Metadata-Version: 2.4
Name: fastwoe
Version: 0.1.3.post1
Summary: Fast Weight of Evidence (WOE) encoding and inference
Project-URL: Homepage, https://github.com/xRiskLab/fastwoe
Project-URL: Repository, https://github.com/xRiskLab/fastwoe
Project-URL: Documentation, https://github.com/xRiskLab/fastwoe#readme
Project-URL: Issues, https://github.com/xRiskLab/fastwoe/issues
Project-URL: PyPI, https://pypi.org/project/fastwoe/
Author-email: xRiskLab <contact@xrisklab.ai>
License: MIT
License-File: LICENSE
Keywords: feature-engineering,machine-learning,statistical-inference,weight-of-evidence,woe
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Classifier: Intended Audience :: Developers
Classifier: Intended Audience :: Science/Research
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Classifier: Programming Language :: Python :: 3.10
Classifier: Programming Language :: Python :: 3.11
Classifier: Programming Language :: Python :: 3.12
Classifier: Topic :: Scientific/Engineering :: Artificial Intelligence
Classifier: Topic :: Software Development :: Libraries :: Python Modules
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Description-Content-Type: text/markdown

# FastWoe: Fast Weight of Evidence (WOE) encoding and inference

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FastWoe is a Python library for efficient **Weight of Evidence (WOE)** encoding of categorical features and statistical inference. It's designed for machine learning practitioners seeking robust, interpretable feature engineering and likelihood-ratio-based inference for binary classification problems.

![FastWoe](https://github.com/xRiskLab/fastwoe/raw/main/ims/title.png)

## 🌟 Key Features

- **Fast WOE Encoding**: Leverages scikit-learn's `TargetEncoder` for efficient computation
- **Statistical Confidence Intervals**: Provides standard errors and confidence intervals for WOE values
- **IV Standard Errors**: Statistical significance testing for Information Value with confidence intervals
- **Cardinality Control**: Built-in preprocessing to handle high-cardinality categorical features
- **Intelligent Numerical Binning**: Support for traditional binning, decision tree-based binning, and FAISS KMeans clustering
- **Binning Summaries**: Feature-level binning statistics including Gini score and Information Value (IV)
- **Compatible with scikit-learn**: Follows scikit-learn's preprocessing transformer interface
- **Uncertainty Quantification**: Combines Alan Turing's factor principle with Maximum Likelihood theory (see [paper](docs/woe_st_errors.md))

## 🎲 What is Weight of Evidence?

![Weight of Evidence](https://github.com/xRiskLab/fastwoe/raw/main/ims/weight_of_evidence.png)

Weight of Evidence (WOE) is a statistical technique that:

- Transforms discrete features into logarithmic scores
- Measures the strength of relationship between feature categories and true labels
- Provides interpretable coefficients as weights in logistic regression models
- Handles missing values and rare categories gracefully

**Mathematical Definition:**
```
WOE = ln(P(Event|Category) / P(Non-Event|Category)) - ln(P(Event) / P(Non-Event))
```

Where WOE represents the log-odds difference between a category and the overall population.

## 🚀 Installation

> [!IMPORTANT]
> FastWoe requires Python 3.9+ and scikit-learn 1.3.0+ for TargetEncoder support.

### From PyPI (Recommended)
```bash
pip install fastwoe
```

📦 **View on PyPI**: [https://pypi.org/project/fastwoe/](https://pypi.org/project/fastwoe/)

### Optional Dependencies

#### FAISS KMeans Binning
**Optional: FAISS for KMeans clustering-based binning** (see [Numerical Feature Binning](#-numerical-feature-binning)):

```bash
# CPU version (recommended for most users)
pip install fastwoe[faiss]

# GPU version (for CUDA-enabled systems)
pip install fastwoe[faiss-gpu]
```

For GPU acceleration support:
```bash
pip install faiss-gpu  # Requires CUDA
```

> **⚠️ Important**: If you get `ImportError: FAISS is required for faiss_kmeans binning method`, you need to install the `[faiss]` extras. See [FAISS Troubleshooting Guide](FAISS_TROUBLESHOOTING.md) for detailed solutions.

> [!NOTE]
> **FAISS Support**: FAISS is optional and only required for `faiss_kmeans` binning method. Choose the appropriate version:
> - **CPU version**: `pip install fastwoe[faiss]` or `pip install faiss-cpu>=1.12.0`
> - **GPU version**: `pip install fastwoe[faiss-gpu]` or `pip install faiss-gpu-cu12>=1.12.0`
>
> Both versions support Python 3.7-3.12 and are compatible with NumPy 1.x and 2.x.

