FastWoe: Fast Weight of Evidence (WOE) encoding and inference

FastWoe is a Python library for efficient Weight of Evidence (WOE) encoding of categorical features and statistical inference. It's designed for machine learning practitioners seeking robust, interpretable feature engineering and likelihood-ratio-based inference for binary and multiclass classification problems.

🌟 Key Features

• Fast WOE Encoding: Leverages scikit-learn's TargetEncoder for efficient computation
• Multiclass Support: One-vs-rest WOE encoding for targets with 3+ classes
• Statistical Confidence Intervals: Provides standard errors and confidence intervals for WOE values
• IV Standard Errors: Statistical significance testing for Information Value with confidence intervals
• Cardinality Control: Built-in preprocessing to handle high-cardinality categorical features
• Intelligent Numerical Binning: Support for traditional binning, decision tree-based binning, and FAISS KMeans clustering
• Monotonic Constraints: Enforce business logic constraints for credit scoring and regulatory compliance
• Binning Summaries: Feature-level binning statistics including Gini score and Information Value (IV)
• Compatible with scikit-learn: Follows scikit-learn's preprocessing transformer interface
• Uncertainty Quantification: Combines Alan Turing's factor principle with Maximum Likelihood theory (see paper)

🎲 What is Weight of Evidence?

Weight of Evidence (WOE) is a statistical technique that:

• Transforms discrete features into logarithmic scores
• Measures the strength of relationship between feature categories and true labels
• Provides interpretable coefficients as weights in logistic regression models
• Handles missing values and rare categories gracefully

Mathematical Definition:

WOE = ln(P(Event|Category) / P(Non-Event|Category)) - ln(P(Event) / P(Non-Event))

Where WOE represents the log-odds difference between a category and the overall population.

🚀 Installation

Important

FastWoe requires Python 3.9+ and scikit-learn 1.3.0+ for TargetEncoder support.

From PyPI (Recommended)

pip install fastwoe

📦 View on PyPI: https://pypi.org/project/fastwoe/

Optional Dependencies

FAISS KMeans Binning

Optional: FAISS for KMeans clustering-based binning (see Numerical Feature Binning):

# CPU version (recommended for most users)
pip install fastwoe[faiss]

# GPU version (for CUDA-enabled systems)
pip install fastwoe[faiss-gpu]

For GPU acceleration support:

pip install faiss-gpu  # Requires CUDA

⚠️ Important: If you get ImportError: FAISS is required for faiss_kmeans binning method, you need to install the [faiss] extras. See FAISS Troubleshooting Guide for detailed solutions.

Note

FAISS Support: FAISS is optional and only required for faiss_kmeans binning method. Choose the appropriate version:

• CPU version: pip install fastwoe[faiss] or pip install faiss-cpu>=1.12.0
• GPU version: pip install fastwoe[faiss-gpu] or pip install faiss-gpu-cu12>=1.12.0

Both versions support Python 3.7-3.12 and are compatible with NumPy 1.x and 2.x.

From Source

git clone https://github.com/xRiskLab/fastwoe.git
cd fastwoe
pip install -e .

Development Installation

git clone https://github.com/xRiskLab/fastwoe.git
cd fastwoe
pip install -e ".[dev]"

Tip

For development work, we recommend using uv for faster package management:

uv sync --dev

📖 Quick Start

import pandas as pd
import numpy as np
from fastwoe import FastWoe, WoePreprocessor

# Create sample data
data = pd.DataFrame({
    'category': ['A', 'B', 'C'] * 100 + ['D'] * 50,
    'high_card_cat': [f'cat_{i}' for i in np.random.randint(0, 50, 350)],
    'target': np.random.binomial(1, 0.3, 350)
})

# Step 1: Preprocess high-cardinality features (optional)
preprocessor = WoePreprocessor(max_categories=10, min_count=5)
X_preprocessed = preprocessor.fit_transform(
    data[['category', 'high_card_cat']],
    cat_features=['high_card_cat']  # Only preprocess this column
)

# Step 2: Apply WOE encoding
woe_encoder = FastWoe()
X_woe = woe_encoder.fit_transform(X_preprocessed, data['target'])

print("WOE-encoded features:")
print(X_woe.head())

# Step 3: Get detailed mappings with statistics
mapping = woe_encoder.get_mapping('category')
print("\nWOE Mapping for 'category':")
print(mapping[['category', 'count', 'event_rate', 'woe', 'woe_se']])

🎯 Multiclass Support

FastWoe now supports multiclass classification using a one-vs-rest approach! For targets with 3+ classes, FastWoe automatically creates separate WOE encodings for each class against all others.

