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EvoTreeMLE

EvoTreeMLE(;kwargs...)

A model type for constructing a EvoTreeMLE, based on EvoTrees.jl, and implementing both an internal API the MLJ model interface. EvoTreeMLE performs maximum likelihood estimation. Assumed distribution is specified through loss kwargs. Both Gaussian and Logistic distributions are supported.

Hyper-parameters

loss=:gaussian: Loss to be be minimized during training. One of:

  • :gaussian / :gaussian_mle
  • :logistic / :logistic_mle
  • nrounds=100: Number of rounds. It corresponds to the number of trees that will be sequentially stacked. Must be >= 1.
  • eta=0.1: Learning rate. Each tree raw predictions are scaled by eta prior to be added to the stack of predictions. Must be > 0.

A lower eta results in slower learning, requiring a higher nrounds but typically improves model performance.

  • L2::T=0.0: L2 regularization factor on aggregate gain. Must be >= 0. Higher L2 can result in a more robust model.

  • lambda::T=0.0: L2 regularization factor on individual gain. Must be >= 0. Higher lambda can result in a more robust model.

  • gamma::T=0.0: Minimum gain imprvement needed to perform a node split. Higher gamma can result in a more robust model. Must be >= 0.

  • max_depth=6: Maximum depth of a tree. Must be >= 1. A tree of depth 1 is made of a single prediction leaf. A complete tree of depth N contains 2^(N - 1) terminal leaves and 2^(N - 1) - 1 split nodes. Compute cost is proportional to 2^max_depth. Typical optimal values are in the 3 to 9 range.

  • min_weight=8.0: Minimum weight needed in a node to perform a split. Matches the number of observations by default or the sum of weights as provided by the weights vector. Must be > 0.

  • rowsample=1.0: Proportion of rows that are sampled at each iteration to build the tree. Should be in ]0, 1].

  • colsample=1.0: Proportion of columns / features that are sampled at each iteration to build the tree. Should be in ]0, 1].

  • nbins=64: Number of bins into which each feature is quantized. Buckets are defined based on quantiles, hence resulting in equal weight bins. Should be between 2 and 255.

  • monotone_constraints=Dict{Int, Int}(): Specify monotonic constraints using a dict where the key is the feature index and the value the applicable constraint (-1=decreasing, 0=none, 1=increasing). !Experimental feature: note that for MLE regression, constraints may not be enforced systematically.

  • tree_type="binary" Tree structure to be used. One of:

    • binary: Each node of a tree is grown independently. Tree are built depthwise until max depth is reach or if min weight or gain (see gamma) stops further node splits.
    • oblivious: A common splitting condition is imposed to all nodes of a given depth.

  • rng=123: Either an integer used as a seed to the random number generator or an actual random number generator (::Random.AbstractRNG).

Internal API

Do config = EvoTreeMLE() to construct an instance with default hyper-parameters. Provide keyword arguments to override hyper-parameter defaults, as in EvoTreeMLE(max_depth=...).

Training model

A model is built using fit_evotree:

model = fit_evotree(config; x_train, y_train, kwargs...)

Inference

Predictions are obtained using predict which returns a Matrix of size [nobs, nparams] where the second dimensions refer to μ & σ for Normal/Gaussian and μ & s for Logistic.

EvoTrees.predict(model, X)

Alternatively, models act as a functor, returning predictions when called as a function with features as argument:

model(X)

MLJ

From MLJ, the type can be imported using:

EvoTreeMLE = @load EvoTreeMLE pkg=EvoTrees

Do model = EvoTreeMLE() to construct an instance with default hyper-parameters. Provide keyword arguments to override hyper-parameter defaults, as in EvoTreeMLE(loss=...).

Training data

In MLJ or MLJBase, bind an instance model to data with

mach = machine(model, X, y)

where

  • X: any table of input features (eg, a DataFrame) whose columns each have one of the following element scitypes: Continuous, Count, or <:OrderedFactor; check column scitypes with schema(X)
  • y: is the target, which can be any AbstractVector whose element scitype is <:Continuous; check the scitype with scitype(y)

Train the machine using fit!(mach, rows=...).

Operations

  • predict(mach, Xnew): returns a vector of Gaussian or Logistic distributions (according to provided loss) given features Xnew having the same scitype as X above.

Predictions are probabilistic.

Specific metrics can also be predicted using:

  • predict_mean(mach, Xnew)
  • predict_mode(mach, Xnew)
  • predict_median(mach, Xnew)

Fitted parameters

The fields of fitted_params(mach) are:

  • :fitresult: The GBTree object returned by EvoTrees.jl fitting algorithm.

Report

The fields of report(mach) are:

  • :features: The names of the features encountered in training.

Examples

## Internal API
using EvoTrees
config = EvoTreeMLE(max_depth=5, nbins=32, nrounds=100)
nobs, nfeats = 1_000, 5
x_train, y_train = randn(nobs, nfeats), rand(nobs)
model = fit_evotree(config; x_train, y_train)
preds = EvoTrees.predict(model, x_train)
## MLJ Interface
using MLJ
EvoTreeMLE = @load EvoTreeMLE pkg=EvoTrees
model = EvoTreeMLE(max_depth=5, nbins=32, nrounds=100)
X, y = @load_boston
mach = machine(model, X, y) |> fit!
preds = predict(mach, X)
preds = predict_mean(mach, X)
preds = predict_mode(mach, X)
preds = predict_median(mach, X)