XGBoost Parameters

Before running XGBoost, we must set three types of parameters: general parameters, booster parameters and task parameters.

  • General parameters relate to which booster we are using to do boosting, commonly tree or linear model
  • Booster parameters depend on which booster you have chosen
  • Learning task parameters decide on the learning scenario. For example, regression tasks may use different parameters with ranking tasks.
  • Command line parameters relate to behavior of CLI version of XGBoost.

Note

Parameters in R package

In R-package, you can use . (dot) to replace underscore in the parameters, for example, you can use max.depth to indicate max_depth. The underscore parameters are also valid in R.

General Parameters

  • booster [default= gbtree ]
    • Which booster to use. Can be gbtree, gblinear or dart; gbtree and dart use tree based models while gblinear uses linear functions.
  • silent [default=0]
    • 0 means printing running messages, 1 means silent mode
  • nthread [default to maximum number of threads available if not set]
    • Number of parallel threads used to run XGBoost
  • disable_default_eval_metric [default=0]
    • Flag to disable default metric. Set to >0 to disable.
  • num_pbuffer [set automatically by XGBoost, no need to be set by user]
    • Size of prediction buffer, normally set to number of training instances. The buffers are used to save the prediction results of last boosting step.
  • num_feature [set automatically by XGBoost, no need to be set by user]
    • Feature dimension used in boosting, set to maximum dimension of the feature

