Only column names are supported for xgb.DMatrix, thus setting of
row names would have no effect and returned row names would be NULL.
Details
Generic dimnames() methods are used by colnames().
Since row names are irrelevant, it is recommended to use colnames() directly.
Examples
data(agaricus.train, package = "xgboost")
train <- agaricus.train
dtrain <- xgb.DMatrix(train$data, label = train$label, nthread = 2)
dimnames(dtrain)
colnames(dtrain)
colnames(dtrain) <- make.names(1:ncol(train$data))
print(dtrain, verbose = TRUE)