Package 'stackgbm'

Title: Stacked Gradient Boosting Machines
Description: A minimalist implementation of model stacking by Wolpert (1992) <doi:10.1016/S0893-6080(05)80023-1> for boosted tree models. A classic, two-layer stacking model is implemented, where the first layer generates features using gradient boosting trees, and the second layer employs a logistic regression model that uses these features as inputs. Utilities for training the base models and parameters tuning are provided, allowing users to experiment with different ensemble configurations easily. It aims to provide a simple and efficient way to combine multiple gradient boosting models to improve predictive model performance and robustness.
Authors: Nan Xiao [aut, cre, cph]
Maintainer: Nan Xiao <[email protected]>
License: MIT + file LICENSE
Version: 0.1.0
Built: 2024-09-13 04:24:21 UTC
Source: https://github.com/nanxstats/stackgbm

Help Index

Create a dataset

Description

Create a dataset

Usage

catboost_load_pool(data, label = NULL, ...)

Arguments

data

Predictors.
label

Labels.
...

Additional parameters.

Value

A catboost.Pool object.

Examples

sim_data <- msaenet::msaenet.sim.binomial(
  n = 100,
  p = 10,
  rho = 0.6,
  coef = rnorm(5, mean = 0, sd = 10),
  snr = 1,
  p.train = 0.8,
  seed = 42
)

catboost_load_pool(data = sim_data$x.tr, label = sim_data$y.tr)
catboost_load_pool(data = sim_data$x.tr, label = NULL)
catboost_load_pool(data = sim_data$x.te, label = NULL)

Predict based on the model

Description

Predict based on the model

Usage

catboost_predict(model, pool, prediction_type = "Probability", ...)

Arguments

model

The trained model.
pool

The dataset to predict on.
prediction_type

Prediction type.
...

Additional parameters.

Value

Predicted values.

Examples

sim_data <- msaenet::msaenet.sim.binomial(
  n = 100,
  p = 10,
  rho = 0.6,
  coef = rnorm(5, mean = 0, sd = 10),
  snr = 1,
  p.train = 0.8,
  seed = 42
)

x_train <- catboost_load_pool(data = sim_data$x.tr, label = sim_data$y.tr)
x_test <- catboost_load_pool(data = sim_data$x.te, label = NULL)

fit <- catboost_train(
  x_train,
  NULL,
  params = list(
    loss_function = "Logloss",
    iterations = 100,
    depth = 3,
    logging_level = "Silent"
  )
)

catboost_predict(fit, x_test)

Train the model

Description

Train the model

Usage

catboost_train(learn_pool, test_pool = NULL, params = list())

Arguments

learn_pool

Training dataset.
test_pool

Testing dataset.
params

A list of training parameters.

Value

A model object.

Examples

sim_data <- msaenet::msaenet.sim.binomial(
  n = 100,
  p = 10,
  rho = 0.6,
  coef = rnorm(5, mean = 0, sd = 10),
  snr = 1,
  p.train = 0.8,
  seed = 42
)

x_train <- catboost_load_pool(data = sim_data$x.tr, label = sim_data$y.tr)

fit <- catboost_train(
  x_train,
  NULL,
  params = list(
    loss_function = "Logloss",
    iterations = 100,
    depth = 3,
    logging_level = "Silent"
  )
)

fit

catboost - parameter tuning and model selection with k-fold cross-validation and grid search

Description

catboost - parameter tuning and model selection with k-fold cross-validation and grid search

Usage

cv_catboost(
  x,
  y,
  params = cv_param_grid(),
  n_folds = 5,
  n_threads = 1,
  seed = 42,
  verbose = TRUE
)

Arguments

x

Predictor matrix.
y

Response vector.
params

Parameter grid generated by cv_param_grid().
n_folds

Number of folds. Default is 5.
n_threads

The number of parallel threads. For optimal speed, match this to the number of physical CPU cores, not threads. See respective model documentation for more details. Default is 1.
seed

Random seed for reproducibility.
verbose

Show progress?

Value

A data frame containing the complete tuning grid and the AUC values, with the best parameter combination and the highest AUC value.

Examples

sim_data <- msaenet::msaenet.sim.binomial(
  n = 100,
  p = 10,
  rho = 0.6,
  coef = rnorm(5, mean = 0, sd = 10),
  snr = 1,
  p.train = 0.8,
  seed = 42
)

params <- cv_catboost(
  sim_data$x.tr,
  sim_data$y.tr,
  params = cv_param_grid(
    n_iterations = c(100, 200),
    max_depth = c(3, 5),
    learning_rate = c(0.1, 0.5)
  ),
  n_folds = 5,
  n_threads = 1,
  seed = 42,
  verbose = FALSE
)

params$df

lightgbm - parameter tuning and model selection with k-fold cross-validation and grid search

Description

lightgbm - parameter tuning and model selection with k-fold cross-validation and grid search

Usage

cv_lightgbm(
  x,
  y,
  params = cv_param_grid(),
  n_folds = 5,
  n_threads = 1,
  seed = 42,
  verbose = TRUE
)

Arguments

x

Predictor matrix.
y

Response vector.
params

Parameter grid generated by cv_param_grid().
n_folds

Number of folds. Default is 5.
n_threads

The number of parallel threads. For optimal speed, match this to the number of physical CPU cores, not threads. See respective model documentation for more details. Default is 1.
seed

Random seed for reproducibility.
verbose

Show progress?