Parameters for Tree Booster

  • eta [default=0.3, alias: learning_rate]
    • Step size shrinkage used in update to prevents overfitting. After each boosting step, we can directly get the weights of new features, and eta shrinks the feature weights to make the boosting process more conservative.
    • range: [0,1]
  • gamma [default=0, alias: min_split_loss]
    • Minimum loss reduction required to make a further partition on a leaf node of the tree. The larger gamma is, the more conservative the algorithm will be.
    • range: [0,∞]
  • max_depth [default=6]
    • Maximum depth of a tree. Increasing this value will make the model more complex and more likely to overfit. 0 indicates no limit. Note that limit is required when grow_policy is set of depthwise.
    • range: [0,∞]
  • min_child_weight [default=1]
    • Minimum sum of instance weight (hessian) needed in a child. If the tree partition step results in a leaf node with the sum of instance weight less than min_child_weight, then the building process will give up further partitioning. In linear regression task, this simply corresponds to minimum number of instances needed to be in each node. The larger min_child_weight is, the more conservative the algorithm will be.
    • range: [0,∞]
  • max_delta_step [default=0]
    • Maximum delta step we allow each leaf output to be. If the value is set to 0, it means there is no constraint. If it is set to a positive value, it can help making the update step more conservative. Usually this parameter is not needed, but it might help in logistic regression when class is extremely imbalanced. Set it to value of 1-10 might help control the update.
    • range: [0,∞]
  • subsample [default=1]
    • Subsample ratio of the training instances. Setting it to 0.5 means that XGBoost would randomly sample half of the training data prior to growing trees. and this will prevent overfitting. Subsampling will occur once in every boosting iteration.
    • range: (0,1]
  • colsample_bytree [default=1]
    • Subsample ratio of columns when constructing each tree. Subsampling will occur once in every boosting iteration.
    • range: (0,1]
  • colsample_bylevel [default=1]
    • Subsample ratio of columns for each split, in each level. Subsampling will occur each time a new split is made.
    • range: (0,1]
  • lambda [default=1, alias: reg_lambda]
    • L2 regularization term on weights. Increasing this value will make model more conservative.
  • alpha [default=0, alias: reg_alpha]
    • L1 regularization term on weights. Increasing this value will make model more conservative.
  • tree_method string [default= auto]
    • The tree construction algorithm used in XGBoost. See description in the reference paper.
    • Distributed and external memory version only support tree_method=approx.
    • Choices: auto, exact, approx, hist, gpu_exact, gpu_hist
      • auto: Use heuristic to choose the fastest method.
        • For small to medium dataset, exact greedy (exact) will be used.
        • For very large dataset, approximate algorithm (approx) will be chosen.
        • Because old behavior is always use exact greedy in single machine, user will get a message when approximate algorithm is chosen to notify this choice.
      • exact: Exact greedy algorithm.
      • approx: Approximate greedy algorithm using quantile sketch and gradient histogram.
      • hist: Fast histogram optimized approximate greedy algorithm. It uses some performance improvements such as bins caching.
      • gpu_exact: GPU implementation of exact algorithm.
      • gpu_hist: GPU implementation of hist algorithm.
  • sketch_eps [default=0.03]
    • Only used for tree_method=approx.
    • This roughly translates into O(1 / sketch_eps) number of bins. Compared to directly select number of bins, this comes with theoretical guarantee with sketch accuracy.
    • Usually user does not have to tune this. But consider setting to a lower number for more accurate enumeration of split candidates.
    • range: (0, 1)
  • scale_pos_weight [default=1]
    • Control the balance of positive and negative weights, useful for unbalanced classes. A typical value to consider: sum(negative instances) / sum(positive instances). See Parameters Tuning for more discussion. Also, see Higgs Kaggle competition demo for examples: R, py1, py2, py3.
  • updater [default= grow_colmaker,prune]
    • A comma separated string defining the sequence of tree updaters to run, providing a modular way to construct and to modify the trees. This is an advanced parameter that is usually set automatically, depending on some other parameters. However, it could be also set explicitly by a user. The following updater plugins exist:
      • grow_colmaker: non-distributed column-based construction of trees.
      • distcol: distributed tree construction with column-based data splitting mode.
      • grow_histmaker: distributed tree construction with row-based data splitting based on global proposal of histogram counting.
      • grow_local_histmaker: based on local histogram counting.
      • grow_skmaker: uses the approximate sketching algorithm.
      • sync: synchronizes trees in all distributed nodes.
      • refresh: refreshes tree’s statistics and/or leaf values based on the current data. Note that no random subsampling of data rows is performed.
      • prune: prunes the splits where loss < min_split_loss (or gamma).
    • In a distributed setting, the implicit updater sequence value would be adjusted to grow_histmaker,prune.
  • refresh_leaf [default=1]
    • This is a parameter of the refresh updater plugin. When this flag is 1, tree leafs as well as tree nodes’ stats are updated. When it is 0, only node stats are updated.
  • process_type [default= default]
    • A type of boosting process to run.
    • Choices: default, update
      • default: The normal boosting process which creates new trees.
      • update: Starts from an existing model and only updates its trees. In each boosting iteration, a tree from the initial model is taken, a specified sequence of updater plugins is run for that tree, and a modified tree is added to the new model. The new model would have either the same or smaller number of trees, depending on the number of boosting iteratons performed. Currently, the following built-in updater plugins could be meaningfully used with this process type: refresh, prune. With process_type=update, one cannot use updater plugins that create new trees.
  • grow_policy [default= depthwise]
    • Controls a way new nodes are added to the tree.
    • Currently supported only if tree_method is set to hist.
    • Choices: depthwise, lossguide
      • depthwise: split at nodes closest to the root.
      • lossguide: split at nodes with highest loss change.
  • max_leaves [default=0]
    • Maximum number of nodes to be added. Only relevant when grow_policy=lossguide is set.
  • max_bin, [default=256]
    • Only used if tree_method is set to hist.
    • Maximum number of discrete bins to bucket continuous features.
    • Increasing this number improves the optimality of splits at the cost of higher computation time.
  • predictor, [default=``cpu_predictor``]
    • The type of predictor algorithm to use. Provides the same results but allows the use of GPU or CPU.
      • cpu_predictor: Multicore CPU prediction algorithm.
      • gpu_predictor: Prediction using GPU. Default when tree_method is gpu_exact or gpu_hist.

