Hetero Feature Binning
======================
Feature binning or data binning is a data pre-processing technique. It can be use to reduce the effects of minor observation errors, calculate information values and so on.
Currently, we provide quantile binning and bucket binning methods. To achieve quantile binning approach, we have used a special data structure mentioned in this `[paper]
As for calculating the federated iv and woe values, the following figure can describe the principle properly.
.. figure:: ./images/binning_principle.png
:width: 850
:align: center
Figure 1 (Federated Feature Binning Principle)
As the figure shows, B party which has the data labels encrypt its labels with Addiction homomorphic encryption and then send to A. A static each bin's label sum and send back. Then B can calculate woe and iv base on the given information.
For multiple hosts, it is similar with one host case. Guest sends its encrypted label information to all hosts, and each of the hosts calculates and sends back the static info.
.. figure:: ./images/multiple_host_binning.png
:width: 850
:alt: samples
:align: center
Figure 2： Multi-Host Binning Principle
For optimal binning, each party use quantile binning or bucket binning find initial split points. Then Guest will send encrypted labels to Host. Host use them calculate histogram of each bin and send back to Guest. Then start optimal binning methods.
.. figure:: ./images/optimal_binning.png
:width: 850
:align: center
Figure 3： Multi-Host Binning Principle
There exist two kinds of methods, merge-optimal binning and split-optimal binning. When choosing metrics as iv, gini or chi-square, merge type optimal binning will be used. On the other hand, if ks is choosed, split type optimal binning will be used.
Param
------
.. automodule:: federatedml.param.feature_binning_param
:members:
Features
--------
1. Support Quantile Binning based on quantile summary algorithm.
2. Support Bucket Binning.
3. Support missing value input by ignoring them.
4. Support sparse data format generated by dataio component.
5. Support calculating woe and iv as well as counting positive and negative cases for each bin.
6. Support transforming data into bin indexes.
7. Support multiple hosts binning.
8. Support 4 types of optimal binning.
9. Support asymmetric binning methods on Host & Guest sides.
Hetero Feature Selection
========================
Feature selection is a process that selects a subset of features for model construction. Take good advantage of feature selection can improve model performance.
In this version, we provide several filter methods for feature selection.
Param
------
.. automodule:: federatedml.param.feature_selection_param
:members:
Features
--------
1. unique_value: filter the columns if all values in this feature is the same
2. iv_filter: Use iv as criterion to selection features. Support three mode: threshold value, top-k and top-percentile.
* threshold value: Filter those columns whose iv is smaller than threshold. You can also set different threshold for each party.
* top-k: Sort features from larger iv to smaller and take top k features in the sorted result.
* top-percentile. Sort features from larger to smaller and take top percentile.
3. statistic_filter: Use statistic values calculate from DataStatistic component. Support coefficient of variance, missing value, percentile value etc. You can pick the columns with higher statistic values or smaller values as you need.
4. psi_filter: Take PSI component as input isometric model. Then, use its psi value as criterion of selection.
5. hetero_sbt_filter/homo_sbt_filter/hetero_fast_sbt_filter: Take secureboost component as input isometric model. And use feature importance as criterion of selection.
6. manually: Indicate features that need to be filtered.
7. percentage_value: Filter the columns that have a value that exceeds a certain percentage.
Besides, we support multi-host federated feature selection for iv filters. Hosts encode feature names and send the feature ids that are involved in feature selection. Guest use iv filters' logic to judge whether a feature is left or not. Then guest sends result back to hosts. Hosts decode feature ids back to feature names and obtain selection results.
.. figure:: images/multi_host_selection.png
:width: 850
:align: center
Figure 4: Multi-Host Selection Principle