Multiclass Example

import pandas as pd
import numpy as np
from fastwoe import FastWoe
from sklearn.ensemble import RandomForestClassifier
from sklearn.metrics import classification_report

# Create multiclass data
X = pd.DataFrame({
    'job': ['teacher', 'engineer', 'artist', 'doctor'] * 25,
    'age_group': ['<30', '30-50', '50+'] * 33 + ['<30'],
    'income': np.random.normal(50000, 20000, 100),
})
y = pd.Series([0, 1, 2, 0, 1] * 20)  # 3 classes

# Fit FastWoe with multiclass target
woe_encoder = FastWoe()
woe_encoder.fit(X, y)

# Transform data - creates multiple columns per feature
X_woe = woe_encoder.transform(X)
print(f"Original features: {X.shape[1]}")
print(f"WOE features: {X_woe.shape[1]}")  # 3x more columns
print(f"Column names: {list(X_woe.columns)}")
# Output: ['job_class_0', 'job_class_1', 'job_class_2', 'age_group_class_0', ...]

# Get probabilities for all classes
probs = woe_encoder.predict_proba(X)
print(f"Probabilities shape: {probs.shape}")  # (n_samples, n_classes)

# Get class-specific probabilities
class_0_probs = woe_encoder.predict_proba_class(X, class_label=0)
class_1_probs = woe_encoder.predict_proba_class(X, class_label=1)

# Get confidence intervals for specific class
class_0_ci = woe_encoder.predict_ci_class(X, class_label=0)
print(f"Class 0 CI shape: {class_0_ci.shape}")  # (n_samples, 2) [lower, upper]

# Train a classifier on WOE features
rf = RandomForestClassifier(n_estimators=100, random_state=42)
rf.fit(X_woe, y)
predictions = rf.predict(X_woe)

print("\nClassification Report:")
print(classification_report(y, predictions))

Multiclass Features

• One-vs-Rest Encoding: Each class gets separate WOE scores against all others
• Class-Specific Methods: predict_proba_class() and predict_ci_class() for individual classes
• Softmax Probabilities: predict_proba() returns probabilities that sum to 1 across classes
• Comprehensive Statistics: All existing methods work with multiclass (IV analysis, feature stats, etc.)
• String Labels: Supports both integer and string class labels

Class-Specific Predictions

# Method 1: Extract from full results
all_probs = woe_encoder.predict_proba(X)
class_0_probs = all_probs[:, 0]  # Extract class 0

# Method 2: Use class-specific methods (recommended)
class_0_probs = woe_encoder.predict_proba_class(X, class_label=0)
class_0_ci = woe_encoder.predict_ci_class(X, class_label=0)

# Practical usage examples
high_risk_mask = woe_encoder.predict_proba_class(X, class_label=0) > 0.5
high_confidence_mask = woe_encoder.predict_ci_class(X, class_label=2)[:, 0] > 0.3

🔧 Advanced Usage

Caution

When we make inferences with predict_proba and predict_ci methods, we are making a (naive) assumption that pieces of evidence are independent. The sum of WOE scores can only produce meaningful probabilistic outputs if the data is not strongly correlated among features and does not contain very granular categories with very few observations.

Probability Predictions

# Get predictions with Naive Bayes classification
preds = woe_encoder.predict_proba(X_preprocessed)[:, 1]
print(preds.mean())

Confidence Intervals

Note

Statistical confidence intervals help assess the reliability of WOE estimates, especially for categories with small sample sizes.

