Building a Fraud Prediction Model with EvalML#
In this demo, we will build an optimized fraud prediction model using EvalML. To optimize the pipeline, we will set up an objective function to minimize the percentage of total transaction value lost to fraud. At the end of this demo, we also show you how introducing the right objective during the training results in a much better than using a generic machine learning metric like AUC.
[1]:
import evalml
from evalml import AutoMLSearch
from evalml.objectives import FraudCost
/home/docs/checkouts/readthedocs.org/user_builds/feature-labs-inc-evalml/envs/v0.77.0/lib/python3.8/site-packages/shap/utils/_clustering.py:35: NumbaDeprecationWarning: The 'nopython' keyword argument was not supplied to the 'numba.jit' decorator. The implicit default value for this argument is currently False, but it will be changed to True in Numba 0.59.0. See https://numba.readthedocs.io/en/stable/reference/deprecation.html#deprecation-of-object-mode-fall-back-behaviour-when-using-jit for details.
def _pt_shuffle_rec(i, indexes, index_mask, partition_tree, M, pos):
/home/docs/checkouts/readthedocs.org/user_builds/feature-labs-inc-evalml/envs/v0.77.0/lib/python3.8/site-packages/shap/utils/_clustering.py:54: NumbaDeprecationWarning: The 'nopython' keyword argument was not supplied to the 'numba.jit' decorator. The implicit default value for this argument is currently False, but it will be changed to True in Numba 0.59.0. See https://numba.readthedocs.io/en/stable/reference/deprecation.html#deprecation-of-object-mode-fall-back-behaviour-when-using-jit for details.
def delta_minimization_order(all_masks, max_swap_size=100, num_passes=2):
/home/docs/checkouts/readthedocs.org/user_builds/feature-labs-inc-evalml/envs/v0.77.0/lib/python3.8/site-packages/shap/utils/_clustering.py:63: NumbaDeprecationWarning: The 'nopython' keyword argument was not supplied to the 'numba.jit' decorator. The implicit default value for this argument is currently False, but it will be changed to True in Numba 0.59.0. See https://numba.readthedocs.io/en/stable/reference/deprecation.html#deprecation-of-object-mode-fall-back-behaviour-when-using-jit for details.
def _reverse_window(order, start, length):
/home/docs/checkouts/readthedocs.org/user_builds/feature-labs-inc-evalml/envs/v0.77.0/lib/python3.8/site-packages/shap/utils/_clustering.py:69: NumbaDeprecationWarning: The 'nopython' keyword argument was not supplied to the 'numba.jit' decorator. The implicit default value for this argument is currently False, but it will be changed to True in Numba 0.59.0. See https://numba.readthedocs.io/en/stable/reference/deprecation.html#deprecation-of-object-mode-fall-back-behaviour-when-using-jit for details.
def _reverse_window_score_gain(masks, order, start, length):
/home/docs/checkouts/readthedocs.org/user_builds/feature-labs-inc-evalml/envs/v0.77.0/lib/python3.8/site-packages/shap/utils/_clustering.py:77: NumbaDeprecationWarning: The 'nopython' keyword argument was not supplied to the 'numba.jit' decorator. The implicit default value for this argument is currently False, but it will be changed to True in Numba 0.59.0. See https://numba.readthedocs.io/en/stable/reference/deprecation.html#deprecation-of-object-mode-fall-back-behaviour-when-using-jit for details.
def _mask_delta_score(m1, m2):
/home/docs/checkouts/readthedocs.org/user_builds/feature-labs-inc-evalml/envs/v0.77.0/lib/python3.8/site-packages/shap/links.py:5: NumbaDeprecationWarning: The 'nopython' keyword argument was not supplied to the 'numba.jit' decorator. The implicit default value for this argument is currently False, but it will be changed to True in Numba 0.59.0. See https://numba.readthedocs.io/en/stable/reference/deprecation.html#deprecation-of-object-mode-fall-back-behaviour-when-using-jit for details.
def identity(x):
/home/docs/checkouts/readthedocs.org/user_builds/feature-labs-inc-evalml/envs/v0.77.0/lib/python3.8/site-packages/shap/links.py:10: NumbaDeprecationWarning: The 'nopython' keyword argument was not supplied to the 'numba.jit' decorator. The implicit default value for this argument is currently False, but it will be changed to True in Numba 0.59.0. See https://numba.readthedocs.io/en/stable/reference/deprecation.html#deprecation-of-object-mode-fall-back-behaviour-when-using-jit for details.
