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Gradient Boosting Machine (GBM)

Introduction​

Gradient Boosting Machine (for Regression and Classification) is a forward learning ensemble method. The guiding heuristic is that good predictive results can be obtained through increasingly refined approximations. H2O's GBM sequentially builds regression trees on all the features of the dataset in a fully distributed way - each tree is built in parallel.

The current version of GBM is fundamentally the same as in previous versions of H2O (same algorithmic steps, same histogramming techniques), with the exception of the following changes:

  • Improved ability to train on categorical variables (using the nbins_cats parameter)
  • Minor changes in histogramming logic for some corner cases

There was some code cleanup and refactoring to support the following features:

  • Per-row observation weights
  • Per-row offsets
  • N-fold cross-validation
  • Support for more distribution functions (such as Gamma, Poisson, and Tweedie)

MOJO support​

GBM supports importing and exporting MOJOs.

Quick start and additional resources​

  • Simplest getting started R script [Github]
  • GBM & Random Forest Video Overview [Youtube]
  • GBM and other algos in R (Citi Bike Dataset) [Youtube] [Github]
  • Prof. Trevor Hastie - Gradient Boosting Machine Learning [Youtube]

Defining a GBM model​

Parameters are optional unless specified as required.

Algorithm-specific parameters​

  • custom_distribution_func: Specify a custom distribution function. Here is a demo for the custom distribution function.
  • huber_alpha: Specify the desired quantile for Huber/M-regression (the threshold between quadratic and linear loss). This value must be between 0 and 1 and defaults to 0.9.
  • in_training_checkpoints_dir: Create checkpoints in the defined directory while the training process is still running. In case of a cluster shutdown, this checkpoint can be used to restart training.
  • in_training_checkpoints_tree_interval: Checkpoint the model after every so many trees. Parameter is used only when in_training_checkpoints_dir is defined. The default value is 1 and makes the checkpoint after each trained tree.
  • learn_rate_annealing: Specifies to reduce the learn_rate by this factor after every tree. For N trees, GBM starts with learn_rate and ends with learn_rate ×\times learn_rate_annealing N^N. For example, instead of using learn_rate=0.01, you can try learn_rate=0.05 and learn_rate_annealing=0.99. This method would converge much faster with almost the same accuracy. Use caution not to overfit. This value defaults to 1.
  • pred_noise_bandwidth: The bandwidth (sigma) of Gaussian multiplicative noise ~N(1,sigma) for tree node predictions. If this parameter is specified with a value > 0, then every leaf node prediction is randomly scaled by a number drawn from a Normal distribution centered around 1 with a bandwidth given by this parameter. This option defaults to 0 (disabled).
  • quantile_alpha: (Applicable only when distribution="quantile") Specify the quantile to be used for Quantile Regression. This value has a range of 0 to 1 and defaults to 0.5.
  • upload_custom_distribution: Upload a custom distribution into a running H2O cluster.

Tree-based algorithm parameters​

  • build_tree_one_node: Specify whether to run on a single node. This is suitable for small datasets as there is no network overhead but fewer CPUs are used. This option defaults to False (disabled).

  • calibration_frame: Specifies the frame to be used for Platt scaling.

  • calibration_method: Calibration method to use. Must be one of: "auto" (default), "platt_scaling", or "isotonic_regression".

  • calibrate_model: Use Platt scaling to calculate calibrated class probabilities. This option defaults to False (disabled).

  • check_constant_response: Check if the response column is a constant value. If enabled, then an exception is thrown if the response column is a constant value. If disabled, then the model will train regardless of the response column being a constant value or not. This option defaults to True (enabled).

  • col_sample_rate: Specify the column sampling rate (y-axis). This method samples without replacement. Higher values may improve training accuracy. Test accuracy improves when either columns or rows are sampled. For details, refer to "Stochastic Gradient Boosting" (Friedman, 1999). The range for this option is 0.0 to 1.0, and it defaults to 1.

