Allow sklearn grid search over parameters specified as kwargs (#3791)

python-package/xgboost/sklearn.py

@@ -181,6 +181,27 @@ class XGBModel(XGBModelBase):
             raise XGBoostError('need to call fit or load_model beforehand')
         return self._Booster
 
+    def set_params(self, **params):
+        """Set the parameters of this estimator.
+        Modification of the sklearn method to allow unknown kwargs. This allows using
+        the full range of xgboost parameters that are not defined as member variables
+        in sklearn grid search.
+        Returns
+        -------
+        self
+        """
+        if not params:
+            # Simple optimization to gain speed (inspect is slow)
+            return self
+
+        for key, value in params.items():
+            if hasattr(self, key):
+                setattr(self, key, value)
+            else:
+                self.kwargs[key] = value
+
+        return self
+
     def get_params(self, deep=False):
         """Get parameters."""
         params = super(XGBModel, self).get_params(deep=deep)

tests/python/test_with_sklearn.py

@@ -396,6 +396,27 @@ def test_kwargs():
     assert clf.get_params()['n_estimators'] == 1000
 
 
+def test_kwargs_grid_search():
+    tm._skip_if_no_sklearn()
+    from sklearn.model_selection import GridSearchCV
+    from sklearn import datasets
+
+    params = {'tree_method': 'hist'}
+    clf = xgb.XGBClassifier(n_estimators=1, learning_rate=1.0, **params)
+    assert clf.get_params()['tree_method'] == 'hist'
+    # 'max_leaves' is not a default argument of XGBClassifier
+    # Check we can still do grid search over this parameter
+    search_params = {'max_leaves': range(2, 5)}
+    grid_cv = GridSearchCV(clf, search_params, cv=5)
+    iris = datasets.load_iris()
+    grid_cv.fit(iris.data, iris.target)
+
+    # Expect unique results for each parameter value
+    # This confirms sklearn is able to successfully update the parameter
+    means = grid_cv.cv_results_['mean_test_score']
+    assert len(means) == len(set(means))
+
+
 @raises(TypeError)
 def test_kwargs_error():
     tm._skip_if_no_sklearn()