ValueError( | |
| f"T1 fit: y/X length mismatch ({y.shape[0]} vs {X.shape[0]})." | |
| ) | |
| horizon = int(y.shape[1]) | |
| close_idx = 0 | |
| c = X[:, -1, close_idx].astype(np.float64) | |
| y_f = y.astype(np.float64) | |
| keep = ( | |
| np.isfinite(c) & (c > 0.0) & | |
| np.isfinite(y_f).all(axis=1) & (y_f > 0.0).all(axis=1) | |
| ) | |
| n_total = int(X.shape[0]) | |
| n_keep = int(keep.sum()) | |
| if n_keep < 1: | |
| raise RuntimeError( | |
| f"T1 fit: only {n_keep}/{n_total} training windows have " | |
| "positive finite close + horizon prices; cannot fit " | |
| "log-return target." | |
| ) | |
| X_kept = X[keep] | |
| c_kept = c[keep] | |
| y_log = np.log(y_f[keep] / c_kept[:, None]).astype(np.float32) | |
| X_flat = _flatten_panel( | |
| X_kept, add_rolling_close=True, close_idx=close_idx, | |
| ) | |
| # Scrub +/-inf AND zero-fill NaN — sklearn RF rejects all non-finite. | |
| X_flat = np.nan_to_num( | |
| X_flat, nan=0.0, posinf=0.0, neginf=0.0, | |
| ).astype(np.float32) | |
| # NATIVE multi-output: one RF tree set predicts all horizon steps. | |
| model = _make_rf_estimator(self.config, seed=self._seed) | |
| model.fit(X_flat, y_log) | |
| self._state = { | |
| "model": model, | |
| "close_idx": close_idx, | |
| "horizon": horizon, | |
| "n_features_flat": X_flat.shape[1], | |
| "n_train_total": n_total, | |
| "n_train_kept": n_keep, | |
| "log_clip": 2.0, | |
| } | |
| self._horizon = horizon | |
| def _predict_t1(self, X: np.ndarray) -> np.ndarray: | |
| st = self._state | |
| if not isinstance(X, np.ndarray) or X.ndim != 3: | |
| raise ValueError( | |
| f"T1 predict: expected ndarray (N, L, F); got " | |
| f"{type(X).__name__} {getattr(X, 'shape', '?')}" | |
| ) | |
| close_idx = int(st["close_idx"]) | |
| c_test = X[:, -1, close_idx].astype(np.float64) | |
| c_safe = np.where(np.isfinite(c_test) & (c_test > 0.0), c_test, np.nan) | |
| X_flat = _flatten_panel( | |
| X, add_rolling_close=True, close_idx=close_idx, | |
| ) | |
| # Zero-fill NaN and scrub +/-inf — sklearn RF cannot handle them. | |
| X_flat = np.nan_to_num( | |
| X_flat, nan=0.0, posinf=0.0, neginf=0.0, | |
| ).astype(np.float32) | |
| n_train_cols = st["n_features_flat"] | |
| if X_flat.shape[1] > n_train_cols: | |
| X_flat = X_flat[:, :n_train_cols] | |
| elif X_flat.shape[1] < n_train_cols: | |
| pad = np.zeros( | |
| (X_flat.shape[0], n_train_cols - X_flat.shape[1]), | |
| dtype=np.float32, | |
| ) | |
| X_flat = np.concatenate([X_flat, pad], axis=1) | |
| log_pred = st["model"].predict(X_flat).astype(np.float64) | |
| if log_pred.ndim == 1: | |
| log_pred = log_pred.reshape(-1, st["horizon"]) | |
| clip = float(st.get("log_clip", 2.0)) | |
| log_pred = np.clip(log_pred, -clip, clip) | |
| out = c_safe[:, None] * np.exp(log_pred) | |
| bad = ~np.isfinite(out) | |
| if bad.any(): | |
| tile = np.broadcast_to(c_test[:, None], out.shape).astype(np.float64) | |
| out = np.where(bad, tile, out) | |
| return out.astype(np.float32) | |
| # ── T2 / T5 — log-target regression ─────────────────────────────────── | |
| def _fit_t2_t5(self, X: pd.DataFrame, y: np.ndarray) -> None: | |
| if not isinstance(X, pd.DataFrame): | |
| raise TypeError( | |
| f"{self.task} fit: expected DataFrame X; got {type(X).__name__}" | |
| ) | |
| if self.task == "T2": | |
| prefixes: tuple[str, ...] = ("stmt_", "derived_", "fred_", "eia_") | |
