RemixAutoML

R package for automation of machine learning, forecasting, feature engineering, model evaluation, model interpretation, recommenders, and EDA.

Version: 1.0.0
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AutoQuant Reference Manual

AutoQuant Reference Manual

Companion Packages:

  • Quantico
  • Rodeo
  • AutoPlots

Table of Contents

Documentation + Code Examples

Background

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Automated Machine Learning - In my view, AutoML should consist of functions to help make professional model development and operationalization more efficient. The functions in this package are there to help no matter which part of the ML lifecycle you are working on. The functions in this package have been tested across a variety of industries and have consistently outperformed competing methods.

Package Details

Supervised Learning - Currently, I’m utilizing CatBoost, LightGBM, XGBoost, and H2O for all of the automated Machine Learning related functions. GPU’s can be utilized with CatBoost, LightGBM, and XGBoost, while those and the H2O models can all utilize 100% of CPU. Multi-armed bandit grid tuning is available for CatBoost, LightGBM, and XGBoost models, which utilize the concept of randomized probability matching, which is detailed in the R pacakge “bandit”. My choice of included ML algorithms in the package is based on previous success when compared against other algorithms on real world use cases, the additional utilities these packages offer aside from accurate predictions, their ability to work on big data, and the fact that they’re available in both R and Python which makes managing multiple languages a little more seamless in a professional setting.

Documentation - Each exported function in the package has a help file and can be viewed in your RStudio session, e.g. ?Rodeo::ModelDataPrep. Many of them come with examples coded up in the help files (at the bottom) that you can run to get a feel for how to set the parameters. There’s also a listing of exported functions by category with code examples at the bottom of this readme. You can also jump into the R folder here to dig into the source code.

Overall process: Typically, I go to the warehouse to get all of my base features and then I run through all the relevant feature engineering functions in this package. Personally, I set up templates for features engineering, model training optimization, and model scoring (including feature engineering for scoring). I collect all relevant metdata in a list that is shared across templates and as a result, I never have to touch the model scoring template, which makes operationalize and maintenace a breeze. I can simply list out the columns of interest, which feature engineering functions I want to utilize, and then I simply kick off some command line scripts and everything else is automatically managed.

Installation

The Description File is designed to require only the minimum number of packages to install AutoQuant. However, in order to utilize most of the functions in the package, you’ll have to install additional libraries. I set it up this way on purpose. You don’t need to install every single possible dependency if you are only interested in using a few of the functions. For example, if you only want to use CatBoost then install the catboost package and forget about the h2o, xgboost, and lightgbm packages. This is one of the primary benefits of not hosting an R package on cran, as they require dependencies to be part of the Imports section on the Description File, which subsequently requires users to have all dependencies installed in order to install the package.

The minimal set of packages that need to be installed are below. The full list can be found by expanding the section (Expand to view content).

  • bit64
  • data.table
  • doParallel
  • foreach
  • lubridate
  • timeDate

# Core pacakges
if(!("data.table" %in% rownames(installed.packages()))) install.packages("data.table"); print("data.table")
if(!("collapse" %in% rownames(installed.packages()))) install.packages("collapse"); print("collapse")
if(!("bit64" %in% rownames(installed.packages()))) install.packages("bit64"); print("bit64")
if(!("devtools" %in% rownames(installed.packages()))) install.packages("devtools"); print("devtools")
if(!("doParallel" %in% rownames(installed.packages()))) install.packages("doParallel"); print("doParallel")
if(!("foreach" %in% rownames(installed.packages()))) install.packages("foreach"); print("foreach")
if(!("lubridate" %in% rownames(installed.packages()))) install.packages("lubridate"); print("lubridate")
if(!("timeDate" %in% rownames(installed.packages()))) install.packages("timeDate"); print("timeDate")

# AutoQuant
devtools::install_github('AdrianAntico/AutoQuant', upgrade = FALSE, dependencies = FALSE, force = TRUE)
Additional Packages to Install

Install ALL R package dependencies for all functions:

XGBoost and LightGBM can be used with GPU. However, their installation is much more involved than CatBoost, which comes with GPU capabilities simply by installing their package. The installation instructions for them below is for the CPU version only. Refer to each’s home page for instructions for installing for GPU.

# Install Dependencies----
if(!("devtools" %in% rownames(installed.packages()))) install.packages("devtools"); print("devtools")

# Core pacakges
if(!("data.table" %in% rownames(installed.packages()))) install.packages("data.table"); print("data.table")
if(!("collapse" %in% rownames(installed.packages()))) install.packages("collapse"); print("collapse")
if(!("bit64" %in% rownames(installed.packages()))) install.packages("bit64"); print("bit64")
if(!("devtools" %in% rownames(installed.packages()))) install.packages("devtools"); print("devtools")
if(!("doParallel" %in% rownames(installed.packages()))) install.packages("doParallel"); print("doParallel")
if(!("foreach" %in% rownames(installed.packages()))) install.packages("foreach"); print("foreach")
if(!("lubridate" %in% rownames(installed.packages()))) install.packages("lubridate"); print("lubridate")
if(!("timeDate" %in% rownames(installed.packages()))) install.packages("timeDate"); print("timeDate")

# Additional dependencies for specific use cases
if(!("combinat" %in% rownames(installed.packages()))) install.packages("combinat"); print("combinat")
if(!("DBI" %in% rownames(installed.packages()))) install.packages("DBI"); print("DBI")
if(!("e1071" %in% rownames(installed.packages()))) install.packages("e1071"); print("e1071")
if(!("fBasics" %in% rownames(installed.packages()))) install.packages("fBasics"); print("fBasics")
if(!("forecast" %in% rownames(installed.packages()))) install.packages("forecast"); print("forecast")
if(!("fpp" %in% rownames(installed.packages()))) install.packages("fpp"); print("fpp")
if(!("ggplot2" %in% rownames(installed.packages()))) install.packages("ggplot2"); print("ggplot2")
if(!("gridExtra" %in% rownames(installed.packages()))) install.packages("gridExtra"); print("gridExtra")
if(!("itertools" %in% rownames(installed.packages()))) install.packages("itertools"); print("itertools")
if(!("MLmetrics" %in% rownames(installed.packages()))) install.packages("MLmetrics"); print("MLmetrics")
if(!("nortest" %in% rownames(installed.packages()))) install.packages("nortest"); print("nortest")
if(!("pROC" %in% rownames(installed.packages()))) install.packages("pROC"); print("pROC")
if(!("RColorBrewer" %in% rownames(installed.packages()))) install.packages("RColorBrewer"); print("RColorBrewer")
if(!("recommenderlab" %in% rownames(installed.packages()))) install.packages("recommenderlab"); print("recommenderlab")
if(!("RPostgres" %in% rownames(installed.packages()))) install.packages("RPostgres"); print("RPostgres")
if(!("Rfast" %in% rownames(installed.packages()))) install.packages("Rfast"); print("Rfast")
if(!("scatterplot3d" %in% rownames(installed.packages()))) install.packages("scatterplot3d"); print("scatterplot3d")
if(!("stringr" %in% rownames(installed.packages()))) install.packages("stringr"); print("stringr")
if(!("tsoutliers" %in% rownames(installed.packages()))) install.packages("tsoutliers"); print("tsoutliers")
if(!("xgboost" %in% rownames(installed.packages()))) install.packages("xgboost"); print("xgboost")
if(!("lightgbm" %in% rownames(installed.packages()))) install.packages("lightgbm"); print("lightgbm")
if(!("regmedint" %in% rownames(installed.packages()))) install.packages("regmedint"); print("regmedint")
for(pkg in c("RCurl","jsonlite")) if (! (pkg %in% rownames(installed.packages()))) { install.packages(pkg) }
install.packages("h2o", type = "source", repos = (c("http://h2o-release.s3.amazonaws.com/h2o/latest_stable_R")))
devtools::install_github('catboost/catboost', subdir = 'catboost/R-package')

# Dependencies for ML Reports
if(!("reactable" %in% rownames(installed.packages()))) install.packages("reactable"); print("reactable")
devtools::install_github('AdrianAntico/prettydoc', upgrade = FALSE, dependencies = FALSE, force = TRUE)

# And lastly, AutoQuant
devtools::install_github('AdrianAntico/AutoQuant', upgrade = FALSE, dependencies = FALSE, force = TRUE)

Installation Troubleshooting

The most common issue some users are having when trying to install AutoQuant is the installation of the catboost package dependency. Since catboost is not on CRAN it can only be installed through GitHub. To install catboost without error (and consequently install AutoQuant without error), try running this line of code first, then restart your R session, then re-run the 2-step installation process above. (Reference):
If you’re still having trouble submit an issue and I’ll work with you to get it installed.

# Method for on premise servers
options(devtools.install.args = c("--no-multiarch", "--no-test-load"))
install.packages("https://github.com/catboost/catboost/releases/download/<version>/catboost-R-Windows-<version>.tgz", repos = NULL, type = "source", INSTALL_opts = c("--no-multiarch", "--no-test-load"))

# Method for azure machine learning Designer pipelines

## catboost
install.packages("https://github.com/catboost/catboost/releases/download/<version>/catboost-R-Windows-<version>.tgz", repos = NULL, type = "source", INSTALL_opts = c("--no-multiarch", "--no-test-load"))

## AutoQuant
install.packages("https://github.com/AdrianAntico/AutoQuant/archive/refs/tags/<version>.tar.gz", repos = NULL, type = "source", INSTALL_opts = c("--no-multiarch", "--no-test-load"))

Usage

Supervised Learning

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Regression

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Regression Description

The Auto_Regression() models handle a multitude of tasks. In order:

  1. Convert your data to data.table format for faster processing
  2. Transform your target variable using the best normalization method based on the AutoTransformationCreate() function
  3. Create train, validation, and test data, utilizing the AutoDataPartition() function, if you didn’t supply those directly to the function
  4. Consoldate columns that are used for modeling and what metadata you want returned in your test data with predictions
  5. Dichotomize categorical variables (for AutoXGBoostRegression()) and save the factor levels for scoring in a way that guarentees consistency across training, validation, and test data sets, utilizing the DummifyDT() function
  6. Save the final modeling column names for reference
  7. Handles the data conversion to the appropriate modeling type, such as CatBoost, H2O, and XGBoost
  8. Multi-armed bandit hyperparameter tuning using randomized probability matching, if you choose to grid tune
  9. Loop through the grid-tuning process, building N models
  10. Collect the evaluation metrics for each grid tune run
  11. Identify the best model of the set of models built in the grid tuning search
  12. Save the hyperparameters from the winning grid tuned model
  13. Build the final model based on the best model from the grid tuning model search (I remove each model after evaluation metrics are generated in the grid tune to avoid memory overflow)
  14. Back-transform your predictions based on the best transformation used earlier in the process
  15. Collect evaluation metrics based on performance on test data (based on back-transformed data)
  16. Store the final predictions with the associated test data and other columns you want included in that set
  17. Save your transformation metadata for recreating them in a scoring process
  18. Build out and save an Evaluation Calibration Line Plot and Evaluation Calibration Box-Plot, using the EvalPlot() function
  19. Generate and save Variable Importance
  20. Generate and save Partital Dependence Calibration Line Plots and Partital Dependence Calibration Box-Plots, using the ParDepPlots() function
  21. Return all the objects generated in a named list for immediate use and evaluation

CatBoost Example

# Create some dummy correlated data
data <- AutoQuant::FakeDataGenerator(
  Correlation = 0.85,
  N = 10000,
  ID = 2,
  ZIP = 0,
  AddDate = FALSE,
  Classification = FALSE,
  MultiClass = FALSE)

# Run function
TestModel <- AutoQuant::AutoCatBoostRegression(

  # GPU or CPU and the number of available GPUs
  TrainOnFull = FALSE,
  task_type = 'GPU',
  NumGPUs = 1,
  DebugMode = FALSE,

  # Metadata args
  OutputSelection = c('Importances', 'EvalPlots', 'EvalMetrics', 'Score_TrainData'),
  ModelID = 'Test_Model_1',
  model_path = normalizePath('./'),
  metadata_path = normalizePath('./'),
  SaveModelObjects = FALSE,
  SaveInfoToPDF = FALSE,
  ReturnModelObjects = TRUE,

  # Data args
  data = data,
  ValidationData = NULL,
  TestData = NULL,
  TargetColumnName = 'Adrian',
  FeatureColNames = names(data)[!names(data) %in%
    c('IDcol_1', 'IDcol_2','Adrian')],
  PrimaryDateColumn = NULL,
  WeightsColumnName = NULL,
  IDcols = c('IDcol_1','IDcol_2'),
  TransformNumericColumns = 'Adrian',
  Methods = c('BoxCox', 'Asinh', 'Asin', 'Log',
    'LogPlus1', 'Sqrt', 'Logit'),

  # Model evaluation
  eval_metric = 'RMSE',
  eval_metric_value = 1.5,
  loss_function = 'RMSE',
  loss_function_value = 1.5,
  MetricPeriods = 10L,
  NumOfParDepPlots = ncol(data)-1L-2L,

  # Grid tuning args
  PassInGrid = NULL,
  GridTune = FALSE,
  MaxModelsInGrid = 30L,
  MaxRunsWithoutNewWinner = 20L,
  MaxRunMinutes = 60*60,
  BaselineComparison = 'default',

  # ML args
  langevin = FALSE,
  diffusion_temperature = 10000,
  Trees = 1000,
  Depth = 9,
  L2_Leaf_Reg = NULL,
  RandomStrength = 1,
  BorderCount = 128,
  LearningRate = NULL,
  RSM = 1,
  BootStrapType = NULL,
  GrowPolicy = 'SymmetricTree',
  model_size_reg = 0.5,
  feature_border_type = 'GreedyLogSum',
  sampling_unit = 'Object',
  subsample = NULL,
  score_function = 'Cosine',
  min_data_in_leaf = 1)

XGBoost Example

# Create some dummy correlated data
data <- AutoQuant::FakeDataGenerator(
  Correlation = 0.85,
  N = 1000,
  ID = 2,
  ZIP = 0,
  AddDate = FALSE,
  Classification = FALSE,
  MultiClass = FALSE)

