Credit Scoring Feature Selection API Reference
Data
Data model for Credit Scoring Feature Selection use case.
CreditScoringFeatureSelectionData
Bases: UcData
Data for the Credit Scoring Feature Selection use case.
Selects the most informative and least redundant subset of features for credit scoring by balancing label correlation and inter-feature correlation.
correlations: tuple[np.ndarray, np.ndarray]
cached
property
Compute absolute correlations between features and labels.
Returns:
| Type | Description |
|---|---|
tuple[ndarray, ndarray]
|
corr_label : 1D array of shape (n_features,) Absolute correlation of each feature with the labels. Zero for constant features or constant labels. corr_feat : 2D array of shape (n_features, n_features) Absolute pairwise correlation between features. Diagonal is zero. Zero for constant features. |
plot(*, ax: Axes | None = None) -> Axes
Plot feature-feature correlation and feature-label correlation.
This visualization consists of two linked views:
-
Feature-Feature Correlation Matrix Shows redundancy structure between features.
-
Feature-Label Correlation Shows predictive strength of each feature.
The trade-off controlled by alpha becomes visually interpretable: high alpha emphasizes label correlation, low alpha emphasizes diversity.
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
ax
|
Axes | None
|
Optional axis for correlation heatmap. If None, a new figure with two subplots is created. |
None
|
Returns:
| Type | Description |
|---|---|
Axes
|
Axes of the correlation heatmap. |
to_string() -> str
Return a string describing the data.
from_values(design_matrix: np.ndarray, labels: list[int], alpha: float = 0.5) -> CreditScoringFeatureSelectionData
staticmethod
Create a Credit Scoring Feature Selection data instance.
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
design_matrix
|
ndarray
|
Feature matrix (n_samples x n_features). |
required |
labels
|
list[int]
|
Binary labels: - 0 = non-default (loan repaid) - 1 = default (loan not repaid) |
required |
alpha
|
float
|
Trade-off between relevance and redundancy. |
0.5
|
Returns:
| Type | Description |
|---|---|
CreditScoringFeatureSelectionData
|
|
generate_random(n_samples: int = 20, n_features: int = 5, alpha: float = 0.5, seed: int | None = None) -> CreditScoringFeatureSelectionData
staticmethod
Generate a random Credit Scoring Feature Selection instance.
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
n_samples
|
int
|
Number of data samples, by default 20. |
20
|
n_features
|
int
|
Number of features, by default 5. |
5
|
alpha
|
float
|
Balance parameter, by default 0.5. |
0.5
|
seed
|
int | None
|
Random seed for reproducibility, by default None. |
None
|
Returns:
| Type | Description |
|---|---|
CreditScoringFeatureSelectionData
|
A randomly generated data instance. |
Formulation
Formulation for Credit Scoring Feature Selection use case.
CreditScoringFeatureSelectionFormulation
Bases: UcFormulation[CreditScoringFeatureSelectionData, CreditScoringFeatureSelectionSolution]
Formulation for Credit Scoring Feature Selection.
Selects the most informative and least redundant subset of features by balancing label correlation (influence) against inter-feature correlation (redundancy).
Mathematical Formulation
Decision Variables:
x_i in {0,1}: 1 if feature i is selected
Labels:
binary target variable representing credit outcome:
0 = non-default (successful repayment)
1 = default (credit failure)
Preprocessing:
corr_label[i] = |correlation(feature_i, labels)|
corr_feat[i,j] = |correlation(feature_i, feature_j)|
Objective:
maximize alpha * sum_i corr_label[i] * x[i]
- (1 - alpha) * sum_{i != j} corr_feat[i,j] * x[i] * x[j]
Constraints:
None (unconstrained)
to_string(data: CreditScoringFeatureSelectionData) -> str
staticmethod
Return a string describing the formulation.
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
data
|
CreditScoringFeatureSelectionData
|
The problem data. |
required |
Returns:
| Type | Description |
|---|---|
str
|
String representation of the formulation. |
formulate(data: CreditScoringFeatureSelectionData) -> Model
staticmethod
Formulate the Credit Scoring Feature Selection problem as an optimization model.
Encodes feature selection as an unconstrained binary optimization problem that maximizes label influence while minimizing inter-feature redundancy.
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
data
|
CreditScoringFeatureSelectionData
|
The problem data containing the design matrix, labels, and alpha. |
required |
Returns:
| Type | Description |
|---|---|
Model
|
A Luna optimization model representing the feature selection problem. |
interpret(solution: Solution, data: CreditScoringFeatureSelectionData) -> CreditScoringFeatureSelectionSolution
staticmethod
Extract solution from solver result.
Reconstructs the selected feature subset and computes influence and independence scores based on label and inter-feature correlations.
