The purpose of this vignette is to show you how to use
**XGBoost** to discover and understand your own dataset
better.

This vignette is not about predicting anything (see XGBoost
presentation). We will explain how to use **XGBoost**
to highlight the *link* between the *features* of your
data and the *outcome*.

Package loading:

```
require(xgboost)
require(Matrix)
require(data.table)
if (!require('vcd')) install.packages('vcd')
```

VCDpackage is used for one of its embedded dataset only.

**XGBoost** manages only `numeric`

vectors.

What to do when you have *categorical* data?

A *categorical* variable has a fixed number of different
values. For instance, if a variable called *Colour* can have only
one of these three values, *red*, *blue* or
*green*, then *Colour* is a *categorical*
variable.

In

R, acategoricalvariable is called`factor`

.Type

`?factor`

in the console for more information.

To answer the question above we will convert *categorical*
variables to `numeric`

one.

In this Vignette we will see how to transform a *dense*
`data.frame`

(*dense* = few zeroes in the matrix) with
*categorical* variables to a very *sparse* matrix
(*sparse* = lots of zero in the matrix) of `numeric`

features.

The method we are going to see is usually called one-hot encoding.

The first step is to load `Arthritis`

dataset in memory
and wrap it with `data.table`

package.

```
data(Arthritis)
<- data.table(Arthritis, keep.rownames = FALSE) df
```

`data.table`

is 100% compliant withR`data.frame`

but its syntax is more consistent and its performance for large dataset is best in class (`dplyr`

fromRand`Pandas`

fromPythonincluded). Some parts ofXGBoostRpackage use`data.table`

.

The first thing we want to do is to have a look to the first few
lines of the `data.table`

:

`head(df)`

```
## ID Treatment Sex Age Improved
## 1: 57 Treated Male 27 Some
## 2: 46 Treated Male 29 None
## 3: 77 Treated Male 30 None
## 4: 17 Treated Male 32 Marked
## 5: 36 Treated Male 46 Marked
## 6: 23 Treated Male 58 Marked
```

Now we will check the format of each column.

`str(df)`

```
## Classes 'data.table' and 'data.frame': 84 obs. of 5 variables:
## $ ID : int 57 46 77 17 36 23 75 39 33 55 ...
## $ Treatment: Factor w/ 2 levels "Placebo","Treated": 2 2 2 2 2 2 2 2 2 2 ...
## $ Sex : Factor w/ 2 levels "Female","Male": 2 2 2 2 2 2 2 2 2 2 ...
## $ Age : int 27 29 30 32 46 58 59 59 63 63 ...
## $ Improved : Ord.factor w/ 3 levels "None"<"Some"<..: 2 1 1 3 3 3 1 3 1 1 ...
## - attr(*, ".internal.selfref")=<externalptr>
```

2 columns have `factor`

type, one has `ordinal`

type.

`ordinal`

variable :

- can take a limited number of values (like
`factor`

) ;- these values are ordered (unlike
`factor`

). Here these ordered values are:`Marked > Some > None`

We will add some new *categorical* features to see if it
helps.

For the first feature we create groups of age by rounding the real age.

Note that we transform it to `factor`

so the algorithm
treat these age groups as independent values.

Therefore, 20 is not closer to 30 than 60. To make it short, the distance between ages is lost in this transformation.

`head(df[,AgeDiscret := as.factor(round(Age/10,0))])`

```
## ID Treatment Sex Age Improved AgeDiscret
## 1: 57 Treated Male 27 Some 3
## 2: 46 Treated Male 29 None 3
## 3: 77 Treated Male 30 None 3
## 4: 17 Treated Male 32 Marked 3
## 5: 36 Treated Male 46 Marked 5
## 6: 23 Treated Male 58 Marked 6
```

Following is an even stronger simplification of the real age with an
arbitrary split at 30 years old. We choose this value **based on
nothing**. We will see later if simplifying the information based
on arbitrary values is a good strategy (you may already have an idea of
how well it will work…).

