jaxboost 0.2.0

Next-generation differentiable gradient boosting with JAX

JAX autodiff for XGBoost/LightGBM objectives.

Write a loss function, get gradients and Hessians automatically. No manual derivation needed.

Works with XGBoost and LightGBM.

Install

pip install jaxboost

Quick Start

XGBoost

import xgboost as xgb
import jax.numpy as jnp
from jaxboost import auto_objective, focal_loss, huber, quantile

# Prepare your data
dtrain = xgb.DMatrix(X_train, label=y_train)
params = {"max_depth": 4, "eta": 0.1}

# Built-in objectives - just use them
model = xgb.train(params, dtrain, num_boost_round=100, obj=focal_loss.xgb_objective)
model = xgb.train(params, dtrain, num_boost_round=100, obj=huber.xgb_objective)
model = xgb.train(params, dtrain, num_boost_round=100, obj=quantile(0.9).xgb_objective)

# Custom objective - write the loss, autodiff handles the rest
@auto_objective
def asymmetric_mse(y_pred, y_true, alpha=0.7):
    error = y_true - y_pred
    return jnp.where(error > 0, alpha * error**2, (1 - alpha) * error**2)

model = xgb.train(params, dtrain, num_boost_round=100, obj=asymmetric_mse.xgb_objective)

LightGBM

import lightgbm as lgb
from jaxboost import huber

train_data = lgb.Dataset(X_train, label=y_train)
params = {"max_depth": 4, "learning_rate": 0.1}

model = lgb.train(params, train_data, num_boost_round=100, fobj=huber.lgb_objective)

Available Objectives

Regression

Objective	Description
mse	Mean squared error
huber	Huber loss (robust to outliers)
pseudo_huber	Smooth approximation of Huber loss
log_cosh	Log-cosh loss
mae_smooth	Smooth approximation of MAE
quantile(q)	Quantile regression
asymmetric(alpha)	Asymmetric squared error
tweedie(p)	Tweedie deviance

Binary Classification

Objective	Description
focal_loss	Focal loss for imbalanced data
binary_crossentropy	Standard log loss
weighted_binary_crossentropy	Weighted binary cross-entropy
hinge_loss	SVM-style hinge loss

Multi-class Classification

Objective	Description
softmax_cross_entropy	Standard multi-class
focal_multiclass	Focal loss for multi-class
label_smoothing(eps)	Label smoothing regularization
class_balanced	Class-balanced loss

Survival Analysis

Objective	Description
aft	Accelerated failure time (log-normal)
weibull_aft	Weibull AFT model

Multi-task Learning

Objective	Description
multi_task_regression	Multiple regression targets
multi_task_classification	Multiple classification targets
multi_task_huber	Multi-task Huber loss
multi_task_quantile	Multi-task quantile loss
MaskedMultiTaskObjective	Handle missing labels

Uncertainty Estimation

Objective	Description
gaussian_nll	Predict mean + variance
laplace_nll	Predict median + scale

Custom Objectives

The @auto_objective decorator turns any loss function into an XGBoost/LightGBM objective:

import xgboost as xgb
import lightgbm as lgb
import jax.numpy as jnp
from jaxboost import auto_objective

@auto_objective
def my_custom_loss(y_pred, y_true, **kwargs):
    # Write your loss here - JAX computes grad/hess automatically
    return (y_pred - y_true) ** 2

# Use with XGBoost
dtrain = xgb.DMatrix(X_train, label=y_train)
params = {"max_depth": 4, "eta": 0.1}
model = xgb.train(params, dtrain, num_boost_round=100, obj=my_custom_loss.xgb_objective)

# Use with LightGBM
train_data = lgb.Dataset(X_train, label=y_train)
params = {"max_depth": 4, "learning_rate": 0.1}
model = lgb.train(params, train_data, num_boost_round=100, fobj=my_custom_loss.lgb_objective)

# Pass parameters
model = xgb.train(
    params, dtrain, num_boost_round=100,
    obj=my_custom_loss.get_xgb_objective(alpha=0.5)
)

Multi-class Example

import xgboost as xgb
import jax
import jax.numpy as jnp
from jaxboost import multiclass_objective

@multiclass_objective(num_classes=3)
def custom_multiclass(logits, label):
    # logits: (num_classes,), label: scalar
    probs = jax.nn.softmax(logits)
    return -jnp.log(probs[label] + 1e-7)

dtrain = xgb.DMatrix(X_train, label=y_train)
model = xgb.train(
    {"num_class": 3, "max_depth": 4, "eta": 0.1},
    dtrain,
    num_boost_round=100,
    obj=custom_multiclass.xgb_objective
)

Why jaxboost?

Traditional Approach	jaxboost
Derive gradients by hand	Write loss, get gradients free
Derive Hessians by hand	Write loss, get Hessians free
Error-prone math	JAX autodiff is correct by construction
One loss = hours of work	One loss = 5 lines of code

Requirements

• Python >= 3.10
• JAX >= 0.4.20

Documentation

Full documentation available at: https://jxucoder.github.io/jaxboost/

License

Apache 2.0