How to handle categorical variables in sklearn GradientBoostingClassifier?

Question

I am attempting to train models with GradientBoostingClassifier using categorical variables.

The following is a primitive code sample, just for trying to input categori

Answer 1

pandas.get_dummies or statsmodels.tools.tools.categorical can be used to convert categorical variables to a dummy matrix. We can then merge the dummy matrix back to the training data.

Below is the example code from the question with the above procedure carried out.

from sklearn import datasets
from sklearn.ensemble import GradientBoostingClassifier
from sklearn.metrics import roc_curve,auc
from statsmodels.tools import categorical
import numpy as np

iris = datasets.load_iris()
# Use only data for 2 classes.
X = iris.data[(iris.target==0) | (iris.target==1)]
Y = iris.target[(iris.target==0) | (iris.target==1)]

# Class 0 has indices 0-49. Class 1 has indices 50-99.
# Divide data into 80% training, 20% testing.
train_indices = list(range(40)) + list(range(50,90))
test_indices = list(range(40,50)) + list(range(90,100))
X_train = X[train_indices]
X_test = X[test_indices]
y_train = Y[train_indices]
y_test = Y[test_indices]


###########################################################################
###### Convert categorical variable to matrix and merge back with training
###### data.

# Fake categorical variable.
catVar = np.array(['a']*40 + ['b']*40)
catVar = categorical(catVar, drop=True)
X_train = np.concatenate((X_train, catVar), axis = 1)

catVar = np.array(['a']*10 + ['b']*10)
catVar = categorical(catVar, drop=True)
X_test = np.concatenate((X_test, catVar), axis = 1)
###########################################################################

# Model and test.
clf = GradientBoostingClassifier(learning_rate=0.01,max_depth=8,n_estimators=50).fit(X_train, y_train)

prob = clf.predict_proba(X_test)[:,1]   # Only look at P(y==1).

fpr, tpr, thresholds = roc_curve(y_test, prob)
roc_auc_prob = auc(fpr, tpr)

print(prob)
print(y_test)
print(roc_auc_prob)

Thanks to Andreas Muller for instructing that pandas Dataframe should not be used for scikit-learn estimators.