What is XGBoost and why you should include it in your Machine Learning toolbox

Over the past few years, Machine Learning has taken a leading role in the discovery of data-driven solutions. Of these solutions, classification is by far one of the most commonly used areas of Machine Learning which is widely applied in fraud detection, image classification, ad click-through rate prediction, identification of medical conditions and a number of other areas. There is a range of different classification algorithms, but over the years single-model approach is being replaced by ensemble methods which combine a number of different algorithms and provide more accurate results than separate models. If you have ever tried to apply an ensemble method on a big data set you should have definitely run into a very common problem - the computation takes hours, sometimes even days or weeks, unless you have a powerful machine. At the Higgs Boson Data Science competition everyone's attention was caught by XGBoost - a new classification algorithm which outperformed all other Machine Learning algorithms used in this competition and brought the 1st place to its developers.