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Experiments

Comparison Experiment

For the detailed experiment scripts and output logs, please refer to this repo.

Data

We used 5 datasets to conduct our comparison experiments. Details of data are listed in the following table:

Data Task Link #Train_Set #Feature Comments
Higgs Binary classification link 10,500,000 28 last 500,000 samples were used as test set
Yahoo LTR Learning to rank link 473,134 700 set1.train as train, set1.test as test
MS LTR Learning to rank link 2,270,296 137 {S1,S2,S3} as train set, {S5} as test set
Expo Binary classification link 11,000,000 700 last 1,000,000 samples were used as test set
Allstate Binary classification link 13,184,290 4228 last 1,000,000 samples were used as test set

Environment

We ran all experiments on a single Linux server with the following specifications:

OS CPU Memory
Ubuntu 14.04 LTS 2 * E5-2670 v3 DDR4 2133Mhz, 256GB

Baseline

We used xgboost as a baseline.

Both xgboost and LightGBM were built with OpenMP support.

Settings

We set up total 3 settings for experiments. The parameters of these settings are:

  1. xgboost:

    eta = 0.1
    max_depth = 8
    num_round = 500
    nthread = 16
    tree_method = exact
    min_child_weight = 100
    
  2. xgboost_hist (using histogram based algorithm):

    eta = 0.1
    num_round = 500
    nthread = 16
    tree_method = approx
    min_child_weight = 100
    tree_method = hist
    grow_policy = lossguide
    max_depth = 0
    max_leaves = 255
    
  3. LightGBM:

    learning_rate = 0.1
    num_leaves = 255
    num_trees = 500
    num_threads = 16
    min_data_in_leaf = 0
    min_sum_hessian_in_leaf = 100
    

xgboost grows trees depth-wise and controls model complexity by max_depth. LightGBM uses a leaf-wise algorithm instead and controls model complexity by num_leaves. So we cannot compare them in the exact same model setting. For the tradeoff, we use xgboost with max_depth=8, which will have max number leaves to 255, to compare with LightGBM with num_leaves=255.

Other parameters are default values.

Result

Speed

We compared speed using only the training task without any test or metric output. We didn't count the time for IO.

The following table is the comparison of time cost:

Data xgboost xgboost_hist LightGBM
Higgs 3794.34 s 551.898 s 238.505513 s
Yahoo LTR 674.322 s 265.302 s 150.18644 s
MS LTR 1251.27 s 385.201 s 215.320316 s
Expo 1607.35 s 588.253 s 138.504179 s
Allstate 2867.22 s 1355.71 s 348.084475 s

LightGBM ran faster than xgboost on all experiment data sets.

Accuracy

We computed all accuracy metrics only on the test data set.

Data Metric xgboost xgboost_hist LightGBM
Higgs AUC 0.839593 0.845605 0.845154
Yahoo LTR NDCG1 0.719748 0.720223 0.732466
NDCG3 0.717813 0.721519 0.738048
NDCG5 0.737849 0.739904 0.756548
NDCG10 0.78089 0.783013 0.796818
MS LTR NDCG1 0.483956 0.488649 0.524255
NDCG3 0.467951 0.473184 0.505327
NDCG5 0.472476 0.477438 0.510007
NDCG10 0.492429 0.496967 0.527371
Expo AUC 0.756713 0.777777 0.777543
Allstate AUC 0.607201 0.609042 0.609167

Memory Consumption

We monitored RES while running training task. And we set two_round=true (this will increase data-loading time and reduce peak memory usage but not affect training speed or accuracy) in LightGBM to reduce peak memory usage.

Data xgboost xgboost_hist LightGBM
Higgs 4.853GB 3.784GB 0.868GB
Yahoo LTR 1.907GB 1.468GB 0.831GB
MS LTR 5.469GB 3.654GB 0.886GB
Expo 1.553GB 1.393GB 0.543GB
Allstate 6.237GB 4.990GB 1.027GB

Parallel Experiment

Data

We used a terabyte click log dataset to conduct parallel experiments. Details are listed in following table:

Data Task Link #Data #Feature
Criteo Binary classification link 1,700,000,000 67

This data contains 13 integer features and 26 categorical features for 24 days of click logs. We statisticized the clickthrough rate (CTR) and count for these 26 categorical features from the first ten days. Then we used next ten days' data, after replacing the categorical features by the corresponding CTR and count, as training data. The processed training data have a total of 1.7 billions records and 67 features.

Environment

We ran our experiments on 16 Windows servers with the following specifications:

OS CPU Memory Network Adapter
Windows Server 2012 2 * E5-2670 v2 DDR3 1600Mhz, 256GB Mellanox ConnectX-3, 54Gbps, RDMA support

Settings

learning_rate = 0.1
num_leaves = 255
num_trees = 100
num_thread = 16
tree_learner = data

We used data parallel here because this data is large in #data but small in #feature. Other parameters were default values.

Results

#Machine Time per Tree Memory Usage(per Machine)
1 627.8 s 176GB
2 311 s 87GB
4 156 s 43GB
8 80 s 22GB
16 42 s 11GB

The results show that LightGBM achieves a linear speedup with parallel learning.

GPU Experiments

Refer to GPU Performance.

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