Feature importance using lightgbm

Question

I am trying to run my lightgbm for feature selection as below;

initialization

# Initialize an empty array to hold feature importances
feature_importances = np.zeros(features_sample.shape[1])

# Create the model with several hyperparameters
model = lgb.LGBMClassifier(objective='binary', 
         boosting_type = 'goss', 
         n_estimators = 10000, class_weight ='balanced')

then i fit the model as below

# Fit the model twice to avoid overfitting
for i in range(2):

   # Split into training and validation set
   train_features, valid_features, train_y, valid_y = train_test_split(train_X, train_Y, test_size = 0.25, random_state = i)

   # Train using early stopping
   model.fit(train_features, train_y, early_stopping_rounds=100, eval_set = [(valid_features, valid_y)], 
             eval_metric = 'auc', verbose = 200)

   # Record the feature importances
   feature_importances += model.feature_importances_

but i get the below error

Training until validation scores don't improve for 100 rounds. 
Early stopping, best iteration is: [6]  valid_0's auc: 0.88648
ValueError: operands could not be broadcast together with shapes (87,) (83,) (87,) 

Answer 1

An example for getting feature importance in lightgbm when using train model.

import matplotlib.pyplot as plt
import seaborn as sns
import warnings
warnings.simplefilter(action='ignore', category=FutureWarning)

def plotImp(model, X , num = 20, fig_size = (40, 20)):
    feature_imp = pd.DataFrame({'Value':model.feature_importance(),'Feature':X.columns})
    plt.figure(figsize=fig_size)
    sns.set(font_scale = 5)
    sns.barplot(x="Value", y="Feature", data=feature_imp.sort_values(by="Value", 
                                                        ascending=False)[0:num])
    plt.title('LightGBM Features (avg over folds)')
    plt.tight_layout()
    plt.savefig('lgbm_importances-01.png')
    plt.show()