### From Source
```bash
git clone https://github.com/xRiskLab/fastwoe.git
cd fastwoe
pip install -e .
```

### Development Installation
```bash
git clone https://github.com/xRiskLab/fastwoe.git
cd fastwoe
pip install -e ".[dev]"
```

> [!TIP]
> For development work, we recommend using `uv` for faster package management:
> ```bash
> uv sync --dev
> ```

## 📖 Quick Start

![FastWoe](https://github.com/xRiskLab/fastwoe/raw/main/ims/fastwoe.png)

```python
import pandas as pd
import numpy as np
from fastwoe import FastWoe, WoePreprocessor

# Create sample data
data = pd.DataFrame({
    'category': ['A', 'B', 'C'] * 100 + ['D'] * 50,
    'high_card_cat': [f'cat_{i}' for i in np.random.randint(0, 50, 350)],
    'target': np.random.binomial(1, 0.3, 350)
})

# Step 1: Preprocess high-cardinality features (optional)
preprocessor = WoePreprocessor(max_categories=10, min_count=5)
X_preprocessed = preprocessor.fit_transform(
    data[['category', 'high_card_cat']],
    cat_features=['high_card_cat']  # Only preprocess this column
)

# Step 2: Apply WOE encoding
woe_encoder = FastWoe()
X_woe = woe_encoder.fit_transform(X_preprocessed, data['target'])

print("WOE-encoded features:")
print(X_woe.head())

# Step 3: Get detailed mappings with statistics
mapping = woe_encoder.get_mapping('category')
print("\nWOE Mapping for 'category':")
print(mapping[['category', 'count', 'event_rate', 'woe', 'woe_se']])
```

## 🔧 Advanced Usage

> [!CAUTION]
> When we make inferences with `predict_proba` and `predict_ci` methods, we are making a (naive) assumption that pieces of evidence are independent.
> The sum of WOE scores can only produce meaningful probabilistic outputs if the data is not strongly correlated among features and does not contain very granular categories with very few observations.

### Probability Predictions

```python
# Get predictions with Naive Bayes classification
preds = woe_encoder.predict_proba(X_preprocessed)[:, 1]
print(preds.mean())
```

### Confidence Intervals

> [!NOTE]
> Statistical confidence intervals help assess the reliability of WOE estimates, especially for categories with small sample sizes.

```python
# Get predictions with confidence intervals
ci_results = woe_encoder.predict_ci(X_preprocessed, alpha=0.05)
print(ci_results[['prediction', 'lower_ci', 'upper_ci']].head())
```

### Feature Statistics
```python
# Get comprehensive feature statistics
feature_stats = woe_encoder.get_feature_stats()
print(feature_stats)
```

### Information Value (IV) Standard Errors

FastWoe provides statistical rigor for Information Value calculations with confidence intervals and significance testing:

```python
# Get IV analysis with confidence intervals
iv_analysis = woe_encoder.get_iv_analysis()
print(iv_analysis)
```

**Output:**
```
          feature     iv  iv_se  iv_ci_lower  iv_ci_upper iv_significance
    strong_feature 0.1901 0.0256       0.1398       0.2403     Significant
      weak_feature 0.0040 0.0035       0.0000       0.0108 Not Significant
```

```python
# Get IV analysis for a specific feature
single_feature_iv = woe_encoder.get_iv_analysis('feature_name')

# All feature statistics now include IV standard errors
feature_stats = woe_encoder.get_feature_stats()
# Contains: iv, iv_se, iv_ci_lower, iv_ci_upper columns
```

**Mathematical Framework:**

$$ IV = \sum_j ( \text{bad\_rate}_j - \text{good\_rate}_j ) \cdot WOE_j $$

$$ \text{Var}(IV) \approx
\sum_j ( \text{bad\_rate}_j - \text{good\_rate}_j )^2 \cdot \text{Var}(WOE_j)
+ \sum_j WOE_j^2 \cdot \text{Var}(\text{bad\_rate}_j - \text{good\_rate}_j) $$

> [!NOTE]
> Read the paper on ArXiv: [An Information-Theoretic Framework for Credit Risk Modeling: Unifying Industry Practice with Statistical Theory for Fair and Interpretable Scorecards](https://arxiv.org/abs/2509.09855).