# Get predictions with confidence intervals
ci_results = woe_encoder.predict_ci(X_preprocessed, alpha=0.05)
print(ci_results[['prediction', 'lower_ci', 'upper_ci']].head())

Feature Statistics

# Get comprehensive feature statistics
feature_stats = woe_encoder.get_feature_stats()
print(feature_stats)

Information Value (IV) Standard Errors

Note

Read the paper on ArXiv: An Information-Theoretic Framework for Credit Risk Modeling: Unifying Industry Practice with Statistical Theory for Fair and Interpretable Scorecards.

FastWoe provides statistical rigor for Information Value calculations with confidence intervals and significance testing.

We can calculate the standard error of IV for each feature using the get_iv_analysis method.

# Get IV analysis with confidence intervals
iv_analysis = woe_encoder.get_iv_analysis()
print(iv_analysis)

Output:

          feature     iv  iv_se  iv_ci_lower  iv_ci_upper iv_significance
    strong_feature 0.1901 0.0256       0.1398       0.2403     Significant
      weak_feature 0.0040 0.0035       0.0000       0.0108 Not Significant

Additionally, we can calculate the standard error of IV for a specific feature using the get_iv_analysis method.

# Get IV analysis for a specific feature
single_feature_iv = woe_encoder.get_iv_analysis('feature_name')

# All feature statistics now include IV standard errors
feature_stats = woe_encoder.get_feature_stats()
# Contains: iv, iv_se, iv_ci_lower, iv_ci_upper columns

Standardized WOE

# Get Wald scores (standardized log-odds) or use "woe" for raw WOE values
X_standardized = woe_encoder.transform_standardized(X_preprocessed, output='wald')

Numerical Feature Binning

FastWoe supports three methods for binning numerical features:

1. Histogram-Based Binning

# Use KBinsDiscretizer with quantile strategy
woe_encoder = FastWoe(
    binning_method="kbins",
    binner_kwargs={
        "n_bins": 5,
        "strategy": "quantile",  # or "uniform", "kmeans"
        "encode": "ordinal"
    }
)

2. Decision Tree-Based Binning

# Use single decision tree to find optimal splits
woe_encoder = FastWoe(
    binning_method="tree",
    tree_kwargs={
        "max_depth": 3,
        "min_samples_split": 20,
        "min_samples_leaf": 10
    }
)

# Or use a custom tree estimator
from sklearn.tree import ExtraTreeClassifier
woe_encoder = FastWoe(
    binning_method="tree",
    tree_estimator=ExtraTreeClassifier,
    tree_kwargs={"max_depth": 2, "random_state": 42}
)

3. FAISS KMeans Binning

# Use FAISS KMeans clustering for efficient binning
# First install FAISS: pip install fastwoe[faiss] (CPU) or fastwoe[faiss-gpu] (GPU)
woe_encoder = FastWoe(
    binning_method="faiss_kmeans",
    faiss_kwargs={
        "k": 5,              # Number of clusters
        "niter": 20,         # Number of iterations
        "verbose": False,    # Show progress
        "gpu": False         # Use GPU acceleration (requires faiss-gpu)
    }
)

# Example with GPU acceleration
woe_encoder = FastWoe(
    binning_method="faiss_kmeans",
    faiss_kwargs={
        "k": 8,
        "niter": 50,
        "verbose": True,
        "gpu": True          # pip install faiss-gpu-cu12 for CUDA 12
    }
)

Benefits of FAISS KMeans Binning:

• Efficient Clustering: Uses Facebook's FAISS library for fast KMeans clustering
• Data-Driven Bins: Creates bins based on feature value clusters, not quantiles
• GPU Acceleration: Optional GPU support for large datasets
• Scalable: Optimized for high-dimensional and large-scale data
• Meaningful Labels: Generates interpretable bin labels based on cluster centroids
• Missing Value Handling: Properly handles missing values in clustering

Benefits of Tree-Based Binning:

• Target-Aware: Splits are optimized for the target variable
• Non-Linear Relationships: Captures complex patterns better than uniform/quantile binning
• Automatic Bin Count: Number of bins determined by tree structure
• Flexible Configuration: Use any tree estimator with custom hyperparameters

Pipeline Integration

from sklearn.pipeline import Pipeline
from sklearn.linear_model import LogisticRegression

# Create a complete pipeline
pipeline = Pipeline([
    ('preprocessor', WoePreprocessor(top_p=0.95, min_count=10)),
    ('woe_encoder', FastWoe()),
    ('classifier', LogisticRegression())
])

# Fit the entire pipeline
pipeline.fit(data[['category', 'high_card_cat']], data['target'])

🎯 Monotonic Constraints for Credit Scoring

FastWoe supports monotonic constraints for numerical features, ensuring that WOE values follow business logic requirements. This is particularly important for credit scoring and regulatory compliance.