# Run function
TestModel <- AutoQuant::AutoXGBoostRegression(
  
  # GPU or CPU
  TreeMethod = 'hist',
  NThreads = parallel::detectCores(),
  LossFunction = 'reg:squarederror',
  
  # Metadata args
  OutputSelection = c('Importances', 'EvalPlots', 'EvalMetrics', 'Score_TrainData'),
  model_path = normalizePath("./"),
  metadata_path = NULL,
  ModelID = "Test_Model_1",
  EncodingMethod = "binary",
  ReturnFactorLevels = TRUE,
  ReturnModelObjects = TRUE,
  SaveModelObjects = FALSE,
  SaveInfoToPDF = FALSE,
  DebugMode = FALSE,
  
  # Data args
  data = data,
  TrainOnFull = FALSE,
  ValidationData = NULL,
  TestData = NULL,
  TargetColumnName = "Adrian",
  FeatureColNames = names(data)[!names(data) %in% c('IDcol_1','IDcol_2','Adrian')],
  PrimaryDateColumn = NULL,
  WeightsColumnName = NULL,
  IDcols = c('IDcol_1','IDcol_2'),
  TransformNumericColumns = 'Adrian',
  Methods = c('Asinh','Asin','Log','LogPlus1','Sqrt','Logit'),
  
  # Model evaluation args
  eval_metric = 'rmse',
  NumOfParDepPlots = 3L,
  
  # Grid tuning args
  PassInGrid = NULL,
  GridTune = FALSE,
  grid_eval_metric = 'r2',
  BaselineComparison = 'default',
  MaxModelsInGrid = 10L,
  MaxRunsWithoutNewWinner = 20L,
  MaxRunMinutes = 24L*60L,
  Verbose = 1L,
  
  # ML args
  Trees = 50L,
  eta = 0.05,
  max_depth = 4L,
  min_child_weight = 1.0,
  subsample = 0.55,
  colsample_bytree = 0.55)

LightGBM Example

# Create some dummy correlated data
data <- AutoQuant::FakeDataGenerator(
  Correlation = 0.85,
  N = 1000,
  ID = 2,
  ZIP = 0,
  AddDate = FALSE,
  Classification = FALSE,
  MultiClass = FALSE)

# Run function
TestModel <- AutoQuant::AutoLightGBMRegression(

  # Metadata args
  OutputSelection = c('Importances','EvalPlots','EvalMetrics','Score_TrainData'),
  model_path = normalizePath('./'),
  metadata_path = NULL,
  ModelID = 'Test_Model_1',
  NumOfParDepPlots = 3L,
  EncodingMethod = 'credibility',
  ReturnFactorLevels = TRUE,
  ReturnModelObjects = TRUE,
  SaveModelObjects = FALSE,
  SaveInfoToPDF = FALSE,
  DebugMode = FALSE,

  # Data args
  data = data,
  TrainOnFull = FALSE,
  ValidationData = NULL,
  TestData = NULL,
  TargetColumnName = 'Adrian',
  FeatureColNames = names(data)[!names(data) %in% c('IDcol_1', 'IDcol_2','Adrian')],
  PrimaryDateColumn = NULL,
  WeightsColumnName = NULL,
  IDcols = c('IDcol_1','IDcol_2'),
  TransformNumericColumns = NULL,
  Methods = c('Asinh','Asin','Log','LogPlus1','Sqrt','Logit'),

  # Grid parameters
  GridTune = FALSE,
  grid_eval_metric = 'r2',
  BaselineComparison = 'default',
  MaxModelsInGrid = 10L,
  MaxRunsWithoutNewWinner = 20L,
  MaxRunMinutes = 24L*60L,
  PassInGrid = NULL,

  # Core parameters
  # https://lightgbm.readthedocs.io/en/latest/Parameters.html#core-parameters
  input_model = NULL, # continue training a model that is stored to file
  task = 'train',
  device_type = 'CPU',
  NThreads = parallel::detectCores() / 2,
  objective = 'regression',
  metric = 'rmse',
  boosting = 'gbdt',
  LinearTree = FALSE,
  Trees = 50L,
  eta = NULL,
  num_leaves = 31,
  deterministic = TRUE,

  # Learning Parameters
  # https://lightgbm.readthedocs.io/en/latest/Parameters.html#learning-control-parameters
  force_col_wise = FALSE,
  force_row_wise = FALSE,
  max_depth = NULL,
  min_data_in_leaf = 20,
  min_sum_hessian_in_leaf = 0.001,
  bagging_freq = 0,
  bagging_fraction = 1.0,
  feature_fraction = 1.0,
  feature_fraction_bynode = 1.0,
  extra_trees = FALSE,
  early_stopping_round = 10,
  first_metric_only = TRUE,
  max_delta_step = 0.0,
  lambda_l1 = 0.0,
  lambda_l2 = 0.0,
  linear_lambda = 0.0,
  min_gain_to_split = 0,
  drop_rate_dart = 0.10,
  max_drop_dart = 50,
  skip_drop_dart = 0.50,
  uniform_drop_dart = FALSE,
  top_rate_goss = FALSE,
  other_rate_goss = FALSE,
  monotone_constraints = NULL,
  monotone_constraints_method = 'advanced',
  monotone_penalty = 0.0,
  forcedsplits_filename = NULL, # use for AutoStack option; .json file
  refit_decay_rate = 0.90,
  path_smooth = 0.0,

  # IO Dataset Parameters
  # https://lightgbm.readthedocs.io/en/latest/Parameters.html#io-parameters
  max_bin = 255,
  min_data_in_bin = 3,
  data_random_seed = 1,
  is_enable_sparse = TRUE,
  enable_bundle = TRUE,
  use_missing = TRUE,
  zero_as_missing = FALSE,
  two_round = FALSE,

  # Convert Parameters
  convert_model = NULL,
  convert_model_language = 'cpp',

  # Objective Parameters
  # https://lightgbm.readthedocs.io/en/latest/Parameters.html#objective-parameters
  boost_from_average = TRUE,
  alpha = 0.90,
  fair_c = 1.0,
  poisson_max_delta_step = 0.70,
  tweedie_variance_power = 1.5,
  lambdarank_truncation_level = 30,

  # Metric Parameters (metric is in Core)
  # https://lightgbm.readthedocs.io/en/latest/Parameters.html#metric-parameters
  is_provide_training_metric = TRUE,
  eval_at = c(1,2,3,4,5),

  # Network Parameters
  # https://lightgbm.readthedocs.io/en/latest/Parameters.html#network-parameters
  num_machines = 1,

  # GPU Parameters
  # https://lightgbm.readthedocs.io/en/latest/Parameters.html#gpu-parameters
  gpu_platform_id = -1,
  gpu_device_id = -1,
  gpu_use_dp = TRUE,
  num_gpu = 1)

H2O-GBM Example

# Create some dummy correlated data
data <- AutoQuant::FakeDataGenerator(
  Correlation = 0.85,
  N = 1000,
  ID = 2,
  ZIP = 0,
  AddDate = FALSE,
  Classification = FALSE,
  MultiClass = FALSE)

# Run function
TestModel <- AutoQuant::AutoH2oGBMRegression(
  
  # Compute management
  MaxMem = {gc();paste0(as.character(floor(as.numeric(system("awk '/MemFree/ {print $2}' /proc/meminfo", intern=TRUE)) / 1000000)),"G")},
  NThreads = max(1, parallel::detectCores()-2),
  H2OShutdown = TRUE,
  H2OStartUp = TRUE,
  IfSaveModel = "mojo",
  
  # Model evaluation
  NumOfParDepPlots = 3,
  
  # Metadata arguments:
  model_path = normalizePath("./"),
  metadata_path = file.path(normalizePath("./")),
  ModelID = "FirstModel",
  ReturnModelObjects = TRUE,
  SaveModelObjects = FALSE,
  SaveInfoToPDF = FALSE,
  
  # Data arguments
  data = data,
  TrainOnFull = FALSE,
  ValidationData = NULL,
  TestData = NULL,
  TargetColumnName = 'Adrian',
  FeatureColNames = names(data)[!names(data) %in% c('IDcol_1','IDcol_2','Adrian')],
  WeightsColumn = NULL,
  TransformNumericColumns = NULL,
  Methods = c('Asinh','Asin','Log','LogPlus1','Sqrt','Logit'),
  
  # ML grid tuning args
  GridTune = FALSE,
  GridStrategy = "Cartesian",
  MaxRuntimeSecs = 60*60*24,
  StoppingRounds = 10,
  MaxModelsInGrid = 2,
  
  # Model args
  Trees = 50,
  LearnRate = 0.10,
  LearnRateAnnealing = 1,
  eval_metric = "RMSE",
  Alpha = NULL,
  Distribution = "poisson",
  MaxDepth = 20,
  SampleRate = 0.632,
  ColSampleRate = 1,
  ColSampleRatePerTree = 1,
  ColSampleRatePerTreeLevel  = 1,
  MinRows = 1,
  NBins = 20,
  NBinsCats = 1024,
  NBinsTopLevel = 1024,
  HistogramType = "AUTO",
  CategoricalEncoding = "AUTO")

H2O-DRF Example

# Create some dummy correlated data
data <- AutoQuant::FakeDataGenerator(
  Correlation = 0.85,
  N = 1000,
  ID = 2,
  ZIP = 0,
  AddDate = FALSE,
  Classification = FALSE,
  MultiClass = FALSE)

# Run function
TestModel <- AutoQuant::AutoH2oDRFRegression(
  
  # Compute management
  MaxMem = {gc();paste0(as.character(floor(as.numeric(system("awk '/MemFree/ {print $2}' /proc/meminfo", intern=TRUE)) / 1000000)),"G")},
  NThreads = max(1L, parallel::detectCores() - 2L),
  H2OShutdown = TRUE,
  H2OStartUp = TRUE,
  IfSaveModel = "mojo",
  
  # Model evaluation:
  eval_metric = "RMSE",
  NumOfParDepPlots = 3,
  
  # Metadata arguments:
  model_path = normalizePath("./"),
  metadata_path = NULL,
  ModelID = "FirstModel",
  ReturnModelObjects = TRUE,
  SaveModelObjects = FALSE,
  SaveInfoToPDF = FALSE,
  
  # Data Args
  data = data,
  TrainOnFull = FALSE,
  ValidationData = NULL,
  TestData = NULL,
  TargetColumnName = "Adrian",
  FeatureColNames = names(data)[!names(data) %in% c("IDcol_1", "IDcol_2","Adrian")],
  WeightsColumn = NULL,
  TransformNumericColumns = NULL,
  Methods = c("Asinh", "Asin", "Log", "LogPlus1", "Sqrt", "Logit"),
  
  # Grid Tuning Args
  GridStrategy = "Cartesian",
  GridTune = FALSE,
  MaxModelsInGrid = 10,
  MaxRuntimeSecs = 60*60*24,
  StoppingRounds = 10,
  
  # ML Args
  Trees = 50,
  MaxDepth = 20,
  SampleRate = 0.632,
  MTries = -1,
  ColSampleRatePerTree = 1,
  ColSampleRatePerTreeLevel = 1,
  MinRows = 1,
  NBins = 20,
  NBinsCats = 1024,
  NBinsTopLevel = 1024,
  HistogramType = "AUTO",
  CategoricalEncoding = "AUTO")

H2O-GLM Example

# Create some dummy correlated data
data <- AutoQuant::FakeDataGenerator(
  Correlation = 0.85,
  N = 1000,
  ID = 2,
  ZIP = 0,
  AddDate = FALSE,
  Classification = FALSE,
  MultiClass = FALSE)

# Run function
TestModel <- AutoQuant::AutoH2oGLMRegression(
  
  # Compute management
  MaxMem = {gc();paste0(as.character(floor(as.numeric(system("awk '/MemFree/ {print $2}' /proc/meminfo", intern=TRUE)) / 1000000)),"G")},
  NThreads = max(1, parallel::detectCores()-2),
  H2OShutdown = TRUE,
  H2OStartUp = TRUE,
  IfSaveModel = "mojo",
  
  # Model evaluation:
  eval_metric = "RMSE",
  NumOfParDepPlots = 3,
  
  # Metadata arguments:
  model_path = NULL,
  metadata_path = NULL,
  ModelID = "FirstModel",
  ReturnModelObjects = TRUE,
  SaveModelObjects = FALSE,
  SaveInfoToPDF = FALSE,
  
  # Data arguments:
  data = data,
  TrainOnFull = FALSE,
  ValidationData = NULL,
  TestData = NULL,
  TargetColumnName = "Adrian",
  FeatureColNames = names(data)[!names(data) %in% c("IDcol_1", "IDcol_2","Adrian")],
  RandomColNumbers = NULL,
  InteractionColNumbers = NULL,
  WeightsColumn = NULL,
  TransformNumericColumns = NULL,
  Methods = c("Asinh", "Asin", "Log", "LogPlus1", "Sqrt", "Logit"),
  
  # Model args
  GridTune = FALSE,
  GridStrategy = "Cartesian",
  StoppingRounds = 10,
  MaxRunTimeSecs = 3600 * 24 * 7,
  MaxModelsInGrid = 10,
  Distribution = "gaussian",
  Link = "identity",
  TweedieLinkPower = NULL,
  TweedieVariancePower = NULL,
  RandomDistribution = NULL,
  RandomLink = NULL,
  Solver = "AUTO",
  Alpha = NULL,
  Lambda = NULL,
  LambdaSearch = FALSE,
  NLambdas = -1,
  Standardize = TRUE,
  RemoveCollinearColumns = FALSE,
  InterceptInclude = TRUE,
  NonNegativeCoefficients = FALSE)

H2O-AutoML Example

# Create some dummy correlated data with numeric and categorical features
data <- AutoQuant::FakeDataGenerator(
  Correlation = 0.85,
  N = 1000,
  ID = 2,
  ZIP = 0,
  AddDate = FALSE,
  Classification = FALSE,
  MultiClass = FALSE)

# Run function
TestModel <- AutoQuant::AutoH2oMLRegression(

  # Compute management
  MaxMem = "32G",
  NThreads = max(1, parallel::detectCores()-2),
  H2OShutdown = TRUE,
  IfSaveModel = "mojo",

  # Model evaluation
  eval_metric = "RMSE",
  NumOfParDepPlots = 3,

  # Metadata arguments
  model_path = NULL,
  metadata_path = NULL,
  ModelID = "FirstModel",
  ReturnModelObjects = TRUE,
  SaveModelObjects = FALSE,

  # Data arguments
  TrainOnFull = FALSE,
  ValidationData = NULL,
  TestData = NULL,
  TargetColumnName = "Adrian",
  FeatureColNames = names(data)[!names(data) %in% c("IDcol_1", "IDcol_2","Adrian")],
  TransformNumericColumns = NULL,
  Methods = c("Asinh", "Asin", "Log", "LogPlus1", "Logit"),