def _identity_inverse(x):
/home/docs/checkouts/readthedocs.org/user_builds/feature-labs-inc-evalml/envs/v0.77.0/lib/python3.8/site-packages/shap/links.py:15: NumbaDeprecationWarning: The 'nopython' keyword argument was not supplied to the 'numba.jit' decorator. The implicit default value for this argument is currently False, but it will be changed to True in Numba 0.59.0. See https://numba.readthedocs.io/en/stable/reference/deprecation.html#deprecation-of-object-mode-fall-back-behaviour-when-using-jit for details.
def logit(x):
/home/docs/checkouts/readthedocs.org/user_builds/feature-labs-inc-evalml/envs/v0.77.0/lib/python3.8/site-packages/shap/links.py:20: NumbaDeprecationWarning: The 'nopython' keyword argument was not supplied to the 'numba.jit' decorator. The implicit default value for this argument is currently False, but it will be changed to True in Numba 0.59.0. See https://numba.readthedocs.io/en/stable/reference/deprecation.html#deprecation-of-object-mode-fall-back-behaviour-when-using-jit for details.
def _logit_inverse(x):
/home/docs/checkouts/readthedocs.org/user_builds/feature-labs-inc-evalml/envs/v0.77.0/lib/python3.8/site-packages/shap/utils/_masked_model.py:363: NumbaDeprecationWarning: The 'nopython' keyword argument was not supplied to the 'numba.jit' decorator. The implicit default value for this argument is currently False, but it will be changed to True in Numba 0.59.0. See https://numba.readthedocs.io/en/stable/reference/deprecation.html#deprecation-of-object-mode-fall-back-behaviour-when-using-jit for details.
def _build_fixed_single_output(averaged_outs, last_outs, outputs, batch_positions, varying_rows, num_varying_rows, link, linearizing_weights):
/home/docs/checkouts/readthedocs.org/user_builds/feature-labs-inc-evalml/envs/v0.77.0/lib/python3.8/site-packages/shap/utils/_masked_model.py:385: NumbaDeprecationWarning: The 'nopython' keyword argument was not supplied to the 'numba.jit' decorator. The implicit default value for this argument is currently False, but it will be changed to True in Numba 0.59.0. See https://numba.readthedocs.io/en/stable/reference/deprecation.html#deprecation-of-object-mode-fall-back-behaviour-when-using-jit for details.
def _build_fixed_multi_output(averaged_outs, last_outs, outputs, batch_positions, varying_rows, num_varying_rows, link, linearizing_weights):
/home/docs/checkouts/readthedocs.org/user_builds/feature-labs-inc-evalml/envs/v0.77.0/lib/python3.8/site-packages/shap/utils/_masked_model.py:428: NumbaDeprecationWarning: The 'nopython' keyword argument was not supplied to the 'numba.jit' decorator. The implicit default value for this argument is currently False, but it will be changed to True in Numba 0.59.0. See https://numba.readthedocs.io/en/stable/reference/deprecation.html#deprecation-of-object-mode-fall-back-behaviour-when-using-jit for details.
def _init_masks(cluster_matrix, M, indices_row_pos, indptr):
/home/docs/checkouts/readthedocs.org/user_builds/feature-labs-inc-evalml/envs/v0.77.0/lib/python3.8/site-packages/shap/utils/_masked_model.py:439: NumbaDeprecationWarning: The 'nopython' keyword argument was not supplied to the 'numba.jit' decorator. The implicit default value for this argument is currently False, but it will be changed to True in Numba 0.59.0. See https://numba.readthedocs.io/en/stable/reference/deprecation.html#deprecation-of-object-mode-fall-back-behaviour-when-using-jit for details.
def _rec_fill_masks(cluster_matrix, indices_row_pos, indptr, indices, M, ind):
/home/docs/checkouts/readthedocs.org/user_builds/feature-labs-inc-evalml/envs/v0.77.0/lib/python3.8/site-packages/shap/maskers/_tabular.py:186: NumbaDeprecationWarning: The 'nopython' keyword argument was not supplied to the 'numba.jit' decorator. The implicit default value for this argument is currently False, but it will be changed to True in Numba 0.59.0. See https://numba.readthedocs.io/en/stable/reference/deprecation.html#deprecation-of-object-mode-fall-back-behaviour-when-using-jit for details.