When to Use Monotonic Constraints

• Credit Scoring: Higher income should lead to lower risk
• Age-based Risk: Higher age might lead to higher risk (depending on context)
• Credit Score: Higher credit scores should lead to lower risk
• Regulatory Compliance: When business rules require monotonic relationships

Example Usage

import pandas as pd
import numpy as np
from fastwoe import FastWoe

# Create sample credit scoring data
np.random.seed(42)
n_samples = 1000

# Income: higher income -> lower risk (decreasing constraint)
income = np.random.lognormal(mean=10, sigma=0.5, size=n_samples)
income_risk = 1 / (1 + np.exp((income - np.median(income)) / 20))

# Age: higher age -> higher risk (increasing constraint)
age = np.random.normal(35, 12, n_samples)
age_risk = 1 / (1 + np.exp(-(age - 35) / 8))

# Credit score: higher score -> lower risk (decreasing constraint)
credit_score = np.random.normal(650, 100, n_samples)
credit_score = np.clip(credit_score, 300, 850)
credit_risk = 1 / (1 + np.exp((credit_score - 650) / 50))

# Combine risks
combined_risk = (income_risk + age_risk + credit_risk) / 3
y = (combined_risk > 0.5).astype(int)

X = pd.DataFrame({
    'income': income,
    'age': age,
    'credit_score': credit_score
})

# Apply monotonic constraints
woe_encoder = FastWoe(
    binning_method="tree",
    monotonic_cst={
        "income": -1,        # Decreasing: higher income -> lower risk
        "age": 1,            # Increasing: higher age -> higher risk
        "credit_score": -1   # Decreasing: higher score -> lower risk
    },
    numerical_threshold=10
)

woe_encoder.fit(X, y)

# Check that constraints were applied
summary = woe_encoder.get_binning_summary()
print(summary[['feature', 'monotonic_constraint']])

Constraint Values

• 1: Increasing constraint (higher values → higher risk)
• -1: Decreasing constraint (higher values → lower risk)
• 0: No constraint (default)

Important Notes

• Tree method: Uses native scikit-learn monotonic constraints
• KBins & FAISS methods: Uses isotonic regression to enforce constraints
• Multiclass Support: Monotonic constraints work with multiclass targets - constraints are applied independently to each class's WOE values
• Constraints ensure WOE values follow the specified monotonic pattern
• Performance may be slightly different but more interpretable
• Essential for regulatory compliance in credit scoring

For a complete example, see examples/monotonic_constraints_example.py.

📋 API Reference

FastWoe Class

Parameters

• encoder_kwargs (dict): Additional parameters for sklearn's TargetEncoder
• random_state (int): Random state for reproducibility
• binning_method (str): Method for numerical binning - "kbins" (default), "tree", or "faiss_kmeans"
• binner_kwargs (dict): Parameters for KBinsDiscretizer (when binning_method="kbins")
• tree_estimator (estimator): Custom tree estimator for binning (when binning_method="tree")
• tree_kwargs (dict): Parameters for tree estimator
• faiss_kwargs (dict): Parameters for FAISS KMeans (when binning_method="faiss_kmeans")
• monotonic_cst (dict): Monotonic constraints for numerical features. Maps feature names to constraint values: 1 (increasing), -1 (decreasing), 0 (no constraint). Supported with all binning methods: tree (native), kbins/faiss_kmeans (isotonic regression). Works with binary and multiclass targets.

Key Methods

• fit(X, y): Fit the WOE encoder
• transform(X): Transform features to WOE values
• fit_transform(X, y): Fit and transform in one step
• get_mapping(column): Get WOE mapping for specific column
• predict_proba(X): Get probability predictions
• predict_ci(X, alpha): Get predictions with confidence intervals

WoePreprocessor Class

The WoePreprocessor is a preprocessing step that reduces the cardinality of categorical features. It is used to handle high-cardinality categorical features.