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
solution
|
Solution
|
The solution containing variable assignments. |
required |
data
|
CreditScoringFeatureSelectionData
|
The original problem data. |
required |
Returns:
| Type | Description |
|---|---|
CreditScoringFeatureSelectionSolution
|
A structured solution object with: - selected_features: indices of selected features - influence_score: sum of label correlations for selected features - independence_score: sum of inter-feature correlations among selected features - is_valid: whether at least one feature was selected |
Raises:
| Type | Description |
|---|---|
NoSolutionFoundError
|
If the solver did not find a solution. |
Solution
Solution model for Credit Scoring Feature Selection use case.
CreditScoringFeatureSelectionSolution
Bases: UcSolution
Solution for the Credit Scoring Feature Selection use case.
Attributes:
| Name | Type | Description |
|---|---|---|
name |
Literal['credit_scoring_feature_selection']
|
Identifier for this solution type. |
selected_features |
NumPyArray
|
Indices of selected features. |
influence_score |
float
|
Sum of absolute label correlations for selected features. |
independence_score |
float
|
Sum of absolute inter-feature correlations for selected features. |
is_valid |
bool
|
Always True (unconstrained problem). |
plot(data: CreditScoringFeatureSelectionData | None = None, *, ax: Axes | None = None) -> Axes
Plot the feature selection solution in a 2D trade-off space.
This visualization shows each feature as a point in a 2D space defined by:
- X-axis: Redundancy (mean absolute correlation to all other features)
- Y-axis: Influence (absolute correlation with the target labels)
Selected features are highlighted, allowing direct interpretation of the optimization objective: features in the upper-left region are most desirable (high predictive power, low redundancy).
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
data
|
CreditScoringFeatureSelectionData | None
|
Original problem data used to compute feature correlations. If None, the plot will attempt to reconstruct required values from the solution context only (may be limited). |
None
|
ax
|
Axes | None
|
Matplotlib axes to draw on. Creates a new figure if None. |
None
|
Returns:
| Type | Description |
|---|---|
Axes
|
The axes containing the trade-off scatter plot. |
to_string() -> str
Return a string describing the solution.
Returns:
| Type | Description |
|---|---|
str
|
String representation of the solution. |
Instance
Instance model for CreditScoringFeatureSelection use case.
CreditScoringFeatureSelectionInstance
Bases: UcInstance[CreditScoringFeatureSelectionData, CreditScoringFeatureSelectionFormulation, CreditScoringFeatureSelectionSolution]
Instance combining data and formulation for CreditScoringFeatureSelection.
Collection
Collection of Credit Scoring Feature Selection instances.
CreditScoringFeatureSelectionCollection
Bases: UcInstanceCollection[CreditScoringFeatureSelectionInstance]
Collection of Credit Scoring Feature Selection instances.
from_random(min_size: int | None = None, max_size: int | None = None, num_instances: int = 1, *, sizes: Sequence[int] | None = None, n_samples: int = 20, alpha: float = 0.5, seed: int | None = None) -> CreditScoringFeatureSelectionCollection
classmethod
Generate random Credit Scoring Feature Selection instances.
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
min_size
|
int | None
|
Minimum number of features. |
None
|
max_size
|
int | None
|
Maximum number of features. |
None
|
num_instances
|
int
|
Number of instances per size, by default 1. |
1
|
n_samples
|
int
|
Number of samples per instance, by default 20. |
20
|
alpha
|
float
|
Balance parameter, by default 0.5. |
0.5
|
seed
|
int | None
|
Random seed for reproducibility, by default None. |
None
|
sizes
|
Sequence[int] | None
|
Explicit sizes to generate, e.g. |
None
|
Returns:
| Type | Description |
|---|---|
CreditScoringFeatureSelectionCollection
|
Collection containing generated instances. |
filter_infeasible(max_runtime: float = 3600, *, quiet: bool = True) -> list[bool]
Drop the instances of this collection that have no feasible solution.
Every instance is formulated and handed to SCIP, which stops as soon as
it finds the first feasible solution. An instance is removed from the
collection when SCIP proves the model infeasible, when no solution turns
up within max_runtime, or when formulating it fails altogether. This
keeps randomly generated instances from breaking a downstream pipeline.
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
max_runtime
|
float
|
SCIP time limit per instance in seconds. Must be positive. Defaults to 3600 seconds. |
3600
|
quiet
|
bool
|
Suppress the SCIP solver output. |
True
|
Returns:
| Type | Description |
|---|---|
list[bool]
|
Feasibility mask over the instances as they were before filtering,
in that order: |
Raises:
| Type | Description |
|---|---|
ValueError
|
If |