The Notorious XGBoost. Revisiting one of the most awarded… | by Carlos Rodriguez (he/him) | May, 2023


Revisiting one of the most awarded machine learning algorithms

XGBoost Personified — Author + OpenJourney

If you’re a Data Scientist working on a supervised learning problem, you’ve likely seen XGBoost rise to the top of your leaderboard chart often. Its winningness can largely be attributed to the fact that the algorithm is notoriously adept at capturing elusive non-linear relationships with remarkable accuracy. Although it may be too early to tell whether XGBoost will survive the proliferation of the most sophisticated general-purpose models ever developed, XGBoost’s consistent reliability inspires a look back at the elegant math behind the magic.

XGBoost (Extreme Gradient Boosting) is a powerful tree-based ensemble technique that is particularly good at accomplishing classification and regression tasks. It is based on the Gradient Boosting Machines (GBM) algorithm, which learns by combining multiple weak models (in this case, decision trees) to form a more robust model (Friedman, 2001). The learning process behind XGBoost can be deconstructed as follows:

Objective Function

The basic principle behind XGBoost is to minimize an objective function. The objective function, denoted by Objective(T), combines the training loss (evaluation of training data) and a regularization term (prevents overfitting).

Objective(T) = Loss + Regularization

The objective function in XGBoost is given as follows:

Objective(T) = ∑l(yi, y_pred,i) + ∑Ω(f)

Where:
T represents the ensemble of decision trees
l(y, y_pred) is a differentiable convex loss function that measures the — difference between the true output (y) and the predicted output (y_pred)
yi is the true output, for instance i
y_pred,i is the predicted output for instance i
Ω(f) is the regularization term applied to each tree (f) in the ensemble (T)

Additive Training

XGBoost learns the target function in an additive manner, creating an iterative ensemble of decision trees (weak learners) that gradually minimizes the objective function. In each iteration, a new tree is added to the ensemble, and the objective function is optimized.

To formalize this, let’s consider the following:

Fm(x) = Fm-1(x) + fm(x)

Where:
Fm(x) is the prediction after adding m trees
Fm-1(x) is the prediction up to m-1 trees
fm(x) is the new tree added in the m-th iteration

Gradient and Hessian Calculation

To minimize the objective function, XGBoost uses gradient descent. In each iteration, the first and second-order derivatives (gradient and Hessian) of the loss function are calculated with respect to the predicted output (y_pred).

Gradient(g): ∇l(y, y_pred) = d(l) / dy_pred

Hessian(h): ∇²l(y, y_pred) = d²(l) / dy_pred²

The derivatives are calculated for each instance (i) in the data, giving vectors g and h with gradient and Hessian values for each instance.

Tree Construction

In the m-th iteration, the best tree (fm) that minimizes the objective function is added using the calculated gradients and Hessians. XGBoost initializes with an empty tree, and then successively splits each leaf to minimize the following equation:

Gain = 1/2 * [Gl² / (Hl + λ) + Gr² / (Hr + λ) – G² / (H + λ)] – γ

Where,
Gl and Gr are the sums of gradients in the left and right regions of the split
Hl and Hr are the sums of Hessians in the left and right regions of the split
G = Gl + Gr, the sum of gradients for the entire node
H = Hl + Hr, the sum of Hessians for the entire node
λ, the L2 regularization term
γ, the minimum loss reduction required for a split (another regularization term)

The Gain equation combines both loss reduction and regularization terms, which help prevent overfitting and make the optimal trade-off between complexity and predictive power.

Hyperparameters

learning_rate: (eta) Controls the update step size during each iteration, shrinking the effect of each tree to prevent overfitting. It’s a weight factor for the newly added tree in the ensemble.

max_depth: Maximum allowed depth of a tree. As the depth increases, the model becomes more complex and potentially overfits the data.

min_child_weight: (minimum sum of instance weight H) Minimum sum of hessian values for a split to occur in a tree. Increasing this value prevents overfitting by making the tree more conservative.

lambda: L2 regularization term on weights, applied as a part of the Gain calculation. Helps control the model complexity.

gamma: (min_split_loss) Minimum loss reduction required to partition a leaf node further. Controls the tree’s growth and complexity.

subsample: Proportion of the training set to sample for each boosting round. Randomly selecting a subset of the data reduces the likelihood of overfitting by introducing randomness into the ensemble process.

colsample_bytree: Proportion of the features to select for each boosting round. Randomly selecting columns (features) for each tree builds less correlated trees and prevents overfitting.

Effectively, these hyperparameters affect the tree construction and Gain calculation (such as λ and γ) or the process of selecting data and features for each iteration (like subsample and colsample_bytree). Adjusting them helps to balance model complexity and predictive ability, improving performance while mitigating overfitting.

In short, XGBoost learns by building an ensemble of decision trees iteratively, minimizing an objective function composed of the training loss and regularization terms. It leverages gradient descent to find the optimal trees, employing first and second-order derivatives of the loss function. XGBoost utilizes hyperparameters such as maximum depth, regularization parameters, and subsampling strategies for features and instances to prevent overfitting and improve computational efficiency. It is worth noting that subsampling, in particular, introduces randomness and diversity to the model, reducing the chances of overfitting and speeding up the training process by processing fewer data points during each iteration.

