How to use Scikit Learn Wrapper around Keras Bi-directional LSTM Model

Question

I have created a Keras LSTM model that does sequence classification. I have 27 sequences in the Training set and 18 sequences in the Test set. Each sequence has 4000 time-steps that I have achieved by padding with zeroes. Each sequence is a combination of 2499 parallel series. This means I have 2499 Features.

• Dimensions of X_Train is (27 x 4000 x 2499) :27-Sequences, 4000 Timesteps in each sequence and 2499 features.
• Dimension of Y_Train is (27 x 4000 x 1)
• Dimension of X_Test is (18 x 4000 x 2499)
• Dimension of Y_Test is (18 x 4000 x 1)

I am using Bi-directional LSTM Model with return_sequences set to True

My ultimate goal is to get Feature Importances using ELI5 Package's Permutation Importance.

Since ELI5 package does not support Keras framework, I want to use a Scikit learn Wrapper around keras to get it to behave like scikit learn.

Then I can finally use ELI5 package on my model to get Important features.

I have used these parameters:

• layer1_units = 40
• layer1_act = 'tanh'
• go_backwards = False
• return_sequences = True
• merge_mode = 'concat'
• lr = 0.01
• epochs = 2
• batch_size = 200

I am going to use this lstm model in the build_fn attribute of KerasClassifier().

model = KerasClassifier(build_fn= lstm_Trial.model(),  epochs=3, batch_size=40, verbose=1)

Then I am trying to use .fit() method.

model.fit(x = X_Train, y = Y_Train_Ori)

This throws an error.

---

ValueError Traceback (most recent call last) in () ----> 1 model.fit(x = X_Train, y = Y_Train_Ori) ~/anaconda3/lib/python3.6/site-packages/keras/wrappers/scikit_learn.py in fit(self, x, y, sample_weight, **kwargs) 203 y = np.searchsorted(self.classes_, y) 204 else: --> 205 raise ValueError('Invalid shape for y: ' + str(y.shape)) 206 self.n_classes_ = len(self.classes_) 207 if sample_weight is not None:

ValueError: Invalid shape for y: (27, 4000, 1)

How do I use KerasClassifier properly so that Ultimately I am able to use ELI5 package?

Answer 1

I have encountered the same problem and to avoid double-posting, I would like to share with you my answer which I have posted on another Stackoverflow question similar to yours.

TL;DR: eli5 requires 2d arrays but LSTM layers need 3d arrays, so you cannot get it to work currently