XGBoost 阅读之 Weighted Quantile Sketch

3.3 Weighted Quantile Sketch（加权分位数略图）

One important step in the approximate algorithm is to propose candidate split points. Usually percentiles of a feature are used to make candidates distribute evenly on the data. Formally, let multi-set represent the k-th feature values and second order gradient statistics of each training instances. We can define a rank functions as

which represents the proportion of instances whose feature value k is smaller than z. The goal is to find candidate split points