XGBoost Tree Methods

For training boosted tree models, there are 2 parameters used for choosing algorithms, namely updater and tree_method. XGBoost has 4 builtin tree methods, namely exact, approx, hist and gpu_hist. Along with these tree methods, there are also some free standing updaters including grow_local_histmaker, refresh, prune and sync. The parameter updater is more primitive than tree_method as the latter is just a pre-configuration of the former. The difference is mostly due to historical reasons that each updater requires some specific configurations and might has missing features. As we are moving forward, the gap between them is becoming more and more irrevelant. We will collectively document them under tree methods.

Exact Solution

Exact means XGBoost considers all candidates from data for tree splitting, but underlying the objective is still interpreted as a Taylor expansion.

  1. exact: Vanilla tree boosting tree algorithm described in reference paper. During each split finding procedure, it iterates over every entry of input data. It’s more accurate (among other greedy methods) but slow in computation performance. Also it doesn’t support distributed training as XGBoost employs row spliting data distribution while exact tree method works on a sorted column format. This tree method can be used with parameter tree_method set to exact.

Approximated Solutions

As exact tree method is slow in performance and not scalable, we often employ approximated training algorithms. These algorithms build a gradient histogram for each node and iterate through the histogram instead of real dataset. Here we introduce the implementations in XGBoost below.

  1. grow_local_histmaker updater: An approximation tree method described in reference paper. This updater is rarely used in practice so it’s still an updater rather than tree method. During split finding, it first runs a weighted GK sketching for data points belong to current node to find split candidates, using hessian as weights. The histogram is built upon this per-node sketch. It’s faster than exact in some applications, but still slow in computation.

  2. approx tree method: An approximation tree method described in reference paper. Different from grow_local_histmaker, it runs sketching before building each tree using all the rows (rows belonging to the root) instead of per-node dataset. Similar to grow_local_histmaker updater, hessian is used as weights during sketch. The algorithm can be accessed by setting tree_method to approx.

  3. hist tree method: An approximation tree method used in LightGBM with slight differences in implementation. It runs sketching before training using only user provided weights instead of hessian. The subsequent per-node histogram is built upon this global sketch. This is the fastest algorithm as it runs sketching only once. The algorithm can be accessed by setting tree_method to hist.

  4. gpu_hist tree method: The gpu_hist tree method is a GPU implementation of hist, with additional support for gradient based sampling. The algorithm can be accessed by setting tree_method to gpu_hist.

Implications

Some objectives like reg:squarederror have constant hessian. In this case, hist or gpu_hist should be preferred as weighted sketching doesn’t make sense with constant weights. When using non-constant hessian objectives, sometimes approx yields better accuracy, but with slower computation performance. Most of the time using (gpu)_hist with higher max_bin can achieve similar or even superior accuracy while maintaining good performance. However, as xgboost is largely driven by community effort, the actual implementations have some differences than pure math description. Result might have slight differences than expectation, which we are currently trying to overcome.

Other Updaters

  1. Pruner: It prunes the built tree by gamma parameter. pruner is usually used as part of other tree methods.

  2. Refresh: Refresh the statistic of built trees on a new training dataset.

  3. Sync: Synchronize the tree among workers when running distributed training.

Removed Updaters

2 Updaters were removed during development due to maintainability. We describe them here solely for the interest of documentation. First one is distributed colmaker, which was a distributed version of exact tree method. It required specialization for column based splitting strategy and a different prediction procedure. As the exact tree method is slow by itself and scaling is even less efficient, we removed it entirely. Second one is skmaker. Per-node weighted sketching employed by grow_local_histmaker is slow, the skmaker was unmaintained and seems to be a workaround trying to eliminate the histogram creation step and uses sketching values directly during split evaluation. It was never tested and contained some unknown bugs, we decided to remove it and focus our resources on more promising algorithms instead. For accuracy, most of the time approx, hist and gpu_hist are enough with some parameters tuning, so removing them don’t have any real practical impact.