| else: | |
| prefixes = ("stmt_", "fred_", "eia_") | |
| df = X.copy() | |
| feat_cols = [ | |
| c for c in _numeric_feature_cols(df, prefixes) | |
| if c not in {"derived_market_cap", "actual_market_cap"} | |
| ] | |
| if "sector" in df.columns: | |
| sec_dummies = pd.get_dummies( | |
| df["sector"], prefix="sector", dtype=np.float32, | |
| ) | |
| df = pd.concat( | |
| [df.reset_index(drop=True), sec_dummies.reset_index(drop=True)], | |
| axis=1, | |
| ) | |
| feat_cols += list(sec_dummies.columns) | |
| if "industry" in df.columns: | |
| ind_dummies = pd.get_dummies( | |
| df["industry"], prefix="industry", dtype=np.float32, | |
| ) | |
| df = pd.concat( | |
| [df.reset_index(drop=True), ind_dummies.reset_index(drop=True)], | |
| axis=1, | |
| ) | |
| feat_cols += list(ind_dummies.columns) | |
| X_feat = df[feat_cols].astype(np.float32) | |
| y_arr = pd.to_numeric( | |
| pd.Series(np.asarray(y).ravel()), errors="coerce", | |
| ).astype(np.float64) | |
| valid = y_arr.notna() & (y_arr > 0) | |
| X_feat = X_feat.loc[valid.values] | |
| y_arr = y_arr.loc[valid.values] | |
| if X_feat.empty: | |
| raise RuntimeError( | |
| f"{self.task} fit: no rows with positive market_cap after drop." | |
| ) | |
| # sklearn RF rejects NaN/inf — zero-fill before fit. | |
| X_arr = np.nan_to_num( | |
| X_feat.values.astype(np.float32), | |
| nan=0.0, posinf=0.0, neginf=0.0, | |
| ).astype(np.float32) | |
| model = _make_rf_log_pipeline(self.config, seed=self._seed) | |
| model.fit(X_arr, y_arr.values) | |
| self._state = { | |
| "model": model, | |
| "feat_cols": feat_cols, | |
| "prefixes": prefixes, | |
| } | |
| def _predict_t2_t5(self, X: pd.DataFrame) -> np.ndarray: | |
| st = self._state | |
| if not isinstance(X, pd.DataFrame): | |
| raise TypeError( | |
| f"{self.task} predict: expected DataFrame; got {type(X).__name__}" | |
| ) | |
| df = X.copy() | |
| if "sector" in df.columns: | |
| sec_dummies = pd.get_dummies( | |
| df["sector"], prefix="sector", dtype=np.float32, | |
| ) | |
| df = pd.concat( | |
| [df.reset_index(drop=True), sec_dummies.reset_index(drop=True)], | |
| axis=1, | |
| ) | |
| if "industry" in df.columns: | |
| ind_dummies = pd.get_dummies( | |
| df["industry"], prefix="industry", dtype=np.float32, | |
| ) | |
| df = pd.concat( | |
| [df.reset_index(drop=True), ind_dummies.reset_index(drop=True)], | |
| axis=1, | |
| ) | |
| # Zero-fill NaN at align time (RF can't handle them); also scrub | |
| # any straggler +/-inf below. | |
| X_feat = _align_columns( | |
| df, st["feat_cols"], fillna=True, | |
| ).astype(np.float32) | |
| X_arr = np.nan_to_num( | |
| X_feat.values.astype(np.float32), | |
| nan=0.0, posinf=0.0, neginf=0.0, | |
| ).astype(np.float32) | |
| preds = st["model"].predict(X_arr) | |
| preds = np.clip(preds, 0.0, None) | |
| return preds.astype(np.float32) | |
| # ── T3 / T6 — per-field booster ensemble (sparse field one-hot) ─────── | |
| def _fit_t3_t6(self, X: pd.DataFrame, y: pd.DataFrame) -> None: | |
| """Single RandomForest with per-(ticker, fiscal_year) numeric | |
| features + one-hot of ``field``. sklearn RF does NOT accept sparse | |
| CSR — we densify with ``.toarray()`` before fit (acceptable for | |
| the small-pool T3/T6 train sets). | |
| """ | |
| from sklearn.preprocessing import OneHotEncoder | |
| if not isinstance(X, pd.DataFrame): | |
| raise TypeError( | |
