In my last post I discussed using
glmnet models and in particular discussed a brand new function,
coefpath, that uses
dygraphs to make an interactive visualization of the coefficient path.
Another new capability for version 1.2.5 of
coefplot is the ability to show coefficient plots from
xgboost models. Beyond fitting boosted trees and boosted forests,
xgboost can also fit a boosted Elastic Net. This makes it a nice alternative to
glmnet even though it might not have some of the same user niceties.
To illustrate, we use the same data as our previous post.
First, we load the packages we need and note the version numbers.
# list the packages that we load # alphabetically for reproducibility packages <- c('caret', 'coefplot', 'DT', 'xgboost') # call library on each package purrr::walk(packages, library, character.only=TRUE) # some packages we will reference without actually loading # they are listed here for complete documentation packagesColon <- c('dplyr', 'dygraphs', 'knitr', 'magrittr', 'purrr', 'tibble', 'useful')
versions <- c(packages, packagesColon) %>% purrr::map(packageVersion) %>% purrr::map_chr(as.character) packageDF <- tibble::data_frame(Package=c(packages, packagesColon), Version=versions) %>% dplyr::arrange(Package) knitr::kable(packageDF)
Then, we read the data. The data are available at https://www.jaredlander.com/data/manhattan_Train.rds with the CSV version at data.world. We also get validation data which is helpful when fitting
manTrain <- readRDS(url('https://www.jaredlander.com/data/manhattan_Train.rds')) manVal <- readRDS(url('https://www.jaredlander.com/data/manhattan_Validate.rds'))
The data are about New York City land value and have many columns. A sample of the data follows. There’s an odd bug where you have to click on one of the column names for the data to display the actual data.
datatable(manTrain %>% dplyr::sample_n(size=1000), elementId='TrainingSampled', rownames=FALSE, extensions=c('FixedHeader', 'Scroller'), options=list( scroller=TRUE ))
glmnet automatically standardizes the input data,
xgboost does not, so we calculate that manually. We use
caret to compute the mean and standard deviation of each numeric column then use these later.
preProc <- preProcess(manTrain, method=c('center', 'scale'))
Just like with
glmnet, we need to convert our
tbl into an X (predictor)
matrix and a Y (response)
vector. Since we don’t have to worry about multicolinearity with
xgboost we do not want to drop the baselines of
factors. We also take advantage of sparse matrices since that reduces memory usage and compute, even though this dataset is not that large.
In order to build the
vector we need a
formula. This could be built programmatically, but we can just build it ourselves. The response is
valueFormula <- TotalValue ~ FireService + ZoneDist1 + ZoneDist2 + Class + LandUse + OwnerType + LotArea + BldgArea + ComArea + ResArea + OfficeArea + RetailArea + NumBldgs + NumFloors + UnitsRes + UnitsTotal + LotDepth + LotFront + BldgFront + LotType + HistoricDistrict + Built + Landmark
manX <- useful::build.x(valueFormula, data=predict(preProc, manTrain), # do not drop the baselines of factors contrasts=FALSE, # use a sparse matrix sparse=TRUE) manY <- useful::build.y(valueFormula, data=manTrain) manX_val <- useful::build.x(valueFormula, data=predict(preProc, manVal), # do not drop the baselines of factors contrasts=FALSE, # use a sparse matrix sparse=TRUE) manY_val <- useful::build.y(valueFormula, data=manVal)
There are two functions we can use to fit
xgboost models, the eponymous
xgb.train. When using
xgb.train we first store our X and Y matrices in a special
xgb.DMatrix object. This is not a necessary step, but makes things a bit cleaner.
manXG <- xgb.DMatrix(data=manX, label=manY) manXG_val <- xgb.DMatrix(data=manX_val, label=manY_val)
We are now ready to fit a model. All we need to do to fit a linear model instead of a tree is set
mod1 <- xgb.train( # the X and Y training data data=manXG, # use a linear model booster='gblinear', # minimize the a regression criterion objective='reg:linear', # use MAE as a measure of quality eval_metric=c('mae'), # boost for up to 500 rounds nrounds=500, # print out the eval_metric for both the train and validation data watchlist=list(train=manXG, validate=manXG_val), # print eval_metric every 10 rounds print_every_n=10, # if the validate eval_metric hasn't improved by this many rounds, stop early early_stopping_rounds=25, # penalty terms for the L2 portion of the Elastic Net lambda=10, lambda_bias=10, # penalty term for the L1 portion of the Elastic Net alpha=900000000, # randomly sample rows subsample=0.8, # randomly sample columns col_subsample=0.7, # set the learning rate for gradient descent eta=0.1 )
##  train-mae:1190145.875000 validate-mae:1433464.750000 ## Multiple eval metrics are present. Will use validate_mae for early stopping. ## Will train until validate_mae hasn't improved in 25 rounds. ## ##  train-mae:938069.937500 validate-mae:1257632.000000 ##  train-mae:932016.625000 validate-mae:1113554.625000 ##  train-mae:931483.500000 validate-mae:1062618.250000 ##  train-mae:931146.750000 validate-mae:1054833.625000 ##  train-mae:930707.312500 validate-mae:1062881.375000 ##  train-mae:930137.375000 validate-mae:1077038.875000 ## Stopping. Best iteration: ##  train-mae:931146.750000 validate-mae:1054833.625000
The best fit was arrived at after 41 rounds. We can see how the model did on the train and validate sets using
We can now plot the coefficients using
xgboost does not save column names, we specify it with
feature_names=colnames(manX). Unlike with
glmnet models, there is only one penalty so we do not need to specify a specific penalty to plot.
coefplot(mod1, feature_names=colnames(manX), sort='magnitude')
This is another nice addition to
coefplot utilizing the power of
Jared Lander is the Chief Data Scientist of Lander Analytics a New York data science firm, Adjunct Professor at Columbia University, Organizer of the New York Open Statistical Programming meetup and the New York and Washington DC R Conferences and author of R for Everyone.
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