Value

A data frame containing the complete tuning grid and the AUC values, with the best parameter combination and the highest AUC value.

Examples

sim_data <- msaenet::msaenet.sim.binomial(
  n = 100,
  p = 10,
  rho = 0.6,
  coef = rnorm(5, mean = 0, sd = 10),
  snr = 1,
  p.train = 0.8,
  seed = 42
)

params <- suppressWarnings(
  cv_lightgbm(
    sim_data$x.tr,
    sim_data$y.tr,
    params = cv_param_grid(
      n_iterations = c(100, 200),
      max_depth = c(3, 5),
      learning_rate = c(0.1, 0.5)
    ),
    n_folds = 5,
    n_threads = 1,
    seed = 42,
    verbose = FALSE
  )
)

params$df

Generate a parameter grid for cross-validation

Description

This function generates a parameter grid to be used in the cross-validation of gradient boosting decision tree (GBDT) models.

Usage

cv_param_grid(
  n_iterations = c(100, 200, 500, 1000),
  max_depth = c(3, 5, 7, 9),
  learning_rate = c(0.01, 0.05, 0.1, 0.2)
)

Arguments

n_iterations

A numeric vector of the number of iterations (trees) for the GBDT model. This is equivalent to nrounds in XGBoost, num_iterations in LightGBM, and iterations in CatBoost.
max_depth

A numeric vector of the maximum tree depths. This parameter is equivalent to max_depth in XGBoost and LightGBM, and depth in CatBoost.
learning_rate

A numeric vector of learning rates for the GBDT model. This parameter is equivalent to eta in XGBoost, learning_rate in LightGBM, and ignored in CatBoost.

Value

A list where the names are the parameter names and the values are vectors of possible values for those parameters.

Examples

params <- cv_param_grid(
  n_iterations = c(10, 100),
  max_depth = c(3, 5),
  learning_rate = c(0.01, 0.1)
)

xgboost - parameter tuning and model selection with k-fold cross-validation and grid search

Description

xgboost - parameter tuning and model selection with k-fold cross-validation and grid search

Usage

cv_xgboost(
  x,
  y,
  params = cv_param_grid(),
  n_folds = 5,
  n_threads = 1,
  seed = 42,
  verbose = TRUE
)

Arguments

x

Predictor matrix.
y

Response vector.
params

Parameter grid generated by cv_param_grid().
n_folds

Number of folds. Default is 5.
n_threads

The number of parallel threads. For optimal speed, match this to the number of physical CPU cores, not threads. See respective model documentation for more details. Default is 1.
seed

Random seed for reproducibility.
verbose

Show progress?

Value

A data frame containing the complete tuning grid and the AUC values, with the best parameter combination and the highest AUC value.

Examples

sim_data <- msaenet::msaenet.sim.binomial(
  n = 100,
  p = 10,
  rho = 0.6,
  coef = rnorm(5, mean = 0, sd = 10),
  snr = 1,
  p.train = 0.8,
  seed = 42
)

params <- cv_xgboost(
  sim_data$x.tr,
  sim_data$y.tr,
  params = cv_param_grid(
    n_iterations = c(100, 200),
    max_depth = c(3, 5),
    learning_rate = c(0.1, 0.5)
  ),
  n_folds = 5,
  n_threads = 1,
  seed = 42,
  verbose = FALSE
)

params$df

Is catboost installed?

Description

Is catboost installed?

Usage

is_installed_catboost()

Value

TRUE if installed, FALSE if not.

Examples

is_installed_catboost()

Is lightgbm installed?

Description

Is lightgbm installed?

Usage

is_installed_lightgbm()

Value

TRUE if installed, FALSE if not.

Examples

is_installed_lightgbm()

Is xgboost installed?

Description

Is xgboost installed?

Usage

is_installed_xgboost()

Value

TRUE if installed, FALSE if not.

Examples

is_installed_xgboost()

Train lightgbm model

Description

Train lightgbm model

Usage

lightgbm_train(data, label, params, ...)

Arguments

data

Training data.
label

Labels.
params

A list of parameters.
...

Additional parameters.

Value

A model object.

