cb.gblinear.history: Callback closure for collecting the model coefficients history of a gblinear booster during its training.

Description

Callback closure for collecting the model coefficients history of a gblinear booster during its training.

Usage

cb.gblinear.history(sparse = FALSE)

Value

Results are stored in the coefs element of the closure. The xgb.gblinear.history convenience function provides an easy way to access it. With xgb.train, it is either a dense of a sparse matrix. While with xgb.cv, it is a list (an element per each fold) of such matrices.

Arguments

sparse: when set to FALSE/TRUE, a dense/sparse matrix is used to store the result. Sparse format is useful when one expects only a subset of coefficients to be non-zero, when using the "thrifty" feature selector with fairly small number of top features selected per iteration.

Details

To keep things fast and simple, gblinear booster does not internally store the history of linear model coefficients at each boosting iteration. This callback provides a workaround for storing the coefficients' path, by extracting them after each training iteration.

Callback function expects the following values to be set in its calling frame: bst (or bst_folds).

Examples

Run this code

#### Binary classification:

## Keep the number of threads to 1 for examples
nthread <- 1
data.table::setDTthreads(nthread)

# In the iris dataset, it is hard to linearly separate Versicolor class from the rest
# without considering the 2nd order interactions:
x <- model.matrix(Species ~ .^2, iris)[,-1]
colnames(x)
dtrain <- xgb.DMatrix(scale(x), label = 1*(iris$Species == "versicolor"), nthread = nthread)
param <- list(booster = "gblinear", objective = "reg:logistic", eval_metric = "auc",
              lambda = 0.0003, alpha = 0.0003, nthread = nthread)
# For 'shotgun', which is a default linear updater, using high eta values may result in
# unstable behaviour in some datasets. With this simple dataset, however, the high learning
# rate does not break the convergence, but allows us to illustrate the typical pattern of
# "stochastic explosion" behaviour of this lock-free algorithm at early boosting iterations.
bst <- xgb.train(param, dtrain, list(tr=dtrain), nrounds = 200, eta = 1.,
                 callbacks = list(cb.gblinear.history()))
# Extract the coefficients' path and plot them vs boosting iteration number:
coef_path <- xgb.gblinear.history(bst)
matplot(coef_path, type = 'l')

# With the deterministic coordinate descent updater, it is safer to use higher learning rates.
# Will try the classical componentwise boosting which selects a single best feature per round:
bst <- xgb.train(param, dtrain, list(tr=dtrain), nrounds = 200, eta = 0.8,
                 updater = 'coord_descent', feature_selector = 'thrifty', top_k = 1,
                 callbacks = list(cb.gblinear.history()))
matplot(xgb.gblinear.history(bst), type = 'l')
#  Componentwise boosting is known to have similar effect to Lasso regularization.
# Try experimenting with various values of top_k, eta, nrounds,
# as well as different feature_selectors.

# For xgb.cv:
bst <- xgb.cv(param, dtrain, nfold = 5, nrounds = 100, eta = 0.8,
              callbacks = list(cb.gblinear.history()))
# coefficients in the CV fold #3
matplot(xgb.gblinear.history(bst)[[3]], type = 'l')


#### Multiclass classification:
#
dtrain <- xgb.DMatrix(scale(x), label = as.numeric(iris$Species) - 1, nthread = nthread)
param <- list(booster = "gblinear", objective = "multi:softprob", num_class = 3,
              lambda = 0.0003, alpha = 0.0003, nthread = nthread)
# For the default linear updater 'shotgun' it sometimes is helpful
# to use smaller eta to reduce instability
bst <- xgb.train(param, dtrain, list(tr=dtrain), nrounds = 70, eta = 0.5,
                 callbacks = list(cb.gblinear.history()))
# Will plot the coefficient paths separately for each class:
matplot(xgb.gblinear.history(bst, class_index = 0), type = 'l')
matplot(xgb.gblinear.history(bst, class_index = 1), type = 'l')
matplot(xgb.gblinear.history(bst, class_index = 2), type = 'l')

# CV:
bst <- xgb.cv(param, dtrain, nfold = 5, nrounds = 70, eta = 0.5,
              callbacks = list(cb.gblinear.history(FALSE)))
# 1st fold of 1st class
matplot(xgb.gblinear.history(bst, class_index = 0)[[1]], type = 'l')