Demo for using feature weight to change column sampling

Added in version 1.3.0.

import argparse

import numpy as np
from matplotlib import pyplot as plt

import xgboost


def main(args: argparse.Namespace) -> None:
    rng = np.random.RandomState(1994)

    kRows = 4196
    kCols = 10

    X = rng.randn(kRows, kCols)
    y = rng.randn(kRows)
    fw = np.ones(shape=(kCols,))
    for i in range(kCols):
        fw[i] *= float(i)

    dtrain = xgboost.DMatrix(X, y)
    dtrain.set_info(feature_weights=fw)

    # Perform column sampling for each node split evaluation, the sampling process is
    # weighted by feature weights.
    bst = xgboost.train(
        {"tree_method": "hist", "colsample_bynode": 0.2},
        dtrain,
        num_boost_round=10,
        evals=[(dtrain, "d")],
    )
    feature_map = bst.get_fscore()

    # feature zero has 0 weight
    assert feature_map.get("f0", None) is None
    assert max(feature_map.values()) == feature_map.get("f9")

    if args.plot:
        xgboost.plot_importance(bst)
        plt.show()


if __name__ == "__main__":
    parser = argparse.ArgumentParser()
    parser.add_argument(
        "--plot",
        type=int,
        default=1,
        help="Set to 0 to disable plotting the evaluation history.",
    )
    args = parser.parse_args()
    main(args)