  • col_sample_rate_change_per_level: This option specifies to change the column sampling rate as a function of the depth in the tree. This method samples without replacement. This can be a value > 0.0 and ≤\leq 2.0 and defaults to 1. For example:

    • level 1: col_sample_rate\text{col\_sample\_rate}
    • level 2: col_sample_rate×factor\text{col\_sample\_rate} \times \text{factor}
    • level 3: col_sample_rate×factor2\text{col\_sample\_rate} \times \text{factor}^2
    • level 4: col_sample_rate×factor3\text{col\_sample\_rate} \times \text{factor}^3
    • etc.

  • col_sample_rate_per_tree: Specify the column sample rate per tree. This method samples without replacement. This can be a value from 0.0 to 1.0 and defaults to 1. Note that it is multiplicative with col_sample_rate, so setting both parameters to 0.8, for example, results in 64% of columns being considered at any given node to split.

  • custom_metric_func: Specify a custom evaluation function.

  • histogram_type: By default (AUTO), GBM bins from min to max in steps of (max-min)N\frac{(\text{max-min})}{N}. Random split points or quantile-based split points can be selected as well. RoundRobin can be specified to cycle through all histogram types (one per tree). Use this option to specify the type of histogram to use for finding optimal split points. One of:

    • AUTO
    • UniformAdaptive
    • UniformRobust
    • Random
    • QuantilesGlobal
    • RoundRobin

  • interaction_constraints: (Applicable only when categorical_encoding=AUTO) A set of allowed column interactions. This option defaults to None which means all column features are included.

  • learn_rate: Specify the learning rate. The range is 0.0 to 1.0, and the default value is 0.1.

  • max_abs_leafnode_pred: When building a GBM classification model, this option reduces overfitting by limiting the maximum absolute value of a leaf node prediction. This option defaults to 1.797693135e+308.

  • max_depth: Specify the maximum tree depth. Higher values will make the model more complex and can lead to overfitting. Setting this value to 0 specifies no limit. This option defaults to 5.

  • min_rows (Python) / node_size (R language): Specify the minimum number of observations for a leaf. This option defaults to 10.

  • min_split_improvement: The value of this option specifies the minimum relative improvement in squared error reduction in order for a split to happen. When properly tuned, this option can help reduce overfitting. Optimal values would be in the 1e-10 to 1e-3 range, and this value defaults to 1e-05.

  • nbins: (Numerical/real/int columns only) Specify the number of bins for the histogram to build, then split at the best point. This option defaults to 20.

  • nbins_cats: (Categorical/enum columns only) Specify the maximum number of bins for the histogram to build, then split at the best point. Higher values can lead to more overfitting. The levels are ordered alphabetically; if there are more levels than bins, adjacent levels share bins. This value has a more significant impact on model fitness than nbins. Larger values may increase runtime, especially for deep trees and large clusters, so tuning may be required to find the optimal value for your configuration. This option defaults to 1024.

  • nbins_top_level: (Numerical/real/int columns only) Specify the minimum number of bins at the root level to use to build the histogram. This number will then be decreased by a factor of two per level. This option defaults to 1024.

  • ntrees: Specify the number of trees to build. This option defaults to 50.

  • sample_rate: Specify the row sampling rate (x-axis). This method samples without replacement. Higher values may improve training accuracy. Test accuracy improves when either columns or rows are sampled. For details, refer to "Stochastic Gradient Boosting" (Friedman, 1999). The range is 0.0 to 1.0, and this value defaults to 1.

  • sample_rate_per_class: When building models from imbalanced datasets, this option specifies that each tree in the ensemble should sample from the full training dataset using a per-class-specific sampling rate rather than a global sample factor (as with sample_rate). This method samples without replacement. The range for this option is 0.0 to 1.0.

  • score_tree_interval: Score the model after every so many trees. This option is set to 0 (disabled) by default.

  • upload_custom_metric: Upload a custom metric into a running H2O cluster.