  # Model args
  GridTune = FALSE,
  ExcludeAlgos = NULL,
  Trees = 50,
  MaxModelsInGrid = 10)

H2O-GAM Example

# Create some dummy correlated data
data <- AutoQuant::FakeDataGenerator(
  Correlation = 0.85,
  N = 1000,
  ID = 2,
  ZIP = 0,
  AddDate = FALSE,
  Classification = FALSE,
  MultiClass = FALSE)

# Define GAM Columns to use - up to 9 are allowed
GamCols <- names(which(unlist(lapply(data, is.numeric))))
GamCols <- GamCols[!GamCols %in% c("Adrian","IDcol_1","IDcol_2")]
GamCols <- GamCols[1L:(min(9L,length(GamCols)))]

# Run function
TestModel <- AutoQuant::AutoH2oGAMRegression(
  
  # Compute management
  MaxMem = {gc();paste0(as.character(floor(as.numeric(system("awk '/MemFree/ {print $2}' /proc/meminfo", intern=TRUE)) / 1000000)),"G")},
  NThreads = max(1, parallel::detectCores()-2),
  H2OShutdown = TRUE,
  H2OStartUp = TRUE,
  IfSaveModel = "mojo",
  
  # Model evaluation:
  eval_metric = "RMSE",
  NumOfParDepPlots = 3,
  
  # Metadata arguments:
  model_path = NULL,
  metadata_path = NULL,
  ModelID = "FirstModel",
  ReturnModelObjects = TRUE,
  SaveModelObjects = FALSE,
  SaveInfoToPDF = FALSE,
  
  # Data arguments:
  data = data,
  TrainOnFull = FALSE,
  ValidationData = NULL,
  TestData = NULL,
  TargetColumnName = "Adrian",
  FeatureColNames = names(data)[!names(data) %in% c("IDcol_1", "IDcol_2","Adrian")],
  InteractionColNumbers = NULL,
  WeightsColumn = NULL,
  GamColNames = GamCols,
  TransformNumericColumns = NULL,
  Methods = c("Asinh", "Asin", "Log", "LogPlus1", "Sqrt", "Logit"),
  
  # Model args
  num_knots = NULL,
  keep_gam_cols = TRUE,
  GridTune = FALSE,
  GridStrategy = "Cartesian",
  StoppingRounds = 10,
  MaxRunTimeSecs = 3600 * 24 * 7,
  MaxModelsInGrid = 10,
  Distribution = "gaussian",
  Link = "Family_Default",
  TweedieLinkPower = NULL,
  TweedieVariancePower = NULL,
  Solver = "AUTO",
  Alpha = NULL,
  Lambda = NULL,
  LambdaSearch = FALSE,
  NLambdas = -1,
  Standardize = TRUE,
  RemoveCollinearColumns = FALSE,
  InterceptInclude = TRUE,
  NonNegativeCoefficients = FALSE)

Binary Classification

click to expand

Classification Description

The Auto_Classifier() models handle a multitude of tasks. In order:

  1. Convert your data to data.table format for faster processing
  2. Create train, validation, and test data if you didn’t supply those directly to the function
  3. Consoldate columns that are used for modeling and what is to be kept for data returned
  4. Dichotomize categorical variables (for AutoXGBoostRegression) and save the factor levels for scoring in a way that guarentees consistency across training, validation, and test data sets
  5. Saves the final column names for modeling to a csv for later reference
  6. Handles the data conversion to the appropriate type, based on model type (CatBoost, H2O, and XGBoost)
  7. Multi-armed bandit hyperparameter tuning using randomized probability matching, if you choose to grid tune
  8. Build the grid tuned models
  9. Collect the evaluation metrics for each grid tune run
  10. Identify the best model of the set of models built in the grid tuning setup
  11. Save the hyperparameters from the winning grid tuned model
  12. Build the final model based on the best model from the grid tuning model search
  13. Collect evaluation metrics based on performance on test data
  14. Store the final predictions with the associated test data and other columns you want included in that set
  15. Build out and save an Evaluation Calibration Line Plot
  16. Build out and save an ROC plot with the top 5 models used in grid-tuning (includes the winning model)
  17. Generate and save Variable Importance data
  18. Generate and save Partital Dependence Calibration Line Plots
  19. Return all the objects generated in a named list for immediate use

CatBoost Example

# Create some dummy correlated data
data <- AutoQuant::FakeDataGenerator(
  Correlation = 0.85,
  N = 10000,
  ID = 2,
  ZIP = 0,
  AddDate = FALSE,
  Classification = TRUE,
  MultiClass = FALSE)

# Run function
TestModel <- AutoQuant::AutoCatBoostClassifier(

  # GPU or CPU and the number of available GPUs
  task_type = 'GPU',
  NumGPUs = 1,
  TrainOnFull = FALSE,
  DebugMode = FALSE,

  # Metadata args
  OutputSelection = c('Score_TrainData', 'Importance', 'EvalPlots', 'Metrics', 'PDF'),
  ModelID = 'Test_Model_1',
  model_path = normalizePath('./'),
  metadata_path = normalizePath('./'),
  SaveModelObjects = FALSE,
  ReturnModelObjects = TRUE,
  SaveInfoToPDF = FALSE,

  # Data args
  data = data,
  ValidationData = NULL,
  TestData = NULL,
  TargetColumnName = 'Adrian',
  FeatureColNames = names(data)[!names(data) %in%
     c('IDcol_1','IDcol_2','Adrian')],
  PrimaryDateColumn = NULL,
  WeightsColumnName = NULL,
  IDcols = c('IDcol_1','IDcol_2'),

  # Evaluation args
  ClassWeights = c(1L,1L),
  CostMatrixWeights = c(1,0,0,1),
  EvalMetric = 'AUC',
  grid_eval_metric = 'MCC',
  LossFunction = 'Logloss',
  MetricPeriods = 10L,
  NumOfParDepPlots = ncol(data)-1L-2L,

  # Grid tuning args
  PassInGrid = NULL,
  GridTune = FALSE,
  MaxModelsInGrid = 30L,
  MaxRunsWithoutNewWinner = 20L,
  MaxRunMinutes = 24L*60L,
  BaselineComparison = 'default',

  # ML args
  Trees = 1000,
  Depth = 9,
  LearningRate = NULL,
  L2_Leaf_Reg = NULL,
  model_size_reg = 0.5,
  langevin = FALSE,
  diffusion_temperature = 10000,
  RandomStrength = 1,
  BorderCount = 128,
  RSM = 1,
  BootStrapType = 'Bayesian',
  GrowPolicy = 'SymmetricTree',
  feature_border_type = 'GreedyLogSum',
  sampling_unit = 'Object',
  subsample = NULL,
  score_function = 'Cosine',
  min_data_in_leaf = 1)

XGBoost Example

# Create some dummy correlated data
data <- AutoQuant::FakeDataGenerator(
  Correlation = 0.85,
  N = 1000L,
  ID = 2L,
  ZIP = 0L,
  AddDate = FALSE,
  Classification = TRUE,
  MultiClass = FALSE)

# Run function
TestModel <- AutoQuant::AutoXGBoostClassifier(

  # GPU or CPU
  TreeMethod = "hist",
  NThreads = parallel::detectCores(),

  # Metadata args
  OutputSelection = c("Importances", "EvalPlots", "EvalMetrics", "PDFs", "Score_TrainData"),
  model_path = normalizePath("./"),
  metadata_path = NULL,
  ModelID = "Test_Model_1",
  EncodingMethod = "binary",
  ReturnFactorLevels = TRUE,
  ReturnModelObjects = TRUE,
  SaveModelObjects = FALSE,
  SaveInfoToPDF = FALSE,

  # Data args
  data = data,
  TrainOnFull = FALSE,
  ValidationData = NULL,
  TestData = NULL,
  TargetColumnName = "Adrian",
  FeatureColNames = names(data)[!names(data) %in%
    c("IDcol_1", "IDcol_2","Adrian")],
  WeightsColumnName = NULL,
  IDcols = c("IDcol_1","IDcol_2"),

  # Model evaluation
  LossFunction = 'reg:logistic',
  CostMatrixWeights = c(1,0,0,1),
  eval_metric = "auc",
  grid_eval_metric = "MCC",
  NumOfParDepPlots = 3L,

  # Grid tuning args
  PassInGrid = NULL,
  GridTune = FALSE,
  BaselineComparison = "default",
  MaxModelsInGrid = 10L,
  MaxRunsWithoutNewWinner = 20L,
  MaxRunMinutes = 24L*60L,
  Verbose = 1L,

  # ML args
  Trees = 500L,
  eta = 0.30,
  max_depth = 9L,
  min_child_weight = 1.0,
  subsample = 1,
  colsample_bytree = 1,
  DebugMode = FALSE)

LightGBM Example

# Create some dummy correlated data
data <- AutoQuant::FakeDataGenerator(
  Correlation = 0.85,
  N = 1000,
  ID = 2,
  ZIP = 0,
  AddDate = FALSE,
  Classification = FALSE,
  MultiClass = FALSE)

# Run function
TestModel <- AutoQuant::AutoLightGBMClassifier(

  # Metadata args
  OutputSelection = c("Importances","EvalPlots","EvalMetrics","Score_TrainData"),
  model_path = normalizePath("./"),
  metadata_path = NULL,
  ModelID = "Test_Model_1",
  NumOfParDepPlots = 3L,
  EncodingMethod = "credibility",
  ReturnFactorLevels = TRUE,
  ReturnModelObjects = TRUE,
  SaveModelObjects = FALSE,
  SaveInfoToPDF = FALSE,
  DebugMode = FALSE,

  # Data args
  data = data,
  TrainOnFull = FALSE,
  ValidationData = NULL,
  TestData = NULL,
  TargetColumnName = "Adrian",
  FeatureColNames = names(data)[!names(data) %in% c("IDcol_1", "IDcol_2","Adrian")],
  PrimaryDateColumn = NULL,
  WeightsColumnName = NULL,
  IDcols = c("IDcol_1","IDcol_2"),

  # Grid parameters
  GridTune = FALSE,
  grid_eval_metric = 'Utility',
  BaselineComparison = 'default',
  MaxModelsInGrid = 10L,
  MaxRunsWithoutNewWinner = 20L,
  MaxRunMinutes = 24L*60L,
  PassInGrid = NULL,

  # Core parameters
  # https://lightgbm.readthedocs.io/en/latest/Parameters.html#core-parameters
  input_model = NULL, # continue training a model that is stored to file
  task = "train",
  device_type = 'CPU',
  NThreads = parallel::detectCores() / 2,
  objective = 'binary',
  metric = 'binary_logloss',
  boosting = 'gbdt',
  LinearTree = FALSE,
  Trees = 50L,
  eta = NULL,
  num_leaves = 31,
  deterministic = TRUE,

  # Learning Parameters
  # https://lightgbm.readthedocs.io/en/latest/Parameters.html#learning-control-parameters
  force_col_wise = FALSE,
  force_row_wise = FALSE,
  max_depth = NULL,
  min_data_in_leaf = 20,
  min_sum_hessian_in_leaf = 0.001,
  bagging_freq = 0,
  bagging_fraction = 1.0,
  feature_fraction = 1.0,
  feature_fraction_bynode = 1.0,
  extra_trees = FALSE,
  early_stopping_round = 10,
  first_metric_only = TRUE,
  max_delta_step = 0.0,
  lambda_l1 = 0.0,
  lambda_l2 = 0.0,
  linear_lambda = 0.0,
  min_gain_to_split = 0,
  drop_rate_dart = 0.10,
  max_drop_dart = 50,
  skip_drop_dart = 0.50,
  uniform_drop_dart = FALSE,
  top_rate_goss = FALSE,
  other_rate_goss = FALSE,
  monotone_constraints = NULL,
  monotone_constraints_method = "advanced",
  monotone_penalty = 0.0,
  forcedsplits_filename = NULL, # use for AutoStack option; .json file
  refit_decay_rate = 0.90,
  path_smooth = 0.0,

  # IO Dataset Parameters
  # https://lightgbm.readthedocs.io/en/latest/Parameters.html#io-parameters
  max_bin = 255,
  min_data_in_bin = 3,
  data_random_seed = 1,
  is_enable_sparse = TRUE,
  enable_bundle = TRUE,
  use_missing = TRUE,
  zero_as_missing = FALSE,
  two_round = FALSE,

  # Convert Parameters
  convert_model = NULL,
  convert_model_language = "cpp",

  # Objective Parameters
  # https://lightgbm.readthedocs.io/en/latest/Parameters.html#objective-parameters
  boost_from_average = TRUE,
  is_unbalance = FALSE,
  scale_pos_weight = 1.0,

  # Metric Parameters (metric is in Core)
  # https://lightgbm.readthedocs.io/en/latest/Parameters.html#metric-parameters
  is_provide_training_metric = TRUE,
  eval_at = c(1,2,3,4,5),

  # Network Parameters
  # https://lightgbm.readthedocs.io/en/latest/Parameters.html#network-parameters
  num_machines = 1,

  # GPU Parameters
  # https://lightgbm.readthedocs.io/en/latest/Parameters.html#gpu-parameters
  gpu_platform_id = -1,
  gpu_device_id = -1,
  gpu_use_dp = TRUE,
  num_gpu = 1)

H2O-GBM Example

# Create some dummy correlated data
data <- AutoQuant::FakeDataGenerator(
  Correlation = 0.85,
  N = 1000L,
  ID = 2L,
  ZIP = 0L,
  AddDate = FALSE,
  Classification = TRUE,
  MultiClass = FALSE)

TestModel <- AutoQuant::AutoH2oGBMClassifier(
  
  # Compute management
  MaxMem = {gc();paste0(as.character(floor(as.numeric(system("awk '/MemFree/ {print $2}' /proc/meminfo", intern=TRUE)) / 1000000)),"G")},
  NThreads = max(1, parallel::detectCores()-2),
  H2OShutdown = TRUE,
  H2OStartUp = TRUE,
  IfSaveModel = "mojo",
  
  # Model evaluation
  NumOfParDepPlots = 3,
  
  # Metadata arguments:
  model_path = normalizePath("./"),
  metadata_path = file.path(normalizePath("./")),
  ModelID = "FirstModel",
  ReturnModelObjects = TRUE,
  SaveModelObjects = FALSE,
  SaveInfoToPDF = FALSE,
  