def _single_delta_mask(dind, masked_inputs, last_mask, data, x, noop_code):
/home/docs/checkouts/readthedocs.org/user_builds/feature-labs-inc-evalml/envs/v0.77.0/lib/python3.8/site-packages/shap/maskers/_tabular.py:197: NumbaDeprecationWarning: The 'nopython' keyword argument was not supplied to the 'numba.jit' decorator. The implicit default value for this argument is currently False, but it will be changed to True in Numba 0.59.0. See https://numba.readthedocs.io/en/stable/reference/deprecation.html#deprecation-of-object-mode-fall-back-behaviour-when-using-jit for details.
def _delta_masking(masks, x, curr_delta_inds, varying_rows_out,
/home/docs/checkouts/readthedocs.org/user_builds/feature-labs-inc-evalml/envs/v0.77.0/lib/python3.8/site-packages/shap/maskers/_image.py:175: NumbaDeprecationWarning: The 'nopython' keyword argument was not supplied to the 'numba.jit' decorator. The implicit default value for this argument is currently False, but it will be changed to True in Numba 0.59.0. See https://numba.readthedocs.io/en/stable/reference/deprecation.html#deprecation-of-object-mode-fall-back-behaviour-when-using-jit for details.
def _jit_build_partition_tree(xmin, xmax, ymin, ymax, zmin, zmax, total_ywidth, total_zwidth, M, clustering, q):
/home/docs/checkouts/readthedocs.org/user_builds/feature-labs-inc-evalml/envs/v0.77.0/lib/python3.8/site-packages/shap/explainers/_partition.py:676: NumbaDeprecationWarning: The 'nopython' keyword argument was not supplied to the 'numba.jit' decorator. The implicit default value for this argument is currently False, but it will be changed to True in Numba 0.59.0. See https://numba.readthedocs.io/en/stable/reference/deprecation.html#deprecation-of-object-mode-fall-back-behaviour-when-using-jit for details.
def lower_credit(i, value, M, values, clustering):
The 'nopython' keyword argument was not supplied to the 'numba.jit' decorator. The implicit default value for this argument is currently False, but it will be changed to True in Numba 0.59.0. See https://numba.readthedocs.io/en/stable/reference/deprecation.html#deprecation-of-object-mode-fall-back-behaviour-when-using-jit for details.
The 'nopython' keyword argument was not supplied to the 'numba.jit' decorator. The implicit default value for this argument is currently False, but it will be changed to True in Numba 0.59.0. See https://numba.readthedocs.io/en/stable/reference/deprecation.html#deprecation-of-object-mode-fall-back-behaviour-when-using-jit for details.
Configure “Cost of Fraud”#
To optimize the pipelines toward the specific business needs of this model, we can set our own assumptions for the cost of fraud. These parameters are
retry_percentage- what percentage of customers will retry a transaction if it is declined?interchange_fee- how much of each successful transaction do you collect?fraud_payout_percentage- the percentage of fraud will you be unable to collectamount_col- the column in the data the represents the transaction amount
Using these parameters, EvalML determines attempt to build a pipeline that will minimize the financial loss due to fraud.
[2]:
fraud_objective = FraudCost(
retry_percentage=0.5,
interchange_fee=0.02,
fraud_payout_percentage=0.75,
amount_col="amount",
)
Search for best pipeline#
In order to validate the results of the pipeline creation and optimization process, we will save some of our data as the holdout set.
[3]:
X, y = evalml.demos.load_fraud(n_rows=5000)
Number of Features
Boolean 1
Categorical 6
Numeric 5
Number of training examples: 5000
Targets
False 86.20%
True 13.80%
Name: fraud, dtype: object
EvalML natively supports one-hot encoding. Here we keep 1 out of the 6 categorical columns to decrease computation time.
