About

This is an experimental Python package that reimplements AutoGBT using LightGBM and Optuna. AutoGBT is an automatically tuned machine learning classifier which won the first prize at NeurIPS'18 AutoML Challenge. AutoGBT has the following features:

• Automatic Hyperparameter Tuning: the hyperparameters of LightGBM are automatically optimized,
• Automatic Feature Engineering: simple feature engineering is applied for categorical and datetime features, and
• Automatic Sampling: data rows are sampled for handling imbalanced and large datasets.

This implementation has the following differences from original AutoGBT:

1. This implementation uses Optuna for the hyperparameter tuning of LightGBM instead of Hyperopt,
2. it optimizes k-fold cross-validation AUC score, and
3. it equips simplified scikit-learn-like API interface.

Installation

$ pip install git+https://github.com/pfnet-research/autogbt-alt.git

or

$ pip install git+ssh://git@github.com/pfnet-research/autogbt-alt.git

Usage

Basic Usage: LightGBM with Automatic Hyperparameter Tuning

from sklearn.datasets import load_breast_cancer
from sklearn.model_selection import train_test_split
from sklearn.metrics import roc_auc_score
from autogbt import AutoGBTClassifier

X, y = load_breast_cancer(return_X_y=True)
train_X, valid_X, train_y, valid_y = train_test_split(X, y, test_size=0.1)
model = AutoGBTClassifier()
model.fit(train_X, train_y)
print('valid AUC: %.3f' % (roc_auc_score(valid_y, model.predict(valid_X))))
print('CV AUC: %.3f' % (model.best_score))

Feature Engineering

from autogbt import Preprocessor

preprocessor = Preprocessor(train_frac=0.5, test_frac=0.5)
train_X, valid_X, train_y = preprocessor.transform(train_X, valid_X, train_y)

Training with Sampling

from autogbt import TrainDataSampler

sampler = TrainDataSampler(train_frac=0.5, valid_frac=0.5)
model = AutoGBTClassifier(sampler=sampler)
model.fit(train_X, train_y)
model.predict(test_X)

Experimental Evaluation

Please see benchmark directory for the details.

Comparison against Vanilla XGBoost and LightGBM

The default values are used for all hyperparameters of AutoGBT, XGBoost and LightGBM.

Airline Dataset

model	duration[s]	CV AUC
AutoGBT	6515.254±340.231	0.900±0.001
Xgboost	78.561±7.265	0.872±0.000
LightGBM	34.000±2.285	0.891±0.000

Amazon Challenge

model	duration[s]	CV AUC
AutoGBT	359.834±29.188	0.832±0.002
Xgboost	2.558±0.661	0.749±0.002
LightGBM	1.789±0.165	0.834±0.002

Avazu CTR Prediction

model	duration[s]	CV AUC
AutoGBT	20322.601±676.702	0.744±0.000
Xgboost	OoM	OoM
LightGBM	OoM	OoM

Bank Marketing Data Set

model	duration[s]	CV AUC
AutoGBT	372.090±32.857	0.925±0.001
Xgboost	2.683±0.204	0.912±0.001
LightGBM	2.406±0.236	0.927±0.001

Parameter Comparison

Performance on various train_frac and n_trials parameters

Testing

$ ./test.sh

Reference

Jobin Wilson and Amit Kumar Meher and Bivin Vinodkumar Bindu and Manoj Sharma and Vishakha Pareek and Santanu Chaudhury and Brejesh Lall, AutoGBT: Automatically Optimized Gradient Boosting Trees for Classifying Large Volume High Cardinality Data Streams under Concept-Drift, 2018, https://github.com/flytxtds/AutoGBT.