  # Data arguments
  data = data,
  TrainOnFull = FALSE,
  ValidationData = NULL,
  TestData = NULL,
  TargetColumnName = "Adrian",
  FeatureColNames = names(data)[!names(data) %in% c("IDcol_1", "IDcol_2","Adrian")],
  WeightsColumn = NULL,
  
  # ML grid tuning args
  GridTune = FALSE,
  GridStrategy = "Cartesian",
  MaxRuntimeSecs = 60*60*24,
  StoppingRounds = 10,
  MaxModelsInGrid = 2,
  
  # Model args
  Trees = 50,
  LearnRate = 0.10,
  LearnRateAnnealing = 1,
  eval_metric = "auc",
  Distribution = "bernoulli",
  MaxDepth = 20,
  SampleRate = 0.632,
  ColSampleRate = 1,
  ColSampleRatePerTree = 1,
  ColSampleRatePerTreeLevel  = 1,
  MinRows = 1,
  NBins = 20,
  NBinsCats = 1024,
  NBinsTopLevel = 1024,
  HistogramType = "AUTO",
  CategoricalEncoding = "AUTO")

H2O-DRF Example

# Create some dummy correlated data
data <- AutoQuant::FakeDataGenerator(
  Correlation = 0.85,
  N = 1000L,
  ID = 2L,
  ZIP = 0L,
  AddDate = FALSE,
  Classification = TRUE,
  MultiClass = FALSE)

TestModel <- AutoQuant::AutoH2oDRFClassifier(
  
  # Compute management
  MaxMem = {gc();paste0(as.character(floor(as.numeric(system("awk '/MemFree/ {print $2}' /proc/meminfo", intern=TRUE)) / 1000000)),"G")},
  NThreads = max(1L, parallel::detectCores() - 2L),
  IfSaveModel = "mojo",
  H2OShutdown = FALSE,
  H2OStartUp = TRUE,
  
  # Metadata arguments:
  eval_metric = "auc",
  NumOfParDepPlots = 3L,
  
  # Data arguments:
  model_path = normalizePath("./"),
  metadata_path = NULL,
  ModelID = "FirstModel",
  ReturnModelObjects = TRUE,
  SaveModelObjects = FALSE,
  SaveInfoToPDF = FALSE,
  
  # Model evaluation:
  data,
  TrainOnFull = FALSE,
  ValidationData = NULL,
  TestData = NULL,
  TargetColumnName = "Adrian",
  FeatureColNames = names(data)[!names(data) %in% c("IDcol_1", "IDcol_2", "Adrian")],
  WeightsColumn = NULL,
  
  # Grid Tuning Args
  GridStrategy = "Cartesian",
  GridTune = FALSE,
  MaxModelsInGrid = 10,
  MaxRuntimeSecs = 60*60*24,
  StoppingRounds = 10,
  
  # Model args
  Trees = 50L,
  MaxDepth = 20,
  SampleRate = 0.632,
  MTries = -1,
  ColSampleRatePerTree = 1,
  ColSampleRatePerTreeLevel = 1,
  MinRows = 1,
  NBins = 20,
  NBinsCats = 1024,
  NBinsTopLevel = 1024,
  HistogramType = "AUTO",
  CategoricalEncoding = "AUTO")

H2O-GLM Example

# Create some dummy correlated data with numeric and categorical features
data <- AutoQuant::FakeDataGenerator(
  Correlation = 0.85,
  N = 1000L,
  ID = 2L,
  ZIP = 0L,
  AddDate = FALSE,
  Classification = TRUE,
  MultiClass = FALSE)

# Run function
TestModel <- AutoQuant::AutoH2oGLMClassifier(
  
  # Compute management
  MaxMem = {gc();paste0(as.character(floor(as.numeric(system("awk '/MemFree/ {print $2}' /proc/meminfo", intern=TRUE)) / 1000000)),"G")},
  NThreads = max(1, parallel::detectCores()-2),
  H2OShutdown = TRUE,
  H2OStartUp = TRUE,
  IfSaveModel = "mojo",
  
  # Model evaluation args
  eval_metric = "auc",
  NumOfParDepPlots = 3,
  
  # Metadata args
  model_path = NULL,
  metadata_path = NULL,
  ModelID = "FirstModel",
  ReturnModelObjects = TRUE,
  SaveModelObjects = FALSE,
  SaveInfoToPDF = FALSE,
  
  # Data args
  data = data,
  TrainOnFull = FALSE,
  ValidationData = NULL,
  TestData = NULL,
  TargetColumnName = "Adrian",
  FeatureColNames = names(data)[!names(data) %in%
                                  c("IDcol_1", "IDcol_2","Adrian")],
  RandomColNumbers = NULL,
  InteractionColNumbers = NULL,
  WeightsColumn = NULL,
  
  # ML args
  GridTune = FALSE,
  GridStrategy = "Cartesian",
  StoppingRounds = 10,
  MaxRunTimeSecs = 3600 * 24 * 7,
  MaxModelsInGrid = 10,
  Distribution = "binomial",
  Link = "logit",
  RandomDistribution = NULL,
  RandomLink = NULL,
  Solver = "AUTO",
  Alpha = NULL,
  Lambda = NULL,
  LambdaSearch = FALSE,
  NLambdas = -1,
  Standardize = TRUE,
  RemoveCollinearColumns = FALSE,
  InterceptInclude = TRUE,
  NonNegativeCoefficients = FALSE)

H2O-AutoML Example

# Create some dummy correlated data with numeric and categorical features
data <- AutoQuant::FakeDataGenerator(
  Correlation = 0.85, 
  N = 1000L, 
  ID = 2L, 
  ZIP = 0L, 
  AddDate = FALSE, 
  Classification = TRUE, 
  MultiClass = FALSE)

TestModel <- AutoQuant::AutoH2oMLClassifier(
   data,
   TrainOnFull = FALSE,
   ValidationData = NULL,
   TestData = NULL,
   TargetColumnName = "Adrian",
   FeatureColNames = names(data)[!names(data) %in% c("IDcol_1", "IDcol_2","Adrian")],
   ExcludeAlgos = NULL,
   eval_metric = "auc",
   Trees = 50,
   MaxMem = "32G",
   NThreads = max(1, parallel::detectCores()-2),
   MaxModelsInGrid = 10,
   model_path = normalizePath("./"),
   metadata_path = file.path(normalizePath("./"), "MetaData"),
   ModelID = "FirstModel",
   NumOfParDepPlots = 3,
   ReturnModelObjects = TRUE,
   SaveModelObjects = FALSE,
   IfSaveModel = "mojo",
   H2OShutdown = FALSE,
   HurdleModel = FALSE)

H2O-GAM Example

# Create some dummy correlated data
data <- AutoQuant::FakeDataGenerator(
  Correlation = 0.85,
  N = 1000,
  ID = 2,
  ZIP = 0,
  AddDate = FALSE,
  Classification = TRUE,
  MultiClass = FALSE)

# Define GAM Columns to use - up to 9 are allowed
GamCols <- names(which(unlist(lapply(data, is.numeric))))
GamCols <- GamCols[!GamCols %in% c("Adrian","IDcol_1","IDcol_2")]
GamCols <- GamCols[1L:(min(9L,length(GamCols)))]

# Run function
TestModel <- AutoQuant::AutoH2oGAMClassifier(

  # Compute management
  MaxMem = {gc();paste0(as.character(floor(as.numeric(system("awk '/MemFree/ {print $2}' /proc/meminfo", intern=TRUE)) / 1000000)),"G")},
  NThreads = max(1, parallel::detectCores()-2),
  H2OShutdown = TRUE,
  H2OStartUp = TRUE,
  IfSaveModel = "mojo",

  # Model evaluation:
  eval_metric = "auc",
  NumOfParDepPlots = 3,

  # Metadata arguments:
  model_path = NULL,
  metadata_path = NULL,
  ModelID = "FirstModel",
  ReturnModelObjects = TRUE,
  SaveModelObjects = FALSE,
  SaveInfoToPDF = FALSE,

  # Data arguments:
  data = data,
  TrainOnFull = FALSE,
  ValidationData = NULL,
  TestData = NULL,
  TargetColumnName = "Adrian",
  FeatureColNames = names(data)[!names(data) %in% c("IDcol_1", "IDcol_2","Adrian")],
  WeightsColumn = NULL,
  GamColNames = GamCols,

  # ML args
  num_knots = NULL,
  keep_gam_cols = TRUE,
  GridTune = FALSE,
  GridStrategy = "Cartesian",
  StoppingRounds = 10,
  MaxRunTimeSecs = 3600 * 24 * 7,
  MaxModelsInGrid = 10,
  Distribution = "binomial",
  Link = "logit",
  Solver = "AUTO",
  Alpha = NULL,
  Lambda = NULL,
  LambdaSearch = FALSE,
  NLambdas = -1,
  Standardize = TRUE,
  RemoveCollinearColumns = FALSE,
  InterceptInclude = TRUE,
  NonNegativeCoefficients = FALSE)

MultiClass Classification

click to expand

MultiClass Description

The Auto_MultiClass() models handle a multitude of tasks. In order:

  1. Convert your data to data.table format for faster processing
  2. Create train, validation, and test data if you didn’t supply those directly to the function
  3. Consoldate columns that are used for modeling and what is to be kept for data returned
  4. Dichotomize categorical variables (for AutoXGBoostRegression) and save the factor levels for scoring in a way that guarentees consistency across training, validation, and test data sets
  5. Saves the final column names for modeling to a csv for later reference
  6. Ensures the target levels are consistent across train, validate, and test sets and save the levels to file
  7. Handles the data conversion to the appropriate type, based on model type (CatBoost, H2O, and XGBoost)
  8. Multi-armed bandit hyperparameter tuning using randomized probability matching, if you choose to grid tune
  9. Build the grid tuned models
  10. Collect the evaluation metrics for each grid tune run
  11. Identify the best model of the set of models built in the grid tuning setup
  12. Save the hyperparameters from the winning grid tuned model
  13. Build the final model based on the best model from the grid tuning model search
  14. Collect evaluation metrics based on performance on test data
  15. Store the final predictions with the associated test data and other columns you want included in that set
  16. Generate and save Variable Importance data
  17. Return all the objects generated in a named list for immediate use

CatBoost Example

# Create some dummy correlated data
data <- AutoQuant::FakeDataGenerator(
  Correlation = 0.85,
  N = 10000L,
  ID = 2L,
  ZIP = 0L,
  AddDate = FALSE,
  Classification = FALSE,
  MultiClass = TRUE)

# Run function
TestModel <- AutoQuant::AutoCatBoostMultiClass(
  
  # GPU or CPU and the number of available GPUs
  task_type = 'GPU',
  NumGPUs = 1,
  TrainOnFull = FALSE,
  DebugMode = FALSE,
  
  # Metadata args
  OutputSelection = c('Importances', 'EvalPlots', 'EvalMetrics', 'Score_TrainData'),
  ModelID = 'Test_Model_1',
  model_path = normalizePath('./'),
  metadata_path = normalizePath('./'),
  SaveModelObjects = FALSE,
  ReturnModelObjects = TRUE,
  
  # Data args
  data = data,
  ValidationData = NULL,
  TestData = NULL,
  TargetColumnName = 'Adrian',
  FeatureColNames = names(data)[!names(data) %in%
                                  c('IDcol_1', 'IDcol_2','Adrian')],
  PrimaryDateColumn = NULL,
  WeightsColumnName = NULL,
  ClassWeights = c(1L,1L,1L,1L,1L),
  IDcols = c('IDcol_1','IDcol_2'),
  
  # Model evaluation
  eval_metric = 'MCC',
  loss_function = 'MultiClassOneVsAll',
  grid_eval_metric = 'Accuracy',
  MetricPeriods = 10L,
  NumOfParDepPlots = 3,
  
  # Grid tuning args
  PassInGrid = NULL,
  GridTune = TRUE,
  MaxModelsInGrid = 30L,
  MaxRunsWithoutNewWinner = 20L,
  MaxRunMinutes = 24L*60L,
  BaselineComparison = 'default',
  
  # ML args
  langevin = FALSE,
  diffusion_temperature = 10000,
  Trees = seq(100L, 500L, 50L),
  Depth = seq(4L, 8L, 1L),
  LearningRate = seq(0.01,0.10,0.01),
  L2_Leaf_Reg = seq(1.0, 10.0, 1.0),
  RandomStrength = 1,
  BorderCount = 254,
  RSM = c(0.80, 0.85, 0.90, 0.95, 1.0),
  BootStrapType = c('Bayesian', 'Bernoulli', 'Poisson', 'MVS', 'No'),
  GrowPolicy = c('SymmetricTree', 'Depthwise', 'Lossguide'),
  model_size_reg = 0.5,
  feature_border_type = 'GreedyLogSum',
  sampling_unit = 'Object',
  subsample = NULL,
  score_function = 'Cosine',
  min_data_in_leaf = 1)

XGBoost Example

# Create some dummy correlated data
data <- AutoQuant::FakeDataGenerator(
  Correlation = 0.85,
  N = 1000L,
  ID = 2L,
  ZIP = 0L,
  AddDate = FALSE,
  Classification = FALSE,
  MultiClass = TRUE)

# Run function
TestModel <- AutoQuant::AutoXGBoostMultiClass(
  
  # GPU or CPU
  TreeMethod = "hist",
  NThreads = parallel::detectCores(),
  
  # Metadata args
  OutputSelection = c("Importances", "EvalPlots", "EvalMetrics", "PDFs", "Score_TrainData"),
  model_path = normalizePath("./"),
  metadata_path = normalizePath("./"),
  ModelID = "Test_Model_1",
  EncodingMethod = "binary",
  ReturnFactorLevels = TRUE,
  ReturnModelObjects = TRUE,
  SaveModelObjects = FALSE,
  
  # Data args
  data = data,
  TrainOnFull = FALSE,
  ValidationData = NULL,
  TestData = NULL,
  TargetColumnName = "Adrian",
  FeatureColNames = names(data)[!names(data) %in%
                                  c("IDcol_1", "IDcol_2","Adrian")],
  WeightsColumnName = NULL,
  IDcols = c("IDcol_1","IDcol_2"),
  
  # Model evaluation args
  eval_metric = "merror",
  LossFunction = 'multi:softprob',
  grid_eval_metric = "accuracy",
  NumOfParDepPlots = 3L,
  
