TreeDepth_ChildWeight-1

$$TreeDepthChildWeight-1$$

XGBoost Parameter Tuning for Otto Dataset

第二步：调整树的参数：max_depth & min_child_weight

(粗调，参数的步长为2；下一步是在粗调最佳参数周围，将步长降为1，进行精细调整)

导入所需工具包

from xgboost import XGBClassifier
import xgboost as xgb

import pandas as pd 
import numpy as np

from sklearn.model_selection import GridSearchCV
from sklearn.model_selection import StratifiedKFold

from sklearn.metrics import log_loss

from matplotlib import pyplot
import seaborn as sns
%matplotlib inline

读取数据

# path to where the data lies
dpath = './data/'
train = pd.read_csv(dpath +"Otto_train.csv")
#train.head()

Variable Identification

选择该数据集是因为的数据特征单一，我们可以在特征工程方面少做些工作，集中精力放在参数调优上

Target 分布，看看各类样本分布是否均衡

sns.countplot(train.target);
pyplot.xlabel('target');
pyplot.ylabel('Number of occurrences');

每类样本分布不是很均匀，所以交叉验证时也考虑各类样本按比例抽取

# drop ids and get labels
y_train = train['target']
y_train = y_train.map(lambda s: s[6:])
y_train = y_train.map(lambda s: int(s)-1)

train = train.drop(["id", "target"], axis=1)
X_train = np.array(train)

各类样本不均衡，交叉验证是采用StratifiedKFold，在每折采样时各类样本按比例采样

# prepare cross validation
kfold = StratifiedKFold(n_splits=5, shuffle=True, random_state=3)

第一轮参数调整得到的n_estimators最优值（699），其余参数继续默认值
用交叉验证评价模型性能时，用scoring参数定义评价指标。评价指标是越高越好，因此用一些损失函数当评价指标时，需要再加负号，如neg_log_loss，neg_mean_squared_error 详见sklearn文档：http://scikitlearn.org/stable/modules/model_evaluation.html#log-loss

#max_depth 建议3-10， min_child_weight=1／sqrt(ratio_rare_event) =5.5
max_depth = range(3,10,2)
min_child_weight = range(1,6,2)
param_test2_1 = dict(max_depth=max_depth, min_child_weight=min_child_weight)
param_test2_1

xgb2_1 = XGBClassifier(
        learning_rate =0.1,
        n_estimators=2,  #第一轮参数调整得到的n_estimators最优值
        max_depth=5,
        min_child_weight=1,
        gamma=0,
        subsample=0.3,
        colsample_bytree=0.8,
        colsample_bylevel = 0.7,
        objective= 'multi:softprob',
        seed=3)


gsearch2_1 = GridSearchCV(xgb2_1, param_grid = param_test2_1, scoring='neg_log_loss',n_jobs=-1, cv=kfold)
gsearch2_1.fit(X_train , y_train)

gsearch2_1.grid_scores_, gsearch2_1.best_params_,     gsearch2_1.best_score_

gsearch2_1.cv_results_

# summarize results
print("Best: %f using %s" % (gsearch2_1.best_score_, gsearch2_1.best_params_))
test_means = gsearch2_1.cv_results_[ 'mean_test_score' ]
test_stds = gsearch2_1.cv_results_[ 'std_test_score' ]
train_means = gsearch2_1.cv_results_[ 'mean_train_score' ]
train_stds = gsearch2_1.cv_results_[ 'std_train_score' ]

pd.DataFrame(gsearch2_1.cv_results_).to_csv('my_preds_maxdepth_min_child_weights_1.csv')

# plot results
test_scores = np.array(test_means).reshape(len(max_depth), len(min_child_weight))
train_scores = np.array(train_means).reshape(len(max_depth), len(min_child_weight))

for i, value in enumerate(max_depth):
    pyplot.plot(min_child_weight, -test_scores[i], label= 'test_max_depth:'   + str(value))
#for i, value in enumerate(min_child_weight):
#    pyplot.plot(max_depth, train_scores[i], label= 'train_min_child_weight:'   + str(value))
    
pyplot.legend()
pyplot.xlabel( 'max_depth' )                                                                                                      
pyplot.ylabel( 'Log Loss' )
pyplot.savefig('max_depth_vs_min_child_weght_1.png' )