Demo for GLM

import os
import xgboost as xgb
##
#  this script demonstrate how to fit generalized linear model in xgboost
#  basically, we are using linear model, instead of tree for our boosters
##
CURRENT_DIR = os.path.dirname(__file__)
dtrain = xgb.DMatrix(os.path.join(CURRENT_DIR, '../data/agaricus.txt.train'))
dtest = xgb.DMatrix(os.path.join(CURRENT_DIR, '../data/agaricus.txt.test'))
# change booster to gblinear, so that we are fitting a linear model
# alpha is the L1 regularizer
# lambda is the L2 regularizer
# you can also set lambda_bias which is L2 regularizer on the bias term
param = {'objective':'binary:logistic', 'booster':'gblinear',
         'alpha': 0.0001, 'lambda': 1}

# normally, you do not need to set eta (step_size)
# XGBoost uses a parallel coordinate descent algorithm (shotgun),
# there could be affection on convergence with parallelization on certain cases
# setting eta to be smaller value, e.g 0.5 can make the optimization more stable
# param['eta'] = 1

##
# the rest of settings are the same
##
watchlist = [(dtest, 'eval'), (dtrain, 'train')]
num_round = 4
bst = xgb.train(param, dtrain, num_round, watchlist)
preds = bst.predict(dtest)
labels = dtest.get_label()
print('error=%f' % (sum(1 for i in range(len(preds)) if int(preds[i] > 0.5) != labels[i]) / float(len(preds))))