Warning

High-cardinality features (>50 categories) can lead to overfitting and unreliable WOE estimates. Always use WoePreprocessor for such features if you plan to use in downstream tasks.

Parameters

• max_categories (int): Maximum categories to keep per feature
• top_p (float): Keep categories covering top_p% of frequency
• min_count (int): Minimum count required for category
• other_token (str): Token for grouping rare categories

Tip

The top_p parameter uses cumulative frequency to select categories. For example, top_p=0.95 keeps categories that together represent 95% of all observations, automatically grouping the long tail of rare categories into "__other__". This is more adaptive than fixed max_categories since it preserves the most important categories regardless of their absolute count.

Key Methods

• fit(X, cat_features): Fit preprocessor
• transform(X): Apply preprocessing
• get_reduction_summary(X): Get cardinality reduction statistics

Example: Using top_p parameter

# Dataset with 100 categories:
# "A" (40%), "B" (30%), "C" (15%), "D" (10%), remaining 96 categories (5% total)

preprocessor = WoePreprocessor(top_p=0.95, min_count=5)
# Result: Keeps ["A", "B", "C", "D"] (95% coverage), groups rest as "__other__"
# Reduces 100 → 5 categories while preserving 95% of the categories

WeightOfEvidence Class

The WeightOfEvidence class provides interpretability for FastWoe classifiers with automatic parameter inference and uncertainty quantification through confidence intervals.

Parameters

• classifier (FastWoe, optional): FastWoe classifier to explain (auto-created if None)
• X_train (array-like, optional): Training features (auto-inferred if possible)
• y_train (array-like, optional): Training labels (auto-inferred if possible)
• feature_names (list, optional): Feature names (auto-inferred if possible)
• class_names (list, optional): Class names (auto-inferred if possible)
• auto_infer (bool): Enable automatic parameter inference (default=True)

Key Methods

• explain(x, sample_idx=None, class_to_explain=None, true_label=None, return_dict=True): Explain single sample or sample from dataset
• explain_ci(x, sample_idx=None, alpha=0.05, return_dict=True): Explain with confidence intervals for uncertainty quantification
• predict_ci(X, alpha=0.05): Batch predictions with confidence bounds
• summary(): Get explainer overview and statistics

Key Features

• Auto-Inference: Automatically detects parameters from FastWoe classifiers
• Dual Usage: Support both explain(sample) and explain(dataset, index) patterns
• Uncertainty Quantification: Confidence intervals for WOE scores and probabilities
• Rich Output: Human-readable interpretations with evidence strength levels

📊 Theoretical Background

This implementation is based on rigorous statistical theory:

1. WOE Standard Error: SE(WOE) = sqrt(1/good_count + 1/bad_count)
2. Confidence Intervals: Using normal approximation with calculated standard errors
3. Information Value: Measures predictive power of each feature
4. Gini Score: Derived from AUC to measure discriminatory power

For rare counts, we rely on the rule of three to calculate the standard error.

For technical details, see Weight of Evidence (WOE), Log Odds, and Standard Errors.

🧪 Testing

Run the test suite:

# Install test dependencies
pip install -e ".[dev]"

# Run tests
pytest

# Run tests with coverage
pytest --cov=fastwoe --cov-report=html

🛠️ Development

Development Setup

Clone the repository and install dependencies:

git clone https://github.com/xRiskLab/fastwoe.git
cd fastwoe
uv sync --dev

Running Tests

Run the main test suite:

uv run pytest

Run tests without slow compatibility tests:

uv run pytest -m "not slow"

Run compatibility tests across Python/scikit-learn versions (requires uv):

uv run pytest -m compatibility

Run specific test categories:

# Only fast compatibility checks
uv run pytest -m "compatibility and not slow"

# Only slow cross-version tests
uv run pytest -m "compatibility and slow"

Code Quality and Type Checking

FastWoe uses several tools to maintain code quality:

# Format code
make format

# Run linting
make lint

# Run type checking (lenient mode for pandas/numpy)
make typecheck

# Run type checking (strict mode)
make typecheck-strict

# Run all checks (format, lint, typecheck)
make check-all

# CI-friendly checks (passes with expected pandas/numpy type issues)
make ci-check

Local GitHub Actions Testing

Test your CI/CD workflows locally using act:

# Test workflows locally (dry run)
act --container-architecture linux/amd64 -W .github/workflows/ci.yml --dryrun

# Test specific jobs
act --container-architecture linux/amd64 -j lint -W .github/workflows/ci.yml --dryrun
act --container-architecture linux/amd64 -j type-check -W .github/workflows/typecheck.yml --dryrun

See Local Testing with Act for comprehensive documentation.

