In my last post I discussed using coefplot on 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) %>% 
packageDF <- tibble::data_frame(Package=c(packages, packagesColon), Version=versions) %>% 
Package Version
caret 6.0.78
coefplot 1.2.6
dplyr 0.7.4
DT 0.2
knitr 1.18
magrittr 1.5
purrr 0.2.4
tibble 1.4.2
useful 1.2.3
xgboost 0.6.4

Then, we read the data. The data are available at with the CSV version at We also get validation data which is helpful when fitting xgboost mdoels.

manTrain <- readRDS(url(''))
manVal <- readRDS(url(''))

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',
              extensions=c('FixedHeader', 'Scroller'),

While glmnet automatically standardizes the input data, xgboost does not, so we calculate that manually. We use preprocess from 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 matrix and vector we need a formula. This could be built programmatically, but we can just build it ourselves. The response is TotalValue.

valueFormula <- TotalValue ~ FireService + ZoneDist1 + ZoneDist2 +
    Class + LandUse + OwnerType + LotArea + BldgArea + ComArea + ResArea +
    OfficeArea + RetailArea + NumBldgs + NumFloors + UnitsRes + UnitsTotal + 
    LotDepth + LotFront + BldgFront + LotType + HistoricDistrict + Built + 
manX <- useful::build.x(valueFormula, data=predict(preProc, manTrain),
                        # do not drop the baselines of factors
                        # use a sparse matrix

manY <- useful::build.y(valueFormula, data=manTrain)

manX_val <- useful::build.x(valueFormula, data=predict(preProc, manVal),
                        # do not drop the baselines of factors
                        # use a sparse matrix

manY_val <- useful::build.y(valueFormula, data=manVal)

There are two functions we can use to fit xgboost models, the eponymous xgboost and 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 booster='gblinear' and objective='reg:linear'.

mod1 <- xgb.train(
    # the X and Y training data
    # use a linear model
    # minimize the a regression criterion 
    # use MAE as a measure of quality
    # boost for up to 500 rounds
    # 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
    # if the validate eval_metric hasn't improved by this many rounds, stop early
    # 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
    # randomly sample rows
    # randomly sample columns
    # set the learning rate for gradient descent
## [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.
## [11] train-mae:938069.937500 validate-mae:1257632.000000 
## [21] train-mae:932016.625000 validate-mae:1113554.625000 
## [31] train-mae:931483.500000 validate-mae:1062618.250000 
## [41] train-mae:931146.750000 validate-mae:1054833.625000 
## [51] train-mae:930707.312500 validate-mae:1062881.375000 
## [61] train-mae:930137.375000 validate-mae:1077038.875000 
## Stopping. Best iteration:
## [41] 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 dygraphs.


We can now plot the coefficients using coefplot. Since 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 xgboost.

I’m speaking in a few places over the next few weeks, so rather than just giving people a day’s notice I figured I should lay it out a bit. Right now I have three public talks lined up with a few more about to solidify. Soon I will update this map to have past talks too.

Talk Event City Date
Modeling and Machine Learning in R ODSC San Francisco 2017-03-01
Scraping and Analyzing NFL Data Sloan Sports Analytics Conference Boston 2017-03-03
Fun with R New York R Conference New York 2017-04-21

Ohio State Buckeyes defensive lineman Joey Bosa

Been a busy few weeks with the New York R Conference, speaking engagements, writing the second edition of R for Everyone and coding open source packages.  The most exciting news involves the news as the Wall Street Journal wrote an article about my NFL Draft work.

It is a great piece with some nice quotes from the Vikings General Manager Rick Spielman and ESPN’s legendary John Clayton that succinctly sums up the work I did and runs the numbers on a few select players.

So now I’ve been in the news for pizza, the lottery and football.  Fun mix.