  # Grid tuning args
  PassInGrid = NULL,
  GridTune = FALSE,
  BaselineComparison = "default",
  MaxModelsInGrid = 10L,
  MaxRunsWithoutNewWinner = 20L,
  MaxRunMinutes = 24L*60L,
  Verbose = 1L,
  DebugMode = FALSE,
  
  # ML args
  Trees = 50L,
  eta = 0.05,
  max_depth = 4L,
  min_child_weight = 1.0,
  subsample = 0.55,
  colsample_bytree = 0.55)

LightGBM Example

# Create some dummy correlated data
data <- AutoQuant::FakeDataGenerator(
  Correlation = 0.85,
  N = 1000,
  ID = 2,
  ZIP = 0,
  AddDate = FALSE,
  Classification = FALSE,
  MultiClass = FALSE)

# Run function
TestModel <- AutoQuant::AutoLightGBMMultiClass(

  # Metadata args
  OutputSelection = c("Importances","EvalPlots","EvalMetrics","Score_TrainData"),
  model_path = normalizePath("./"),
  metadata_path = NULL,
  ModelID = "Test_Model_1",
  NumOfParDepPlots = 3L,
  EncodingMethod = "credibility",
  ReturnFactorLevels = TRUE,
  ReturnModelObjects = TRUE,
  SaveModelObjects = FALSE,
  SaveInfoToPDF = FALSE,
  DebugMode = FALSE,

  # Data args
  data = data,
  TrainOnFull = FALSE,
  ValidationData = NULL,
  TestData = NULL,
  TargetColumnName = "Adrian",
  FeatureColNames = names(data)[!names(data) %in% c("IDcol_1", "IDcol_2","Adrian")],
  PrimaryDateColumn = NULL,
  WeightsColumnName = NULL,
  IDcols = c("IDcol_1","IDcol_2"),

  # Grid parameters
  GridTune = FALSE,
  grid_eval_metric = 'microauc',
  BaselineComparison = 'default',
  MaxModelsInGrid = 10L,
  MaxRunsWithoutNewWinner = 20L,
  MaxRunMinutes = 24L*60L,
  PassInGrid = NULL,

  # Core parameters
  # https://lightgbm.readthedocs.io/en/latest/Parameters.html#core-parameters
  input_model = NULL, # continue training a model that is stored to file
  task = "train",
  device_type = 'CPU',
  NThreads = parallel::detectCores() / 2,
  objective = 'multiclass',
  multi_error_top_k = 1,
  metric = 'multi_logloss',
  boosting = 'gbdt',
  LinearTree = FALSE,
  Trees = 50L,
  eta = NULL,
  num_leaves = 31,
  deterministic = TRUE,

  # Learning Parameters
  # https://lightgbm.readthedocs.io/en/latest/Parameters.html#learning-control-parameters
  force_col_wise = FALSE,
  force_row_wise = FALSE,
  max_depth = NULL,
  min_data_in_leaf = 20,
  min_sum_hessian_in_leaf = 0.001,
  bagging_freq = 0,
  bagging_fraction = 1.0,
  feature_fraction = 1.0,
  feature_fraction_bynode = 1.0,
  extra_trees = FALSE,
  early_stopping_round = 10,
  first_metric_only = TRUE,
  max_delta_step = 0.0,
  lambda_l1 = 0.0,
  lambda_l2 = 0.0,
  linear_lambda = 0.0,
  min_gain_to_split = 0,
  drop_rate_dart = 0.10,
  max_drop_dart = 50,
  skip_drop_dart = 0.50,
  uniform_drop_dart = FALSE,
  top_rate_goss = FALSE,
  other_rate_goss = FALSE,
  monotone_constraints = NULL,
  monotone_constraints_method = "advanced",
  monotone_penalty = 0.0,
  forcedsplits_filename = NULL, # use for AutoStack option; .json file
  refit_decay_rate = 0.90,
  path_smooth = 0.0,

  # IO Dataset Parameters
  # https://lightgbm.readthedocs.io/en/latest/Parameters.html#io-parameters
  max_bin = 255,
  min_data_in_bin = 3,
  data_random_seed = 1,
  is_enable_sparse = TRUE,
  enable_bundle = TRUE,
  use_missing = TRUE,
  zero_as_missing = FALSE,
  two_round = FALSE,

  # Convert Parameters
  convert_model = NULL,
  convert_model_language = "cpp",

  # Objective Parameters
  # https://lightgbm.readthedocs.io/en/latest/Parameters.html#objective-parameters
  boost_from_average = TRUE,
  is_unbalance = FALSE,
  scale_pos_weight = 1.0,

  # Metric Parameters (metric is in Core)
  # https://lightgbm.readthedocs.io/en/latest/Parameters.html#metric-parameters
  is_provide_training_metric = TRUE,
  eval_at = c(1,2,3,4,5),

  # Network Parameters
  # https://lightgbm.readthedocs.io/en/latest/Parameters.html#network-parameters
  num_machines = 1,

  # GPU Parameters
  # https://lightgbm.readthedocs.io/en/latest/Parameters.html#gpu-parameters
  gpu_platform_id = -1,
  gpu_device_id = -1,
  gpu_use_dp = TRUE,
  num_gpu = 1)

H2O-GBM Example

# Create some dummy correlated data
data <- AutoQuant::FakeDataGenerator(
  Correlation = 0.85,
  N = 1000,
  ID = 2,
  ZIP = 0,
  AddDate = FALSE,
  Classification = FALSE,
  MultiClass = TRUE)

# Run function
TestModel <- AutoQuant::AutoH2oGBMMultiClass(
   data,
   TrainOnFull = FALSE,
   ValidationData = NULL,
   TestData = NULL,
   TargetColumnName = "Adrian",
   FeatureColNames = names(data)[!names(data) %in% c("IDcol_1", "IDcol_2","Adrian")],
   WeightsColumn = NULL,
   eval_metric = "logloss",
   MaxMem = {gc();paste0(as.character(floor(as.numeric(system("awk '/MemFree/ {print $2}' /proc/meminfo", intern=TRUE)) / 1000000)),"G")},
   NThreads = max(1, parallel::detectCores()-2),
   model_path = normalizePath("./"),
   metadata_path = file.path(normalizePath("./")),
   ModelID = "FirstModel",
   ReturnModelObjects = TRUE,
   SaveModelObjects = FALSE,
   IfSaveModel = "mojo",
   H2OShutdown = TRUE,
   H2OStartUp = TRUE,

   # Model args
   GridTune = FALSE,
   GridStrategy = "Cartesian",
   MaxRuntimeSecs = 60*60*24,
   StoppingRounds = 10,
   MaxModelsInGrid = 2,
   Trees = 50,
   LearnRate = 0.10,
   LearnRateAnnealing = 1,
   eval_metric = "RMSE",
   Distribution = "multinomial",
   MaxDepth = 20,
   SampleRate = 0.632,
   ColSampleRate = 1,
   ColSampleRatePerTree = 1,
   ColSampleRatePerTreeLevel  = 1,
   MinRows = 1,
   NBins = 20,
   NBinsCats = 1024,
   NBinsTopLevel = 1024,
   HistogramType = "AUTO",
   CategoricalEncoding = "AUTO")

H2O-DRF Example

# Create some dummy correlated data
data <- AutoQuant::FakeDataGenerator(
  Correlation = 0.85,
  N = 1000L,
  ID = 2L,
  ZIP = 0L,
  AddDate = FALSE,
  Classification = FALSE,
  MultiClass = TRUE)

# Run function
TestModel <- AutoQuant::AutoH2oDRFMultiClass(
  data,
  TrainOnFull = FALSE,
  ValidationData = NULL,
  TestData = NULL,
  TargetColumnName = "Adrian",
  FeatureColNames = names(data)[!names(data) %in% c("IDcol_1", "IDcol_2","Adrian")],
  WeightsColumn = NULL,
  eval_metric = "logloss",
  MaxMem = {gc();paste0(as.character(floor(as.numeric(system("awk '/MemFree/ {print $2}' /proc/meminfo", intern=TRUE)) / 1000000)),"G")},
  NThreads = max(1, parallel::detectCores()-2),
  model_path = normalizePath("./"),
  metadata_path = file.path(normalizePath("./")),
  ModelID = "FirstModel",
  ReturnModelObjects = TRUE,
  SaveModelObjects = FALSE,
  IfSaveModel = "mojo",
  H2OShutdown = FALSE,
  H2OStartUp = TRUE,

  # Grid Tuning Args
  GridStrategy = "Cartesian",
  GridTune = FALSE,
  MaxModelsInGrid = 10,
  MaxRuntimeSecs = 60*60*24,
  StoppingRounds = 10,

  # ML args
  Trees = 50,
  MaxDepth = 20,
  SampleRate = 0.632,
  MTries = -1,
  ColSampleRatePerTree = 1,
  ColSampleRatePerTreeLevel = 1,
  MinRows = 1,
  NBins = 20,
  NBinsCats = 1024,
  NBinsTopLevel = 1024,
  HistogramType = "AUTO",
  CategoricalEncoding = "AUTO")

H2O-GLM Example

# Create some dummy correlated data with numeric and categorical features
data <- AutoQuant::FakeDataGenerator(
  Correlation = 0.85,
  N = 1000L,
  ID = 2L,
  ZIP = 0L,
  AddDate = FALSE,
  Classification = FALSE,
  MultiClass = TRUE)

# Run function
TestModel <- AutoQuant::AutoH2oGLMMultiClass(
  
  # Compute management
  MaxMem = {gc();paste0(as.character(floor(as.numeric(system("awk '/MemFree/ {print $2}' /proc/meminfo", intern=TRUE)) / 1000000)),"G")},
  NThreads = max(1, parallel::detectCores()-2),
  H2OShutdown = TRUE,
  H2OStartUp = TRUE,
  IfSaveModel = "mojo",
  
  # Model evaluation:
  eval_metric = "logloss",
  NumOfParDepPlots = 3,
  
  # Metadata arguments:
  model_path = NULL,
  metadata_path = NULL,
  ModelID = "FirstModel",
  ReturnModelObjects = TRUE,
  SaveModelObjects = FALSE,
  SaveInfoToPDF = FALSE,
  
  # Data arguments:
  data = data,
  TrainOnFull = FALSE,
  ValidationData = NULL,
  TestData = NULL,
  TargetColumnName = "Adrian",
  FeatureColNames = names(data)[!names(data) %in% c("IDcol_1", "IDcol_2","Adrian")],
  RandomColNumbers = NULL,
  InteractionColNumbers = NULL,
  WeightsColumn = NULL,
  
  # Model args
  GridTune = FALSE,
  GridStrategy = "Cartesian",
  StoppingRounds = 10,
  MaxRunTimeSecs = 3600 * 24 * 7,
  MaxModelsInGrid = 10,
  Distribution = "multinomial",
  Link = "family_default",
  RandomDistribution = NULL,
  RandomLink = NULL,
  Solver = "AUTO",
  Alpha = NULL,
  Lambda = NULL,
  LambdaSearch = FALSE,
  NLambdas = -1,
  Standardize = TRUE,
  RemoveCollinearColumns = FALSE,
  InterceptInclude = TRUE,
  NonNegativeCoefficients = FALSE)

H2O-AutoML Example

# Create some dummy correlated data with numeric and categorical features
data <- AutoQuant::FakeDataGenerator(Correlation = 0.85, N = 1000, ID = 2, ZIP = 0, AddDate = FALSE, Classification = FALSE, MultiClass = TRUE)

# Run function
TestModel <- AutoQuant::AutoH2oMLMultiClass(
   data,
   TrainOnFull = FALSE,
   ValidationData = NULL,
   TestData = NULL,
   TargetColumnName = "Adrian",
   FeatureColNames = names(data)[!names(data) %in% c("IDcol_1", "IDcol_2","Adrian")],
   ExcludeAlgos = NULL,
   eval_metric = "logloss",
   Trees = 50,
   MaxMem = "32G",
   NThreads = max(1, parallel::detectCores()-2),
   MaxModelsInGrid = 10,
   model_path = normalizePath("./"),
   metadata_path = file.path(normalizePath("./"), "MetaData"),
   ModelID = "FirstModel",
   ReturnModelObjects = TRUE,
   SaveModelObjects = FALSE,
   IfSaveModel = "mojo",
   H2OShutdown = FALSE,
   HurdleModel = FALSE)

H2O-GAM Example

# Create some dummy correlated data with numeric and categorical features
data <- AutoQuant::FakeDataGenerator(
  Correlation = 0.85,
  N = 1000L,
  ID = 2L,
  ZIP = 0L,
  AddDate = FALSE,
  Classification = FALSE,
  MultiClass = TRUE)

# Define GAM Columns to use - up to 9 are allowed
GamCols <- names(which(unlist(lapply(data, is.numeric))))
GamCols <- GamCols[!GamCols %in% c("Adrian","IDcol_1","IDcol_2")]
GamCols <- GamCols[1L:(min(9L,length(GamCols)))]

# Run function
TestModel <- AutoQuant::AutoH2oGAMMultiClass(
  data,
  TrainOnFull = FALSE,
  ValidationData = NULL,
  TestData = NULL,
  TargetColumnName = "Adrian",
  FeatureColNames = names(data)[!names(data) %in% c("IDcol_1", "IDcol_2","Adrian")],
  WeightsColumn = NULL,
  GamColNames = GamCols,
  eval_metric = "logloss",
  MaxMem = {gc();paste0(as.character(floor(as.numeric(system("awk '/MemFree/ {print $2}' /proc/meminfo", intern=TRUE)) / 1000000)),"G")},
  NThreads = max(1, parallel::detectCores()-2),
  model_path = normalizePath("./"),
  metadata_path = NULL,
  ModelID = "FirstModel",
  ReturnModelObjects = TRUE,
  SaveModelObjects = FALSE,
  IfSaveModel = "mojo",
  H2OShutdown = FALSE,
  H2OStartUp = TRUE,
  
  # ML args
  num_knots = NULL,
  keep_gam_cols = TRUE,
  GridTune = FALSE,
  GridStrategy = "Cartesian",
  StoppingRounds = 10,
  MaxRunTimeSecs = 3600 * 24 * 7,
  MaxModelsInGrid = 10,
  Distribution = "multinomial",
  Link = "Family_Default",
  Solver = "AUTO",
  Alpha = NULL,
  Lambda = NULL,
  LambdaSearch = FALSE,
  NLambdas = -1,
  Standardize = TRUE,
  RemoveCollinearColumns = FALSE,
  InterceptInclude = TRUE,
  NonNegativeCoefficients = FALSE)

Model Scoring

Expand to view content

Scoring Description

AutoCatBoostScoring() is an automated scoring function that compliments the AutoCatBoost__() model training functions. This function requires you to supply features for scoring. It will run ModelDataPrep() to prepare your features for catboost data conversion and scoring. It will also handle and transformations and back-transformations if you utilized that feature in the regression training case.

