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November 09, 2019
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Better than My Meetup/Conference Talks: Going Deeper in Various GBM Topics - GBM Advanced Workshop - Budapest, Nov 2019

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szilard

November 09, 2019

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Transcript

  1. Better than My Meetup/Conference Talks: Going Deeper in Various GBM

    Topics Szilard Pafka, PhD Chief Scientist, Epoch (USA) GBM Advanced Workshop Budapest Nov 2019

  2. Why GBMs

  3. None

  4. meetup/conference talks going deeper section dividers

  5. None

  6. Disclaimer: I am not representing my employer (Epoch) in this

    talk I cannot confirm nor deny if Epoch is using any of the methods, tools, results etc. mentioned in this talk

  7. Source: Andrew Ng

  8. Source: Andrew Ng

  9. Source: Andrew Ng

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  16. ...

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  25. http://lowrank.net/nikos/pubs/empirical.pdf http://www.cs.cornell.edu/~alexn/papers/empirical.icml06.pdf

  26. http://lowrank.net/nikos/pubs/empirical.pdf http://www.cs.cornell.edu/~alexn/papers/empirical.icml06.pdf

  27. None
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  30. None

  31. top algos (RF, boosting), all features 2007

  32. top algos (RF, boosting), all features most algos (lin, tree,

    nnet) worst algos (knn, NB) 2007

  33. top algos (RF, boosting), all features most algos (lin, tree,

    nnet) worst algos (knn, NB) top algos, removed top feature(s) 2007
  34. None
  35. None
  36. None

  37. Source: Hastie etal, ESL 2ed

  38. Source: Hastie etal, ESL 2ed

  39. GBM libs

  40. None
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  44. 10x

  45. 10x

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  67. Scoring

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  73. * very first request not shown >500ms (JVM “warmup”)

  74. None
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  84. GBM-perf github repo

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  92. multi-core/socket

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  99. CPU 1

  100. CPU 1 CPU 2

  101. CPU 1 CPU 2

  102. CPU 1 CPU 2

  103. CPU 1 CPU 2

  104. None

  105. 5x 3.5x

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  120. zero

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  123. Spark

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  152. GPU

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  157. catboost

  158. None
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  168. API / tuning

  169. None
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  173. None

  174. http://www.jmlr.org/papers/volume13/bergstra12a/bergstra12a.pdf

  175. http://www.argmin.net/2016/06/20/hypertuning/

  176. http://www.argmin.net/2016/06/20/hypertuning/

  177. None
  178. None
  179. None

  180. time ordered data time ordered data

  181. time ordered data time ordered data train sample

  182. time ordered data time ordered data train test sample sample

    (slightly different distribution)

  183. time ordered data time ordered data train test sample sample

    proper train early stopping Model selection resampled 80-10-10 (~CV) (slightly different distribution)

  184. time ordered data time ordered data train test sample sample

    proper train early stopping Model selection random search over lightgbm resampled 80-10-10 (~CV) (slightly different distribution)
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  193. Closing

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  196. Source: https://www.linkedin.com/pulse/winning-solution-kaggledays-2019-competition-san-francisco-mark-peng/

  197. Source: https://www.linkedin.com/pulse/winning-solution-kaggledays-2019-competition-san-francisco-mark-peng/

  198. Source: https://www.linkedin.com/pulse/winning-solution-kaggledays-2019-competition-san-francisco-mark-peng/

  199. Source: https://www.linkedin.com/pulse/winning-solution-kaggledays-2019-competition-san-francisco-mark-peng/

  200. Source: https://www.linkedin.com/pulse/winning-solution-kaggledays-2019-competition-san-francisco-mark-peng/

  201. Source: https://www.linkedin.com/pulse/winning-solution-kaggledays-2019-competition-san-francisco-mark-peng/

  202. None

  203. More:

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