771: Gradient Boosting: XGBoost, LightGBM and CatBoost, with Kirill Eremenko
Apr 2, 2024
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Machine learning expert Kirill Eremenko discusses decision trees, random forests, and the top gradient boosting algorithms: XGBoost, LightGBM, and CatBoost. Topics include advantages of XGBoost, LightGBM efficiency, and CatBoost's handling of categorical variables.
Gradient boosting iteratively improves predictions by focusing on residuals and gradients.
XGBoost prioritizes speed in gradient boosting with efficient enhancements.
LightGBM employs histogram-based splits and exclusive feature bundling for efficiency.
CatBoost excels in managing categorical variables with special target encoding methods.
Deep dives
Transition to Gradient Boosting from Previous Methods
Unlike random forest, gradient boosting focuses on iteratively improving predictions by predicting errors and chaining models together. Adaboost, a precursor, adapted to model errors selectively. In gradient boosting, each model in the ensemble predicts the gradient of the loss function, optimizing directionally based on residuals.
Adaptive Nature in Gradient Boosting Process
Gradient boosting begins by defining a loss function and then calculates gradients of this function after each model is built. While the initial model predicts the average, subsequent models predict the gradients to iteratively refine predictions, focusing on error reduction at each step.
In-depth Understanding of Gradients in Gradient Boosting
The core concept in gradient boosting is understanding and predicting gradients of the loss function. Models are iteratively constructed to improve predictions by targeting these gradients, allowing for systematic error reduction and refined model predictions.
Mathematical Insights into Gradient Boosting Operations
Gradient boosting operates by defining loss functions and using gradients to guide model improvement at each iteration. By predicting these gradients for each data point, subsequent models focus on reducing errors and optimizing predictions based on the direction and magnitude of these gradients.
Main Concept of Gradient Boosting for Regression
Gradient Boosting is about minimizing loss functions by predicting gradients, which are derivatives of loss functions. The process involves predicting residuals to iteratively improve model predictions. For classification problems, the algorithm calculates gradients to minimize a binomial deviance loss function, shifting from predicting probabilities to log odds.
Evolution of Gradient Boosting Algorithms
The episode delves into the enhancement of traditional gradient boosting methods like XGBoost, LightGBM, and CatBoost. XGBoost introduced in 2014 prioritized speeding up the traditionally slow method of gradient boosting. LightGBM, more efficient than XGBoost, employs histogram -based splits and exclusive feature bundling. CatBoost was introduced by Yandex in 2017, specializing in categorical features with symmetric tree growth for enhanced speed.
Symmetric Tree Growth in Gradient Boosting
The discussion highlights how symmetric trees in CatBoost offer a faster inference process. By structuring splits symmetrically, the algorithm reduces the evaluation complexity during inference. Symmetric tree growth ensures consistency in decision-making throughout the tree, resulting in quicker computation and streamlined model predictions.
Benefits of Categorical Feature Handling in CatBoost
CatBoost excels in managing categorical variables by utilizing special target encoding methods and avoiding common pitfalls of traditional one -hot encoding. The algorithm employs ordered target encoding to prevent data leakage and enhance decision-making with categorical features. Handling categorical data effectively contributes to improved model performance and efficiency in processing.
Kirill Eremenko joins Jon Krohn for another exclusive, in-depth teaser for a new course just released on the SuperDataScience platform, “Machine Learning Level 2”. Kirill walks listeners through why decision trees and random forests are fruitful for businesses, and he offers hands-on walkthroughs for the three leading gradient-boosting algorithms today: XGBoost, LightGBM, and CatBoost.
This episode is brought to you by Ready Tensor, where innovation meets reproducibility, and by Data Universe, the out-of-this-world data conference. Interested in sponsoring a SuperDataScience Podcast episode? Visit passionfroot.me/superdatascience for sponsorship information.
In this episode you will learn: • All about decision trees [09:17] • All about ensemble models [21:43] • All about AdaBoost [36:47] • All about gradient boosting [45:52] • Gradient boosting for classification problems [59:54] • Advantages of XGBoost [1:03:51] • LightGBM [1:17:06] • CatBoost [1:32:07]