Vertical Binning Woe Iv

Introduction

Vertical Binning Woe Iv is an algorithm for vertically calculating weight of evidence (WOE) and information value (IV).

Two types of binning method are supported:

  1. Equal width binning: divides the data into \(k\) intervals of equal size.

  2. Equal frequency binning: divides the data into \(k\) groups where each group contains approximately same number of values.

After binning, WOE and IV values can be calculated individually as follows(for \(i\) th bin):

\(WOE_i = \ln \frac{y_i / y_T}{n_i/n_T}\)

\(IV_i = \left( \frac{y_i}{y_T} - \frac{n_i}{n_T} \right) \times WOE_i\)

where \(y_i\) , \(n_i\) denote the number of positive and negative samples of \(i\) th bin respectively, \(y_T\), \(n_T\) denote the number of positive and negative samples in total.

Parameters List

identity: str Federated identity of the party, should be one of label_trainer or trainer.

model_info:

  • name: str Model name, should be vertical_binning_woe_iv.

input:
  • trainset:

    • type: str Train dataset type, support csv.

    • path: str If type is csv, folder path of train dataset.

    • name: str If type is csv, file name of train dataset.

    • has_id: bool If type is csv, whether dataset has id column.

    • has_label: bool If type is csv, whether dataset has label column.

    • nan_list: list List of special values, all and only the values in this list will be assigned to a single bin.

output:

  • path: str Folder path of output.

  • result:

    • name: str File name of result.

  • split_points:

    • name: str File name of split points.

train_info:
  • train_params:
    • encryption: support two keys: “paillier” or “plain”.
      • paillier:

        • key_bit_size: int Bit length of paillier key, recommended to greater than or equal to 2048.

        • precision: int Precison.

        • djn_on: bool Whether to use djn method to generate key pair.

        • parallelize_on: bool Whether to use multicore for computing.

    • binning:

      • method: str Binning method, support “equal_width” or “equal_frequency”.

      • bins: int Number of bins.

    • max_num_cores: int Number of cores for parallel computing.