AutoXGBoostScoring() is an automated scoring function that compliments the AutoXGBoost__() model training functions. This function requires you to supply features for scoring. It will run ModelDataPrep() and the CategoricalEncoding() functions to prepare your features for xgboost data conversion and scoring. It will also handle and transformations and back-transformations if you utilized that feature in the regression training case.

AutoLightGBMScoring() is an automated scoring function that compliments the AutoLightGBM__() model training functions. This function requires you to supply features for scoring. It will run ModelDataPrep() and the CategoricalEncoding() functions to prepare your features for lightgbm data conversion and scoring. It will also handle and transformations and back-transformations if you utilized that feature in the regression training case.

AutoH2OMLScoring() is an automated scoring function that compliments the AutoH2oGBM__() and AutoH2oDRF__() model training functions. This function requires you to supply features for scoring. It will run ModelDataPrep()to prepare your features for H2O data conversion and scoring. It will also handle transformations and back-transformations if you utilized that feature in the regression training case and didn’t do it yourself before hand.

AutoCatBoostHurdleModelScoring() for scoring models developed with AutoCatBoostHurdleModel()

AutoLightGBMHurdleModelScoring() for scoring models developed with AutoLightGBMHurdleModel()

AutoXGBoostHurdleModelScoring() for scoring models developed with AutoXGBoostHurdleModel()

AutoCatBoost__() Examples

AutoCatBoostRegression() Scoring Example

# Create some dummy correlated data
data <- AutoQuant::FakeDataGenerator(
  Correlation = 0.85,
  N = 10000,
  ID = 2,
  ZIP = 0,
  AddDate = FALSE,
  Classification = FALSE,
  MultiClass = FALSE)

# Copy data
data1 <- data.table::copy(data)

# Feature Colnames
Features <- names(data1)[!names(data1) %in% c("IDcol_1", "IDcol_2","DateTime","Adrian")]

# Run function
TestModel <- AutoQuant::AutoCatBoostRegression(
  
  # GPU or CPU and the number of available GPUs
  TrainOnFull = FALSE,
  task_type = 'CPU',
  NumGPUs = 1,
  DebugMode = FALSE,
  
  # Metadata args
  OutputSelection = c('Importances','EvalPlots','EvalMetrics','Score_TrainData'),
  ModelID = 'Test_Model_1',
  model_path = getwd(),
  metadata_path = getwd(),
  SaveModelObjects = FALSE,
  SaveInfoToPDF = FALSE,
  ReturnModelObjects = TRUE,
  
  # Data args
  data = data1,
  ValidationData = NULL,
  TestData = NULL,
  TargetColumnName = 'Adrian',
  FeatureColNames = Features,
  PrimaryDateColumn = NULL,
  WeightsColumnName = NULL,
  IDcols = c('IDcol_1','IDcol_2'),
  TransformNumericColumns = 'Adrian',
  Methods = c('Asinh','Asin','Log','LogPlus1','Sqrt','Logit'),
  
  # Model evaluation
  eval_metric = 'RMSE',
  eval_metric_value = 1.5,
  loss_function = 'RMSE',
  loss_function_value = 1.5,
  MetricPeriods = 10L,
  NumOfParDepPlots = ncol(data1)-1L-2L,
  
  # Grid tuning args
  PassInGrid = NULL,
  GridTune = FALSE,
  MaxModelsInGrid = 30L,
  MaxRunsWithoutNewWinner = 20L,
  MaxRunMinutes = 60*60,
  BaselineComparison = 'default',
  
  # ML args
  langevin = FALSE,
  diffusion_temperature = 10000,
  Trees = 1000,
  Depth = 9,
  L2_Leaf_Reg = NULL,
  RandomStrength = 1,
  BorderCount = 128,
  LearningRate = NULL,
  RSM = 1,
  BootStrapType = NULL,
  GrowPolicy = 'SymmetricTree',
  model_size_reg = 0.5,
  feature_border_type = 'GreedyLogSum',
  sampling_unit = 'Object',
  subsample = NULL,
  score_function = 'Cosine',
  min_data_in_leaf = 1)


# Insights Report
AutoQuant::ModelInsightsReport(
  
  # Meta info
  TargetColumnName = 'Adrian',
  PredictionColumnName = 'Predict',
  FeatureColumnNames = Features,
  DateColumnName = NULL,
  
  # Control options
  TargetType = 'regression',
  ModelID = 'Test_Model_1',
  Algo = 'catboost',
  OutputPath = getwd(),
  ModelObject = TestModel)


# Score data
Preds <- AutoQuant::AutoCatBoostScoring(
  TargetType = 'regression',
  ScoringData = data,
  FeatureColumnNames = Features,
  FactorLevelsList = TestModel$FactorLevelsList,
  IDcols = c('IDcol_1','IDcol_2'),
  OneHot = FALSE,
  ReturnShapValues = TRUE,
  ModelObject = TestModel$Model,
  ModelPath = NULL,
  ModelID = 'Test_Model_1',
  ReturnFeatures = TRUE,
  MultiClassTargetLevels = NULL,
  TransformNumeric = FALSE,
  BackTransNumeric = FALSE,
  TargetColumnName = NULL,
  TransformationObject = NULL,
  TransID = NULL,
  TransPath = NULL,
  MDP_Impute = TRUE,
  MDP_CharToFactor = TRUE,
  MDP_RemoveDates = TRUE,
  MDP_MissFactor = '0',
  MDP_MissNum = -1,
  RemoveModel = FALSE)

AutoCatBoostClassifier() Scoring Example

# Refresh data
data <- AutoQuant::FakeDataGenerator(
  Correlation = 0.85,
  N = 25000L,
  ID = 2L,
  AddWeightsColumn = TRUE,
  ZIP = 0L,
  AddDate = TRUE,
  Classification = TRUE,
  MultiClass = FALSE)

# Copy data (used for scoring below``)
data1 <- data.table::copy(data)

# Partition Data
Sets <- Rodeo::AutoDataPartition(
  data = data,
  NumDataSets = 3,
  Ratios = c(0.7,0.2,0.1),
  PartitionType = "random",
  StratifyColumnNames = "Adrian",
  TimeColumnName = NULL)
TTrainData <- Sets$TrainData
VValidationData <- Sets$ValidationData
TTestData <- Sets$TestData
rm(Sets)

# Feature Colnames
Features <- names(TTrainData)[!names(TTrainData) %in% c("IDcol_1", "IDcol_2","DateTime","Adrian")]

# AutoCatBoostClassifier
TestModel <- AutoQuant::AutoCatBoostClassifier(
  
  # GPU or CPU and the number of available GPUs
  task_type = "CPU",
  NumGPUs = 1,
  
  # Metadata arguments
  OutputSelection = c("Importances", "EvalPlots", "EvalMetrics", "Score_TrainData"),
  ModelID = "Test_Model_1",
  model_path = normalizePath("./"),
  metadata_path = normalizePath("./"),
  SaveModelObjects = FALSE,
  ReturnModelObjects = TRUE,
  SaveInfoToPDF = FALSE,
  
  # Data arguments
  data = TTrainData,
  TrainOnFull = FALSE,
  ValidationData = VValidationData,
  TestData = TTestData,
  TargetColumnName = "Adrian",
  FeatureColNames = Features,
  PrimaryDateColumn = "DateTime",
  WeightsColumnName = "Weights",
  ClassWeights = c(1L,1L),
  IDcols = c("IDcol_1","IDcol_2","DateTime"),
  
  # Model evaluation
  CostMatrixWeights = c(2,0,0,1),
  EvalMetric = "MCC",
  LossFunction = "Logloss",
  grid_eval_metric = "Utility",
  MetricPeriods = 10L,
  NumOfParDepPlots = 3,
  
  # Grid tuning arguments
  PassInGrid = NULL,
  GridTune = FALSE,
  MaxModelsInGrid = 30L,
  MaxRunsWithoutNewWinner = 20L,
  MaxRunMinutes = 24L*60L,
  BaselineComparison = "default",
  
  # ML args
  Trees = 100L,
  Depth = 4L,
  LearningRate = NULL,
  L2_Leaf_Reg = NULL,
  RandomStrength = 1,
  BorderCount = 128,
  RSM = 0.80,
  BootStrapType = "Bayesian",
  GrowPolicy = "SymmetricTree",
  langevin = FALSE,
  diffusion_temperature = 10000,
  model_size_reg = 0.5,
  feature_border_type = "GreedyLogSum",
  sampling_unit = "Object",
  subsample = NULL,
  score_function = "Cosine",
  min_data_in_leaf = 1,
  DebugMode = TRUE)


# Insights Report
AutoQuant::ModelInsightsReport(
  
  # Meta info
  TargetColumnName = 'Adrian',
  PredictionColumnName = 'p1',
  FeatureColumnNames = Features,
  DateColumnName = NULL,
  
  # Control options
  TargetType = 'classification',
  ModelID = 'Test_Model_1',
  Algo = 'catboost',
  OutputPath = getwd(),
  ModelObject = TestModel)


# Score data
Preds <- AutoQuant::AutoCatBoostScoring(
  TargetType = 'classifier',
  ScoringData = data,
  FeatureColumnNames = Features,
  FactorLevelsList = TestModel$FactorLevelsList,
  IDcols = c("IDcol_1","IDcol_2","DateTime"),
  OneHot = FALSE,
  ReturnShapValues = TRUE,
  ModelObject = TestModel$Model,
  ModelPath = NULL,
  ModelID = 'Test_Model_1',
  ReturnFeatures = TRUE,
  MultiClassTargetLevels = NULL,
  TransformNumeric = FALSE,
  BackTransNumeric = FALSE,
  TargetColumnName = NULL,
  TransformationObject = NULL,
  TransID = NULL,
  TransPath = NULL,
  MDP_Impute = TRUE,
  MDP_CharToFactor = TRUE,
  MDP_RemoveDates = TRUE,
  MDP_MissFactor = '0',
  MDP_MissNum = -1,
  RemoveModel = FALSE)

AutoCatBoostMultiClasss() Scoring Example

# Refresh data
data <- AutoQuant::FakeDataGenerator(
  Correlation = 0.85,
  N = 25000L,
  ID = 2L,
  AddWeightsColumn = TRUE,
  ZIP = 0L,
  AddDate = TRUE,
  Classification = FALSE,
  MultiClass = TRUE)

# Copy data (used for scoring below``)
data1 <- data.table::copy(data)

# Partition Data
Sets <- Rodeo::AutoDataPartition(
  data = data,
  NumDataSets = 3,
  Ratios = c(0.7,0.2,0.1),
  PartitionType = "random",
  StratifyColumnNames = "Adrian",
  TimeColumnName = NULL)
TTrainData <- Sets$TrainData
VValidationData <- Sets$ValidationData
TTestData <- Sets$TestData
rm(Sets)

# Feature Colnames
Features <- names(TTrainData)[!names(TTrainData) %in% c("IDcol_1", "IDcol_2","Adrian","DateTime")]

# Run function
TestModel <- AutoQuant::AutoCatBoostMultiClass(
  
  # GPU or CPU and the number of available GPUs
  task_type = "GPU",
  NumGPUs = 1,
  
  # Metadata arguments
  OutputSelection = c("Importances", "EvalPlots", "EvalMetrics", "Score_TrainData"),
  ModelID = "Test_Model_1",
  model_path = normalizePath("./"),
  metadata_path = normalizePath("./"),
  SaveModelObjects = FALSE,
  ReturnModelObjects = TRUE,
  
  # Data arguments
  data = TTrainData,
  TrainOnFull = FALSE,
  ValidationData = VValidationData,
  TestData = TTestData,
  TargetColumnName = "Adrian",
  FeatureColNames = Features,
  PrimaryDateColumn = "DateTime",
  WeightsColumnName = "Weights",
  ClassWeights = c(1L,1L,1L,1L,1L),
  IDcols = c("IDcol_1","IDcol_2","DateTime"),
  
  # Model evaluation
  eval_metric = "MCC",
  loss_function = "MultiClassOneVsAll",
  grid_eval_metric = "Accuracy",
  MetricPeriods = 10L,
  
  # Grid tuning arguments
  PassInGrid = NULL,
  GridTune = FALSE,
  MaxModelsInGrid = 30L,
  MaxRunsWithoutNewWinner = 20L,
  MaxRunMinutes = 24L*60L,
  BaselineComparison = "default",
  
  # ML args
  Trees = 100L,
  Depth = 4L,
  LearningRate = 0.01,
  L2_Leaf_Reg = 1.0,
  RandomStrength = 1,
  BorderCount = 128,
  langevin = FALSE,
  diffusion_temperature = 10000,
  RSM = 0.80,
  BootStrapType = "Bayesian",
  GrowPolicy = "SymmetricTree",
  model_size_reg = 0.5,
  feature_border_type = "GreedyLogSum",
  sampling_unit = "Group",
  subsample = NULL,
  score_function = "Cosine",
  min_data_in_leaf = 1,
  DebugMode = TRUE)


# Insights Report
AutoQuant::ModelInsightsReport(
  
  # Meta info
  TargetColumnName = 'Adrian',
  PredictionColumnName = 'Predict',
  FeatureColumnNames = Features,
  DateColumnName = NULL,
  
  # Control options
  TargetType = 'multiclass',
  ModelID = 'Test_Model_1',
  Algo = 'catboost',
  OutputPath = getwd(),
  ModelObject = TestModel)


# Score data
Preds <- AutoQuant::AutoCatBoostScoring(
  TargetType = 'multiclass',
  ScoringData = data,
  FeatureColumnNames = Features,
  FactorLevelsList = TestModel$FactorLevelsList,
  IDcols = c("IDcol_1","IDcol_2","DateTime"),
  OneHot = FALSE,
  ReturnShapValues = FALSE,
  ModelObject = TestModel$Model,
  ModelPath = NULL,
  ModelID = 'Test_Model_1',
  ReturnFeatures = TRUE,
  MultiClassTargetLevels = TestModel$TargetLevels,
  TransformNumeric = FALSE,
  BackTransNumeric = FALSE,
  TargetColumnName = NULL,
  TransformationObject = NULL,
  TransID = NULL,
  TransPath = NULL,
  MDP_Impute = TRUE,
  MDP_CharToFactor = TRUE,
  MDP_RemoveDates = TRUE,
  MDP_MissFactor = '0',
  MDP_MissNum = -1,
  RemoveModel = FALSE)