Chen and Guestrin highlight several distinctive features that set XGBoost apart from other boosting algorithms and contribute to its enhanced performance (Chen and Guestrin, 2016). These features include:

Sparse Awareness

XGBoost is designed to handle sparse data effectively, common in real-world datasets containing missing or zero values. XGBoost uses a sparsity-aware algorithm to find optimal splits for data points with missing values, improving its performance on sparse data.

Specifically, XGBoost employs a default (missing value) direction during tree construction. When a feature value is missing, the algorithm automatically chooses the direction that yields the highest Gain and does not make an explicit split on the missing value. This sparse-aware approach makes XGBoost efficient and reduces the amount of required information for tree construction.

Regularized Boosting:

As discussed, XGBoost incorporates regularization terms (L1 and L2) in the tree construction process, which helps control the complexity of the model and reduces overfitting. This is a key difference from the traditional GBM, which lacks regularization components.

Column Block (Cache-aware) and Parallel Learning:

XGBoost supports parallelism in the tree construction process, enabling it to utilize multiple processor cores for faster learning. The algorithm sorts the data by column and stores it in compressed form in column blocks. XGBoost ensures efficient memory access during tree construction by using cache-aware algorithms to prefetch column blocks, making it suitable for handling large datasets.

Assumptions

Simply put, XGBoost assumes that weak learners (decision trees) can be combined to create a more potent, robust model. It also assumes that the objective function is continuous, differentiable, and convex.

Benefits

High performance: XGBoost consistently achieves state-of-the-art results in classification and regression tasks.
Scalability: XGBoost efficiently uses memory and computation resources, making it suitable for large-scale problems.
Regularization: Built-in regularization terms help prevent overfitting.
Sparse awareness: XGBoost is designed to handle sparse data effectively.
Parallelism: Supports parallel and distributed computing for faster learning.

Drawbacks

Computational complexity: Despite its efficiency, XGBoost can still be computationally expensive, especially for large datasets or large ensembles.
Interpretability: As an ensemble of decision trees, XGBoost models can be less interpretable than simple linear regression or single decision trees.
Sensitivity to hyperparameters: The performance of XGBoost is influenced by its hyperparameters, and fine-tuning is often required for optimal results.

Like any other machine learning algorithm, XGBoost’s performance highly depends on the input data quality. While the algorithm may not exhibit weaknesses related to algorithmic bias, trustworthiness, or security vulnerabilities, these concerns can emerge due to biased sampling, improper application, or unfair interpretation of the model results.

Societal Bias

XGBoost might inadvertently propagate or even amplify existing societal biases evidenced in the data. When training data reflects underrepresentation, discrimination, or perpetuated stereotypes, the XGBoost model will inevitably learn these patterns, which could lead to harmful outcomes. Ensuring representation and addressing societal biases encountered in the data is critical for mitigating risks related to disparate impact.

Trustworthiness

XGBoost is an ensemble of decision trees that can result in complex models that are difficult to explain. This lack of transparency can make it challenging for stakeholders to trust the model and understand the underlying decision-making process. Methods like Shapley Additive Explanations (SHAP) have helped reduce the “black-box” problem, but explainability remains a concern (Lundberg and Lee 2017; Rudin 2019).

Security

Machine learning models, including XGBoost, may be vulnerable to adversarial attacks, data poisoning, or reverse engineering, which can reveal sensitive information (i.e., deanonymization) or compromise the model’s performance. Ensuring the security of the dataset and protecting the model from malicious attacks is essential to maintain the integrity and robustness of the system. Additionally, tampering or altering the provenance of input data may lead to misleading or incorrect predictions, which raises questions about the model’s trustworthiness.

XGBoost is a powerful and versatile machine-learning algorithm that has dominated leaderboards thanks to its superior performance, scalability, and efficiency. By leveraging ensemble learning, gradient descent, and regularization techniques, XGBoost overcomes many limitations of traditional boosting approaches while adapting to handle sparse data and optimizing computing resources.

However, it is essential to acknowledge that the potential risks associated with any machine learning model, including XGBoost, rely on the algorithm’s responsible use. Specifically, careful preprocessing of the data, enhancing transparency through explainability techniques, and implementing robust security measures can help address these challenges and ensure that XGBoost models are both practical and ethically sound.

Embracing ethical principles and best practices allows us to continue leveraging the power of XGBoost and other machine learning techniques while fostering a future where these technologies drive equitable and beneficial outcomes for everyone.

1. Chen T, Guestrin C. XGBoost: A Scalable Tree Boosting System. In: Proceedings of the 22nd ACM SIGKDD International Conference on Knowledge Discovery and Data Mining (KDD ‘16); 2016 Aug 13–17; San Francisco, CA. New York, NY: Association for Computing Machinery; 2016. p. 785–794. DOI: https://doi.org/10.1145/2939672.2939785.

2. Friedman JH. Greedy function approximation: A gradient boosting machine. Ann Stat. 2001;29(5):1189–1232.

3. Lundberg SM, Lee SI. A unified approach to interpreting model predictions. In: Advances in Neural Information Processing Systems (NIPS 2017); 2017 Dec 4–9; Long Beach, CA. 2017.

4. Rudin C. Please stop explaining black box models for high-stakes decisions. arXiv:1811.10154. 2019.



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