I recently came across a new [to me] approach, gradient boosting machines (specifically XGBoost), in the book Deep Learning with Python by François Chollet. Chollet mentions that XGBoost is the one shallow learning technique that a successful applied machine learner should be familiar with today, so I took his word for it and dove in to learn more. I mostly wanted to write this article because I thought that others with some knowledge of machine learning also may have missed this topic as I did. I am by no means an expert on the topic and to be honest had trouble understanding some of the mechanics, however, I hope this article is a great primer to your exploration on the subject (list of great resources at the bottom too)! So what is XGBoost and where does it fit in the world of ML? Gradient Boosting Machines fit into a category of ML called Ensemble Learning, which is a branch of ML methods that train and predict with many models at once to produce a single superior output.

Ensemble methods are meta-algorithms that combine several machine learning techniques into one predictive model in order to decrease variance (bagging), bias (boosting), or improve predictions (stacking). Ensemble learning helps improve machine learning results by combining several models. This approach allows the production of better predictive performance compared to a single model. That is why ensemble methods placed first in many prestigious machine learning competitions, such as the Netflix Competition, KDD 2009, and Kaggle. The Statsbot team wanted to give you the advantage of this approach and asked a data scientist, Vadim Smolyakov, to dive into three basic ensemble learning techniques.

This paper presents the key algorithmic techniques behind CatBoost, a new gradient boosting toolkit. Their combination leads to CatBoost outperforming other publicly available boosting implementations in terms of quality on a variety of datasets. Two critical algorithmic advances introduced in CatBoost are the implementation of ordered boosting, a permutation-driven alternative to the classic algorithm, and an innovative algorithm for processing categorical features. Both techniques were created to fight a prediction shift caused by a special kind of target leakage present in all currently existing implementations of gradient boosting algorithms. In this paper, we provide a detailed analysis of this problem and demonstrate that proposed algorithms solve it effectively, leading to excellent empirical results.

Random forests are learning algorithms that build large collections of random trees and make predictions by averaging the individual tree predictions. In this paper, we consider various tree constructions and examine how the choice of parameters affects the generalization error of the resulting random forests as the sample size goes to infinity. We show that subsampling of data points during the tree construction phase is important: Forests can become inconsistent with either no subsampling or too severe subsampling. As a consequence, even highly randomized trees can lead to inconsistent forests if no subsampling is used, which implies that some of the commonly used setups for random forests can be inconsistent. As a second consequence we can show that trees that have good performance in nearest-neighbor search can be a poor choice for random forests.

Model interpretability is an increasingly important component of practical machine learning. Some of the most common forms of interpretability systems are example-based, local, and global explanations. One of the main challenges in interpretability is designing explanation systems that can capture aspects of each of these explanation types, in order to develop a more thorough understanding of the model. We address this challenge in a novel model called MAPLE that uses local linear modeling techniques along with a dual interpretation of random forests (both as a supervised neighborhood approach and as a feature selection method). MAPLE has two fundamental advantages over existing interpretability systems. First, while it is effective as a black-box explanation system, MAPLE itself is a highly accurate predictive model that provides faithful self explanations, and thus sidesteps the typical accuracy-interpretability trade-off. Specifically, we demonstrate, on several UCI datasets, that MAPLE is at least as accurate as random forests and that it produces more faithful local explanations than LIME, a popular interpretability system. Second, MAPLE provides both example-based and local explanations and can detect global patterns, which allows it to diagnose limitations in its local explanations.

Multi-layered distributed representation is believed to be the key ingredient of deep neural networks especially in cognitive tasks like computer vision. While non-differentiable models such as gradient boosting decision trees (GBDTs) are still the dominant methods for modeling discrete or tabular data, they are hard to incorporate with such representation learning ability. In this work, we propose the multi-layered GBDT forest (mGBDTs), with an explicit emphasis on exploring the ability to learn hierarchical distributed representations by stacking several layers of regression GBDTs as its building block. The model can be jointly trained by a variant of target propagation across layers, without the need to derive backpropagation nor differentiability. Experiments confirmed the effectiveness of the model in terms of performance and representation learning ability.

Model interpretability is an increasingly important component of practical machine learning. Some of the most common forms of interpretability systems are example-based, local, and global explanations. One of the main challenges in interpretability is designing explanation systems that can capture aspects of each of these explanation types, in order to develop a more thorough understanding of the model. We address this challenge in a novel model called MAPLE that uses local linear modeling techniques along with a dual interpretation of random forests (both as a supervised neighborhood approach and as a feature selection method). MAPLE has two fundamental advantages over existing interpretability systems. First, while it is effective as a black-box explanation system, MAPLE itself is a highly accurate predictive model that provides faithful self explanations, and thus sidesteps the typical accuracy-interpretability trade-off. Specifically, we demonstrate, on several UCI datasets, that MAPLE is at least as accurate as random forests and that it produces more faithful local explanations than LIME, a popular interpretability system. Second, MAPLE provides both example-based and local explanations and can detect global patterns, which allows it to diagnose limitations in its local explanations.

This paper presents the key algorithmic techniques behind CatBoost, a new gradient boosting toolkit. Their combination leads to CatBoost outperforming other publicly available boosting implementations in terms of quality on a variety of datasets. Two critical algorithmic advances introduced in CatBoost are the implementation of ordered boosting, a permutation-driven alternative to the classic algorithm, and an innovative algorithm for processing categorical features. Both techniques were created to fight a prediction shift caused by a special kind of target leakage present in all currently existing implementations of gradient boosting algorithms. In this paper, we provide a detailed analysis of this problem and demonstrate that proposed algorithms solve it effectively, leading to excellent empirical results.

Multi-layered distributed representation is believed to be the key ingredient of deep neural networks especially in cognitive tasks like computer vision. While non-differentiable models such as gradient boosting decision trees (GBDTs) are still the dominant methods for modeling discrete or tabular data, they are hard to incorporate with such representation learning ability. In this work, we propose the multi-layered GBDT forest (mGBDTs), with an explicit emphasis on exploring the ability to learn hierarchical distributed representations by stacking several layers of regression GBDTs as its building block. The model can be jointly trained by a variant of target propagation across layers, without the need to derive backpropagation nor differentiability. Experiments confirmed the effectiveness of the model in terms of performance and representation learning ability.

Random forests are learning algorithms that build large collections of random trees and make predictions by averaging the individual tree predictions. In this paper, we consider various tree constructions and examine how the choice of parameters affects the generalization error of the resulting random forests as the sample size goes to infinity. We show that subsampling of data points during the tree construction phase is important: Forests can become inconsistent with either no subsampling or too severe subsampling. As a consequence, even highly randomized trees can lead to inconsistent forests if no subsampling is used, which implies that some of the commonly used setups for random forests can be inconsistent. As a second consequence we can show that trees that have good performance in nearest-neighbor search can be a poor choice for random forests.