A brief on Gradient Boosting

Gradient boosting refers to a class of ensemble machine learning algorithms that can be used for classification or regression predictive modeling problems.

Ensembles are constructed from decision tree models. Trees are added one at a time to the ensemble and fit to correct the prediction errors made by prior models. This is a type of ensemble machine learning model referred to as boosting.

Models are fit using any arbitrary differentiable loss function and gradient descent optimization algorithm. This gives the technique its name, “ gradient boosting ,” as the loss gradient is minimized as the model is fit, much like a neural network.

Gradient boosting is one of the most powerful techniques for building predictive models. The idea of boosting came out of the idea of whether a weak learner can be modified to become better. A weak hypothesis or weak learner is defined as one whose performance is at least slightly better than random chance. Hypothesis boosting was the idea of filtering observations, leaving those observations that the weak learner can handle and focusing on developing new weak learns to handle the remaining difficult observations.

Extreme Gradient Boosting, or XGBoost for short, is an efficient open-source implementation of the gradient boosting algorithm. As such, XGBoost is an algorithm, an open-source project, and a Python library. It is designed to be both computationally efficient (e.g. fast to execute) and highly effective, perhaps more effective than other open-source implementations.

The two main reasons to use XGBoost are execution speed and model performance.

XGBoost dominates structured or tabular datasets on classification and regression predictive modeling problems.