Xgboost: ํ‰๊ฐ€ ์ง€ํ‘œ๋ฅผ AUC๋กœ ์‚ฌ์šฉํ•˜์—ฌ ์กฐ๊ธฐ ์ค‘๋‹จ

์— ๋งŒ๋“  2016๋…„ 05์›” 25์ผ  ยท  3์ฝ”๋ฉ˜ํŠธ  ยท  ์ถœ์ฒ˜: dmlc/xgboost

์ €๋Š” Xgboost์˜ python ๋ฒ„์ „์„ ์‚ฌ์šฉํ•˜๊ณ  ์žˆ์œผ๋ฉฐ ๋‹ค์Œ๊ณผ ๊ฐ™์ด AUC์—์„œ ์กฐ๊ธฐ ์ค‘์ง€๋ฅผ ์„ค์ •ํ•˜๋ ค๊ณ  ํ•ฉ๋‹ˆ๋‹ค.

param = {
         'bst:max_depth':4,
         'bst:eta':0.1,  
         'silent':1,
         'objective':'binary:logistic'
         }

param['nthread'] = 10
param['eval_metric'] = "auc"
param['seed'] = 0

plst = param.items()

evallist  = [(dtrain_test1,'train'), (dtest2,'eval')]

num_round = 50
bst = xgb.train( plst, dtrain_test1, num_round, evallist, early_stopping_rounds = 5)

๊ทธ๋Ÿฌ๋‚˜ AUC๊ฐ€ ์—ฌ์ „ํžˆ ์ฆ๊ฐ€ํ•˜๊ณ  ์žˆ์–ด๋„ 5๋ผ์šด๋“œ ํ›„์— ๋ฐ˜๋ณต์ด ์ค‘์ง€๋ฉ๋‹ˆ๋‹ค.

ํ‰๊ฐ€ ์˜ค๋ฅ˜๊ฐ€ 5๋ผ์šด๋“œ ๋™์•ˆ ๊ฐ์†Œํ•˜์ง€ ์•Š์„ ๋•Œ๊นŒ์ง€ ํ›ˆ๋ จํ•ฉ๋‹ˆ๋‹ค.
[0] ๊ธฐ์ฐจ- auc:0.681576 ํ‰๊ฐ€- auc:0.672914
[1] ๊ธฐ์ฐจ- auc:0.713940 ํ‰๊ฐ€- auc:0.705898
[2] ๊ธฐ์ฐจ- auc:0.719168 ํ‰๊ฐ€- auc:0.710064
[3] ๊ธฐ์ฐจ- auc:0.724578 ํ‰๊ฐ€- auc:0.713953
[4] ๊ธฐ์ฐจ- auc:0.729903 ํ‰๊ฐ€- auc:0.718029
[5] ๊ธฐ์ฐจ- auc:0.732958 ํ‰๊ฐ€- auc:0.719815
๋ฉŽ๋Š”. ์ตœ๊ณ ์˜ ๋ฐ˜๋ณต:
[0] ๊ธฐ์ฐจ- auc:0.681576 ํ‰๊ฐ€- auc:0.672914

Xgboost๋Š” AUC๊ฐ€ ์ฆ๊ฐ€ํ•˜๋Š” ๋Œ€์‹  ๊ณ„์† ๊ฐ์†Œํ•ด์•ผ ํ•œ๋‹ค๊ณ  ์ƒ๊ฐํ•ฉ๋‹ˆ๋‹ค. ๊ทธ๋ ‡์ง€ ์•Š์œผ๋ฉด ์กฐ๊ธฐ ์ค‘์ง€๊ฐ€ ํŠธ๋ฆฌ๊ฑฐ๋ฉ๋‹ˆ๋‹ค. ์™œ ์ด๋Ÿฐ ํ˜„์ƒ์ด ๋ฐœ์ƒํ•˜๊ณ  ์–ด๋–ป๊ฒŒ ํ•ด๊ฒฐํ•ด์•ผ ํ•ฉ๋‹ˆ๊นŒ?

๊ฐ€์žฅ ์œ ์šฉํ•œ ๋Œ“๊ธ€

์•„๋งˆ๋„ maximum=True๋ฅผ ์„ค์ •ํ•˜๋ ค๊ณ  ํ•  ์ˆ˜ ์žˆ์Šต๋‹ˆ๋‹ค. xgboost.train ๋ฐ xgboost.cv ๋ฉ”์„œ๋“œ์—์„œ ์‚ฌ์šฉํ•  ์ˆ˜ ์žˆ์Šต๋‹ˆ๋‹ค.

๋ชจ๋“  3 ๋Œ“๊ธ€

ํ•œ ๊ฐ€์ง€ ์†”๋ฃจ์…˜์€ https://github.com/tqchen/xgboost/blob/master/demo/guide-python/custom_objective.py์— ์„ค๋ช…๋œ ๋Œ€๋กœ ๊ณ ์œ ํ•œ ํ‰๊ฐ€ ๋ฉ”ํŠธ๋ฆญ์„ ์ •์˜ํ•˜๋Š” ๊ฒƒ์ž…๋‹ˆ๋‹ค.
๊ทธ๋ฆฌ๊ณ  ์ด๋Ÿฐ ์‹์œผ๋กœ auc ๊ณ„์‚ฐ(-auc)์„ ๊ณ„์‚ฐํ•˜๋Š” ๋Œ€์‹  ๊ฐ์†Œํ•ฉ๋‹ˆ๋‹ค.

@myouness ๊ฐ์‚ฌํ•ฉ๋‹ˆ๋‹ค! ๊ทธ๊ฒƒ์ด ์ฐธ์œผ๋กœ ํ•ด๊ฒฐ์ฑ…์ž…๋‹ˆ๋‹ค. ์ด ๋™์ž‘์ด ํŒจํ‚ค์ง€์˜ ๋ฒ„๊ทธ์ž…๋‹ˆ๊นŒ?

์•„๋งˆ๋„ maximum=True๋ฅผ ์„ค์ •ํ•˜๋ ค๊ณ  ํ•  ์ˆ˜ ์žˆ์Šต๋‹ˆ๋‹ค. xgboost.train ๋ฐ xgboost.cv ๋ฉ”์„œ๋“œ์—์„œ ์‚ฌ์šฉํ•  ์ˆ˜ ์žˆ์Šต๋‹ˆ๋‹ค.

์ด ํŽ˜์ด์ง€๊ฐ€ ๋„์›€์ด ๋˜์—ˆ๋‚˜์š”?
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