Updates to Featurizer #69
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jchaskell
reviewed
Aug 29, 2023
| "a": [2.0, 2.0, 2.0, 4.0], | ||
| "b": [1.0, 1.0, 1.0, 3.0], | ||
| "c": [0.5, 0.5, 0.5, 2.5], | ||
| "d": [np.inf, np.inf, np.inf, np.inf], |
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I realize we don't expect non FE features to ever be all the same but do we want it to error out in this case?
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I think so? since it will be linearly dependent with the intercept and cause a matrix inversion error either way.
Co-authored-by: Jen Haskell <[email protected]>
Co-authored-by: Jen Haskell <[email protected]>
Co-authored-by: Jen Haskell <[email protected]>
What part are you hesitant about? |
dmnapolitano
reviewed
Sep 1, 2023
| # beta_0 + beta_u * indic{u} | ||
| # and the fixed effect estimate for the dropped value is beta_0, so the average is: | ||
| # beta_0 + (beta_r / 3) + (beta_u / 3) | ||
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Sorry, I just saw this comment. And thanks for adding it; it helps me understand the math better 😄 👍🏻
But I have to admit I'm not familiar with this 😞 Do you have another example or some literature you can share?
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Description
In order to get the upcoming bootstrap model working I had to make changes to how the
Featurizerworks. But these changes need to be compatible with our nonparametric and gaussian models. This PR is only for the necessary changes to the Featurizer and changes in theBaseElectionModelto work with the new Featurizer (and unit test changes).Beyond centering and scaling the features and adding an intercept, the core problem that the Featurizer needed to deal with was generating fixed effects. Specifically that fixed effects in the fitting data might not appear in the holdout data and fixed effect values in the holdout data might not appear in the fitting data.
In the past we manually added and subtracted the columns. Instead we now generate the fixed effects for all units and instead differentiate between expanded fixed effects (all fixed effects that haven't been dropped to avoid multicolinearity) and active fixed effects (expanded fixed effects that appear in the fitting data).
Jira Ticket
Test Steps
These commands should still work as expected:
also
toxfor unit tests