[4]:
cols_to_drop = ["datetime", "expiration_date", "country", "region", "provider"]
for col in cols_to_drop:
X.ww.pop(col)
X_train, X_holdout, y_train, y_holdout = evalml.preprocessing.split_data(
X, y, problem_type="binary", test_size=0.2, random_seed=0
)
X.ww
[4]:
| Physical Type | Logical Type | Semantic Tag(s) | |
|---|---|---|---|
| Column | |||
| card_id | int64 | Integer | ['numeric'] |
| store_id | int64 | Integer | ['numeric'] |
| amount | int64 | Integer | ['numeric'] |
| currency | category | Categorical | ['category'] |
| customer_present | bool | Boolean | [] |
| lat | float64 | Double | ['numeric'] |
| lng | float64 | Double | ['numeric'] |
Because the fraud labels are binary, we will use AutoMLSearch(X_train=X_train, y_train=y_train, problem_type='binary'). When we call .search(), the search for the best pipeline will begin.
[5]:
automl = AutoMLSearch(
X_train=X_train,
y_train=y_train,
problem_type="binary",
objective=fraud_objective,
additional_objectives=["auc", "f1", "precision"],
allowed_model_families=["random_forest", "linear_model"],
max_batches=1,
optimize_thresholds=True,
verbose=True,
)
automl.search(interactive_plot=False)
AutoMLSearch will use mean CV score to rank pipelines.
*****************************
* Beginning pipeline search *
*****************************
Optimizing for Fraud Cost.
Lower score is better.
Using SequentialEngine to train and score pipelines.
Searching up to 1 batches for a total of None pipelines.
Allowed model families:
Evaluating Baseline Pipeline: Mode Baseline Binary Classification Pipeline
Mode Baseline Binary Classification Pipeline:
Starting cross validation
Finished cross validation - mean Fraud Cost: 0.790
*****************************
* Evaluating Batch Number 1 *
*****************************
Random Forest Classifier w/ Label Encoder + Imputer + One Hot Encoder + Oversampler:
Starting cross validation
Finished cross validation - mean Fraud Cost: 0.009
Search finished after 4.46 seconds
Best pipeline: Random Forest Classifier w/ Label Encoder + Imputer + One Hot Encoder + Oversampler
Best pipeline Fraud Cost: 0.008745
[5]:
{1: {'Random Forest Classifier w/ Label Encoder + Imputer + One Hot Encoder + Oversampler': 3.4073259830474854,
'Total time of batch': 3.531322956085205}}
View rankings and select pipelines#
Once the fitting process is done, we can see all of the pipelines that were searched, ranked by their score on the fraud detection objective we defined.
[6]:
automl.rankings
[6]:
| id | pipeline_name | search_order | ranking_score | mean_cv_score | standard_deviation_cv_score | percent_better_than_baseline | high_variance_cv | parameters | |
|---|---|---|---|---|---|---|---|---|---|
| 0 | 1 | Random Forest Classifier w/ Label Encoder + Im... | 1 | 0.008745 | 0.008745 | 0.001207 | 78.090334 | False | {'Label Encoder': {'positive_label': None}, 'I... |
| 1 | 0 | Mode Baseline Binary Classification Pipeline | 0 | 0.789648 | 0.789648 | 0.001136 | 0.000000 | False | {'Label Encoder': {'positive_label': None}, 'B... |
To select the best pipeline we can call automl.best_pipeline.
[7]:
best_pipeline = automl.best_pipeline
Describe pipelines#
We can get more details about any pipeline created during the search process, including how it performed on other objective functions, by calling the describe_pipeline method and passing the id of the pipeline of interest.
[8]:
automl.describe_pipeline(automl.rankings.iloc[1]["id"])
************************************************
* Mode Baseline Binary Classification Pipeline *
************************************************
Problem Type: binary
Model Family: Baseline
Pipeline Steps
==============
1. Label Encoder
* positive_label : None
2. Baseline Classifier
* strategy : mode
Training
========
Training for binary problems.
Objective to optimize binary classification pipeline thresholds for: <evalml.objectives.fraud_cost.FraudCost object at 0x7f9af6b11610>
Total training time (including CV): 0.8 seconds
Cross Validation
----------------
Fraud Cost AUC F1 Precision # Training # Validation
0 0.791 0.500 0.000 0.000 2,666 1,334
1 0.789 0.500 0.000 0.000 2,667 1,333
2 0.789 0.500 0.000 0.000 2,667 1,333
mean 0.790 0.500 0.000 0.000 - -
std 0.001 0.000 0.000 0.000 - -
coef of var 0.001 0.000 inf inf - -
Evaluate on holdout data#
Finally, since the best pipeline is already trained, we evaluate it on the holdout data.
