step_discretize_xgb()
creates a specification of a recipe step that will
discretize numeric data (e.g. integers or doubles) into bins in a supervised
way using an XgBoost model.
step_discretize_xgb(
recipe,
...,
role = NA,
trained = FALSE,
outcome = NULL,
sample_val = 0.2,
learn_rate = 0.3,
num_breaks = 10,
tree_depth = 1,
min_n = 5,
rules = NULL,
skip = FALSE,
id = rand_id("discretize_xgb")
)
An updated version of recipe
with the new step added to the
sequence of any existing operations.
A recipe object. The step will be added to the sequence of operations for this recipe.
One or more selector functions to choose which variables are
affected by the step. See selections()
for more details.
Defaults to "predictor"
.
A logical to indicate if the quantities for preprocessing have been estimated.
A call to vars
to specify which variable is used as the
outcome to train XgBoost models in order to discretize explanatory
variables.
Share of data used for validation (with early stopping) of the learned splits (the rest is used for training). Defaults to 0.20.
The rate at which the boosting algorithm adapts from
iteration-to-iteration. Corresponds to eta
in the xgboost package.
Defaults to 0.3.
The maximum number of discrete bins to bucket continuous
features. Corresponds to max_bin
in the xgboost package. Defaults
to 10.
The maximum depth of the tree (i.e. number of splits).
Corresponds to max_depth
in the xgboost package. Defaults to 1.
The minimum number of instances needed to be in each node.
Corresponds to min_child_weight
in the xgboost package. Defaults to
5.
The splitting rules of the best XgBoost tree to retain for each variable.
A logical. Should the step be skipped when the recipe is baked by
recipes::bake()
? While all operations are baked when recipes::prep()
is
run, some operations may not be able to be conducted on new data (e.g.
processing the outcome variable(s)). Care should be taken when using skip = TRUE
as it may affect the computations for subsequent operations
A character string that is unique to this step to identify it.
When you tidy()
this step, a tibble with columns terms
(the columns that is selected), values
is returned.
This step has 5 tuning parameters:
sample_val
: Proportion of data for validation (type: double, default: 0.2)
learn_rate
: Learning Rate (type: double, default: 0.3)
num_breaks
: Number of Cut Points (type: integer, default: 10)
tree_depth
: Tree Depth (type: integer, default: 1)
min_n
: Minimal Node Size (type: integer, default: 5)
This step performs an supervised operation that can utilize case weights.
To use them, see the documentation in recipes::case_weights and the examples on
tidymodels.org
.
step_discretize_xgb()
creates non-uniform bins from numerical variables by
utilizing the information about the outcome variable and applying the xgboost
model. It is advised to impute missing values before this step. This step is
intended to be used particularly with linear models because thanks to
creating non-uniform bins it becomes easier to learn non-linear patterns from
the data.
The best selection of buckets for each variable is selected using an internal early stopping scheme implemented in the xgboost package, which makes this discretization method prone to overfitting.
The pre-defined values of the underlying xgboost learns good and reasonably
complex results. However, if one wishes to tune them the recommended path
would be to first start with changing the value of num_breaks
to e.g.: 20
or 30. If that doesn't give satisfactory results one could experiment with
modifying the tree_depth
or min_n
parameters. Note that it is not
recommended to tune learn_rate
simultaneously with other parameters.
This step requires the xgboost package. If not installed, the step will stop with a note about installing the package.
Note that the original data will be replaced with the new bins.
step_discretize_cart()
, recipes::recipe()
,
recipes::prep()
, recipes::bake()