Tree boosting is a highly effective and widely used machine learning method. In this paper, we describe a scalable end-to-end tree boosting system called XGBoost, which is used widely by data scientists to achieve state-of-the-art results on many machine learning challenges. We propose a novel sparsity-aware algorithm for sparse data and weighted quantile sketch for approximate tree learning. More importantly, we provide insights on cache access patterns, data compression and sharding to build a scalable tree boosting system. By combining these insights, XGBoost scales beyond billions of examples using far fewer resources than existing systems.

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XGBoost: A Scalable Tree Boosting System

/pdf/convex-analysisnoer-san-nojin-zhan-nituite-5dl2rbmoyr.pdf

Convex Analysisの二,三の進展について

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Modern Applied Statistics With S

Gradient Boosting Decision Tree (GBDT) is a popular machine learning algorithm, and has quite a few effective implementations such as XGBoost and pGBRT. Although many engineering optimizations have been adopted in these implementations, the efficiency and scalability are still unsatisfactory when the feature dimension is high and data size is large. A major reason is that for each feature, they need to scan all the data instances to estimate the information gain of all possible split points, which is very time consuming. To tackle this problem, we propose two novel techniques: Gradient-based One-Side Sampling (GOSS) and Exclusive Feature Bundling (EFB). With GOSS, we exclude a significant proportion of data instances with small gradients, and only use the rest to estimate the information gain. We prove that, since the data instances with larger gradients play a more important role in the computation of information gain, GOSS can obtain quite accurate estimation of the information gain with a much smaller data size. With EFB, we bundle mutually exclusive features (i.e., they rarely take nonzero values simultaneously), to reduce the number of features. We prove that finding the optimal bundling of exclusive features is NP-hard, but a greedy algorithm can achieve quite good approximation ratio (and thus can effectively reduce the number of features without hurting the accuracy of split point determination by much). We call our new GBDT implementation with GOSS and EFB LightGBM. Our experiments on multiple public datasets show that, LightGBM speeds up the training process of conventional GBDT by up to over 20 times while achieving almost the same accuracy.

/pdf/lightgbm-a-highly-efficient-gradient-boosting-decision-tree-f835dtmi7b.pdf

LightGBM: a highly efficient gradient boosting decision tree

There has been considerable interest in random projections, an approximate algorithm for estimating distances between pairs of points in a high-dimensional vector space. Let A in Rn x D be our n points in D dimensions. The method multiplies A by a random matrix R in RD x k, reducing the D dimensions down to just k for speeding up the computation. R typically consists of entries of standard normal N(0,1). It is well known that random projections preserve pairwise distances (in the expectation). Achlioptas proposed sparse random projections by replacing the N(0,1) entries in R with entries in -1,0,1 with probabilities 1/6, 2/3, 1/6, achieving a threefold speedup in processing time.We recommend using R of entries in -1,0,1 with probabilities 1/2√D, 1-1√D, 1/2√D for achieving a significant √D-fold speedup, with little loss in accuracy.

/pdf/very-sparse-random-projections-omb9acpovm.pdf

Very sparse random projections

We cast the ranking problem as (1) multiple classification ("Mc") (2) multiple ordinal classification, which lead to computationally tractable learning algorithms for relevance ranking in Web search. We consider the DCG criterion (discounted cumulative gain), a standard quality measure in information retrieval. Our approach is motivated by the fact that perfect classifications result in perfect DCG scores and the DCG errors are bounded by classification errors. We propose using the Expected Relevance to convert class probabilities into ranking scores. The class probabilities are learned using a gradient boosting tree algorithm. Evaluations on large-scale datasets show that our approach can improve LambdaRank [5] and the regressions-based ranker [6], in terms of the (normalized) DCG scores. An efficient implementation of the boosting tree algorithm is also presented.

/pdf/mcrank-learning-to-rank-using-multiple-classification-and-2lgaotlw2p.pdf

McRank: Learning to Rank Using Multiple Classification and Gradient Boosting

We present the first provably sublinear time algorithm for approximate \emph{Maximum Inner Product Search} (MIPS). Our proposal is also the first hashing algorithm for searching with (un-normalized) inner product as the underlying similarity measure. Finding hashing schemes for MIPS was considered hard. We formally show that the existing Locality Sensitive Hashing (LSH) framework is insufficient for solving MIPS, and then we extend the existing LSH framework to allow asymmetric hashing schemes. Our proposal is based on an interesting mathematical phenomenon in which inner products, after independent asymmetric transformations, can be converted into the problem of approximate near neighbor search. This key observation makes efficient sublinear hashing scheme for MIPS possible. In the extended asymmetric LSH (ALSH) framework, we provide an explicit construction of provably fast hashing scheme for MIPS. The proposed construction and the extended LSH framework could be of independent theoretical interest. Our proposed algorithm is simple and easy to implement. We evaluate the method, for retrieving inner products, in the collaborative filtering task of item recommendations on Netflix and Movielens datasets.

Asymmetric LSH (ALSH) for Sublinear Time Maximum Inner Product Search (MIPS)

We present the first provably sublinear time hashing algorithm for approximate Maximum Inner Product Search (MIPS). Searching with (un-normalized) inner product as the underlying similarity measure is a known difficult problem and finding hashing schemes for MIPS was considered hard. While the existing Locality Sensitive Hashing (LSH) framework is insufficient for solving MIPS, in this paper we extend the LSH framework to allow asymmetric hashing schemes. Our proposal is based on a key observation that the problem of finding maximum inner products, after independent asymmetric transformations, can be converted into the problem of approximate near neighbor search in classical settings. This key observation makes efficient sublinear hashing scheme for MIPS possible. Under the extended asymmetric LSH (ALSH) framework, this paper provides an example of explicit construction of provably fast hashing scheme for MIPS. Our proposed algorithm is simple and easy to implement. The proposed hashing scheme leads to significant computational savings over the two popular conventional LSH schemes: (i) Sign Random Projection (SRP) and (ii) hashing based on p-stable distributions for L2 norm (L2LSH), in the collaborative filtering task of item recommendations on Netflix and Movielens (10M) datasets.

/pdf/asymmetric-lsh-alsh-for-sublinear-time-maximum-inner-product-235p3bdzmf.pdf

This paper establishes the theoretical framework of b-bit minwise hashing. The original minwise hashing method has become a standard technique for estimating set similarity (e.g., resemblance) with applications in information retrieval, data management, computational advertising, etc.By only storing b bits of each hashed value (e.g., b=1 or 2), we gain substantial advantages in terms of storage space. We prove the basic theoretical results and provide an unbiased estimator of the resemblance for any b. We demonstrate that, even in the least favorable scenario, using b=1 may reduce the storage space at least by a factor of 21.3 (or 10.7) compared to b=64 (or b=32), if one is interested in resemblance >0.5.

/pdf/b-bit-minwise-hashing-49k1ozly6u.pdf

Ping Li

Papers

Very sparse random projections

McRank: Learning to Rank Using Multiple Classification and Gradient Boosting

Asymmetric LSH (ALSH) for Sublinear Time Maximum Inner Product Search (MIPS)

Asymmetric LSH (ALSH) for Sublinear Time Maximum Inner Product Search (MIPS)

b-Bit minwise hashing