by Joseph Rickert

The model table on the caret package website lists more that 200 variations of predictive analytics models that are available withing the caret framework. All of these models may be prepared, tuned, fit and evaluated with a common set of caret functions. All on its own, the table is an impressive testament to the utility and scope of the R language as data science tool.

For the past year or so xgboost, the extreme gradient boosting algorithm, has been getting a lot of attention. The code below compares gbm with xgboost using the segmentationData set that comes with caret. The analysis presented here is far from the last word on comparing these models, but it does show how one might go about setting up a serious comparison using caret's functions to sweep through parameter space using parallel programming, and then used synchronized bootstrap samples to make a detailed comparison.

After reading in the data and dividing it into training and test data sets, caret's trainControl() and expand.grid() functions are used to set up to train the gbm model on all of the combinations of represented in the data frame built by expand.grid(). Then train() function does the actual training and fitting of the model. Notice that all of this happens in parallel. The Task Manager on my Windows 10 laptop shows all four cores maxed out at 100%.

After model fitting, predictions on the test data are computed and an ROC curve is drawn in the usual way. The AUC for gbm was computed to be 0.8731. Here is the ROC curve.

Next, a similar process for xgboost computes the AUC to be 0.8857, a fair improvement. The following plot shows how the ROC measure behaves with increasing tree depth for the two different values of the shrinkage parameter.

The final section of code shows how to caret can be used to compare the two models using the bootstrap samples that were created in the process of constructing the two models. The boxplots show xgboost has the edge although the gbm has a tighter distribution.

The next step, which I hope to take soon, is to rerun the analysis with more complete grids of tuning parameters. For a very accessible introduction to caret have a look at Max Kuhn's 2013 useR! tutorial.

#COMPARE XGBOOST with GBM ### Packages Required library(caret) library(corrplot) # plot correlations library(doParallel) # parallel processing library(dplyr) # Used by caret library(gbm) # GBM Models library(pROC) # plot the ROC curve library(xgboost) # Extreme Gradient Boosting ### Get the Data # Load the data and construct indices to divied it into training and test data sets. data(segmentationData) # Load the segmentation data set dim(segmentationData) head(segmentationData,2) # trainIndex <- createDataPartition(segmentationData$Case,p=.5,list=FALSE) trainData <- segmentationData[trainIndex,-c(1,2)] testData <- segmentationData[-trainIndex,-c(1,2)] # trainX <-trainData[,-1] # Pull out the dependent variable testX <- testData[,-1] sapply(trainX,summary) # Look at a summary of the training data ## GENERALIZED BOOSTED RGRESSION MODEL (BGM) # Set up training control ctrl <- trainControl(method = "repeatedcv", # 10fold cross validation number = 5, # do 5 repititions of cv summaryFunction=twoClassSummary, # Use AUC to pick the best model classProbs=TRUE, allowParallel = TRUE) # Use the expand.grid to specify the search space # Note that the default search grid selects multiple values of each tuning parameter grid <- expand.grid(interaction.depth=c(1,2), # Depth of variable interactions n.trees=c(10,20), # Num trees to fit shrinkage=c(0.01,0.1), # Try 2 values for learning rate n.minobsinnode = 20) # set.seed(1951) # set the seed # Set up to do parallel processing registerDoParallel(4) # Registrer a parallel backend for train getDoParWorkers() gbm.tune <- train(x=trainX,y=trainData$Class, method = "gbm", metric = "ROC", trControl = ctrl, tuneGrid=grid, verbose=FALSE) # Look at the tuning results # Note that ROC was the performance criterion used to select the optimal model. gbm.tune$bestTune plot(gbm.tune) # Plot the performance of the training models res <- gbm.tune$results res ### GBM Model Predictions and Performance # Make predictions using the test data set gbm.pred <- predict(gbm.tune,testX) #Look at the confusion matrix confusionMatrix(gbm.pred,testData$Class) #Draw the ROC curve gbm.probs <- predict(gbm.tune,testX,type="prob") head(gbm.probs) gbm.ROC <- roc(predictor=gbm.probs$PS, response=testData$Class, levels=rev(levels(testData$Class))) gbm.ROC$auc #Area under the curve: 0.8731 plot(gbm.ROC,main="GBM ROC") # Plot the propability of poor segmentation histogram(~gbm.probs$PS|testData$Class,xlab="Probability of Poor Segmentation") ##---------------------------------------------- ## XGBOOST # Some stackexchange guidance for xgboost # http://stats.stackexchange.com/questions/171043/how-to-tune-hyperparameters-of-xgboost-trees # Set up for parallel procerssing set.seed(1951) registerDoParallel(4,cores=4) getDoParWorkers() # Train xgboost xgb.grid <- expand.grid(nrounds = 500, #the maximum number of iterations eta = c(0.01,0.1), # shrinkage max_depth = c(2,6,10)) xgb.tune <-train(x=trainX,y=trainData$Class, method="xgbTree", metric="ROC", trControl=ctrl, tuneGrid=xgb.grid) xgb.tune$bestTune plot(xgb.tune) # Plot the performance of the training models res <- xgb.tune$results res ### xgboostModel Predictions and Performance # Make predictions using the test data set xgb.pred <- predict(xgb.tune,testX) #Look at the confusion matrix confusionMatrix(xgb.pred,testData$Class) #Draw the ROC curve xgb.probs <- predict(xgb.tune,testX,type="prob") #head(xgb.probs) xgb.ROC <- roc(predictor=xgb.probs$PS, response=testData$Class, levels=rev(levels(testData$Class))) xgb.ROC$auc # Area under the curve: 0.8857 plot(xgb.ROC,main="xgboost ROC") # Plot the propability of poor segmentation histogram(~xgb.probs$PS|testData$Class,xlab="Probability of Poor Segmentation") # Comparing Multiple Models # Having set the same seed before running gbm.tune and xgb.tune # we have generated paired samples and are in a position to compare models # using a resampling technique. # (See Hothorn at al, "The design and analysis of benchmark experiments # -Journal of Computational and Graphical Statistics (2005) vol 14 (3) # pp 675-699) rValues <- resamples(list(xgb=xgb.tune,gbm=gbm.tune)) rValues$values summary(rValues) bwplot(rValues,metric="ROC",main="GBM vs xgboost") # boxplot dotplot(rValues,metric="ROC",main="GBM vs xgboost") # dotplot #splom(rValues,metric="ROC")

Very nicely done and well explained! It has inspired me to switch a recent demonstration of mine to xgboost: https://github.com/WinVector/Examples/blob/master/CensusAdultIncomeExample/ExampleRun.md .

Posted by: John Mount | June 02, 2016 at 11:17