Implement robust regularization in 'survival:aft' objective (#5473)

* Robust regularization of AFT gradient and hessian

* Fix AFT doc; expose it to tutorial TOC

* Apply robust regularization to uncensored case too

* Revise unit test slightly

* Fix lint

* Update test_survival.py

* Use GradientPairPrecise

* Remove unused variables
This commit is contained in:
Philip Hyunsu Cho
2020-04-04 12:21:24 -07:00
committed by GitHub
parent 939973630d
commit 5fc5ec539d
9 changed files with 205 additions and 42 deletions

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@@ -68,7 +68,7 @@ Note that this model is a generalized form of a linear regression model :math:`Y
\ln{Y} = \mathcal{T}(\mathbf{x}) + \sigma Z
where :math:`\mathcal{T}(\mathbf{x})` represents the output from a decision tree ensemble, given input :math:`\mathbf{x}`. Since :math:`Z` is a random variable, we have a likelihood defined for the expression :math:`\ln{Y} = \mathcal{T}(\mathbf{x}) + \sigma Z`. So the goal for XGBoost is to maximize the (log) likelihood by fitting a good tree ensemble :math:`\mathbf{x}`.
where :math:`\mathcal{T}(\mathbf{x})` represents the output from a decision tree ensemble, given input :math:`\mathbf{x}`. Since :math:`Z` is a random variable, we have a likelihood defined for the expression :math:`\ln{Y} = \mathcal{T}(\mathbf{x}) + \sigma Z`. So the goal for XGBoost is to maximize the (log) likelihood by fitting a good tree ensemble :math:`\mathcal{T}(\mathbf{x})`.
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How to use

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@@ -18,6 +18,7 @@ See `Awesome XGBoost <https://github.com/dmlc/xgboost/tree/master/demo>`_ for mo
monotonic
rf
feature_interaction_constraint
aft_survival_analysis
input_format
param_tuning
external_memory