generalized_linear_model.py

#!/usr/bin/python
import xgboost as xgb
##
#  this script demonstrate how to fit generalized linear model in xgboost
#  basically, we are using linear model, instead of tree for our boosters
##
dtrain = xgb.DMatrix('../data/agaricus.txt.train')
dtest = xgb.DMatrix('../data/agaricus.txt.test')
# change booster to gblinear, so that we are fitting a linear model
# alpha is the L1 regularizer
# lambda is the L2 regularizer
# you can also set lambda_bias which is L2 regularizer on the bias term
param = {'silent':1, 'objective':'binary:logistic', 'booster':'gblinear',
         'alpha': 0.0001, 'lambda': 1 }

# normally, you do not need to set eta (step_size)
# XGBoost uses a parallel coordinate descent algorithm (shotgun),
# there could be affection on convergence with parallelization on certain cases
# setting eta to be smaller value, e.g 0.5 can make the optimization more stable
# param['eta'] = 1

##
# the rest of settings are the same
##
watchlist  = [(dtest,'eval'), (dtrain,'train')]
num_round = 4
bst = xgb.train(param, dtrain, num_round, watchlist)
preds = bst.predict(dtest)
labels = dtest.get_label()
print ('error=%f' % ( sum(1 for i in range(len(preds)) if int(preds[i]>0.5)!=labels[i]) /float(len(preds))))