Examples

sim_data <- msaenet::msaenet.sim.binomial(
  n = 100,
  p = 10,
  rho = 0.6,
  coef = rnorm(5, mean = 0, sd = 10),
  snr = 1,
  p.train = 0.8,
  seed = 42
)

fit <- suppressWarnings(
  lightgbm_train(
    data = sim_data$x.tr,
    label = sim_data$y.tr,
    params = list(
      objective = "binary",
      learning_rate = 0.1,
      num_iterations = 100,
      max_depth = 3,
      num_leaves = 2^3 - 1,
      num_threads = 1
    ),
    verbose = -1
  )
)

fit

Make predictions from a stackgbm model object

Description

Make predictions from a stackgbm model object

Usage

## S3 method for class 'stackgbm'
predict(object, newx, threshold = 0.5, classes = c(1L, 0L), ...)

Arguments

object

A stackgbm model object.
newx

New predictor matrix.
threshold

Decision threshold. Default is 0.5.
classes

The class encoding vector of the predicted outcome. The naming and order will be respected.
...

Unused.

Value

A list of two vectors presenting the predicted classification probabilities and predicted response.

Examples

sim_data <- msaenet::msaenet.sim.binomial(
  n = 1000,
  p = 50,
  rho = 0.6,
  coef = rnorm(25, mean = 0, sd = 10),
  snr = 1,
  p.train = 0.8,
  seed = 42
)

params_xgboost <- structure(
  list("nrounds" = 200, "eta" = 0.05, "max_depth" = 3),
  class = c("cv_params", "cv_xgboost")
)
params_lightgbm <- structure(
  list("num_iterations" = 200, "max_depth" = 3, "learning_rate" = 0.05),
  class = c("cv_params", "cv_lightgbm")
)
params_catboost <- structure(
  list("iterations" = 100, "depth" = 3),
  class = c("cv_params", "cv_catboost")
)

fit <- stackgbm(
  sim_data$x.tr,
  sim_data$y.tr,
  params = list(
    params_xgboost,
    params_lightgbm,
    params_catboost
  )
)

predict(fit, newx = sim_data$x.te)

Model stacking for boosted trees

Description

Model stacking with a two-layer architecture: first layer being boosted tree models fitted by xgboost, lightgbm, and catboost; second layer being a logistic regression model.

Usage

stackgbm(x, y, params, n_folds = 5L, seed = 42, verbose = TRUE)

Arguments

x

Predictor matrix.
y

Response vector.
params

A list of optimal parameter objects for boosted tree models derived from cv_xgboost(), cv_lightgbm(), and cv_catboost(). The order does not matter.
n_folds

Number of folds. Default is 5.
seed

Random seed for reproducibility.
verbose

Show progress?

Value

Fitted boosted tree models and stacked tree model.

Examples

sim_data <- msaenet::msaenet.sim.binomial(
  n = 1000,
  p = 50,
  rho = 0.6,
  coef = rnorm(25, mean = 0, sd = 10),
  snr = 1,
  p.train = 0.8,
  seed = 42
)

params_xgboost <- structure(
  list("nrounds" = 200, "eta" = 0.05, "max_depth" = 3),
  class = c("cv_params", "cv_xgboost")
)
params_lightgbm <- structure(
  list("num_iterations" = 200, "max_depth" = 3, "learning_rate" = 0.05),
  class = c("cv_params", "cv_lightgbm")
)
params_catboost <- structure(
  list("iterations" = 100, "depth" = 3),
  class = c("cv_params", "cv_catboost")
)

fit <- stackgbm(
  sim_data$x.tr,
  sim_data$y.tr,
  params = list(
    params_xgboost,
    params_lightgbm,
    params_catboost
  )
)

predict(fit, newx = sim_data$x.te)

Create xgb.DMatrix object

Description

Create xgb.DMatrix object

Usage

xgboost_dmatrix(data, label = NULL, ...)

Arguments

data

Matrix or file.
label

Labels (optional).
...

Additional parameters.

Value

An xgb.DMatrix object.

Examples

sim_data <- msaenet::msaenet.sim.binomial(
  n = 100,
  p = 10,
  rho = 0.6,
  coef = rnorm(5, mean = 0, sd = 10),
  snr = 1,
  p.train = 0.8,
  seed = 42
)

xgboost_dmatrix(sim_data$x.tr, label = sim_data$y.tr)
xgboost_dmatrix(sim_data$x.te)

Train xgboost model

Description

Train xgboost model

Usage

xgboost_train(params, data, nrounds, ...)

Arguments

params

A list of parameters.
data

Training data.
nrounds

The Maximum number of boosting iterations.
...

Additional parameters.

Value

A model object.

Examples

sim_data <- msaenet::msaenet.sim.binomial(
  n = 100,
  p = 10,
  rho = 0.6,
  coef = rnorm(5, mean = 0, sd = 10),
  snr = 1,
  p.train = 0.8,
  seed = 42
)

x_train <- xgboost_dmatrix(sim_data$x.tr, label = sim_data$y.tr)

fit <- xgboost_train(
  params = list(
    objective = "binary:logistic",
    eval_metric = "auc",
    max_depth = 3,
    eta = 0.1
  ),
  data = x_train,
  nrounds = 100,
  nthread = 1
)

fit