### Standardized WOE
```python
# Get Wald scores (standardized log-odds) or use "woe" for raw WOE values
X_standardized = woe_encoder.transform_standardized(X_preprocessed, output='wald')
```

### Numerical Feature Binning

FastWoe supports three methods for binning numerical features:

#### 1. Histogram-Based Binning
```python
# Use KBinsDiscretizer with quantile strategy
woe_encoder = FastWoe(
    binning_method="kbins",
    binner_kwargs={
        "n_bins": 5,
        "strategy": "quantile",  # or "uniform", "kmeans"
        "encode": "ordinal"
    }
)
```

#### 2. Decision Tree-Based Binning
```python
# Use single decision tree to find optimal splits
woe_encoder = FastWoe(
    binning_method="tree",
    tree_kwargs={
        "max_depth": 3,
        "min_samples_split": 20,
        "min_samples_leaf": 10
    }
)

# Or use a custom tree estimator
from sklearn.tree import ExtraTreeClassifier
woe_encoder = FastWoe(
    binning_method="tree",
    tree_estimator=ExtraTreeClassifier,
    tree_kwargs={"max_depth": 2, "random_state": 42}
)
```

#### 3. FAISS KMeans Binning
```python
# Use FAISS KMeans clustering for efficient binning
# First install FAISS: pip install fastwoe[faiss] (CPU) or fastwoe[faiss-gpu] (GPU)
woe_encoder = FastWoe(
    binning_method="faiss_kmeans",
    faiss_kwargs={
        "k": 5,              # Number of clusters
        "niter": 20,         # Number of iterations
        "verbose": False,    # Show progress
        "gpu": False         # Use GPU acceleration (requires faiss-gpu)
    }
)

# Example with GPU acceleration
woe_encoder = FastWoe(
    binning_method="faiss_kmeans",
    faiss_kwargs={
        "k": 8,
        "niter": 50,
        "verbose": True,
        "gpu": True          # pip install faiss-gpu-cu12 for CUDA 12
    }
)
```

**Benefits of FAISS KMeans Binning:**
- **Efficient Clustering**: Uses Facebook's FAISS library for fast KMeans clustering
- **Data-Driven Bins**: Creates bins based on feature value clusters, not quantiles
- **GPU Acceleration**: Optional GPU support for large datasets
- **Scalable**: Optimized for high-dimensional and large-scale data
- **Meaningful Labels**: Generates interpretable bin labels based on cluster centroids
- **Missing Value Handling**: Properly handles missing values in clustering

**Benefits of Tree-Based Binning:**
- **Target-Aware**: Splits are optimized for the target variable
- **Non-Linear Relationships**: Captures complex patterns better than uniform/quantile binning
- **Automatic Bin Count**: Number of bins determined by tree structure
- **Flexible Configuration**: Use any tree estimator with custom hyperparameters

### Pipeline Integration
```python
from sklearn.pipeline import Pipeline
from sklearn.linear_model import LogisticRegression

# Create a complete pipeline
pipeline = Pipeline([
    ('preprocessor', WoePreprocessor(top_p=0.95, min_count=10)),
    ('woe_encoder', FastWoe()),
    ('classifier', LogisticRegression())
])

# Fit the entire pipeline
pipeline.fit(data[['category', 'high_card_cat']], data['target'])
```

## 📋 API Reference

### FastWoe Class

#### Parameters
- `encoder_kwargs` (dict): Additional parameters for sklearn's TargetEncoder
- `random_state` (int): Random state for reproducibility
- `binning_method` (str): Method for numerical binning - "kbins" (default), "tree", or "faiss_kmeans"
- `binner_kwargs` (dict): Parameters for KBinsDiscretizer (when binning_method="kbins")
- `tree_estimator` (estimator): Custom tree estimator for binning (when binning_method="tree")
- `tree_kwargs` (dict): Parameters for tree estimator
- `faiss_kwargs` (dict): Parameters for FAISS KMeans (when binning_method="faiss_kmeans")

#### Key Methods
- `fit(X, y)`: Fit the WOE encoder
- `transform(X)`: Transform features to WOE values
- `fit_transform(X, y)`: Fit and transform in one step
- `get_mapping(column)`: Get WOE mapping for specific column
- `predict_proba(X)`: Get probability predictions
- `predict_ci(X, alpha)`: Get predictions with confidence intervals

### WoePreprocessor Class

The `WoePreprocessor` is a preprocessing step that reduces the cardinality of categorical features. It is used to handle high-cardinality categorical features.

> [!WARNING]
> High-cardinality features (>50 categories) can lead to overfitting and unreliable WOE estimates. Always use WoePreprocessor for such features if you plan to use in downstream tasks.

#### Parameters
- `max_categories` (int): Maximum categories to keep per feature
- `top_p` (float): Keep categories covering top_p% of frequency
- `min_count` (int): Minimum count required for category
- `other_token` (str): Token for grouping rare categories

> [!TIP]
> The `top_p` parameter uses **cumulative frequency** to select categories. For example, `top_p=0.95` keeps categories that together represent 95% of all observations, automatically grouping the long tail of rare categories into `"__other__"`. This is more adaptive than fixed `max_categories` since it preserves the most important categories regardless of their absolute count.