Common parameters​

  • auc_type: Set the default multinomial AUC type. Must be one of:

    • "AUTO" (default)
    • "NONE"
    • "MACRO_OVR"
    • "WEIGHTED_OVR"
    • "MACRO_OVO"
    • "WEIGHTED_OVO"

  • balance_classes: (Applicable for classification only) Specify whether to oversample the minority classes to balance the class distribution. This can increase the data frame size. Majority classes can be undersampled to satisfy the max_after_balance_size parameter. This option defaults to False (disabled).

  • categorical_encoding: Specify one of the following encoding schemes for handling categorical features:

    • auto or AUTO (default): Allow the algorithm to decide. In GBM, the algorithm will automatically perform enum encoding.
    • enum or Enum: 1 column per categorical feature.
    • enum_limited or EnumLimited: Automatically reduce categorical levels to the most prevalent ones during training and only keep the T (10) most frequent levels.
    • one_hot_explicit or OneHotExplicit: N+1 new columns for categorical features with N levels.
    • binary: No more than 32 columns per categorical feature.
    • eigen or Eigen: k columns per categorical feature, keeping projections of one-hot-encoded matrix onto k-dim eigen space only.
    • label_encoder or LabelEncoder: Convert every enum into the integer of its index (for example, level 0 -> 0, level 1 -> 1, etc.).
    • sort_by_response or SortByResponse: Reorders the levels by the mean response (for example, the level with lowest response -> 0, the level with second-lowest response -> 1, etc.). This is useful in GBM/DRF, for example, when you have more levels than nbins_cats, and where the top level splits now have a chance at separating the data with a split. Note that this requires a specified response column.

  • checkpoint: Enter a model key associated with a previously trained model. Use this option to build a new model as a continuation of a previously generated model.

  • class_sampling_factors: (Applicable only when balance_classes=True) Specify the per-class (in lexicographical order) over/under-sampling ratios. By default, these ratios are automatically computed during training to obtain the class balance.

  • distribution: Specify the distribution (that is, the loss function). The options are:

    • AUTO (default)
    • bernoulli -- response column must be 2-class categorical
    • multinomial -- response column must be categorical
    • quasibinomial -- response column must be numeric and binary
    • poisson -- response column must be numeric
    • laplace -- response column must be numeric
    • tweedie -- response column must be numeric
    • gaussian -- response column must be numeric
    • huber -- response column must be numeric
    • gamma -- response column must be numeric
    • quantile -- response column must be numeric

  • export_checkpoints_dir: Specify a directory to which generated models will automatically be exported.

  • fold_assignment: (Applicable only if a value for nfolds is specified and fold_column is not specified) Specify the cross-validation fold assignment scheme. One of:

    • AUTO (default; uses Random)
    • Random
    • Modulo (read more about Modulo)
    • Stratified (which will stratify the folds based on the response variable for classification problems)

  • fold_column: Specify the column that contains the cross-validation fold index assignment per observation.

  • gainslift_bins: The number of bins for a Gains/Lift table. The default value is -1 and makes the binning automatic. To disable this feature, set to 0.

  • ignore_const_cols: Specify whether to ignore constant training columns, since no information can be gained from them. This option defaults to True (enabled).

  • ignored_columns: (Python only) Specify the column or columns to be excluded from the model.

  • keep_cross_validation_fold_assignment: Enable this option to preserve the cross-validation fold assignment. This option defaults to False (disabled).

  • keep_cross_validation_models: Specify whether to keep the cross-validated models. Keeping cross-validation models may consume significantly more memory in the H2O cluster. This option defaults to True (enabled).

  • keep_cross_validation_predictions: Enable this option to keep the cross-validation predictions. This option defaults to False (disabled).

  • model_id: Specify a custom name for the model to use as a reference. By default, H2O automatically generates a destination key.

  • max_after_balance_size: (Applicable only when balance_classes=True) Specify the maximum relative size of the training data after balancing class counts. The value can be > 1.0 and defaults to 5.0.

