xgb.cv.Rd

% Generated by roxygen2: do not edit by hand
% Please edit documentation in R/xgb.cv.R
\name{xgb.cv}
\alias{xgb.cv}
\title{Cross Validation}
\usage{
xgb.cv(
  params = list(),
  data,
  nrounds,
  nfold,
  label = NULL,
  missing = NA,
  prediction = FALSE,
  showsd = TRUE,
  metrics = list(),
  obj = NULL,
  feval = NULL,
  stratified = TRUE,
  folds = NULL,
  train_folds = NULL,
  verbose = TRUE,
  print_every_n = 1L,
  early_stopping_rounds = NULL,
  maximize = NULL,
  callbacks = list(),
  ...
)
}
\arguments{
\item{params}{the list of parameters. The complete list of parameters is
  available in the \href{http://xgboost.readthedocs.io/en/latest/parameter.html}{online documentation}. Below
  is a shorter summary:
\itemize{
  \item \code{objective} objective function, common ones are
  \itemize{
    \item \code{reg:squarederror} Regression with squared loss.
    \item \code{binary:logistic} logistic regression for classification.
    \item See \code{\link[=xgb.train]{xgb.train}()} for complete list of objectives.
  }
  \item \code{eta} step size of each boosting step
  \item \code{max_depth} maximum depth of the tree
  \item \code{nthread} number of thread used in training, if not set, all threads are used
}

  See \code{\link{xgb.train}} for further details.
  See also demo/ for walkthrough example in R.}

\item{data}{takes an \code{xgb.DMatrix}, \code{matrix}, or \code{dgCMatrix} as the input.}

\item{nrounds}{the max number of iterations}

\item{nfold}{the original dataset is randomly partitioned into \code{nfold} equal size subsamples.}

\item{label}{vector of response values. Should be provided only when data is an R-matrix.}

\item{missing}{is only used when input is a dense matrix. By default is set to NA, which means
that NA values should be considered as 'missing' by the algorithm.
Sometimes, 0 or other extreme value might be used to represent missing values.}

\item{prediction}{A logical value indicating whether to return the test fold predictions
from each CV model. This parameter engages the \code{\link{cb.cv.predict}} callback.}

\item{showsd}{\code{boolean}, whether to show standard deviation of cross validation}

\item{metrics, }{list of evaluation metrics to be used in cross validation,
  when it is not specified, the evaluation metric is chosen according to objective function.
  Possible options are:
\itemize{
  \item \code{error} binary classification error rate
  \item \code{rmse} Rooted mean square error
  \item \code{logloss} negative log-likelihood function
  \item \code{mae} Mean absolute error
  \item \code{mape} Mean absolute percentage error
  \item \code{auc} Area under curve
  \item \code{aucpr} Area under PR curve
  \item \code{merror} Exact matching error, used to evaluate multi-class classification
}}

\item{obj}{customized objective function. Returns gradient and second order
gradient with given prediction and dtrain.}

\item{feval}{customized evaluation function. Returns
\code{list(metric='metric-name', value='metric-value')} with given
prediction and dtrain.}

\item{stratified}{a \code{boolean} indicating whether sampling of folds should be stratified
by the values of outcome labels.}

\item{folds}{\code{list} provides a possibility to use a list of pre-defined CV folds
(each element must be a vector of test fold's indices). When folds are supplied,
the \code{nfold} and \code{stratified} parameters are ignored.}

\item{train_folds}{\code{list} list specifying which indicies to use for training. If \code{NULL}
(the default) all indices not specified in \code{folds} will be used for training.}

\item{verbose}{\code{boolean}, print the statistics during the process}

\item{print_every_n}{Print each n-th iteration evaluation messages when \code{verbose>0}.
Default is 1 which means all messages are printed. This parameter is passed to the
\code{\link{cb.print.evaluation}} callback.}

\item{early_stopping_rounds}{If \code{NULL}, the early stopping function is not triggered.
If set to an integer \code{k}, training with a validation set will stop if the performance
doesn't improve for \code{k} rounds.
Setting this parameter engages the \code{\link{cb.early.stop}} callback.}

\item{maximize}{If \code{feval} and \code{early_stopping_rounds} are set,
then this parameter must be set as well.
When it is \code{TRUE}, it means the larger the evaluation score the better.
This parameter is passed to the \code{\link{cb.early.stop}} callback.}

\item{callbacks}{a list of callback functions to perform various task during boosting.
See \code{\link{callbacks}}. Some of the callbacks are automatically created depending on the
parameters' values. User can provide either existing or their own callback methods in order
to customize the training process.}

\item{...}{other parameters to pass to \code{params}.}
}
\value{
An object of class \code{xgb.cv.synchronous} with the following elements:
\itemize{
  \item \code{call} a function call.
  \item \code{params} parameters that were passed to the xgboost library. Note that it does not
        capture parameters changed by the \code{\link{cb.reset.parameters}} callback.
  \item \code{callbacks} callback functions that were either automatically assigned or
        explicitly passed.
  \item \code{evaluation_log} evaluation history stored as a \code{data.table} with the
        first column corresponding to iteration number and the rest corresponding to the
        CV-based evaluation means and standard deviations for the training and test CV-sets.
        It is created by the \code{\link{cb.evaluation.log}} callback.
  \item \code{niter} number of boosting iterations.
  \item \code{nfeatures} number of features in training data.
  \item \code{folds} the list of CV folds' indices - either those passed through the \code{folds}
        parameter or randomly generated.
  \item \code{best_iteration} iteration number with the best evaluation metric value
        (only available with early stopping).
  \item \code{best_ntreelimit} and the \code{ntreelimit} Deprecated attributes, use \code{best_iteration} instead.
  \item \code{pred} CV prediction values available when \code{prediction} is set.
        It is either vector or matrix (see \code{\link{cb.cv.predict}}).
  \item \code{models} a list of the CV folds' models. It is only available with the explicit
        setting of the \code{cb.cv.predict(save_models = TRUE)} callback.
}
}
\description{
The cross validation function of xgboost
}
\details{
The original sample is randomly partitioned into \code{nfold} equal size subsamples.

Of the \code{nfold} subsamples, a single subsample is retained as the validation data for testing the model, and the remaining \code{nfold - 1} subsamples are used as training data.

The cross-validation process is then repeated \code{nrounds} times, with each of the \code{nfold} subsamples used exactly once as the validation data.

All observations are used for both training and validation.

Adapted from \url{https://en.wikipedia.org/wiki/Cross-validation_\%28statistics\%29}
}
\examples{
data(agaricus.train, package='xgboost')
dtrain <- with(agaricus.train, xgb.DMatrix(data, label = label, nthread = 2))
cv <- xgb.cv(data = dtrain, nrounds = 3, nthread = 2, nfold = 5, metrics = list("rmse","auc"),
             max_depth = 3, eta = 1, objective = "binary:logistic")
print(cv)
print(cv, verbose=TRUE)

}