AutoLightGBM__() Examples

AutoLightGBMRegression() Scoring Example

# Refresh data
data <- AutoQuant::FakeDataGenerator(
  Correlation = 0.85,
  N = 25000L,
  ID = 2L,
  AddWeightsColumn = TRUE,
  ZIP = 0L,
  AddDate = TRUE,
  Classification = FALSE,
  MultiClass = FALSE)

# Partition Data
Sets <- Rodeo::AutoDataPartition(
  data = data,
  NumDataSets = 3,
  Ratios = c(0.7,0.2,0.1),
  PartitionType = "random",
  StratifyColumnNames = "Adrian",
  TimeColumnName = NULL)
TTrainData <- Sets$TrainData
VValidationData <- Sets$ValidationData
TTestData <- Sets$TestData
rm(Sets)

# Run function
TestModel <- AutoQuant::AutoLightGBMRegression(
  
  # GPU or CPU
  NThreads = parallel::detectCores(),
  
  # Metadata args
  OutputSelection = c("Importances","EvalPlots","EvalMetrics","Score_TrainData"),
  model_path = getwd(),
  metadata_path = getwd(),
  ModelID = "Test_Model_1",
  NumOfParDepPlots = 3L,
  EncodingMethod = "credibility",
  ReturnFactorLevels = TRUE,
  ReturnModelObjects = TRUE,
  SaveModelObjects = TRUE,
  SaveInfoToPDF = FALSE,
  DebugMode = TRUE,
  
  # Data args
  data = TTrainData,
  TrainOnFull = FALSE,
  ValidationData = VValidationData,
  TestData = TTestData,
  TargetColumnName = "Adrian",
  FeatureColNames = names(TTrainData)[!names(TTrainData) %in% c("IDcol_1", "IDcol_2","DateTime","Adrian")],
  PrimaryDateColumn = "DateTime",
  WeightsColumnName = "Weights",
  IDcols = c("IDcol_1","IDcol_2","DateTime"),
  TransformNumericColumns = NULL,
  Methods = c("Asinh","Asin","Log","LogPlus1","Sqrt","Logit"),
  
  # Grid parameters
  GridTune = FALSE,
  grid_eval_metric = "r2",
  BaselineComparison = "default",
  MaxModelsInGrid = 10L,
  MaxRunsWithoutNewWinner = 20L,
  MaxRunMinutes = 24L*60L,
  PassInGrid = NULL,
  
  # Core parameters
  # https://lightgbm.readthedocs.io/en/latest/Parameters.html#core-parameters
  input_model = NULL, # continue training a model that is stored to file
  task = "train",
  device_type = "CPU",
  objective = 'regression',
  metric = "rmse",
  boosting = "gbdt",
  LinearTree = FALSE,
  Trees = 50L,
  eta = NULL,
  num_leaves = 31,
  deterministic = TRUE,
  
  # Learning Parameters
  # https://lightgbm.readthedocs.io/en/latest/Parameters.html#learning-control-parameters
  force_col_wise = FALSE,
  force_row_wise = FALSE,
  max_depth = 6,
  min_data_in_leaf = 20,
  min_sum_hessian_in_leaf = 0.001,
  bagging_freq = 1.0,
  bagging_fraction = 1.0,
  feature_fraction = 1.0,
  feature_fraction_bynode = 1.0,
  lambda_l1 = 0.0,
  lambda_l2 = 0.0,
  extra_trees = FALSE,
  early_stopping_round = 10,
  first_metric_only = TRUE,
  max_delta_step = 0.0,
  linear_lambda = 0.0,
  min_gain_to_split = 0,
  drop_rate_dart = 0.10,
  max_drop_dart = 50,
  skip_drop_dart = 0.50,
  uniform_drop_dart = FALSE,
  top_rate_goss = FALSE,
  other_rate_goss = FALSE,
  monotone_constraints = NULL,
  monotone_constraints_method = "advanced",
  monotone_penalty = 0.0,
  forcedsplits_filename = NULL, # use for AutoStack option; .json file
  refit_decay_rate = 0.90,
  path_smooth = 0.0,
  
  # IO Dataset Parameters
  # https://lightgbm.readthedocs.io/en/latest/Parameters.html#io-parameters
  max_bin = 255,
  min_data_in_bin = 3,
  data_random_seed = 1,
  is_enable_sparse = TRUE,
  enable_bundle = TRUE,
  use_missing = TRUE,
  zero_as_missing = FALSE,
  two_round = FALSE,
  
  # Convert Parameters
  convert_model = NULL,
  convert_model_language = "cpp",
  
  # Objective Parameters
  # https://lightgbm.readthedocs.io/en/latest/Parameters.html#objective-parameters
  boost_from_average = TRUE,
  alpha = 0.90,
  fair_c = 1.0,
  poisson_max_delta_step = 0.70,
  tweedie_variance_power = 1.5,
  lambdarank_truncation_level = 30,
  
  # Metric Parameters (metric is in Core)
  # https://lightgbm.readthedocs.io/en/latest/Parameters.html#metric-parameters
  is_provide_training_metric = TRUE,
  eval_at = c(1,2,3,4,5),
  
  # Network Parameters
  # https://lightgbm.readthedocs.io/en/latest/Parameters.html#network-parameters
  num_machines = 1,
  
  # GPU Parameters
  # https://lightgbm.readthedocs.io/en/latest/Parameters.html#gpu-parameters
  gpu_platform_id = -1,
  gpu_device_id = -1,
  gpu_use_dp = TRUE,
  num_gpu = 1)

# Outcome
ModelID = "Test_Model_1"
colnames <- data.table::fread(file = file.path(getwd(), paste0(ModelID, "_ColNames.csv")))
Preds <- AutoQuant::AutoLightGBMScoring(
  TargetType = "regression",
  ScoringData = TTestData,
  ReturnShapValues = FALSE,
  FeatureColumnNames = colnames[[1L]],
  IDcols = c("IDcol_1","IDcol_2"),
  EncodingMethod = "credibility",
  FactorLevelsList = NULL,
  TargetLevels = NULL,
  ModelObject = NULL,
  ModelPath = getwd(),
  ModelID = "Test_Model_1",
  ReturnFeatures = TRUE,
  TransformNumeric = FALSE,
  BackTransNumeric = FALSE,
  TargetColumnName = NULL,
  TransformationObject = NULL,
  TransID = NULL,
  TransPath = NULL,
  MDP_Impute = TRUE,
  MDP_CharToFactor = TRUE,
  MDP_RemoveDates = TRUE,
  MDP_MissFactor = "0",
  MDP_MissNum = -1)

AutoLightGBMClassifier() Scoring Example

# Refresh data
data <- AutoQuant::FakeDataGenerator(
  Correlation = 0.85,
  N = 25000L,
  ID = 2L,
  AddWeightsColumn = TRUE,
  ZIP = 0L,
  AddDate = TRUE,
  Classification = TRUE,
  MultiClass = FALSE)

# Partition Data
Sets <- Rodeo::AutoDataPartition(
  data = data,
  NumDataSets = 3,
  Ratios = c(0.7,0.2,0.1),
  PartitionType = "random",
  StratifyColumnNames = "Adrian",
  TimeColumnName = NULL)
TTrainData <- Sets$TrainData
VValidationData <- Sets$ValidationData
TTestData <- Sets$TestData
rm(Sets)

# Run function
TestModel <- AutoQuant::AutoLightGBMClassifier(
  
  # Multithreading
  NThreads = parallel::detectCores(),
  
  # Metadata args
  OutputSelection = c("Importances","EvalPlots","EvalMetrics","Score_TrainData"),
  model_path = normalizePath("./"),
  metadata_path = NULL,
  ModelID = "Test_Model_1",
  NumOfParDepPlots = 3L,
  EncodingMethod = "credibility",
  ReturnFactorLevels = TRUE,
  ReturnModelObjects = TRUE,
  SaveModelObjects = TRUE,
  SaveInfoToPDF = FALSE,
  DebugMode = TRUE,
  
  # Data args
  data = TTrainData,
  TrainOnFull = FALSE,
  ValidationData = VValidationData,
  TestData = TTestData,
  TargetColumnName = "Adrian",
  FeatureColNames = names(TTrainData)[!names(TTrainData) %in% c("IDcol_1", "IDcol_2","DateTime","Adrian")],
  PrimaryDateColumn = NULL,
  WeightsColumnName = "Weights",
  IDcols = c("IDcol_1","IDcol_2","DateTime"),
  CostMatrixWeights = c(1,0,0,1),
  
  # Grid parameters
  GridTune = FALSE,
  grid_eval_metric = "Utility",
  BaselineComparison = "default",
  MaxModelsInGrid = 10L,
  MaxRunsWithoutNewWinner = 20L,
  MaxRunMinutes = 24L*60L,
  PassInGrid = NULL,
  
  # Core parameters
  # https://lightgbm.readthedocs.io/en/latest/Parameters.html#core-parameters
  input_model = NULL, # continue training a model that is stored to file
  task = "train",
  device_type = "CPU",
  objective = 'binary',
  metric = 'binary_logloss',
  boosting = "gbdt",
  LinearTree = FALSE,
  Trees = 50L,
  eta = NULL,
  num_leaves = 31,
  deterministic = TRUE,
  
  # Learning Parameters
  # https://lightgbm.readthedocs.io/en/latest/Parameters.html#learning-control-parameters
  force_col_wise = FALSE,
  force_row_wise = FALSE,
  max_depth = 6,
  min_data_in_leaf = 20,
  min_sum_hessian_in_leaf = 0.001,
  bagging_freq = 1.0,
  bagging_fraction = 1.0,
  feature_fraction = 1.0,
  feature_fraction_bynode = 1.0,
  lambda_l1 = 0.0,
  lambda_l2 = 0.0,
  extra_trees = FALSE,
  early_stopping_round = 10,
  first_metric_only = TRUE,
  max_delta_step = 0.0,
  linear_lambda = 0.0,
  min_gain_to_split = 0,
  drop_rate_dart = 0.10,
  max_drop_dart = 50,
  skip_drop_dart = 0.50,
  uniform_drop_dart = FALSE,
  top_rate_goss = FALSE,
  other_rate_goss = FALSE,
  monotone_constraints = NULL,
  monotone_constraints_method = 'advanced',
  monotone_penalty = 0.0,
  forcedsplits_filename = NULL, # use for AutoStack option; .json file
  refit_decay_rate = 0.90,
  path_smooth = 0.0,
  
  # IO Dataset Parameters
  # https://lightgbm.readthedocs.io/en/latest/Parameters.html#io-parameters
  max_bin = 255,
  min_data_in_bin = 3,
  data_random_seed = 1,
  is_enable_sparse = TRUE,
  enable_bundle = TRUE,
  use_missing = TRUE,
  zero_as_missing = FALSE,
  two_round = FALSE,
  
  # Convert Parameters
  convert_model = NULL,
  convert_model_language = "cpp",
  
  # Objective Parameters
  # https://lightgbm.readthedocs.io/en/latest/Parameters.html#objective-parameters
  boost_from_average = TRUE,
  is_unbalance = FALSE,
  scale_pos_weight = 1.0,
  
  # Metric Parameters (metric is in Core)
  # https://lightgbm.readthedocs.io/en/latest/Parameters.html#metric-parameters
  is_provide_training_metric = TRUE,
  eval_at = c(1,2,3,4,5),
  
  # Network Parameters
  # https://lightgbm.readthedocs.io/en/latest/Parameters.html#network-parameters
  num_machines = 1,
  
  # GPU Parameters
  # https://lightgbm.readthedocs.io/en/latest/Parameters.html#gpu-parameters
  gpu_platform_id = -1,
  gpu_device_id = -1,
  gpu_use_dp = TRUE,
  num_gpu = 1)

# Outcome
ModelID = "Test_Model_1"
colnames <- data.table::fread(file = file.path(getwd(), paste0(ModelID, "_ColNames.csv")))
Preds <- AutoQuant::AutoLightGBMScoring(
  TargetType = "classification",
  ScoringData = TTestData,
  ReturnShapValues = FALSE,
  FeatureColumnNames = colnames[[1L]],
  IDcols = c("IDcol_1","IDcol_2","DateTime"),
  EncodingMethod = "credibility",
  FactorLevelsList = NULL,
  TargetLevels = NULL,
  ModelObject = NULL,
  ModelPath = getwd(),
  ModelID = "Test_Model_1",
  ReturnFeatures = TRUE,
  TransformNumeric = FALSE,
  BackTransNumeric = FALSE,
  TargetColumnName = NULL,
  TransformationObject = NULL,
  TransID = NULL,
  TransPath = NULL,
  MDP_Impute = TRUE,
  MDP_CharToFactor = TRUE,
  MDP_RemoveDates = TRUE,
  MDP_MissFactor = "0",
  MDP_MissNum = -1)

AutoLightGBMMultiClasss() Scoring Example

# Refresh data
data <- AutoQuant::FakeDataGenerator(
  Correlation = 0.85,
  N = 25000L,
  ID = 2L,
  AddWeightsColumn = TRUE,
  ZIP = 0L,
  AddDate = TRUE,
  Classification = FALSE,
  MultiClass = TRUE)

# Partition Data
Sets <- Rodeo::AutoDataPartition(
  data = data,
  NumDataSets = 3,
  Ratios = c(0.7,0.2,0.1),
  PartitionType = "random",
  StratifyColumnNames = "Adrian",
  TimeColumnName = NULL)
TTrainData <- Sets$TrainData
VValidationData <- Sets$ValidationData
TTestData <- Sets$TestData
rm(Sets)

# Run function
TestModel <- AutoQuant::AutoLightGBMMultiClass(
  
  # GPU or CPU
  NThreads = parallel::detectCores(),
  
  # Metadata args
  OutputSelection = c("Importances","EvalPlots","EvalMetrics","Score_TrainData"),
  model_path = normalizePath("./"),
  metadata_path = NULL,
  ModelID = "Test_Model_1",
  NumOfParDepPlots = 3L,
  EncodingMethod = "credibility",
  ReturnFactorLevels = TRUE,
  ReturnModelObjects = TRUE,
  SaveModelObjects = TRUE,
  SaveInfoToPDF = FALSE,
  DebugMode = TRUE,
  
