How to perform feature selection with gridsearchcv in sklearn in python

Basically you want to fine tune the hyper parameter of your classifier (with Cross validation) after feature selection using recursive feature elimination (with Cross validation).

Pipeline object is exactly meant for this purpose of assembling the data transformation and applying estimator.

May be you could use a different model (GradientBoostingClassifier, etc. ) for your final classification. It would be possible with the following approach:

from sklearn.datasets import load_breast_cancer
from sklearn.feature_selection import RFECV
from sklearn.model_selection import GridSearchCV
from sklearn.model_selection import train_test_split
from sklearn.ensemble import RandomForestClassifier

X, y = load_breast_cancer(return_X_y=True)
X_train, X_test, y_train, y_test = train_test_split(X, y, 
                                                    test_size=0.33, 
                                                    random_state=42)


from sklearn.pipeline import Pipeline

#this is the classifier used for feature selection
clf_featr_sele = RandomForestClassifier(n_estimators=30, 
                                        random_state=42,
                                        class_weight="balanced") 
rfecv = RFECV(estimator=clf_featr_sele, 
              step=1, 
              cv=5, 
              scoring = 'roc_auc')

#you can have different classifier for your final classifier
clf = RandomForestClassifier(n_estimators=10, 
                             random_state=42,
                             class_weight="balanced") 
CV_rfc = GridSearchCV(clf, 
                      param_grid={'max_depth':[2,3]},
                      cv= 5, scoring = 'roc_auc')

pipeline  = Pipeline([('feature_sele',rfecv),
                      ('clf_cv',CV_rfc)])

pipeline.fit(X_train, y_train)
pipeline.predict(X_test)

Now, you can apply this pipeline (Including feature selection) for test data.

You can do what you want by prefixing the names of the parameters you want to pass to the estimator with 'estimator__'.

X = df[[my_features]]
y = df[gold_standard]

clf = RandomForestClassifier(random_state=0, class_weight="balanced")
rfecv = RFECV(estimator=clf, step=1, cv=StratifiedKFold(3), scoring='roc_auc')

param_grid = { 
    'estimator__n_estimators': [200, 500],
    'estimator__max_features': ['auto', 'sqrt', 'log2'],
    'estimator__max_depth' : [4,5,6,7,8],
    'estimator__criterion' :['gini', 'entropy']
}
k_fold = StratifiedKFold(n_splits=3, shuffle=True, random_state=0)

CV_rfc = GridSearchCV(estimator=rfecv, param_grid=param_grid, cv= k_fold, scoring = 'roc_auc')

X_train, X_test, y_train, y_test = train_test_split(X, y)

CV_rfc.fit(X_train, y_train)

Output on fake data I made:

{'estimator__n_estimators': 200, 'estimator__max_depth': 6, 'estimator__criterion': 'entropy', 'estimator__max_features': 'auto'}
0.5653035605690997
RFECV(cv=StratifiedKFold(n_splits=3, random_state=None, shuffle=False),
   estimator=RandomForestClassifier(bootstrap=True, class_weight='balanced',
            criterion='entropy', max_depth=6, max_features='auto',
            max_leaf_nodes=None, min_impurity_decrease=0.0,
            min_impurity_split=None, min_samples_leaf=1,
            min_samples_split=2, min_weight_fraction_leaf=0.0,
            n_estimators=200, n_jobs=None, oob_score=False, random_state=0,
            verbose=0, warm_start=False),
   min_features_to_select=1, n_jobs=None, scoring='roc_auc', step=1,
   verbose=0)

You just need to pass the Recursive Feature Elimination Estimator directly into the GridSearchCV object. Something like this should work

X = df[my_features] #all my features
y = df['gold_standard'] #labels

clf = RandomForestClassifier(random_state = 42, class_weight="balanced")
rfecv = RFECV(estimator=clf, step=1, cv=StratifiedKFold(10), scoring='auc_roc')

param_grid = { 
    'n_estimators': [200, 500],
    'max_features': ['auto', 'sqrt', 'log2'],
    'max_depth' : [4,5,6,7,8],
    'criterion' :['gini', 'entropy']
}
k_fold = StratifiedKFold(n_splits=10, shuffle=True, random_state=0)

#------------- Just pass your RFECV object as estimator here directly --------#

CV_rfc = GridSearchCV(estimator=rfecv, param_grid=param_grid, cv= k_fold, scoring = 'roc_auc')


CV_rfc.fit(x_train, y_train)
print(CV_rfc.best_params_)
print(CV_rfc.best_score_)
print(CV_rfc.best_estimator_)