  • max_runtime_secs: Maximum allowed runtime in seconds for model training. This option defaults to 0 (unlimited).

  • monotone_constraints: (Applicable only when distribution is gaussian, bernoulli, tweedie or quantile) A mapping representing monotonic constraints. Use 1 to enforce an increasing constraint and -1 to specify a decreasing constraint. Note that constraints can only be defined for numerical columns. Here is a Python demo for monotone constraints.

  • nfolds: Specify the number of folds for cross-validation. The value can be 0 (default) to disable or ≥\geq 2.

  • offset_column: (Not applicable if distribution="multinomial") Specify a column to use as the offset.

    Note: Offsets are per-row "bias values" that are used during model training. For Gaussian distributions, they can be seen as simple corrections to the response (y) column. Instead of learning to predict the response (y-row), the model learns to predict the (row) offset of the response column. For other distributions, the offset corrections are applied in the linearized space before applying the inverse link function to get the actual response values.

  • score_each_iteration: Specify whether to score during each iteration of the model training. This value is set to False (disabled) by default.

  • seed: Specify the random number generator (RNG) seed for algorithm components dependent on randomization. The seed is consistent for each H2O instance so that you can create models with the same starting conditions in alternative configurations. This option defaults to -1 (time-based random number).

  • stopping_metric: Specify the metric to use for early stopping. The available options are:

    • AUTO: (This defaults to logloss for classification and deviance for regression)
    • deviance
    • logloss
    • MSE
    • RMSE
    • MAE
    • RMSLE
    • AUC (area under the ROC curve)
    • AUCPR (area under the Precision-Recall curve)
    • lift_top_group
    • misclassification
    • mean_per_class_error
    • custom (Python client only)
    • custom_increasing (Python client only)

  • stopping_rounds: Stops training when the option selected for stopping_metric doesn't improve for the specified number of training rounds, based on a simple moving average. This option defaults 0 (no early stopping). The metric is computed on the validation data (if provided); otherwise, training data is used. Note: If cross-validation is enabled:

    • All cross-validation models stop training when the validation metric doesn't improve.
    • The main model runs for the mean number of epochs.
    • N+1 models may be off by the number specified for stopping_rounds from the best model, but the cross-validation metric estimates the performance of the main model for the resulting number of epochs (which may be fewer than the specified number of epochs).

  • stopping_tolerance: Specify the relative tolerance for the metric-based stopping to stop training if the improvement is less than this value. This option defaults to 0.001.

  • training_frame: Required Specify the dataset used to build the model.

  • tweedie_power: (Applicable only when distribution="tweedie") Specify the Tweedie power. You can read more about Tweedie distribution here. You can tune over this option with values > 1.0 and < 2.0. This value defaults to 1.5.

  • validation_frame: Specify the dataset used to evaluate the accuracy of the model.

  • verbose: Print scoring history to the console. For GBM, metrics are per tree. This option defaults to False (disabled).

  • weights_column: Specify a column to use for the observation weights, which are used for bias correction. The specified weights_column must be included in the specified training_frame.

    Python only: To use a weights column when passing an H2OFrame to x instead of a list of column names, the specified training_frame must contain the specified weights_column.

    Note: Weights are per-row observation weights and do not increase the size of the data frame. This is typically the number of times a row is repeated, but non-integer values are supported as well. During training, rows with higher weights matter more, due to the larger loss function pre-factor.

  • x: Specify a vector containing the names or indices of the predictor variables to use when building the model. If x is missing, then all columns except y are used.

  • y: Required Specify the column to use as the dependent variable. The data can be numeric or categorical.

  • auto_rebalance: Allow automatic rebalancing of training and validation datasets. Automatic rebalancing affects GBM model reproducibility on the different hardware configurations, but it is a key training performance attribute. This option is defaults to true (True).

