Intercept

Added in version 2.0.0.

Since 2.0.0, XGBoost supports estimating the model intercept (named base_score) automatically based on targets upon training. The behavior can be controlled by setting base_score to a constant value. The following snippet disables the automatic estimation:

import xgboost as xgb

reg = xgb.XGBRegressor()
reg.set_params(base_score=0.5)

In addition, here 0.5 represents the value after applying the inverse link function. See the end of the document for a description.

Other than the base_score, users can also provide global bias via the data field base_margin, which is a vector or a matrix depending on the task. With multi-output and multi-class, the base_margin is a matrix with size (n_samples, n_targets) or (n_samples, n_classes).

import xgboost as xgb
from sklearn.datasets import make_regression

X, y = make_regression()

reg = xgb.XGBRegressor()
reg.fit(X, y)
# Request for raw prediction
m = reg.predict(X, output_margin=True)

reg_1 = xgb.XGBRegressor()
# Feed the prediction into the next model
reg_1.fit(X, y, base_margin=m)
reg_1.predict(X, base_margin=m)

It specifies the bias for each sample and can be used for stacking an XGBoost model on top of other models, see Demo for boosting from prediction for a worked example. When base_margin is specified, it automatically overrides the base_score parameter. If you are stacking XGBoost models, then the usage should be relatively straightforward, with the previous model providing raw prediction and a new model using the prediction as bias. For more customized inputs, users need to take extra care of the link function. Let \(F\) be the model and \(g\) be the link function, since base_score is overridden when sample-specific base_margin is available, we will omit it here:

\[g(E[y_i]) = F(x_i)\]

When base margin \(b\) is provided, it’s added to the raw model output \(F\):

\[g(E[y_i]) = F(x_i) + b_i\]

and the output of the final model is:

\[g^{-1}(F(x_i) + b_i)\]

Using the gamma deviance objective reg:gamma as an example, which has a log link function, hence:

\[\begin{split}\ln{(E[y_i])} = F(x_i) + b_i \\ E[y_i] = \exp{(F(x_i) + b_i)}\end{split}\]

As a result, if you are feeding outputs from models like GLM with a corresponding objective function, make sure the outputs are not yet transformed by the inverse link (activation).

In the case of base_score (intercept), it can be accessed through save_config() after estimation. Unlike the base_margin, the returned value represents a value after applying inverse link. With logistic regression and the logit link function as an example, given the base_score as 0.5, \(g(intercept) = logit(0.5) = 0\) is added to the raw model output:

\[E[y_i] = g^{-1}{(F(x_i) + g(intercept))}\]

and 0.5 is the same as \(base\_score = g^{-1}(0) = 0.5\). This is more intuitive if you remove the model and consider only the intercept, which is estimated before the model is fitted:

\[\begin{split}E[y] = g^{-1}{(g(intercept))} \\ E[y] = intercept\end{split}\]

For some objectives like MAE, there are close solutions, while for others it’s estimated with one step Newton method.