generalized_linear_model.py

"""
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?format=libsvm")
)
dtest = xgb.DMatrix(
    os.path.join(CURRENT_DIR, "../data/agaricus.txt.test?format=libsvm")
)
# 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))
    )
)