KTBoost 0.0.12

Implements several boosting algorithms in Python

KTBoost - A Python Package for Boosting

This Python package implements several boosting algorithms with different combinations of base learners, optimization algorithms, and loss functions.

Description

Concerning base learners, KTboost includes:

• Trees
• Kernel Ridge regression (a.k.a. penalized reproducing kernel Hilbert space (RKHS) regression or (the mean of) Gaussian process regression)
• A combination of the two (i.e., the KTBoost algorithm)

Concerning the optimization step for finding the boosting updates, the package supports:

• Gradient descent
• Newton-Rahson method (if applicable)
• A hybrid version of the two for trees as base learners

The package implements the following loss functions:

• Continuous data ("regression"): quadratic loss (L2 loss), absolute error (L1 loss), Huber loss, quantile regression loss, Gamma regression loss, negative Gaussian log-likelihood with both the mean and the standard deviation as functions of features
• Count data ("regression"): Poisson regression loss
• (Unorderd) Categorical data ("classification"): logistic regression loss (log loss), exponential loss, cross entropy loss with softmax
• Mixed continuous-categorical data ("censored regression"): negative Tobit likelihood (i.e., the Grabit model)

Installation

It can be installed using

pip install -U KTBoost

and then loaded using

import KTBoost.KTBoost as KTBoost

Usage and examples

The package re-uses code from scikit-learn and its workflow is very similar to that of scikit-learn.

The two main classes are KTBoost.BoostingClassifier and KTBoost.BoostingRegressor.

The following code example defines models, trains them, and makes predictions.

import KTBoost.KTBoost as KTBoost

################################################
## Define model (see below for more examples) ##
################################################
## Standard tree boosting for regression with quadratic loss and hybrid gradient-Newton updates as in Friedman (2001)
model = KTBoost.BoostingRegressor(loss='ls')

##################
## Train models ##
##################
model.fit(Xtrain,ytrain)

######################
## Make predictions ##
######################
model.predict(Xpred)

#############################
## More examples of models ##
#############################
## Boosted Tobit model, i.e. Grabit model (Sigrist and Hirnschall, 2017), 
## with lower and upper limits at 0 and 100
model = KTBoost.BoostingRegressor(loss='tobit',yl=0,yu=100)
## KTBoost algorithm (combined kernel and tree boosting) for classification with Newton updates
model = KTBoost.BoostingClassifier(loss='deviance',base_learner='combined',
                                    update_step='newton',theta=1)
## Gradient boosting for classification with trees as base learners
model = KTBoost.BoostingClassifier(loss='deviance',update_step='gradient')
## Newton boosting for classification model with trees as base learners
model = KTBoost.BoostingClassifier(loss='deviance',update_step='newton')
## Hybrid gradient-Newton boosting (Friedman, 2001) for classification with 
## trees as base learners (this is the version that scikit-learn implements)
model = KTBoost.BoostingClassifier(loss='deviance',update_step='hybrid')
## Kernel boosting for regression with quadratic loss
model = KTBoost.BoostingRegressor(loss='ls',base_learner='kernel',theta=1)
## Kernel boosting with the Nystroem method and the range parameter theta chosen 
## as the average distance to the 100-nearest neighbors (of the Nystroem samples)
model = KTBoost.BoostingRegressor(loss='ls',base_learner='kernel',nystroem=True,
                                  n_components=1000,theta=None,n_neighbors=100)
## Regression model where both the mean and the standard deviation depend 
## on the covariates / features
model = KTBoost.BoostingRegressor(loss='msr')

Author

Fabio Sigrist

References

• Friedman, J., Hastie, T., & Tibshirani, R. (2000). Additive logistic regression: a statistical view of boosting. The annals of statistics, 28(2), 337-407.
• Friedman, J. H. (2001). Greedy function approximation: a gradient boosting machine. Annals of statistics, 1189-1232.
• Sigrist, F. (2018). Gradient and Newton Boosting for Classification and Regression. arXiv preprint arXiv:1808.03064.
• Sigrist, F., & Hirnschall, C. (2017). Grabit: Gradient Tree Boosted Tobit Models for Default Prediction. arXiv preprint arXiv:1711.08695.