Now, we can score the pipeline on the holdout data using both our fraud cost objective and the AUC (Area under the ROC Curve) objective.
[9]:
best_pipeline.score(X_holdout, y_holdout, objectives=["auc", fraud_objective])
[9]:
OrderedDict([('AUC', 0.8644456773933219),
('Fraud Cost', 0.009295721543224191)])
Why optimize for a problem-specific objective?#
To demonstrate the importance of optimizing for the right objective, let’s search for another pipeline using AUC, a common machine learning metric. After that, we will score the holdout data using the fraud cost objective to see how the best pipelines compare.
[10]:
automl_auc = AutoMLSearch(
X_train=X_train,
y_train=y_train,
problem_type="binary",
objective="auc",
additional_objectives=["f1", "precision"],
max_batches=1,
allowed_model_families=["random_forest", "linear_model"],
optimize_thresholds=True,
verbose=True,
)
automl_auc.search(interactive_plot=False)
AutoMLSearch will use mean CV score to rank pipelines.
*****************************
* Beginning pipeline search *
*****************************
Optimizing for AUC.
Greater score is better.
Using SequentialEngine to train and score pipelines.
Searching up to 1 batches for a total of None pipelines.
Allowed model families:
Evaluating Baseline Pipeline: Mode Baseline Binary Classification Pipeline
Mode Baseline Binary Classification Pipeline:
Starting cross validation
Finished cross validation - mean AUC: 0.500
*****************************
* Evaluating Batch Number 1 *
*****************************
Random Forest Classifier w/ Label Encoder + Imputer + One Hot Encoder + Oversampler:
Starting cross validation
Finished cross validation - mean AUC: 0.853
Search finished after 3.30 seconds
Best pipeline: Random Forest Classifier w/ Label Encoder + Imputer + One Hot Encoder + Oversampler
Best pipeline AUC: 0.853164
[10]:
{1: {'Random Forest Classifier w/ Label Encoder + Imputer + One Hot Encoder + Oversampler': 2.757587432861328,
'Total time of batch': 2.8812971115112305}}
Like before, we can look at the rankings of all of the pipelines searched and pick the best pipeline.
[11]:
automl_auc.rankings
[11]:
| id | pipeline_name | search_order | ranking_score | mean_cv_score | standard_deviation_cv_score | percent_better_than_baseline | high_variance_cv | parameters | |
|---|---|---|---|---|---|---|---|---|---|
| 0 | 1 | Random Forest Classifier w/ Label Encoder + Im... | 1 | 0.853164 | 0.853164 | 0.010011 | 35.316397 | False | {'Label Encoder': {'positive_label': None}, 'I... |
| 1 | 0 | Mode Baseline Binary Classification Pipeline | 0 | 0.500000 | 0.500000 | 0.000000 | 0.000000 | False | {'Label Encoder': {'positive_label': None}, 'B... |
[12]:
best_pipeline_auc = automl_auc.best_pipeline
[13]:
# get the fraud score on holdout data
best_pipeline_auc.score(X_holdout, y_holdout, objectives=["auc", fraud_objective])
[13]:
OrderedDict([('AUC', 0.8644456773933219), ('Fraud Cost', 0.02574778650753432)])
[14]:
# fraud score on fraud optimized again
best_pipeline.score(X_holdout, y_holdout, objectives=["auc", fraud_objective])
[14]:
OrderedDict([('AUC', 0.8644456773933219),
('Fraud Cost', 0.009295721543224191)])
When we optimize for AUC, we can see that the AUC score from this pipeline performs better compared to the AUC score from the pipeline optimized for fraud cost; however, the losses due to fraud are a much larger percentage of the total transaction amount when optimized for AUC and much smaller when optimized for fraud cost. As a result, we lose a noticable percentage of the total transaction amount by not optimizing for fraud cost specifically.
Optimizing for AUC does not take into account the user-specified retry_percentage, interchange_fee, fraud_payout_percentage values, which could explain the decrease in fraud performance. Thus, the best pipelines may produce the highest AUC but may not actually reduce the amount loss due to your specific type fraud.
This example highlights how performance in the real world can diverge greatly from machine learning metrics.