eXtreme Gradient Boosting (XGBoost): Better than random forest or gradient boosting
Ensemble Methods 1. Random Forest 2. Gradient boosting 3. Extreme Gradient Boosting Compared to Lasso and Best-subset Lasso Best-subset Compare MSEs Code I recently had the great pleasure to meet with Professor Allan Just and he introduced me to eXtreme Gradient Boosting (XGBoost). XGBoost is “one of the most loved machine learning algorithms at Kaggle”, it somehow combines the advantages of random forest and boosting. We will see later its predictive ability is indeed very strong. In the earlier post Model Selection using Lasso and Best Subset I mainly focused on model selection by best-subset, stepwise, or lasso. This post will focus on ensemble method: random forest, Gradient boosting, and eXtreme Gradient Boosting (XGBoost). An ensemble method is a technique that combines the predictions from multiple machine learning algorithms together to make more accurate predictions than any individual model. 1. Random Forest Use library ran...