Population Stability Index (PSI)

Introduction

Population stability index (PSI) is a metric to measure how much a feature has shifted in distribution between two sample sets. Usually, PSI is used to measure the stability of models or qualities of features. In FATE, PSI module is used to compute PSI values of features between two tables.

Given two data columns: expect & actual, PSI will be computed by the following steps: * expect column and actual column conduct quantile feature binning * compute interval percentage, which is given by (bin sample count)/(total sample number) * compute PSI value: psi = sum( (actual_percentage - expect_percentage) * ln(actual_percentage / expect_percentage) )

For more details of psi, you can refer to this PSI tutorial

Param

• max_bin_num: int, max bin number of quantile feature binning

• need_run: bool, need to run this module in DSL

• dense_missing_val: int/ float/ string imputed missing value when input format is dense, default is set to np.nan. Default setting is suggested

How to use

An example is offered in examples/dsl/v2/psi folder.