金融风控学习笔记-4

调参

最近才研究catboost 所以本文主要记录catboost的学习笔记

整理一下里面简单的教程和参数介绍，很多参数不是那种重要，只解释部分重要的参数，训练时需要重点考虑的。

import numpy as np
import catboost as cb
 
train_data = np.random.randint(0, 100, size=(100, 10))
train_label = np.random.randint(0, 2, size=(100))
test_data = np.random.randint(0,100, size=(50,10))
 
model = cb.CatBoostClassifier(iterations=2, depth=2, learning_rate=0.5, loss_function='Logloss',
                              logging_level='Verbose')
model.fit(train_data, train_label, cat_features=[0,2,5])
preds_class = model.predict(test_data)
preds_probs = model.predict_proba(test_data)
print('class = ',preds_class)
print('proba = ',preds_probs)

参数
CatBoostClassifier/CatBoostRegressor
通用参数
learning_rate(eta)=automatically

depth(max_depth)=6: 树的深度

l2_leaf_reg(reg_lambda)=3 L2正则化系数

n_estimators(num_boost_round)(num_trees=1000)=1000: 解决ml问题的树的最大数量
one_hot_max_size=2: 对于某些变量进行one-hot编码
loss_function=’Logloss’:

RMSE
Logloss
MAE
CrossEntropy

custom_metric=None

RMSE
Logloss
MAE
CrossEntropy
Recall
Precision
F1
Accuracy
AUC
R2

eval_metric=Optimized objective

RMSE
Logloss
MAE
CrossEntropy
Recall
Precision
F1
Accuracy
AUC
R2

nan_mode=None：处理NAN的方法
Forbidden
Min
Max

leaf_estimation_method=None：迭代求解的方法，梯度和牛顿
Newton
Gradient

性能参数
thread_count=-1：训练时所用的cpu/gpu核数
used_ram_limit=None：CTR问题，计算时的内存限制
gpu_ram_part=None：GPU内存限制
处理单元设置
task_type=CPU：训练的器件
devices=None：训练的GPU设备ID

counter_calc_method=None,

leaf_estimation_iterations=None,
use_best_model=None,
verbose=None,
model_size_reg=None,
rsm=None,
logging_level=None,
metric_period=None,
ctr_leaf_count_limit=None,
store_all_simple_ctr=None,
max_ctr_complexity=None,
has_time=None,
classes_count=None,
class_weights=None,

random_strength=None,

name=None,
ignored_features=None,
train_dir=None,
custom_loss=None,

bagging_temperature=None

border_count=None

feature_border_type=None,

save_snapshot=None,
snapshot_file=None,
fold_len_multiplier=None,

allow_writing_files=None,

final_ctr_computation_mode=None,
approx_on_full_history=None,
boosting_type=None,
simple_ctr=None,
combinations_ctr=None,
per_feature_ctr=None,

device_config=None,

bootstrap_type=None,

subsample=None,

colsample_bylevel=None,

random_state=None,
objective=None,

max_bin=None,

scale_pos_weight=None,
gpu_cat_features_storage=None,
data_partition=None

CatBoostClassifier
属性(attribute)：
is_fitted_
tree_count_
feature_importances_
random_seed_
方法(method):
fit
X: 输入数据数据类型可以是，list; pandas.DataFrame; pandas.Series

y=None

cat_features=None: 拿来做处理的类别特征
sample_weight=None: 输入数据的样本权重
logging_level=None: 控制是否输出日志信息，或者何种信息
plot=False: 训练过程中，绘制，度量值，所用时间等
eval_set=None: 验证集合，数据类型list(X, y)tuples
baseline=None
use_best_model=None
verbose=None
predict
返回验证样本所属类别，数据类型为np.array

predict_proba
返回验证样本所属类别的概率，数据类型为np.array

get_feature_importance