Merge remote-tracking branch 'microsoft/main' into online_srv

qlib/model/interpret/base.py

@@ -0,0 +1,40 @@
+#  Copyright (c) Microsoft Corporation.
+#  Licensed under the MIT License.
+
+"""
+Interfaces to interpret models
+"""
+
+import pandas as pd
+from abc import abstractmethod
+
+
+class FeatureInt:
+    """Feature (Int)erpreter"""
+
+    @abstractmethod
+    def get_feature_importance(self) -> pd.Series:
+        """get feature importance
+
+        Returns
+        -------
+            The index is the feature name.
+
+            The greater the value, the higher importance.
+        """
+
+
+class LightGBMFInt(FeatureInt):
+    """LightGBM (F)eature (Int)erpreter"""
+
+    def get_feature_importance(self, *args, **kwargs) -> pd.Series:
+        """get feature importance
+
+        Notes
+        -----
+            parameters reference:
+            https://lightgbm.readthedocs.io/en/latest/pythonapi/lightgbm.Booster.html?highlight=feature_importance#lightgbm.Booster.feature_importance
+        """
+        return pd.Series(self.model.feature_importance(*args, **kwargs), index=self.model.feature_name()).sort_values(
+            ascending=False
+        )