The XGBoost algorithm is a scalable, distributed gradient-boosted decision tree (GBDT) machine learning library. What it stands for is Extreme Gradient Boosting. There are many advantages to using this machine learning library, such as parallel tree-boosting and it is the leading machine learning library for regression, classification, and ranking.
A decision tree based ensemble Machine Learning algorithm, XGBoost uses a gradient boosting framework in order to accomplish ensemble Machine Learning. The XGBoost model makes use of advanced regularization techniques (L1 & L2), which improves the model’s generalization abilities. At its core XGBoost is performance driven which makes it popular for use in machine learning.
For a complete understanding of XGBoost, one must first grasp the machine learning concepts and algorithms that XGBoost relies upon: supervised machine learning, decision trees, ensemble learning, and gradient boosting.
The supervised machine learning concept is where algorithms are used to create a machine learning model for finding patterns in a dataset with labels and features. The machine learning model is then used to predict labels on a new dataset’s features using the trained model.
In decision trees, the likelihood of a correct decision is determined by evaluating a tree of if-then-else true/false feature questions, and estimating the minimum number of queries needed to calculate the likelihood of a correct decision. There are two types of decision trees: classification trees for predicting a category, and regression trees for predicting a numeric value. The example below represents the decision tree to determine the value of the dining table set.
Graduate Boosting Decision Trees (GBDT) are an ensemble learning algorithm for decision trees similar to the random forest, which can be used for both classification and regression. The idea of ensemble learning is to combine multiple learning algorithms in order to produce a better model.
The random forest algorithm and the GBDT algorithm build a model that consists of multiple decision trees. There are some differences in the way the decision trees are combined, and in how they are constructed.
With random forest, you can build full decision trees in parallel from random bootstrap samples of the data set using a technique called ‘bagging.’ Ultimately, all prediction trees are averaged together.
The term “gradient boosting” derives from the fact that it is meant to improve or value-add a weak model by combining it with a number of other weak models in order to create a “collectively strong” one. An extension of boosting known as gradient boosting is a process that consists of additively generating weak models via a gradient descent algorithm connected to an objective function. In an effort to minimize errors, gradient boosting sets out targets for the next model to achieve. The targeted outcome in each case is determined by the gradient of the error (hence the name gradient boosting) in relation to the prediction.
An ensemble of shallow decision trees can be trained iteratively with GBDTs, with each iteration using the residual error of the previous model in order to fit the next model. All tree predictions are weighted together to make a final prediction that is the weighted sum of all tree predictions. A random forest implementation with “bagging” minimizes variance and overfitting, while a GBDT implementation with “boosting” minimizes bias and underfitting.
There are many reasons to use XGBoost. It is a scalable and highly accurate implementation of gradient boosting that pushes the limits of computing power for boosting tree algorithms, and is largely intended to energizing the performance of machine learning models. With XGBoost, trees are created in parallel, rather than sequentially as they are with GBDT. In this approach, the gradient values are scanned across every possible split in the training set, and the partial sums are evaluated to see how good the splits are at every possible split.
One of the most important features of XGBoost is that at its core it is all about speed and performance. But it does offer a number of advanced features as well.
The model incorporates features of scikit-learn and R implementations, with new additions like regularization. Three main forms of gradient boosting are supported:
- Gradient Boosting
- The gradient boosting algorithm also known as the gradient boosting machine includes the learning rate.
- Stochastic Gradient Boosting
- Stochastic Gradient Boosting with subsampling at individual split levels (row, column, and column per split level).
- Regularized Gradient Boosting
- With both L1 and L2 regularization.
The XGBoost system is suitable for a variety of computing environments.
- Parallelization: The tree construction process is parallelized and utilizes all of your computing cores during the training process.
- Distributed Computing: Distributed Computing allows you to train very large models using a network of machines.
- Out-of-Core Computing: Out-of-core computing is a great solution for very large datasets that don’t fit into memory.
- Cache Optimization: This is done by optimizing the data structures and algorithms to utilize the hardware to the maximum.
Implementing the algorithm was designed to allow the most efficient use of compute time and memory resources. For the training of the model, one design goal consisted of making the most of the available resources.
Key features of the algorithm implementation include the following:
- Sparse Aware: A sparse-aware implementation that takes into account missing data values.
- Block Structure: A block structure to support the parallelization of the tree construction process.
- Continuous Training: It is essential that you continue to train so that you can further enhance a model that has been fitted to new data.
Why Use XGBoost?
The XGBoost package has been integrated with a wide range of other tools and packages, such as scikit-learn for Python enthusiasts and caret for R enthusiasts. Also, XGBoost is integrated with a number of distributed processing frameworks such as Apache Spark and Dask.
XGBoost refers to a version of Gradient Boosting that is more regularized. The XGBoost model makes use of advanced regularization techniques (L1 & L2), which improves the model’s generalization abilities. Comparing XGBoost with Gradient Boosting, XGBoost delivers high performance compared to Gradient Boosting. The training process is fast and can be parallelized across multiple clusters.
What Algorithm Does XGBoost Use?
XGBoost is a library that implements a gradient boosting decision tree algorithm.
There are lots of different names given to this algorithm, such as gradient boosting, multiple additive regression trees, stochastic gradient boosting, and gradient boosting machines.
Boosting is a technique in which new models are added to fix errors made by existing ones. In this technique, new models are added sequentially until there is no more improvement to be made. The AdaBoost algorithm is a popular example of how the algorithm weights data points that are hard to predict.
Gradient boosting uses new models to predict the residuals or errors of previous models, which are then added together to produce the final prediction. Gradient boosting refers to the process of adding new models in a way that minimizes the loss by using a gradient descent algorithm. Gradient-boosting can be applied to both regression and classification predictive modeling problems.
How XGBoost Runs Better With GPUs
With XGBoost, machine learning tasks powered by the CPU can take literally hours to complete. That’s because the creation of highly accurate, state-of-the-art predictions requires the construction of thousands of decision trees and the testing of many parameter combinations in the process. The graphics processing units, or GPUs, with their massively parallel architecture made up of thousands of small, efficient cores, are able to launch thousands of parallel threads simultaneously in order to handle compute-intensive tasks more efficiently.
XGBoost is a library which can be used to develop fast and high performance gradient boosting tree models. It is proven that XGBoost provides the best performance on a wide range of difficult machine learning tasks.
The XGBoost library can be used from the command line, Python, and R. We have a large and growing list of data scientists around the world who are actively contributing to the open source development of XGBoost.
XGBoost can be used on on a wide range of applications, including solving problems in regression, classification, ranking, and user-defined prediction challenges. XGBoost has cloud integration that supports AWS, Azure, GCP, and Yarn clusters. It is being used in various industries and different functional areas. It’s biggest advantage is its performance and ability to give results almost in real time.