Type Checking Notes:

• FastWoe uses ty for type checking via make typecheck
• Many type errors are expected due to pandas/numpy dynamic typing
• CI mode treats expected pandas/numpy type issues as success
• Use make typecheck-strict to fail on any type errors

Building the Package

Build wheel and source distribution:

uv build

Install from local build:

uv pip install dist/fastwoe-*.whl

Test installation in clean environment:

# Create temporary environment
uv venv .test-env --python 3.9
uv pip install --python .test-env/bin/python dist/fastwoe-*.whl
.test-env/bin/python -c "import fastwoe; print(f'FastWoe {fastwoe.__version__} installed successfully!')"

Code Quality

Format code:

uv run black fastwoe/ tests/

Lint code:

uv run ruff check fastwoe/ tests/

📈 Performance Characteristics

• Memory Efficient: Uses pandas and numpy for vectorized operations
• Scalable: Handles datasets with millions of rows
• Fast: Leverages sklearn's optimized TargetEncoder implementation
• Robust: Handles edge cases like single categories and missing values

📝 Changelog

For a changelog, see CHANGELOG.

Note

This package is in a beta release mode. The API is not considered stable for production use.

🔧 Troubleshooting

FAISS Import Issues

If you encounter FAISS-related import errors, here are common solutions:

Error: No module named 'numpy._core'

• This occurs when FAISS was compiled against an older NumPy version
• Solution: Upgrade to compatible FAISS version which supports Python 3.7-3.12 and both NumPy 1.x and 2.x
• Run: pip install --upgrade faiss-cpu>=1.12.0 or pip install --upgrade faiss-gpu-cu12>=1.12.0

Error: AttributeError: module 'faiss' has no attribute 'KMeans'

• This occurs when using an older FAISS version with incorrect import paths
• Solution: The latest fastwoe[faiss] installation handles this automatically
• If using FAISS directly, import as: from faiss.extra_wrappers import Kmeans

Error: A module that was compiled using NumPy 1.x cannot be run in NumPy 2.x

• This occurs when FAISS was compiled against NumPy 1.x but you're using NumPy 2.x
• Solution: Use compatible FAISS version which supports both NumPy versions:
  • CPU: pip install --upgrade faiss-cpu>=1.12.0
  • GPU: pip install --upgrade faiss-gpu-cu12>=1.12.0
• Or downgrade NumPy: pip install "numpy<2.0"

Verification

To verify FAISS is working correctly:

from fastwoe import FastWoe
import pandas as pd
import numpy as np

# Test FAISS functionality
X = pd.DataFrame({'feature': np.random.randn(100)})
y = np.random.randint(0, 2, 100)

woe = FastWoe(binning_method='faiss_kmeans', faiss_kwargs={'k': 3})
woe.fit(X, y)  # Should work without errors

📄 License

This project is licensed under the MIT License - see the LICENSE file for details.

📚 References

1. Alan M. Turing (1942). The Applications of Probability to Cryptography.
2. I. J. Good (1950). Probability and the Weighing of Evidence.
3. Daniele Micci-Barreca (2001). A preprocessing scheme for high-cardinality categorical attributes in classification and prediction problems.
4. Naeem Siddiqi (2006). Credit Risk Scorecards: Developing and Implementing Intelligent Credit Scoring.

🔗 Other Projects

• scikit-learn: Python Machine learning library providing TargetEncoder implementation
• category_encoders: Additional categorical encoding methods
• WoeBoost: Weight of Evidence (WOE) Gradient Boosting in Python

ℹ️ Additional Information

• Documentation: README and Theoretical Background
• Examples: See examples/ directory