search

guillermo-navas-palencia / optbinning

Optimal binning: monotonic binning with constraints. Support batch & stream optimal binning. Scorecard modelling and counterfactual explanations.
http://gnpalencia.org/optbinning/
Apache License 2.0
460 stars 100 forks source link

WoE monotonicity prediction with ML #292

Closed alexliap closed 10 months ago

alexliap commented 11 months ago

Could you please explain how you predict the woe monotonicity for a variable? I tried to read the relevant paper but didn't quite understand it. Up to now in my company we have been figuring it out by binning the variable manually. It would be very useful to understand how its done automatically and not just take it as a black box.

guillermo-navas-palencia commented 11 months ago

Hi @alexliap.

I developed an ML algorithm (a simple decision tree) capable of predicting the monotonicity maximizing the Information Value. The features of the model are designed to characterize a prebinning solution. The decision tree is simple, so to make it fast, it is implemented as a set of rules. The paper explains in detail the training process and the resulting prediction metrics.