Additional parameters for Dart Booster (booster=dart)

Note

Using predict() with DART booster

If the booster object is DART type, predict() will perform dropouts, i.e. only some of the trees will be evaluated. This will produce incorrect results if data is not the training data. To obtain correct results on test sets, set ntree_limit to a nonzero value, e.g.

preds = bst.predict(dtest, ntree_limit=num_round)
  • sample_type [default= uniform]
    • Type of sampling algorithm.
      • uniform: dropped trees are selected uniformly.
      • weighted: dropped trees are selected in proportion to weight.
  • normalize_type [default= tree]
    • Type of normalization algorithm.
      • tree: new trees have the same weight of each of dropped trees.
        • Weight of new trees are 1 / (k + learning_rate).
        • Dropped trees are scaled by a factor of k / (k + learning_rate).
      • forest: new trees have the same weight of sum of dropped trees (forest).
        • Weight of new trees are 1 / (1 + learning_rate).
        • Dropped trees are scaled by a factor of 1 / (1 + learning_rate).
  • rate_drop [default=0.0]
    • Dropout rate (a fraction of previous trees to drop during the dropout).
    • range: [0.0, 1.0]
  • one_drop [default=0]
    • When this flag is enabled, at least one tree is always dropped during the dropout (allows Binomial-plus-one or epsilon-dropout from the original DART paper).
  • skip_drop [default=0.0]
    • Probability of skipping the dropout procedure during a boosting iteration.
      • If a dropout is skipped, new trees are added in the same manner as gbtree.
      • Note that non-zero skip_drop has higher priority than rate_drop or one_drop.
    • range: [0.0, 1.0]

Parameters for Linear Booster (booster=gblinear)

  • lambda [default=0, alias: reg_lambda]
    • L2 regularization term on weights. Increasing this value will make model more conservative. Normalised to number of training examples.
  • alpha [default=0, alias: reg_alpha]
    • L1 regularization term on weights. Increasing this value will make model more conservative. Normalised to number of training examples.
  • updater [default= shotgun]
    • Choice of algorithm to fit linear model
      • shotgun: Parallel coordinate descent algorithm based on shotgun algorithm. Uses ‘hogwild’ parallelism and therefore produces a nondeterministic solution on each run.
      • coord_descent: Ordinary coordinate descent algorithm. Also multithreaded but still produces a deterministic solution.
  • feature_selector [default= cyclic]
    • Feature selection and ordering method
      • cyclic: Deterministic selection by cycling through features one at a time.
      • shuffle: Similar to cyclic but with random feature shuffling prior to each update.
      • random: A random (with replacement) coordinate selector.
      • greedy: Select coordinate with the greatest gradient magnitude. It has O(num_feature^2) complexity. It is fully deterministic. It allows restricting the selection to top_k features per group with the largest magnitude of univariate weight change, by setting the top_k parameter. Doing so would reduce the complexity to O(num_feature*top_k).
      • thrifty: Thrifty, approximately-greedy feature selector. Prior to cyclic updates, reorders features in descending magnitude of their univariate weight changes. This operation is multithreaded and is a linear complexity approximation of the quadratic greedy selection. It allows restricting the selection to top_k features per group with the largest magnitude of univariate weight change, by setting the top_k parameter.
  • top_k [default=0]
    • The number of top features to select in greedy and thrifty feature selector. The value of 0 means using all the features.

Parameters for Tweedie Regression (objective=reg:tweedie)

  • tweedie_variance_power [default=1.5]
    • Parameter that controls the variance of the Tweedie distribution var(y) ~ E(y)^tweedie_variance_power
    • range: (1,2)
    • Set closer to 2 to shift towards a gamma distribution
    • Set closer to 1 to shift towards a Poisson distribution.

Learning Task Parameters

Specify the learning task and the corresponding learning objective. The objective options are below:

  • objective [default=reg:linear]
    • reg:linear: linear regression
    • reg:logistic: logistic regression
    • binary:logistic: logistic regression for binary classification, output probability
    • binary:logitraw: logistic regression for binary classification, output score before logistic transformation
    • binary:hinge: hinge loss for binary classification. This makes predictions of 0 or 1, rather than producing probabilities.
    • count:poisson –poisson regression for count data, output mean of poisson distribution
      • max_delta_step is set to 0.7 by default in poisson regression (used to safeguard optimization)
    • survival:cox: Cox regression for right censored survival time data (negative values are considered right censored). Note that predictions are returned on the hazard ratio scale (i.e., as HR = exp(marginal_prediction) in the proportional hazard function h(t) = h0(t) * HR).
    • multi:softmax: set XGBoost to do multiclass classification using the softmax objective, you also need to set num_class(number of classes)
    • multi:softprob: same as softmax, but output a vector of ndata * nclass, which can be further reshaped to ndata * nclass matrix. The result contains predicted probability of each data point belonging to each class.
    • rank:pairwise: Use LambdaMART to perform pairwise ranking where the pairwise loss is minimized
    • rank:ndcg: Use LambdaMART to perform list-wise ranking where Normalized Discounted Cumulative Gain (NDCG) is maximized
    • rank:map: Use LambdaMART to perform list-wise ranking where Mean Average Precision (MAP) is maximized
    • reg:gamma: gamma regression with log-link. Output is a mean of gamma distribution. It might be useful, e.g., for modeling insurance claims severity, or for any outcome that might be gamma-distributed.
    • reg:tweedie: Tweedie regression with log-link. It might be useful, e.g., for modeling total loss in insurance, or for any outcome that might be Tweedie-distributed.
  • base_score [default=0.5]
    • The initial prediction score of all instances, global bias
    • For sufficient number of iterations, changing this value will not have too much effect.
  • eval_metric [default according to objective]
    • Evaluation metrics for validation data, a default metric will be assigned according to objective (rmse for regression, and error for classification, mean average precision for ranking)
    • User can add multiple evaluation metrics. Python users: remember to pass the metrics in as list of parameters pairs instead of map, so that latter eval_metric won’t override previous one
    • The choices are listed below:
      • rmse: root mean square error
      • mae: mean absolute error
      • logloss: negative log-likelihood
      • error: Binary classification error rate. It is calculated as #(wrong cases)/#(all cases). For the predictions, the evaluation will regard the instances with prediction value larger than 0.5 as positive instances, and the others as negative instances.
      • error@t: a different than 0.5 binary classification threshold value could be specified by providing a numerical value through ‘t’.
      • merror: Multiclass classification error rate. It is calculated as #(wrong cases)/#(all cases).
      • mlogloss: Multiclass logloss.
      • auc: Area under the curve
      • aucpr: Area under the PR curve
      • ndcg: Normalized Discounted Cumulative Gain
      • map: Mean Average Precision
      • ndcg@n, map@n: ‘n’ can be assigned as an integer to cut off the top positions in the lists for evaluation.
      • ndcg-, map-, ndcg@n-, map@n-: In XGBoost, NDCG and MAP will evaluate the score of a list without any positive samples as 1. By adding “-” in the evaluation metric XGBoost will evaluate these score as 0 to be consistent under some conditions.
      • poisson-nloglik: negative log-likelihood for Poisson regression
      • gamma-nloglik: negative log-likelihood for gamma regression
      • cox-nloglik: negative partial log-likelihood for Cox proportional hazards regression
      • gamma-deviance: residual deviance for gamma regression
      • tweedie-nloglik: negative log-likelihood for Tweedie regression (at a specified value of the tweedie_variance_power parameter)
  • seed [default=0]
    • Random number seed.

Command Line Parameters

The following parameters are only used in the console version of XGBoost

  • num_round
    • The number of rounds for boosting
  • data
    • The path of training data
  • test:data
    • The path of test data to do prediction
  • save_period [default=0]
    • The period to save the model. Setting save_period=10 means that for every 10 rounds XGBoost will save the model. Setting it to 0 means not saving any model during the training.
  • task [default= train] options: train, pred, eval, dump
    • train: training using data
    • pred: making prediction for test:data
    • eval: for evaluating statistics specified by eval[name]=filename
    • dump: for dump the learned model into text format
  • model_in [default=NULL]
    • Path to input model, needed for test, eval, dump tasks. If it is specified in training, XGBoost will continue training from the input model.
  • model_out [default=NULL]
    • Path to output model after training finishes. If not specified, XGBoost will output files with such names as 0003.model where 0003 is number of boosting rounds.
  • model_dir [default= models/]
    • The output directory of the saved models during training
  • fmap
    • Feature map, used for dumping model
  • dump_format [default= text] options: text, json
    • Format of model dump file
  • name_dump [default= dump.txt]
    • Name of model dump file
  • name_pred [default= pred.txt]
    • Name of prediction file, used in pred mode
  • pred_margin [default=0]
    • Predict margin instead of transformed probability