| f"{self.task} fit: expected DataFrame X; got {type(X).__name__}" | |
| ) | |
| if not isinstance(y, pd.DataFrame): | |
| raise TypeError( | |
| f"{self.task} fit: expected long-form DataFrame y; got " | |
| f"{type(y).__name__}" | |
| ) | |
| for col in ("ticker", "field", "value"): | |
| if col not in y.columns: | |
| raise ValueError( | |
| f"{self.task} fit: y missing required column {col!r}" | |
| ) | |
| ticker_feats, feat_cols = self._t3_t6_build_ticker_features(X) | |
| fitted_fields: list[str] = sorted( | |
| str(f) for f in y["field"].astype(str).unique() | |
| ) | |
| gt = y.copy() | |
| gt["value_num"] = pd.to_numeric(gt["value"], errors="coerce") | |
| gt["field"] = gt["field"].astype(str) | |
| gt = gt.merge(ticker_feats, on="ticker", how="left").fillna(0.0) | |
| gt = gt.dropna(subset=["value_num"]) | |
| per_field_count = gt.groupby("field").size().to_dict() | |
| median_fields: dict[str, float] = {} | |
| small_field_set: set[str] = set() | |
| for field in fitted_fields: | |
| cnt = int(per_field_count.get(field, 0)) | |
| if cnt < 5: | |
| sub = gt[gt["field"] == field] | |
| med = float(sub["value_num"].median()) if not sub.empty else 0.0 | |
| median_fields[field] = med | |
| small_field_set.add(field) | |
| train_mask = ~gt["field"].isin(small_field_set) | |
| gt_train = gt[train_mask] | |
| global_model = None | |
| global_scaler = None | |
| use_log = False | |
| y_min = 0.0 | |
| y_max = 0.0 | |
| y_range = 1.0 | |
| ohe: OneHotEncoder | None = None | |
| if not gt_train.empty: | |
| y_tr = gt_train["value_num"].values.astype(np.float64) | |
| nz = y_tr[y_tr != 0] | |
| if nz.size > 0: | |
| use_log = float(np.median(np.abs(nz))) > 1000 | |
| y_tr_t = ( | |
| np.sign(y_tr) * np.log1p(np.abs(y_tr)) if use_log else y_tr | |
| ) | |
| X_num_tr = gt_train[feat_cols].values.astype(np.float32) | |
| # sklearn RF rejects NaN/inf — zero-fill. | |
| X_num_tr = np.nan_to_num( | |
| X_num_tr, nan=0.0, posinf=0.0, neginf=0.0, | |
| ).astype(np.float32) | |
| ohe = OneHotEncoder( | |
| categories=[fitted_fields], | |
| handle_unknown="ignore", | |
| sparse_output=True, | |
| dtype=np.float32, | |
| ) | |
| field_arr_tr = gt_train["field"].values.reshape(-1, 1) | |
| X_field_tr = ohe.fit_transform(field_arr_tr).toarray().astype(np.float32) | |
| X_full_tr = np.concatenate([X_num_tr, X_field_tr], axis=1) | |
| global_model = _make_rf_estimator(self.config, seed=self._seed) | |
| global_model.fit(X_full_tr, y_tr_t) | |
| y_min = float(y_tr.min()) | |
| y_max = float(y_tr.max()) | |
| y_range = max(abs(y_max - y_min), abs(y_max) * 0.1, 1.0) | |
| self._state = { | |
| "ticker_feats": ticker_feats, | |
| "feat_cols": feat_cols, | |
| "fitted_fields": fitted_fields, | |
| "median_fields": median_fields, | |
| "model": global_model, | |
| "scaler": global_scaler, | |
| "ohe": ohe, | |
| "use_log": use_log, | |
| "y_min": y_min, | |
| "y_max": y_max, | |
| "y_range": y_range, | |
| } | |
| self.fitted_fields = fitted_fields | |
| def _predict_t3_t6(self, X: pd.DataFrame) -> pd.DataFrame: | |
| st = self._state | |
| if not isinstance(X, pd.DataFrame): | |
| raise TypeError( | |
| f"{self.task} predict: expected DataFrame; got {type(X).__name__}" | |
| ) | |
| if "ticker" not in X.columns or "fiscal_year" not in X.columns: | |
| raise ValueError( | |
| f"{self.task} predict: X must include 'ticker' and " | |