#### Key Methods
- `fit(X, cat_features)`: Fit preprocessor
- `transform(X)`: Apply preprocessing
- `get_reduction_summary(X)`: Get cardinality reduction statistics

**Example: Using `top_p` parameter**
```python
# Dataset with 100 categories:
# "A" (40%), "B" (30%), "C" (15%), "D" (10%), remaining 96 categories (5% total)

preprocessor = WoePreprocessor(top_p=0.95, min_count=5)
# Result: Keeps ["A", "B", "C", "D"] (95% coverage), groups rest as "__other__"
# Reduces 100 → 5 categories while preserving 95% of the categories
```

### WeightOfEvidence Class

The `WeightOfEvidence` class provides interpretability for FastWoe classifiers with automatic parameter inference and uncertainty quantification through confidence intervals.

#### Parameters
- `classifier` (FastWoe, optional): FastWoe classifier to explain (auto-created if None)
- `X_train` (array-like, optional): Training features (auto-inferred if possible)
- `y_train` (array-like, optional): Training labels (auto-inferred if possible)
- `feature_names` (list, optional): Feature names (auto-inferred if possible)
- `class_names` (list, optional): Class names (auto-inferred if possible)
- `auto_infer` (bool): Enable automatic parameter inference (default=True)

#### Key Methods
- `explain(x, sample_idx=None, class_to_explain=None, true_label=None, return_dict=True)`: Explain single sample or sample from dataset
- `explain_ci(x, sample_idx=None, alpha=0.05, return_dict=True)`: Explain with confidence intervals for uncertainty quantification
- `predict_ci(X, alpha=0.05)`: Batch predictions with confidence bounds
- `summary()`: Get explainer overview and statistics

#### Key Features
- **Auto-Inference**: Automatically detects parameters from FastWoe classifiers
- **Dual Usage**: Support both `explain(sample)` and `explain(dataset, index)` patterns
- **Uncertainty Quantification**: Confidence intervals for WOE scores and probabilities
- **Rich Output**: Human-readable interpretations with evidence strength levels

## 📊 Theoretical Background

![A.M. Turing example](https://github.com/xRiskLab/fastwoe/raw/main/ims/turing_paper.png)

This implementation is based on rigorous statistical theory:

1. **WOE Standard Error**: `SE(WOE) = sqrt(1/good_count + 1/bad_count)`
2. **Confidence Intervals**: Using normal approximation with calculated standard errors
3. **Information Value**: Measures predictive power of each feature
4. **Gini Score**: Derived from AUC to measure discriminatory power

For rare counts, we rely on the rule of three to calculate the standard error.

For technical details, see [Weight of Evidence (WOE), Log Odds, and Standard Errors](docs/woe_standard_errors.md).

![Credit scoring example](https://github.com/xRiskLab/fastwoe/raw/main/ims/credit_example_woe.png)
![I.J. Good](https://github.com/xRiskLab/fastwoe/raw/main/ims/good_bayes_odds.png)

## 🧪 Testing

Run the test suite:
```bash
# Install test dependencies
pip install -e ".[dev]"

# Run tests
pytest

# Run tests with coverage
pytest --cov=fastwoe --cov-report=html
```

## 🛠️ Development

### Development Setup

Clone the repository and install dependencies:

```bash
git clone https://github.com/xRiskLab/fastwoe.git
cd fastwoe
uv sync --dev
```

### Running Tests

Run the main test suite:
```bash
uv run pytest
```

Run tests without slow compatibility tests:
```bash
uv run pytest -m "not slow"
```

Run compatibility tests across Python/scikit-learn versions (requires `uv`):
```bash
uv run pytest -m compatibility
```

Run specific test categories:
```bash
# Only fast compatibility checks
uv run pytest -m "compatibility and not slow"

# Only slow cross-version tests
uv run pytest -m "compatibility and slow"
```

### Code Quality and Type Checking

FastWoe uses several tools to maintain code quality:

```bash
# Format code
make format

# Run linting
make lint

# Run type checking (lenient mode for pandas/numpy)
make typecheck

# Run type checking (strict mode)
make typecheck-strict

# Run all checks (format, lint, typecheck)
make check-all

# CI-friendly checks (passes with expected pandas/numpy type issues)
make ci-check
```

### Local GitHub Actions Testing

Test your CI/CD workflows locally using [act](https://github.com/nektos/act):

```bash
# Test workflows locally (dry run)
act --container-architecture linux/amd64 -W .github/workflows/ci.yml --dryrun

# Test specific jobs
act --container-architecture linux/amd64 -j lint -W .github/workflows/ci.yml --dryrun
act --container-architecture linux/amd64 -j type-check -W .github/workflows/typecheck.yml --dryrun
```

See [Local Testing with Act](docs/dev/act-local-testing.md) for comprehensive documentation.

