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Saturday, 9 March 2019

Advantages of XGBoost Algorithm in Machine Learning

XGBoost is an efficient and easy to use algorithm which delivers high performance and accuracy as compared to other algorithms. XGBoost is also known as regularized version of GBM. Let see some of the advantages of XGBoost algorithm:

1. Regularization: XGBoost has in-built L1 (Lasso Regression) and L2 (Ridge Regression) regularization which prevents the model from overfitting. That is why, XGBoost is also called regularized form of GBM (Gradient Boosting Machine).

While using Scikit Learn libarary, we pass two hyper-parameters (alpha and lambda) to XGBoost related to regularization. alpha is used for L1 regularization and lambda is used for L2 regularization.

2. Parallel Processing: XGBoost utilizes the power of parallel processing and that is why it is much faster than GBM. It uses multiple CPU cores to execute the model.

While using Scikit Learn libarary, nthread hyper-parameter is used for parallel processing. nthread represents number of CPU cores to be used. If you want to use all the available cores, don't mention any value for nthread and the algorithm will detect automatically.

3. Handling Missing Values: XGBoost has an in-built capability to handle missing values. When XGBoost encounters a missing value at a node, it tries both the left and right hand split and learns the way leading to higher loss for each node. It then does the same when working on the testing data.

4. Cross Validation: XGBoost allows user to run a cross-validation at each iteration of the boosting process and thus it is easy to get the exact optimum number of boosting iterations in a single run. This is unlike GBM where we have to run a grid-search and only a limited values can be tested.

5. Effective Tree Pruning: A GBM would stop splitting a node when it encounters a negative loss in the split. Thus it is more of a greedy algorithm. XGBoost on the other hand make splits upto the max_depth specified and then start pruning the tree backwards and remove splits beyond which there is no positive gain.

For example: There may be a situation where split of negative loss say -4 may be followed by a split of positive loss +13. GBM would stop as it encounters -4. But XGBoost will go deeper and it will see a combined effect of +9 of the split and keep both.

Related: Difference between GBM and XGBoost

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