EvoTrees

A Julia implementation of boosted trees. Efficient histogram based algorithm with support for conventional and extended loss (notably multi-target objectives such as max likelihood methods).

R binding available

Currently supports:

linear
logistic
Poisson
L1 (mae regression)
Quantile
multiclassification (softmax)
Gaussian (max likelihood)

Input features is expected to be Matrix{Float64}. User friendly format conversion to be done. Next priority: GPU support.

Installation

Latest:

julia> Pkg.add("https://github.com/Evovest/EvoTrees.jl")

Official Repo:

julia> Pkg.add("EvoTrees")

Performance

Benchmark for 100 iterations on randomly generated data:

Dimensions / Algo	XGBoost Exact	XGBoost Hist	EvoTrees
10K x 100	1.18s	2.15s	0.52s
100K x 100	9.39s	4.25s	2.02s
1M X 100	146.5s	20.2s	21.5

Parameters

loss: {:linear, :logistic, :poisson, :L1, :quantile, :softmax, :gaussian}
nrounds: 10L
λ: 0.0
γ: 0.0
η: 0.1
max_depth: integer, default 5L
min_weight: float >= 0 default=1.0,
rowsample: float [0,1] default=1.0
colsample: float [0,1] default=1.0
nbins: Int, number of bins into which features will be quantilized default=64
α: float [0,1], set the quantile or bias in L1 default=0.5
metric: {:mse, :rmse, :mae, :logloss, :quantile}, default=:none

MLJ Integration

See official project page for more info.

using StatsBase: sample
using EvoTrees
using EvoTrees: sigmoid, logit
using MLJBase

features = rand(10_000) .* 5 .- 2
X = reshape(features, (size(features)[1], 1))
Y = sin.(features) .* 0.5 .+ 0.5
Y = logit(Y) + randn(size(Y))
Y = sigmoid(Y)
y = Y
X = MLJBase.table(X)

# @load EvoTreeRegressor
# linear regression
tree_model = EvoTreeRegressor(loss=:linear, max_depth=5, η=0.05, nrounds=10)

# set machine
mach = machine(tree_model, X, y)

# partition data
train, test = partition(eachindex(y), 0.7, shuffle=true); # 70:30 split

# fit data
fit!(mach, rows=train, verbosity=1)

# continue training
mach.model.nrounds += 10
fit!(mach, rows=train, verbosity=1)

# predict on train data
pred_train = predict(mach, selectrows(X,train))
mean(abs.(pred_train - selectrows(Y,train)))

# predict on test data
pred_test = predict(mach, selectrows(X,test))
mean(abs.(pred_test - selectrows(Y,test)))

Getting started using internal API

Minimal example to fit a noisy sinus wave.

using EvoTrees
using EvoTrees: sigmoid, logit

# prepare a dataset
features = rand(10000) .* 20 .- 10
X = reshape(features, (size(features)[1], 1))
Y = sin.(features) .* 0.5 .+ 0.5
Y = logit(Y) + randn(size(Y))
Y = sigmoid(Y)
𝑖 = collect(1:size(X,1))

# train-eval split
𝑖_sample = sample(𝑖, size(𝑖, 1), replace = false)
train_size = 0.8
𝑖_train = 𝑖_sample[1:floor(Int, train_size * size(𝑖, 1))]
𝑖_eval = 𝑖_sample[floor(Int, train_size * size(𝑖, 1))+1:end]

X_train, X_eval = X[𝑖_train, :], X[𝑖_eval, :]
Y_train, Y_eval = Y[𝑖_train], Y[𝑖_eval]

params1 = EvoTreeRegressor(
    loss=:linear, metric=:mse,
    nrounds=100, nbins = 100,
    λ = 0.5, γ=0.1, η=0.1,
    max_depth = 6, min_weight = 1.0,
    rowsample=0.5, colsample=1.0)
model = fit_evotree(params1, X_train, Y_train, X_eval = X_eval, Y_eval = Y_eval, print_every_n = 25)
pred_eval_linear = predict(model, X_eval)

# logistic / cross-entropy
params1 = EvoTreeRegressor(
    loss=:logistic, metric = :logloss,
    nrounds=100, nbins = 100,
    λ = 0.5, γ=0.1, η=0.1,
    max_depth = 6, min_weight = 1.0,
    rowsample=0.5, colsample=1.0)
model = fit_evotree(params1, X_train, Y_train, X_eval = X_eval, Y_eval = Y_eval, print_every_n = 25)
pred_eval_logistic = predict(model, X_eval)

# Poisson
params1 = EvoTreeCount(
    loss=:poisson, metric = :poisson,
    nrounds=100, nbins = 100,
    λ = 0.5, γ=0.1, η=0.1,
    max_depth = 6, min_weight = 1.0,
    rowsample=0.5, colsample=1.0)
model = fit_evotree(params1, X_train, Y_train, X_eval = X_eval, Y_eval = Y_eval, print_every_n = 25)
@time pred_eval_poisson = predict(model, X_eval)

# L1
params1 = EvoTreeRegressor(
    loss=:L1, α=0.5, metric = :mae,
    nrounds=100, nbins=100,
    λ = 0.5, γ=0.0, η=0.1,
    max_depth = 6, min_weight = 1.0,
    rowsample=0.5, colsample=1.0)
model = fit_evotree(params1, X_train, Y_train, X_eval = X_eval, Y_eval = Y_eval, print_every_n = 25)
pred_eval_L1 = predict(model, X_eval)

Quantile Regression

# q50
params1 = EvoTreeRegressor(
    loss=:quantile, α=0.5, metric = :quantile,
    nrounds=200, nbins = 100,
    λ = 0.1, γ=0.0, η=0.05,
    max_depth = 6, min_weight = 1.0,
    rowsample=0.5, colsample=1.0)
model = fit_evotree(params1, X_train, Y_train, X_eval = X_eval, Y_eval = Y_eval, print_every_n = 25)
pred_train_q50 = predict(model, X_train)

# q20
params1 = EvoTreeRegressor(
    loss=:quantile, α=0.2, metric = :quantile,
    nrounds=200, nbins = 100,
    λ = 0.1, γ=0.0, η=0.05,
    max_depth = 6, min_weight = 1.0,
    rowsample=0.5, colsample=1.0)
model = fit_evotree(params1, X_train, Y_train, X_eval = X_eval, Y_eval = Y_eval, print_every_n = 25)
pred_train_q20 = predict(model, X_train)

# q80
params1 = EvoTreeRegressor(
    loss=:quantile, α=0.8,
    nrounds=200, nbins = 100,
    λ = 0.1, γ=0.0, η=0.05,
    max_depth = 6, min_weight = 1.0,
    rowsample=0.5, colsample=1.0)
model = fit_evotree(params1, X_train, Y_train, X_eval = X_eval, Y_eval = Y_eval, print_every_n = 25)
pred_train_q80 = predict(model, X_train)

Gaussian Max Likelihood

params1 = EvoTreeGaussian(
    loss=:gaussian, metric=:gaussian,
    nrounds=100, nbins=100,
    λ = 0.0, γ=0.0, η=0.1,
    max_depth = 6, min_weight = 1.0,
    rowsample=0.5, colsample=1.0, seed=123)

Feature importance

Returns the normalized gain by feature.

features_gain = importance(model, var_names)

khosravipasha / EvoTrees.jl