`head(df[,AgeCat:= as.factor(ifelse(Age > 30, "Old", "Young"))])`

```
## ID Treatment Sex Age Improved AgeDiscret AgeCat
## 1: 57 Treated Male 27 Some 3 Young
## 2: 46 Treated Male 29 None 3 Young
## 3: 77 Treated Male 30 None 3 Young
## 4: 17 Treated Male 32 Marked 3 Old
## 5: 36 Treated Male 46 Marked 5 Old
## 6: 23 Treated Male 58 Marked 6 Old
```

We remove ID as there is nothing to learn from this feature (it would just add some noise).

`:=NULL] df[,ID`

We will list the different values for the column
`Treatment`

:

`levels(df[,Treatment])`

`## [1] "Placebo" "Treated"`

Next step, we will transform the categorical data to dummy variables. Several encoding methods exist, e.g., one-hot encoding is a common approach. We will use the dummy contrast coding which is popular because it produces “full rank” encoding (also see this blog post by Max Kuhn).

The purpose is to transform each value of each *categorical*
feature into a *binary* feature `{0, 1}`

.

For example, the column `Treatment`

will be replaced by
two columns, `TreatmentPlacebo`

, and
`TreatmentTreated`

. Each of them will be *binary*.
Therefore, an observation which has the value `Placebo`

in
column `Treatment`

before the transformation will have after
the transformation the value `1`

in the new column
`TreatmentPlacebo`

and the value `0`

in the new
column `TreatmentTreated`

. The column
`TreatmentPlacebo`

will disappear during the contrast
encoding, as it would be absorbed into a common constant intercept
column.

Column `Improved`

is excluded because it will be our
`label`

column, the one we want to predict.

```
<- sparse.model.matrix(Improved ~ ., data = df)[,-1]
sparse_matrix head(sparse_matrix)
```

```
## 6 x 9 sparse Matrix of class "dgCMatrix"
## TreatmentTreated SexMale Age AgeDiscret3 AgeDiscret4 AgeDiscret5 AgeDiscret6
## 1 1 1 27 1 . . .
## 2 1 1 29 1 . . .
## 3 1 1 30 1 . . .
## 4 1 1 32 1 . . .
## 5 1 1 46 . . 1 .
## 6 1 1 58 . . . 1
## AgeDiscret7 AgeCatYoung
## 1 . 1
## 2 . 1
## 3 . 1
## 4 . .
## 5 . .
## 6 . .
```

Formula

`Improved ~ .`

used above means transform allcategoricalfeatures but column`Improved`

to binary values. The`-1`

column selection removes the intercept column which is full of`1`

(this column is generated by the conversion). For more information, you can type`?sparse.model.matrix`

in the console.

Create the output `numeric`

vector (not as a sparse
`Matrix`

):

`= df[,Improved] == "Marked" output_vector `

- set
`Y`

vector to`0`

; - set
`Y`

to`1`

for rows where`Improved == Marked`

is`TRUE`

; - return
`Y`

vector.

The code below is very usual. For more information, you can look at
the documentation of `xgboost`

function (or at the vignette
XGBoost
presentation).

```
<- xgboost(data = sparse_matrix, label = output_vector, max_depth = 4,
bst eta = 1, nthread = 2, nrounds = 10,objective = "binary:logistic")
```

```
## [1] train-logloss:0.485466
## [2] train-logloss:0.438534
## [3] train-logloss:0.412250
## [4] train-logloss:0.395828
## [5] train-logloss:0.384264
## [6] train-logloss:0.374028
## [7] train-logloss:0.365005
## [8] train-logloss:0.351233
## [9] train-logloss:0.341678
## [10] train-logloss:0.334465
```

You can see some `train-error: 0.XXXXX`

lines followed by
a number. It decreases. Each line shows how well the model explains your
data. Lower is better.

A small value for training error may be a symptom of overfitting, meaning the model will not accurately predict the future values.

Here you can see the numbers decrease until line 7 and then increase.