Interpreting a GBM model​

The output for GBM includes the following:

  • Model parameters (hidden)
  • A graph of the scoring history (training MSE vs number of trees)
  • A graph of the variable importances
  • Output (model category, validation metrics, initf)
  • Model summary (number of trees, min. depth, max. depth, mean depth, min. leaves, max. leaves, mean leaves)
  • Scoring history in tabular format
  • Training metrics (model name, model checksum name, frame name, description, model category, duration in ms, scoring time, predictions, MSE, R2)
  • Variable importances in tabular format

Leaf node assignment​

Trees cluster observations into leaf nodes, and this information can be useful for feature engineering or model interpretability. Use h2o.predict_leaf_node_assignment(model, frame) to get an H2OFrame with the leaf node assignments. Those leaf nodes represent decision rules that can be fed to other models (for example, GLM with lambda search and strong rules) to obtain a limited set of the most important rules.

GBM algorithm​

H2O's Gradient Boosting Algorithms follow the algorithm specified by Hastie et al (2001):

Initialize fk0=0,k=1,2,…,Kf_{k0} = 0, k=1,2,\dots,K

For m=1m=1 to MM:

  1. Set pk(x)=efk(x)∑l=1Kefl(x),k=1,2,…,Kp_{k}(x)=\frac{e^{f_{k}(x)}}{\sum_{l=1}^{K}e^{f_{l}(x)}},k=1,2,\dots,K

  2. For k=1k=1 to KK:

    1. Compute rikm=yik−pk(xi),i=1,2,…,Nr_{ikm}=y_{ik}-p_{k}(x_{i}),i=1,2,\dots,N
    2. Fit a regression tree to the targets rikm,i=1,2,…,Nr_{ikm},i=1,2,\dots,N, giving terminal regions Rjim,j=1,2,…,JmR_{jim},j=1,2,\dots,J_{m}
    3. Compute γjkm=K−1K∑xi∈Rjkm(rikm)∑xi∈Rjkm∣rikm∣(1−∣rikm),j=1,2,…,Jm\gamma_{jkm}=\frac{K-1}{K} \frac{\sum_{x_{i} \in R_{jkm}}(r_{ikm})}{\sum_{x_{i} \in R_{jkm}}|r_{ikm}|(1-|r_{ikm})},j=1,2,\dots,J_m.
    4. Update fkm(x)=fk,m−1(x)+∑j=1JmγjkmI(x∈Rjkm)f_{km}(x)=f_{k,m-1}(x)+\sum_{j=1}^{J_m}\gamma_{jkm} I(x\in R_{jkm}).

Output fk^(x)=fkM(x),k=1,2,…,K\hat{f_{k}}(x)=f_{kM}(x),k=1,2,\dots,K

Be aware that the column type affects how the histogram is created and the column type depends on whether rows are excluded or assigned a weight of 0. For example:

valweight
11
0.50
51
3.50

The above vec has a real-valued type if passed as a whole, but if the zero-weighted rows are sliced away first, the integer weight is used. The resulting histogram is either kept at full nbins resolution or potentially shrunk to the discrete integer range, which affects the split points.

Parallel performance in GBM​

GBM's parallel performance is strongly determined by the max_depth, nbins, nbins_cats parameters along with the number of columns. Communication overhead grows with the number of leaf node split calculations in order to find the best column to split (and where to split). More nodes will create more communication overhead, and more nodes generally only help if the data is getting so large that the extra cores are needed to compute histograms. In general, for datasets over 10 GB, it makes sense to use 2 to 4 nodes; for datasets over 100 GB, it makes sense to use over 10 nodes, and so on.

GBM tuning guide​

GBM feature interactions​

Ranks of features and feature interactions by various metrics implemented in XGBFI style.

Metrics​

  • Gain: Total gain of each feature or feature interaction
  • FScore: Amount of possible splits taken on a feature or feature interaction
  • wFScore: Amount of possible splits taken on a feature or feature interaction weighted by the probability of the splits to take place
  • Average wFScore: wFScore divided by FScore
  • Average Gain: Gain divided by FScore
  • Expected Gain: Total gain of each feature or feature interaction weighted by the probability to gather the gain
  • Average Tree Index
  • Average Tree Depth
  • Path: Argument for saving the table in .xlsx format.