**Type Checking Notes:**
- FastWoe uses [pyrefly](https://pyrefly.org/) for type checking via `scripts/typecheck.py`
- Many type errors are expected due to pandas/numpy dynamic typing
- CI mode treats expected pandas/numpy type issues as success
- Use `PYREFLY_STRICT=true` to fail on any type errors

### Building the Package

Build wheel and source distribution:
```bash
uv build
```

Install from local build:
```bash
uv pip install dist/fastwoe-*.whl
```

Test installation in clean environment:
```bash
# Create temporary environment
uv venv .test-env --python 3.9
uv pip install --python .test-env/bin/python dist/fastwoe-*.whl
.test-env/bin/python -c "import fastwoe; print(f'FastWoe {fastwoe.__version__} installed successfully!')"
```

### Code Quality

Format code:
```bash
uv run black fastwoe/ tests/
```

Lint code:
```bash
uv run ruff check fastwoe/ tests/
```

## 📈 Performance Characteristics

- **Memory Efficient**: Uses pandas and numpy for vectorized operations
- **Scalable**: Handles datasets with millions of rows
- **Fast**: Leverages sklearn's optimized TargetEncoder implementation
- **Robust**: Handles edge cases like single categories and missing values

## 📝 Changelog

For a changelog, see [CHANGELOG](CHANGELOG.md).

> [!NOTE]
> This package is in a beta release mode. The API is not considered stable for production use.

## 🔧 Troubleshooting

### FAISS Import Issues

If you encounter FAISS-related import errors, here are common solutions:

**Error: `No module named 'numpy._core'`**
- This occurs when FAISS was compiled against an older NumPy version
- Solution: Upgrade to compatible FAISS version which supports Python 3.7-3.12 and both NumPy 1.x and 2.x
- Run: `pip install --upgrade faiss-cpu>=1.12.0` or `pip install --upgrade faiss-gpu-cu12>=1.12.0`

**Error: `AttributeError: module 'faiss' has no attribute 'KMeans'`**
- This occurs when using an older FAISS version with incorrect import paths
- Solution: The latest `fastwoe[faiss]` installation handles this automatically
- If using FAISS directly, import as: `from faiss.extra_wrappers import Kmeans`

**Error: `A module that was compiled using NumPy 1.x cannot be run in NumPy 2.x`**
- This occurs when FAISS was compiled against NumPy 1.x but you're using NumPy 2.x
- Solution: Use compatible FAISS version which supports both NumPy versions:
  - CPU: `pip install --upgrade faiss-cpu>=1.12.0`
  - GPU: `pip install --upgrade faiss-gpu-cu12>=1.12.0`
- Or downgrade NumPy: `pip install "numpy<2.0"`

### Verification

To verify FAISS is working correctly:
```python
from fastwoe import FastWoe
import pandas as pd
import numpy as np

# Test FAISS functionality
X = pd.DataFrame({'feature': np.random.randn(100)})
y = np.random.randint(0, 2, 100)

woe = FastWoe(binning_method='faiss_kmeans', faiss_kwargs={'k': 3})
woe.fit(X, y)  # Should work without errors
```

## 📄 License

This project is licensed under the MIT License - see the [LICENSE](LICENSE) file for details.

## 📚 References

1. Alan M. Turing (1942). The Applications of Probability to Cryptography.
2. I. J. Good (1950). Probability and the Weighing of Evidence.
3. Daniele Micci-Barreca (2001). A preprocessing scheme for high-cardinality categorical attributes in classification and prediction problems.
4. Naeem Siddiqi (2006). Credit Risk Scorecards: Developing and Implementing Intelligent Credit Scoring.

## 🔗 Other Projects

- [scikit-learn](https://scikit-learn.org/): Python Machine learning library providing TargetEncoder implementation
- [category_encoders](https://contrib.scikit-learn.org/category_encoders/): Additional categorical encoding methods
- [WoeBoost](https://github.com/xRiskLab/woeboost): Weight of Evidence (WOE) Gradient Boosting in Python

## ℹ️ Additional Information

- **Documentation**: [README](README.md) and [Theoretical Background](docs/woe_standard_errors.md)
- **Examples**: See [examples/](examples/) directory