It probably means we are overfitting. To fix that I should reduce the number of rounds to

`nrounds = 4`

. I will let things like that because I don’t really care for the purpose of this example :-)

Remember, each binary column corresponds to a single value of one of
*categorical* features.

```
<- xgb.importance(feature_names = colnames(sparse_matrix), model = bst)
importance head(importance)
```

```
## Feature Gain Cover Frequency
## 1: Age 0.622031769 0.67251696 0.67241379
## 2: TreatmentTreated 0.285750540 0.11916651 0.10344828
## 3: SexMale 0.048744022 0.04522028 0.08620690
## 4: AgeDiscret6 0.016604639 0.04784639 0.05172414
## 5: AgeDiscret3 0.016373781 0.08028951 0.05172414
## 6: AgeDiscret4 0.009270557 0.02858801 0.01724138
```

The column

`Gain`

provide the information we are looking for.As you can see, features are classified by

`Gain`

.

`Gain`

is the improvement in accuracy brought by a feature
to the branches it is on. The idea is that before adding a new split on
a feature X to the branch there was some wrongly classified elements,
after adding the split on this feature, there are two new branches, and
each of these branch is more accurate (one branch saying if your
observation is on this branch then it should be classified as
`1`

, and the other branch saying the exact opposite).

`Cover`

measures the relative quantity of observations
concerned by a feature.

`Frequency`

is a simpler way to measure the
`Gain`

. It just counts the number of times a feature is used
in all generated trees. You should not use it (unless you know why you
want to use it).

We can go deeper in the analysis of the model. In the
`data.table`

above, we have discovered which features counts
to predict if the illness will go or not. But we don’t yet know the role
of these features. For instance, one of the question we may want to
answer would be: does receiving a placebo treatment helps to recover
from the illness?

One simple solution is to count the co-occurrences of a feature and a class of the classification.

For that purpose we will execute the same function as above but using
two more parameters, `data`

and `label`

.

`<- xgb.importance(feature_names = colnames(sparse_matrix), model = bst, data = sparse_matrix, label = output_vector) importanceRaw `

```
## Warning in xgb.importance(feature_names = colnames(sparse_matrix), model = bst,
## : xgb.importance: parameters 'data', 'label' and 'target' are deprecated
```

```
# Cleaning for better display
<- importanceRaw[,`:=`(Cover=NULL, Frequency=NULL)]
importanceClean
head(importanceClean)
```

```
## Feature Gain
## 1: Age 0.622031769
## 2: TreatmentTreated 0.285750540
## 3: SexMale 0.048744022
## 4: AgeDiscret6 0.016604639
## 5: AgeDiscret3 0.016373781
## 6: AgeDiscret4 0.009270557
```

In the table above we have removed two not needed columns and select only the first lines.

First thing you notice is the new column `Split`

. It is
the split applied to the feature on a branch of one of the tree. Each
split is present, therefore a feature can appear several times in this
table. Here we can see the feature `Age`

is used several
times with different splits.

How the split is applied to count the co-occurrences? It is always
`<`

. For instance, in the second line, we measure the
number of persons under 61.5 years with the illness gone after the
treatment.

The two other new columns are `RealCover`

and
`RealCover %`

. In the first column it measures the number of
observations in the dataset where the split is respected and the label
marked as `1`

. The second column is the percentage of the
whole population that `RealCover`

represents.

Therefore, according to our findings, getting a placebo doesn’t seem to help but being younger than 61 years may help (seems logic).

You may wonder how to interpret the

`< 1.00001`

on the first line. Basically, in a sparse`Matrix`

, there is no`0`

, therefore, looking for one hot-encoded categorical observations validating the rule`< 1.00001`

is like just looking for`1`

for this feature.

All these things are nice, but it would be even better to plot the results.

`xgb.plot.importance(importance_matrix = importance)`

Feature have automatically been divided in 2 clusters: the interesting features… and the others.

Depending of the dataset and the learning parameters you may have more than two clusters. Default value is to limit them to

`10`

, but you can increase this limit. Look at the function documentation for more information.

According to the plot above, the most important features in this dataset to predict if the treatment will work are :

- the Age ;
- having received a placebo or not ;
- the sex is third but already included in the not interesting features group ;
- then we see our generated features (AgeDiscret). We can see that their contribution is very low.

Let’s check some **Chi2** between each of these features
and the label.