| f"'fiscal_year'." | |
| ) | |
| fitted_fields: list[str] = st["fitted_fields"] | |
| median_fields: dict[str, float] = st["median_fields"] | |
| feat_cols: list[str] = st["feat_cols"] | |
| test_feats, _ = self._t3_t6_build_ticker_features(X) | |
| test_feats = test_feats.set_index("ticker") | |
| for c in feat_cols: | |
| if c not in test_feats.columns: | |
| test_feats[c] = 0.0 | |
| test_feats = test_feats[feat_cols].fillna(0.0) | |
| n_rows = len(X) | |
| n_fields = len(fitted_fields) | |
| rows: list[dict[str, Any]] = [] | |
| if n_rows == 0 or n_fields == 0: | |
| return pd.DataFrame( | |
| rows, columns=["ticker", "fiscal_year", "field", "pred"], | |
| ) | |
| ticker_arr = X["ticker"].astype(str).values | |
| fy_arr = X["fiscal_year"].values | |
| zero_vec = np.zeros(len(feat_cols), dtype=np.float32) | |
| feats_by_ticker: dict[str, np.ndarray] = {} | |
| for t in set(ticker_arr.tolist()): | |
| try: | |
| v = test_feats.loc[t] | |
| if isinstance(v, pd.DataFrame): | |
| v = v.iloc[0] | |
| feats_by_ticker[t] = np.asarray( | |
| v.values, dtype=np.float32, | |
| ) | |
| except KeyError: | |
| feats_by_ticker[t] = zero_vec | |
| model = st["model"] | |
| ohe = st["ohe"] | |
| use_log = bool(st["use_log"]) | |
| y_min = float(st["y_min"]) | |
| y_max = float(st["y_max"]) | |
| y_range = float(st["y_range"]) | |
| unique_tickers = list(dict.fromkeys(ticker_arr.tolist())) | |
| model_fields = ( | |
| [f for f in fitted_fields if f not in median_fields] | |
| if model is not None else [] | |
| ) | |
| cell_pred: dict[tuple[str, str], float] = {} | |
| if model is not None and model_fields and unique_tickers: | |
| X_num = np.stack( | |
| [feats_by_ticker[t] for t in unique_tickers], axis=0, | |
| ).astype(np.float32) | |
| X_num = np.nan_to_num( | |
| X_num, nan=0.0, posinf=0.0, neginf=0.0, | |
| ).astype(np.float32) | |
| n_t = len(unique_tickers) | |
| n_mf = len(model_fields) | |
| X_num_rep = np.repeat(X_num, n_mf, axis=0) | |
| field_arr = np.tile( | |
| np.asarray(model_fields, dtype=object), n_t, | |
| ).reshape(-1, 1) | |
| assert ohe is not None | |
| X_field = ohe.transform(field_arr).toarray().astype(np.float32) | |
| X_full = np.concatenate([X_num_rep, X_field], axis=1) | |
| y_pred_t = np.asarray(model.predict(X_full)) | |
| if use_log: | |
| y_pred = np.sign(y_pred_t) * np.expm1(np.abs(y_pred_t)) | |
| else: | |
| y_pred = y_pred_t | |
| y_pred = np.clip(y_pred, y_min - y_range, y_max + y_range) | |
| y_pred = y_pred.reshape(n_t, n_mf) | |
| for ti, t in enumerate(unique_tickers): | |
| for fi, f in enumerate(model_fields): | |
| cell_pred[(t, f)] = float(y_pred[ti, fi]) | |
| for i in range(n_rows): | |
| t = ticker_arr[i] | |
| fy = fy_arr[i] | |
| for field in fitted_fields: | |
| if field in median_fields: | |
| val = median_fields[field] | |
| else: | |
| val = cell_pred.get((t, field), 0.0) | |
| rows.append({ | |
| "ticker": t, | |
| "fiscal_year": fy, | |
| "field": field, | |
| "pred": float(val), | |
| }) | |
| return pd.DataFrame( | |
| rows, columns=["ticker", "fiscal_year", "field", "pred"], | |
| ) | |
| # ── T4 — flat-lookback + event-type one-hot ─────────────────────────── | |
| def _fit_t4(self, X: pd.DataFrame, y: np.ndarray) -> None: | |
| if not isinstance(X, pd.DataFrame): | |
| raise TypeError( | |
| f"T4 fit: expected DataFrame X; got {type(X).__name__}" | |
