cb.gblinear.history.Rd

% Generated by roxygen2: do not edit by hand
% Please edit documentation in R/callbacks.R
\name{cb.gblinear.history}
\alias{cb.gblinear.history}
\title{Callback closure for collecting the model coefficients history of a gblinear booster
during its training.}
\usage{
cb.gblinear.history(sparse = FALSE)
}
\arguments{
\item{sparse}{when set to FALSE/TRUE, a dense/sparse matrix is used to store the result.
Sparse format is useful when one expects only a subset of coefficients to be non-zero,
when using the "thrifty" feature selector with fairly small number of top features
selected per iteration.}
}
\value{
Results are stored in the \code{coefs} element of the closure.
The \code{\link{xgb.gblinear.history}} convenience function provides an easy
way to access it.
With \code{xgb.train}, it is either a dense of a sparse matrix.
While with \code{xgb.cv}, it is a list (an element per each fold) of such
matrices.
}
\description{
Callback closure for collecting the model coefficients history of a gblinear booster
during its training.
}
\details{
To keep things fast and simple, gblinear booster does not internally store the history of linear
model coefficients at each boosting iteration. This callback provides a workaround for storing
the coefficients' path, by extracting them after each training iteration.

Callback function expects the following values to be set in its calling frame:
\code{bst} (or \code{bst_folds}).
}
\examples{
#### Binary classification:
#
# In the iris dataset, it is hard to linearly separate Versicolor class from the rest
# without considering the 2nd order interactions:
x <- model.matrix(Species ~ .^2, iris)[,-1]
colnames(x)
dtrain <- xgb.DMatrix(scale(x), label = 1*(iris$Species == "versicolor"), nthread = 2)
param <- list(booster = "gblinear", objective = "reg:logistic", eval_metric = "auc",
              lambda = 0.0003, alpha = 0.0003, nthread = 2)
# For 'shotgun', which is a default linear updater, using high eta values may result in
# unstable behaviour in some datasets. With this simple dataset, however, the high learning
# rate does not break the convergence, but allows us to illustrate the typical pattern of
# "stochastic explosion" behaviour of this lock-free algorithm at early boosting iterations.
bst <- xgb.train(param, dtrain, list(tr=dtrain), nrounds = 200, eta = 1.,
                 callbacks = list(cb.gblinear.history()))
# Extract the coefficients' path and plot them vs boosting iteration number:
coef_path <- xgb.gblinear.history(bst)
matplot(coef_path, type = 'l')

# With the deterministic coordinate descent updater, it is safer to use higher learning rates.
# Will try the classical componentwise boosting which selects a single best feature per round:
bst <- xgb.train(param, dtrain, list(tr=dtrain), nrounds = 200, eta = 0.8,
                 updater = 'coord_descent', feature_selector = 'thrifty', top_k = 1,
                 callbacks = list(cb.gblinear.history()))
matplot(xgb.gblinear.history(bst), type = 'l')
#  Componentwise boosting is known to have similar effect to Lasso regularization.
# Try experimenting with various values of top_k, eta, nrounds,
# as well as different feature_selectors.

# For xgb.cv:
bst <- xgb.cv(param, dtrain, nfold = 5, nrounds = 100, eta = 0.8,
              callbacks = list(cb.gblinear.history()))
# coefficients in the CV fold #3
matplot(xgb.gblinear.history(bst)[[3]], type = 'l')


#### Multiclass classification:
#
dtrain <- xgb.DMatrix(scale(x), label = as.numeric(iris$Species) - 1, nthread = 2)
param <- list(booster = "gblinear", objective = "multi:softprob", num_class = 3,
              lambda = 0.0003, alpha = 0.0003, nthread = 2)
# For the default linear updater 'shotgun' it sometimes is helpful
# to use smaller eta to reduce instability
bst <- xgb.train(param, dtrain, list(tr=dtrain), nrounds = 70, eta = 0.5,
                 callbacks = list(cb.gblinear.history()))
# Will plot the coefficient paths separately for each class:
matplot(xgb.gblinear.history(bst, class_index = 0), type = 'l')
matplot(xgb.gblinear.history(bst, class_index = 1), type = 'l')
matplot(xgb.gblinear.history(bst, class_index = 2), type = 'l')

# CV:
bst <- xgb.cv(param, dtrain, nfold = 5, nrounds = 70, eta = 0.5,
              callbacks = list(cb.gblinear.history(FALSE)))
# 1st fold of 1st class
matplot(xgb.gblinear.history(bst, class_index = 0)[[1]], type = 'l')

}
\seealso{
\code{\link{callbacks}}, \code{\link{xgb.gblinear.history}}.
}