LightGBM

Advantages

LightGBM loads the best model after early stopping (in contrast to XGBoost). See here: https://lightgbm.readthedocs.io/en/latest/Python-Intro.html#early-stopping

Hyperparameter

Useful hyperopt search space:

space = {
        'num_leaves' : hp.quniform('num_leaves', 100, 600, 10),
        'min_data_in_leaf' : hp.quniform('min_data_in_leaf', 10, 30, 1),
        'max_bin' : hp.quniform('max_bin', 200, 2000, 10),
        'bagging_fraction' : hp.uniform('bagging_fraction', 0.01, 1.0),
        'bagging_freq' : hp.quniform('bagging_freq', 0, 10, 1),
        'feature_fraction' :  hp.uniform('feature_fraction', 0.5, 1.0),
        'lambda_l2' : hp.uniform('lambda_l2', 0.0, 70.0),
        'min_gain_to_split' : hp.uniform('min_gain_to_split', 0.0, 2.0),
        }

Links

• Root Documentation: https://lightgbm.readthedocs.io/en/latest/index.html
  • Python API: https://lightgbm.readthedocs.io/en/latest/Python-API.html
  • Parameters: https://lightgbm.readthedocs.io/en/latest/Parameters.html
  • Parameters Tuning: https://lightgbm.readthedocs.io/en/latest/Parameters-Tuning.html
  • Early Stopping: https://lightgbm.readthedocs.io/en/latest/Python-Intro.html#early-stopping
  • Load and save the booster: https://lightgbm.readthedocs.io/en/latest/Python-Intro.html#training
  • Regression Example: https://github.com/Microsoft/LightGBM/tree/master/examples/regression
  • Binary Classification Example: https://github.com/Microsoft/LightGBM/tree/master/examples/binary_classification
  • Multiclass Classification Example: https://github.com/Microsoft/LightGBM/tree/master/examples/multiclass_classification
  • GPU Tutorial: https://lightgbm.readthedocs.io/en/latest/GPU-Tutorial.html
• Parameter overview with filter: https://sites.google.com/view/lauraepp/parameters

GPU Support

• Build with GPU Support: python setup.py install --gpu --opencl-include-dir=/usr/local/cuda/include/ --opencl-library=/usr/local/cuda/lib64/libOpenCL.so
• Install with GPU Support: pip install lightgbm --install-option=--gpu --install-option=--opencl-include-dir=/usr/local/cuda/include/ --install-option=--opencl-library=/usr/local/cuda/lib64/libOpenCL.so

To use the GPU you have to provide 'device_type': 'gpu' to parameters.