| ) | |
| if "lookback" not in X.columns or "event_type" not in X.columns: | |
| raise ValueError( | |
| "T4 fit: X must include 'lookback' and 'event_type' columns." | |
| ) | |
| flat, n_lb_flat = self._t4_flatten_lookback(X["lookback"]) | |
| et_arr = X["event_type"].astype(str).values | |
| et_dummies = pd.get_dummies( | |
| pd.Series(et_arr), prefix="evt", dtype=np.float32, | |
| ) | |
| X_arr = np.concatenate( | |
| [flat, et_dummies.values.astype(np.float32)], axis=1, | |
| ) | |
| # sklearn RF rejects NaN/inf — zero-fill. | |
| X_arr = np.nan_to_num( | |
| X_arr, nan=0.0, posinf=0.0, neginf=0.0, | |
| ).astype(np.float32) | |
| y_arr = np.asarray(y, dtype=np.float32).ravel() | |
| if y_arr.shape[0] != X_arr.shape[0]: | |
| raise ValueError( | |
| f"T4 fit: y/X length mismatch ({y_arr.shape[0]} vs " | |
| f"{X_arr.shape[0]})." | |
| ) | |
| model = _make_rf_estimator(self.config, seed=self._seed) | |
| model.fit(X_arr, y_arr) | |
| self._state = { | |
| "model": model, | |
| "evt_columns": list(et_dummies.columns), | |
| "n_lb_flat": int(n_lb_flat), | |
| } | |
| def _predict_t4(self, X: pd.DataFrame) -> np.ndarray: | |
| st = self._state | |
| if not isinstance(X, pd.DataFrame): | |
| raise TypeError( | |
| f"T4 predict: expected DataFrame; got {type(X).__name__}" | |
| ) | |
| if "lookback" not in X.columns or "event_type" not in X.columns: | |
| raise ValueError( | |
| "T4 predict: X must include 'lookback' and 'event_type'." | |
| ) | |
| flat, _ = self._t4_flatten_lookback(X["lookback"]) | |
| if flat.shape[1] > st["n_lb_flat"]: | |
| flat = flat[:, : st["n_lb_flat"]] | |
| elif flat.shape[1] < st["n_lb_flat"]: | |
| pad = np.zeros( | |
| (flat.shape[0], st["n_lb_flat"] - flat.shape[1]), | |
| dtype=np.float32, | |
| ) | |
| flat = np.concatenate([flat, pad], axis=1) | |
| et_arr = X["event_type"].astype(str).values | |
| et_dummies = pd.get_dummies( | |
| pd.Series(et_arr), prefix="evt", dtype=np.float32, | |
| ) | |
| for c in st["evt_columns"]: | |
| if c not in et_dummies.columns: | |
| et_dummies[c] = 0.0 | |
| et_dummies = et_dummies[st["evt_columns"]].fillna(0.0) | |
| X_arr = np.concatenate( | |
| [flat, et_dummies.values.astype(np.float32)], axis=1, | |
| ) | |
| X_arr = np.nan_to_num( | |
| X_arr, nan=0.0, posinf=0.0, neginf=0.0, | |
| ).astype(np.float32) | |
| return st["model"].predict(X_arr).astype(np.float32) | |
| # ── T7 — dual-output (rent, price) ──────────────────────────────────── | |
| def _fit_t7(self, X: pd.DataFrame, y: pd.DataFrame) -> None: | |
| if not isinstance(X, pd.DataFrame): | |
| raise TypeError( | |
| f"T7 fit: expected DataFrame X; got {type(X).__name__}" | |
| ) | |
| if "address" not in X.columns: | |
| raise ValueError("T7 fit: X must include 'address'.") | |
| df, feat_cols, prop_type_col = self._t7_build_features(X, fit=True) | |
| rent_col = self._t7_first_col(df, ("rent",)) | |
| price_col = self._t7_first_col(df, ("price", "lastsaleprice")) | |
| if isinstance(y, pd.DataFrame) and "address" in y.columns: | |
| if rent_col is None and "rent" in y.columns: | |
| df = df.merge( | |
| y[["address", "rent"]], on="address", how="left", | |
| ) | |
| rent_col = "rent" | |
| if price_col is None and "price" in y.columns: | |
| df = df.merge( | |
| y[["address", "price"]], on="address", how="left", | |
| ) | |
| price_col = "price" | |
