Stochastic Gradient Boosted Decision Trees, usable standalone, and via Python Interface.
FastBDT: A speed-optimized and cache-friendly implementation of stochastic gradient-boosted decision trees for multivariate classification
Stochastic gradient-boosted decision trees are widely employed for multivariate classification and regression tasks. This paper presents a speed-optimized and cache-friendly implementation for multivariate classification called FastBDT. FastBDT is one order of magnitude faster during the fitting-phase and application-phase, in comparison with popular implementations in software frameworks like TMVA, scikit-learn and XGBoost. The concepts used to optimize the execution time and performance studies are discussed in detail in this paper. The key ideas include: An equal-frequency binning on the input data, which allows replacing expensive floating-point with integer operations, while at the same time increasing the quality of the classification; a cache-friendly linear access pattern to the input data, in contrast to usual implementations, which exhibit a random access pattern. FastBDT provides interfaces to C/C++ and Python. It is extensively used in the field of high energy physics by the Belle II experiment.
- cmake .
- make install
- make package (optional to build rpm, deb packages)
- python3 setup.py install (optional to install the python package)
Before you do anything you want to execute the unittests:
But usually it should be more convinient to use FastBDT as a library and integrate FastBDT directly into your application using
- the C++ shared/static library (see example/CPPExample.cxx),
- the C shared library,
- or the Python3 library python/FastBDT.py (see example/PythonExample.py ).
This work is mostly based on the papers by Jerome H. Friedman
FastBDT also implements the uGB techniques to boost to flatness: