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Refactor linear modelling and add new coordinate descent updater (#3103)

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* Refactor linear modelling and add new coordinate descent updater

* Allow unsorted column iterator

* Add prediction cacheing to gblinear
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Rory Mitchell
2018-02-17 09:17:01 +13:00
committed by GitHub
parent 9ffe8596f2
commit 10eb05a63a
23 changed files with 1252 additions and 271 deletions
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doc/parameter.md
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@@ -142,11 +142,14 @@ Additional parameters for Dart Booster
Parameters for Linear Booster
-----------------------------
* lambda [default=0, alias: reg_lambda]
- L2 regularization term on weights, increase this value will make model more conservative.
- L2 regularization term on weights, increase this value will make model more conservative. Normalised to number of training examples.
* alpha [default=0, alias: reg_alpha]
- L1 regularization term on weights, increase this value will make model more conservative.
* lambda_bias [default=0, alias: reg_lambda_bias]
- L2 regularization term on bias (no L1 reg on bias because it is not important)
- L1 regularization term on weights, increase this value will make model more conservative. Normalised to number of training examples.
* updater [default='shotgun']
- Linear model algorithm
- 'shotgun': Parallel coordinate descent algorithm based on shotgun algorithm. Uses 'hogwild' parallelism and therefore produces a nondeterministic solution on each run.
- 'coord_descent': Ordinary coordinate descent algorithm. Also multithreaded but still produces a deterministic solution.
Parameters for Tweedie Regression
---------------------------------