| if rent_col is None and price_col is None: | |
| raise RuntimeError("T7 fit: no rent or price target found.") | |
| # sklearn RF rejects NaN/inf — zero-fill. | |
| X_feat = df[feat_cols].astype(np.float32) | |
| X_arr = np.nan_to_num( | |
| X_feat.values.astype(np.float32), | |
| nan=0.0, posinf=0.0, neginf=0.0, | |
| ).astype(np.float32) | |
| models: dict[str, Any] = {} | |
| for target_name, target_col in (("rent", rent_col), ("price", price_col)): | |
| if target_col is None: | |
| continue | |
| y_all = pd.to_numeric(df[target_col], errors="coerce") | |
| valid = y_all.notna() & (y_all > 0) | |
| n_valid = int(valid.sum()) | |
| if n_valid < 1: | |
| continue | |
| X_tr = X_arr[valid.values] | |
| y_tr = y_all.loc[valid].values.astype(np.float64) | |
| if n_valid < 2: | |
| # RandomForest tolerates n=1 but eval is degenerate; emit a | |
| # constant predictor to match LightGBM's degenerate-case | |
| # behaviour exactly (smoke-run path only). | |
| models[target_name] = ("constant", float(y_tr.mean())) | |
| continue | |
| m = _make_rf_log_pipeline(self.config, seed=self._seed) | |
| m.fit(X_tr, y_tr) | |
| models[target_name] = m | |
| if not models: | |
| raise RuntimeError( | |
| f"T7 fit: insufficient training data " | |
| f"(rent_col={rent_col!r}, price_col={price_col!r}, " | |
| f"n_rows={len(df)}); need >=1 row with a positive target." | |
| ) | |
| self._state = { | |
| "feat_cols": feat_cols, | |
| "prop_type_col": prop_type_col, | |
| "models": models, | |
| } | |
| def _predict_t7(self, X: pd.DataFrame) -> pd.DataFrame: | |
| st = self._state | |
| if not isinstance(X, pd.DataFrame): | |
| raise TypeError( | |
| f"T7 predict: expected DataFrame; got {type(X).__name__}" | |
| ) | |
| if "address" not in X.columns: | |
| raise ValueError("T7 predict: X must include 'address'.") | |
| df = X.copy() | |
| for col in ( | |
| "sqft", "squareFootage", "square_footage", | |
| "beds", "bedrooms", "baths", "bathrooms", | |
| "year_built", "yearBuilt", | |
| "years_since_last_sale", | |
| ): | |
| if col in df.columns: | |
| df[col] = pd.to_numeric(df[col], errors="coerce") | |
| prop_type_col = st["prop_type_col"] | |
| if prop_type_col and prop_type_col in df.columns: | |
| prop_dummies = pd.get_dummies( | |
| df[prop_type_col], prefix="ptype", dtype=np.float32, | |
| ) | |
| df = pd.concat( | |
| [df.reset_index(drop=True), prop_dummies.reset_index(drop=True)], | |
| axis=1, | |
| ) | |
| # Zero-fill NaN at align time and scrub stragglers — RF rejects them. | |
| X_feat = _align_columns( | |
| df, st["feat_cols"], fillna=True, | |
| ).astype(np.float32) | |
| X_arr = np.nan_to_num( | |
| X_feat.values.astype(np.float32), | |
| nan=0.0, posinf=0.0, neginf=0.0, | |
| ).astype(np.float32) | |
| out = pd.DataFrame({"address": X["address"].astype(str).values}) | |
| for target_name in ("rent", "price"): | |
| model = st["models"].get(target_name) | |
| if model is None: | |
| out[f"pred_{target_name}"] = np.full( | |
| len(X), np.nan, dtype=np.float32, | |
| ) | |
| continue | |
| if isinstance(model, tuple) and model[0] == "constant": | |
| out[f"pred_{target_name}"] = np.full( | |
| len(X), float(model[1]), dtype=np.float32, | |
| ) | |
| continue | |
| preds = model.predict(X_arr) | |
| preds = np.clip(preds, 0.0, None) | |
| out[f"pred_{target_name}"] = preds.astype(np.float32) | |
| return out | |