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require(xgboost)
# load in the agaricus dataset
data(agaricus.train, package='xgboost')
data(agaricus.test, package='xgboost')
dtrain <- xgb.DMatrix(agaricus.train$data, label = agaricus.train$label)
dtest <- xgb.DMatrix(agaricus.test$data, label = agaricus.test$label)
nround <- 2
param <- list(max_depth=2, eta=1, silent=1, nthread=2, objective='binary:logistic')
cat('running cross validation\n')
# do cross validation, this will print result out as
# [iteration] metric_name:mean_value+std_value
# std_value is standard deviation of the metric
xgb.cv(param, dtrain, nround, nfold=5, metrics={'error'})
cat('running cross validation, disable standard deviation display\n')
# do cross validation, this will print result out as
# [iteration] metric_name:mean_value+std_value
# std_value is standard deviation of the metric
xgb.cv(param, dtrain, nround, nfold=5,
metrics='error', showsd = FALSE)
###
# you can also do cross validation with cutomized loss function
# See custom_objective.R
##
print ('running cross validation, with cutomsized loss function')
logregobj <- function(preds, dtrain) {
labels <- getinfo(dtrain, "label")
preds <- 1/(1 + exp(-preds))
grad <- preds - labels
hess <- preds * (1 - preds)
return(list(grad = grad, hess = hess))
}
evalerror <- function(preds, dtrain) {
labels <- getinfo(dtrain, "label")
err <- as.numeric(sum(labels != (preds > 0)))/length(labels)
return(list(metric = "error", value = err))
}
param <- list(max_depth=2, eta=1, silent=1,
objective = logregobj, eval_metric = evalerror)
# train with customized objective
xgb.cv(params = param, data = dtrain, nrounds = nround, nfold = 5)
# do cross validation with prediction values for each fold
res <- xgb.cv(params = param, data = dtrain, nrounds = nround, nfold = 5, prediction = TRUE)
res$evaluation_log
length(res$pred)