Removing features with low variance using scikit-learn - python-2.7

Question

scikit-learn provides various methods to remove descriptors, a basic method for this purpose has been provided by the given tutorial below,
http://scikit-learn.org/stable/modules/feature_selection.html
but the tutorial does not provide any method or a way that can tell you the way to keep the list of features that either removed or kept.
The code below has been taken from the tutorial.
from sklearn.feature_selection import VarianceThreshold
X = [[0, 0, 1], [0, 1, 0], [1, 0, 0], [0, 1, 1], [0, 1, 0], [0, 1, 1]]
sel = VarianceThreshold(threshold=(.8 * (1 - .8)))
sel.fit_transform(X)
array([[0, 1],
[1, 0],
[0, 0],
[1, 1],
[1, 0],
[1, 1]])
The given example code above depicts only two descriptors "shape(6, 2)", but in my case, I have a huge data frames with a shape of (rows 51, columns 9000). After finding a suitable model I want to keep the track of useful and useless features because I can save computational time during the computation of the features of test data set by calculating only useful features.
For example, when you perform machine learning modeling with WEKA 6.0, it provided with remarkable flexibility over feature selection and after removing the useless feature you can get a list of a discarded features along with the useful features.
thanks

Answer 1

Then, what you can do, if I'm not wrong is:
In the case of the VarianceThreshold, you can call the method fit instead of fit_transform. This will fit data, and the resulting variances will be stored in vt.variances_ (assuming vt is your object).
Having a threhold, you can extract the features of the transformation as fit_transform would do:
X[:, vt.variances_ > threshold]
Or get the indexes as:
idx = np.where(vt.variances_ > threshold)[0]
Or as a mask
mask = vt.variances_ > threshold
PS: default threshold is 0
EDIT:
A more straight forward to do, is by using the method get_support of the class VarianceThreshold. From the documentation:
get_support([indices]) Get a mask, or integer index, of the features selected
You should call this method after fit or fit_transform.

Answer 2

import numpy as np
import pandas as pd
from sklearn.feature_selection import VarianceThreshold
# Just make a convenience function; this one wraps the VarianceThreshold
# transformer but you can pass it a pandas dataframe and get one in return
def get_low_variance_columns(dframe=None, columns=None,
skip_columns=None, thresh=0.0,
autoremove=False):
"""
Wrapper for sklearn VarianceThreshold for use on pandas dataframes.
"""
print("Finding low-variance features.")
try:
# get list of all the original df columns
all_columns = dframe.columns
# remove `skip_columns`
remaining_columns = all_columns.drop(skip_columns)
# get length of new index
max_index = len(remaining_columns) - 1
# get indices for `skip_columns`
skipped_idx = [all_columns.get_loc(column)
for column
in skip_columns]
# adjust insert location by the number of columns removed
# (for non-zero insertion locations) to keep relative
# locations intact
for idx, item in enumerate(skipped_idx):
if item > max_index:
diff = item - max_index
skipped_idx[idx] -= diff
if item == max_index:
diff = item - len(skip_columns)
skipped_idx[idx] -= diff
if idx == 0:
skipped_idx[idx] = item
# get values of `skip_columns`
skipped_values = dframe.iloc[:, skipped_idx].values
# get dataframe values
X = dframe.loc[:, remaining_columns].values
# instantiate VarianceThreshold object
vt = VarianceThreshold(threshold=thresh)
# fit vt to data
vt.fit(X)
# get the indices of the features that are being kept
feature_indices = vt.get_support(indices=True)
# remove low-variance columns from index
feature_names = [remaining_columns[idx]
for idx, _
in enumerate(remaining_columns)
if idx
in feature_indices]
# get the columns to be removed
removed_features = list(np.setdiff1d(remaining_columns,
feature_names))
print("Found {0} low-variance columns."
.format(len(removed_features)))
# remove the columns
if autoremove:
print("Removing low-variance features.")
# remove the low-variance columns
X_removed = vt.transform(X)
print("Reassembling the dataframe (with low-variance "
"features removed).")
# re-assemble the dataframe
dframe = pd.DataFrame(data=X_removed,
columns=feature_names)
# add back the `skip_columns`
for idx, index in enumerate(skipped_idx):
dframe.insert(loc=index,
column=skip_columns[idx],
value=skipped_values[:, idx])
print("Succesfully removed low-variance columns.")
# do not remove columns
else:
print("No changes have been made to the dataframe.")
except Exception as e:
print(e)
print("Could not remove low-variance features. Something "
"went wrong.")
pass
return dframe, removed_features

Answer 3

this worked for me if you want to see exactly which columns are remained after thresholding you may use this method:
from sklearn.feature_selection import VarianceThreshold
threshold_n=0.95
sel = VarianceThreshold(threshold=(threshold_n* (1 - threshold_n) ))
sel_var=sel.fit_transform(data)
data[data.columns[sel.get_support(indices=True)]]

Answer 4

When testing features I wrote this simple function that tells me which variables remained in the data frame after the VarianceThreshold is applied.
from sklearn.feature_selection import VarianceThreshold
from itertools import compress
def fs_variance(df, threshold:float=0.1):
"""
Return a list of selected variables based on the threshold.
"""
# The list of columns in the data frame
features = list(df.columns)
# Initialize and fit the method
vt = VarianceThreshold(threshold = threshold)
_ = vt.fit(df)
# Get which column names which pass the threshold
feat_select = list(compress(features, vt.get_support()))
return feat_select
which returns a list of column names which are selected. For example: ['col_2','col_14', 'col_17'].