Higher **Chi2** means better correlation.

```
<- chisq.test(df$Age, output_vector)
c2 print(c2)
```

```
##
## Pearson's Chi-squared test
##
## data: df$Age and output_vector
## X-squared = 35.475, df = 35, p-value = 0.4458
```

Pearson correlation between Age and illness disappearing is
**35.48**.

```
<- chisq.test(df$AgeDiscret, output_vector)
c2 print(c2)
```

```
##
## Pearson's Chi-squared test
##
## data: df$AgeDiscret and output_vector
## X-squared = 8.2554, df = 5, p-value = 0.1427
```

Our first simplification of Age gives a Pearson correlation is
**8.26**.

```
<- chisq.test(df$AgeCat, output_vector)
c2 print(c2)
```

```
##
## Pearson's Chi-squared test with Yates' continuity correction
##
## data: df$AgeCat and output_vector
## X-squared = 2.3571, df = 1, p-value = 0.1247
```

The perfectly random split I did between young and old at 30 years
old have a low correlation of **2.36**. It’s a result we
may expect as may be in my mind > 30 years is being old (I am 32 and
starting feeling old, this may explain that), but for the illness we are
studying, the age to be vulnerable is not the same.

Morality: don’t let your *gut* lower the quality of your
model.

In *data science* expression, there is the word
*science* :-)

As you can see, in general *destroying information by simplifying
it won’t improve your model*. **Chi2** just
demonstrates that.

But in more complex cases, creating a new feature based on existing one which makes link with the outcome more obvious may help the algorithm and improve the model.

The case studied here is not enough complex to show that. Check Kaggle website for some challenging datasets. However it’s almost always worse when you add some arbitrary rules.

Moreover, you can notice that even if we have added some not useful new features highly correlated with other features, the boosting tree algorithm have been able to choose the best one, which in this case is the Age.

Linear model may not be that smart in this scenario.

As you may know, Random Forests algorithm is cousin with boosting and both are part of the ensemble learning family.

Both trains several decision trees for one dataset. The *main*
difference is that in Random Forests, trees are independent and in
boosting, the tree `N+1`

focus its learning on the loss
(<=> what has not been well modeled by the tree
`N`

).

This difference have an impact on a corner case in feature importance
analysis: the *correlated features*.

Imagine two features perfectly correlated, feature `A`

and
feature `B`

. For one specific tree, if the algorithm needs
one of them, it will choose randomly (true in both boosting and Random
Forests).

However, in Random Forests this random choice will be done for each
tree, because each tree is independent from the others. Therefore,
approximatively, depending of your parameters, 50% of the trees will
choose feature `A`

and the other 50% will choose feature
`B`

. So the *importance* of the information contained
in `A`

and `B`

(which is the same, because they
are perfectly correlated) is diluted in `A`

and
`B`

. So you won’t easily know this information is important
to predict what you want to predict! It is even worse when you have 10
correlated features…

In boosting, when a specific link between feature and outcome have
been learned by the algorithm, it will try to not refocus on it (in
theory it is what happens, reality is not always that simple).
Therefore, all the importance will be on feature `A`

or on
feature `B`

(but not both). You will know that one feature
have an important role in the link between the observations and the
label. It is still up to you to search for the correlated features to
the one detected as important if you need to know all of them.

If you want to try Random Forests algorithm, you can tweak XGBoost parameters!

For instance, to compute a model with 1000 trees, with a 0.5 factor on sampling rows and columns:

```
data(agaricus.train, package='xgboost')
data(agaricus.test, package='xgboost')
<- agaricus.train
train <- agaricus.test
test
#Random Forest - 1000 trees
<- xgboost(data = train$data, label = train$label, max_depth = 4, num_parallel_tree = 1000, subsample = 0.5, colsample_bytree =0.5, nrounds = 1, objective = "binary:logistic") bst
```

`## [1] train-logloss:0.456035`

```
#Boosting - 3 rounds
<- xgboost(data = train$data, label = train$label, max_depth = 4, nrounds = 3, objective = "binary:logistic") bst
```

```
## [1] train-logloss:0.444882
## [2] train-logloss:0.302428
## [3] train-logloss:0.212847
```

Note that the parameter

`round`

is set to`1`

.

Random Forestsis a trademark of Leo Breiman and Adele Cutler and is licensed exclusively to Salford Systems for the commercial release of the software.