Additional features:

  • Leaf Statistics
  • Split Value Histograms

Usage is illustrated in the Examples section.

GBM Friedman and Popescu's H statistics​

You can calculates the Friedman and Popescu's H statistics to test for the presence of an interaction between specified variables.

H varies from 0 to 1. It will have a value of 0 if the model exhibits no interaction between specified variables and a correspondingly larger value for a stronger interaction effect between them. NaN is returned if a computation is spoiled by weak main effects and rounding errors.

This statistic can only be calculated for numerical variables. Missing values are supported.

Reference implementation: Python and R

You can see how it used in the Examples section.

Examples​

This code demonstrates how to build a Gradient Boosting Machine (GBM) model using H2O-3 Secure. The model is trained on the prostate dataset to predict the likelihood of prostate cancer. It uses cross-validation, extracts feature interactions, and calculates Friedman and Popescu's H statistics for feature analysis.

library(h2o)
h2o.init()

# Import the prostate dataset into H2O:
prostate <- h2o.importFile("http://s3.amazonaws.com/h2o-public-test-data/smalldata/prostate/prostate.csv")

# Set the predictors and response; set the factors:
prostate$CAPSULE <- as.factor(prostate$CAPSULE)
predictors <- c("ID", "AGE", "RACE", "DPROS", "DCAPS", "PSA", "VOL", "GLEASON")
response <- "CAPSULE"

# Build and train the model:
pros_gbm <- h2o.gbm(x = predictors, 
                    y = response, 
                    nfolds = 5, 
                    seed = 1111, 
                    keep_cross_validation_predictions = TRUE, 
                    training_frame = prostate)

# Eval performance:
perf <- h2o.performance(pros_gbm)

# Generate predictions on a validation set (if necessary):
pred <- h2o.predict(pros_gbm, newdata = prostate)

# Extract feature interactions:
feature_interactions <- h2o.feature_interaction(pros_gbm)

# Get Friedman and Popescu's H statistics
h <- h2o.h(pros_gbm, prostate, c('DPROS','DCAPS'))
print(h)

References​

Dietterich, Thomas G, and Eun Bae Kong. "Machine Learning Bias, Statistical Bias, and Statistical Variance of Decision Tree Algorithms." ML-95 255 (1995).

Elith, Jane, John R Leathwick, and Trevor Hastie. "A Working Guide to Boosted Regression Trees." Journal of Animal Ecology 77.4 (2008): 802-813

Friedman, Jerome H. "Greedy Function Approximation: A Gradient Boosting Machine." Annals of Statistics (2001): 1189-1232.

Friedman, Jerome, Trevor Hastie, Saharon Rosset, Robert Tibshirani, and Ji Zhu. "Discussion of Boosting Papers." Ann. Statist 32 (2004): 102-107

Friedman, Jerome, Trevor Hastie, and Robert Tibshirani. "Additive Logistic Regression: A Statistical View of Boosting (With Discussion and a Rejoinder by the Authors)." The Annals of Statistics 28.2 (2000): 337-407

Hastie, Trevor, Robert Tibshirani, and J Jerome H Friedman. The Elements of Statistical Learning. Vol.1. N.p., page 339: Springer New York, 2001.

Niculescu-Mizil, Alexandru and Caruana, Rich. "Predicting Good Probabilities with Supervised Learning." Ithaca, NY, 2005.

Nee, Daniel. "Calibrating Classifier Probabilities." 2014

Jerome H. Friedman and Bogdan E. Popescu, 2008. "Predictive learning via rule ensembles." *Ann. Appl. Stat.* **2**:916-954.

FAQ​

This section describes common questions from users. The questions are broken down based on one of the types below.

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