  # Data args
  data = TTrainData,
  TrainOnFull = FALSE,
  ValidationData = VValidationData,
  TestData = TTestData,
  TargetColumnName = "Adrian",
  FeatureColNames = names(TTrainData)[!names(TTrainData) %in% c("IDcol_1","IDcol_2","DateTime","Adrian")],
  PrimaryDateColumn = NULL,
  WeightsColumnName = "Weights",
  IDcols = c("IDcol_1","IDcol_2",'DateTime'),
  CostMatrixWeights = c(1,0,0,1),
  
  # Grid parameters
  GridTune = FALSE,
  grid_eval_metric = "microauc",
  BaselineComparison = "default",
  MaxModelsInGrid = 10L,
  MaxRunsWithoutNewWinner = 20L,
  MaxRunMinutes = 24L*60L,
  PassInGrid = NULL,
  
  # Core parameters
  # https://lightgbm.readthedocs.io/en/latest/Parameters.html#core-parameters
  input_model = NULL, # continue training a model that is stored to file
  task = "train",
  device_type = "CPU",
  objective = 'multiclass',
  multi_error_top_k = 1,
  metric = 'multiclass_logloss',
  boosting = "gbdt",
  LinearTree = FALSE,
  Trees = 50L,
  eta = NULL,
  num_leaves = 31,
  deterministic = TRUE,
  
  # Learning Parameters
  # https://lightgbm.readthedocs.io/en/latest/Parameters.html#learning-control-parameters
  force_col_wise = FALSE,
  force_row_wise = FALSE,
  max_depth = 6,
  min_data_in_leaf = 20,
  min_sum_hessian_in_leaf = 0.001,
  bagging_freq = 1.0,
  bagging_fraction = 1.0,
  feature_fraction = 1.0,
  feature_fraction_bynode = 1.0,
  lambda_l1 = 0.0,
  lambda_l2 = 0.0,
  extra_trees = FALSE,
  early_stopping_round = 10,
  first_metric_only = TRUE,
  max_delta_step = 0.0,
  linear_lambda = 0.0,
  min_gain_to_split = 0,
  drop_rate_dart = 0.10,
  max_drop_dart = 50,
  skip_drop_dart = 0.50,
  uniform_drop_dart = FALSE,
  top_rate_goss = FALSE,
  other_rate_goss = FALSE,
  monotone_constraints = NULL,
  monotone_constraints_method = 'advanced',
  monotone_penalty = 0.0,
  forcedsplits_filename = NULL, # use for AutoStack option; .json file
  refit_decay_rate = 0.90,
  path_smooth = 0.0,
  
  # IO Dataset Parameters
  # https://lightgbm.readthedocs.io/en/latest/Parameters.html#io-parameters
  max_bin = 255,
  min_data_in_bin = 3,
  data_random_seed = 1,
  is_enable_sparse = TRUE,
  enable_bundle = TRUE,
  use_missing = TRUE,
  zero_as_missing = FALSE,
  two_round = FALSE,
  
  # Convert Parameters
  convert_model = NULL,
  convert_model_language = "cpp",
  
  # Objective Parameters
  # https://lightgbm.readthedocs.io/en/latest/Parameters.html#objective-parameters
  boost_from_average = TRUE,
  is_unbalance = FALSE,
  scale_pos_weight = 1.0,
  
  # Metric Parameters (metric is in Core)
  # https://lightgbm.readthedocs.io/en/latest/Parameters.html#metric-parameters
  is_provide_training_metric = TRUE,
  eval_at = c(1,2,3,4,5),
  
  # Network Parameters
  # https://lightgbm.readthedocs.io/en/latest/Parameters.html#network-parameters
  num_machines = 1,
  
  # GPU Parameters
  # https://lightgbm.readthedocs.io/en/latest/Parameters.html#gpu-parameters
  gpu_platform_id = -1,
  gpu_device_id = -1,
  gpu_use_dp = TRUE,
  num_gpu = 1)

# Outcome
ModelID = "Test_Model_1"
colnames <- data.table::fread(file = file.path(getwd(), paste0(ModelID, "_ColNames.csv")))
Preds <- AutoQuant::AutoLightGBMScoring(
  TargetType = "multiclass",
  ScoringData = TTestData,
  ReturnShapValues = FALSE,
  FeatureColumnNames = colnames[[1L]],
  IDcols = c("IDcol_1","IDcol_2","DateTime"),
  EncodingMethod = "credibility",
  FactorLevelsList = NULL,
  TargetLevels = NULL,
  ModelObject = NULL,
  ModelPath = getwd(),
  ModelID = "Test_Model_1",
  ReturnFeatures = TRUE,
  TransformNumeric = FALSE,
  BackTransNumeric = FALSE,
  TargetColumnName = NULL,
  TransformationObject = NULL,
  TransID = NULL,
  TransPath = NULL,
  MDP_Impute = TRUE,
  MDP_CharToFactor = TRUE,
  MDP_RemoveDates = TRUE,
  MDP_MissFactor = "0",
  MDP_MissNum = -1)

AutoLightGBMHurdleModel() Scoring Example

# Classify
Classify <- TRUE

# Get data
if(Classify) {
  data <- AutoQuant::FakeDataGenerator(N = 15000, ZIP = 1)
} else {
  data <- AutoQuant::FakeDataGenerator(N = 100000, ZIP = 2)
}

# Partition Data
Sets <- Rodeo::AutoDataPartition(
  data = data,
  NumDataSets = 3,
  Ratios = c(0.7,0.2,0.1),
  PartitionType = "random",
  StratifyColumnNames = "Adrian",
  TimeColumnName = NULL)
TTrainData <- Sets$TrainData
VValidationData <- Sets$ValidationData
TTestData <- Sets$TestData
rm(Sets)

# Run function
TestModel <- AutoQuant::AutoLightGBMHurdleModel(
  
  # Operationalization
  ModelID = 'ModelTest',
  SaveModelObjects = FALSE,
  ReturnModelObjects = TRUE,
  NThreads = parallel::detectCores(),
  
  # Data related args
  data = TTrainData,
  ValidationData = VValidationData,
  PrimaryDateColumn = "DateTime",
  TestData = TTestData,
  WeightsColumnName = NULL,
  TrainOnFull = FALSE,
  Buckets = if(Classify) 0L else c(0,2,3),
  TargetColumnName = "Adrian",
  FeatureColNames = names(TTrainData)[!names(data) %in% c("Adrian","IDcol_1","IDcol_2","IDcol_3","IDcol_4","IDcol_5","DateTime")],
  IDcols = c("IDcol_1","IDcol_2","IDcol_3","IDcol_4","IDcol_5","DateTime"),
  DebugMode = TRUE,
  
  # Metadata args
  EncodingMethod = "credibility",
  Paths = getwd(),
  MetaDataPaths = NULL,
  TransformNumericColumns = NULL,
  Methods = c('Asinh', 'Asin', 'Log', 'LogPlus1', 'Logit'),
  ClassWeights = c(1,1),
  SplitRatios = NULL,
  NumOfParDepPlots = 10L,
  
  # Grid tuning setup
  PassInGrid = NULL,
  GridTune = FALSE,
  BaselineComparison = 'default',
  MaxModelsInGrid = 1L,
  MaxRunsWithoutNewWinner = 20L,
  MaxRunMinutes = 60L*60L,
  
  # LightGBM parameters
  task = list('classifier' = 'train', 'regression' = 'train'),
  device_type = list('classifier' = 'CPU', 'regression' = 'CPU'),
  objective = if(Classify) list('classifier' = 'binary', 'regression' = 'regression') else list('classifier' = 'multiclass', 'regression' = 'regression'),
  metric = if(Classify) list('classifier' = 'binary_logloss', 'regression' = 'rmse') else list('classifier' = 'multi_logloss', 'regression' = 'rmse'),
  boosting = list('classifier' = 'gbdt', 'regression' = 'gbdt'),
  LinearTree = list('classifier' = FALSE, 'regression' = FALSE),
  Trees = list('classifier' = 50L, 'regression' = 50L),
  eta = list('classifier' = NULL, 'regression' = NULL),
  num_leaves = list('classifier' = 31, 'regression' = 31),
  deterministic = list('classifier' = TRUE, 'regression' = TRUE),
  
  # Learning Parameters
  force_col_wise = list('classifier' = FALSE, 'regression' = FALSE),
  force_row_wise = list('classifier' = FALSE, 'regression' = FALSE),
  max_depth = list('classifier' = NULL, 'regression' = NULL),
  min_data_in_leaf = list('classifier' = 20, 'regression' = 20),
  min_sum_hessian_in_leaf = list('classifier' = 0.001, 'regression' = 0.001),
  bagging_freq = list('classifier' = 0, 'regression' = 0),
  bagging_fraction = list('classifier' = 1.0, 'regression' = 1.0),
  feature_fraction = list('classifier' = 1.0, 'regression' = 1.0),
  feature_fraction_bynode = list('classifier' = 1.0, 'regression' = 1.0),
  extra_trees = list('classifier' = FALSE, 'regression' = FALSE),
  early_stopping_round = list('classifier' = 10, 'regression' = 10),
  first_metric_only = list('classifier' = TRUE, 'regression' = TRUE),
  max_delta_step = list('classifier' = 0.0, 'regression' = 0.0),
  lambda_l1 = list('classifier' = 0.0, 'regression' = 0.0),
  lambda_l2 = list('classifier' = 0.0, 'regression' = 0.0),
  linear_lambda = list('classifier' = 0.0, 'regression' = 0.0),
  min_gain_to_split = list('classifier' = 0, 'regression' = 0),
  drop_rate_dart = list('classifier' = 0.10, 'regression' = 0.10),
  max_drop_dart = list('classifier' = 50, 'regression' = 50),
  skip_drop_dart = list('classifier' = 0.50, 'regression' = 0.50),
  uniform_drop_dart = list('classifier' = FALSE, 'regression' = FALSE),
  top_rate_goss = list('classifier' = FALSE, 'regression' = FALSE),
  other_rate_goss = list('classifier' = FALSE, 'regression' = FALSE),
  monotone_constraints = list('classifier' = NULL, 'regression' = NULL),
  monotone_constraints_method = list('classifier' = 'advanced', 'regression' = 'advanced'),
  monotone_penalty = list('classifier' = 0.0, 'regression' = 0.0),
  forcedsplits_filename = list('classifier' = NULL, 'regression' = NULL),
  refit_decay_rate = list('classifier' = 0.90, 'regression' = 0.90),
  path_smooth = list('classifier' = 0.0, 'regression' = 0.0),
  
  # IO Dataset Parameters
  max_bin = list('classifier' = 255, 'regression' = 255),
  min_data_in_bin = list('classifier' = 3, 'regression' = 3),
  data_random_seed = list('classifier' = 1, 'regression' = 1),
  is_enable_sparse = list('classifier' = TRUE, 'regression' = TRUE),
  enable_bundle = list('classifier' = TRUE, 'regression' = TRUE),
  use_missing = list('classifier' = TRUE, 'regression' = TRUE),
  zero_as_missing = list('classifier' = FALSE, 'regression' = FALSE),
  two_round = list('classifier' = FALSE, 'regression' = FALSE),
  
  # Convert Parameters
  convert_model = list('classifier' = NULL, 'regression' = NULL),
  convert_model_language = list('classifier' = "cpp", 'regression' = "cpp"),
  
  # Objective Parameters
  boost_from_average = list('classifier' = TRUE, 'regression' = TRUE),
  is_unbalance = list('classifier' = FALSE, 'regression' = FALSE),
  scale_pos_weight = list('classifier' = 1.0, 'regression' = 1.0),
  
  # Metric Parameters (metric is in Core)
  is_provide_training_metric = list('classifier' = TRUE, 'regression' = TRUE),
  eval_at = list('classifier' = c(1,2,3,4,5), 'regression' = c(1,2,3,4,5)),
  
  # Network Parameters
  num_machines = list('classifier' = 1, 'regression' = 1),
  
  # GPU Parameters
  gpu_platform_id = list('classifier' = -1, 'regression' = -1),
  gpu_device_id = list('classifier' = -1, 'regression' = -1),
  gpu_use_dp = list('classifier' = TRUE, 'regression' = TRUE),
  num_gpu = list('classifier' = 1, 'regression' = 1))

# Remove Target Variable
TTrainData[, c("Target_Buckets", "Adrian") := NULL]

# Score LightGBM Hurdle Model
Output <- AutoQuant::AutoLightGBMHurdleModelScoring(
  TestData = TTrainData,
  Path = NULL,
  ModelID = "ModelTest",
  ModelList = TestModel$ModelList,
  ArgsList = TestModel$ArgsList,
  Threshold = NULL)

AutoXGBoost__() Examples

AutoXGBoostRegression() Scoring Example

# Refresh data
data <- AutoQuant::FakeDataGenerator(
  Correlation = 0.85,
  N = 25000L,
  ID = 2L,
  FactorCount = 3,
  AddWeightsColumn = TRUE,
  ZIP = 0L,
  AddDate = TRUE,
  Classification = FALSE,
  MultiClass = FALSE)

# Copy data
data1 <- data.table::copy(data)

# Partition Data
Sets <- Rodeo::AutoDataPartition(
  data = data1,
  NumDataSets = 3,
  Ratios = c(0.7,0.2,0.1),
  PartitionType = "random",
  StratifyColumnNames = "Adrian",
  TimeColumnName = NULL)
TTrainData <- Sets$TrainData
VValidationData <- Sets$ValidationData
TTestData <- Sets$TestData
rm(Sets)

# Run function
TestModel <- AutoQuant::AutoXGBoostRegression(
  
  # GPU or CPU
  TreeMethod = "hist",
  NThreads = parallel::detectCores(),
  LossFunction = 'reg:squarederror',
  
  # Metadata arguments
  model_path = normalizePath("./"),
  metadata_path = NULL,
  ModelID = "Test_Model_1",
  EncodingMethod = "credibility",
  ReturnFactorLevels = TRUE,
  ReturnModelObjects = TRUE,
  SaveModelObjects = TRUE,
  DebugMode = TRUE,
  
  # Data arguments
  data = TTrainData,
  TrainOnFull = FALSE,
  ValidationData = VValidationData,
  TestData = TTestData,
  TargetColumnName = "Adrian",
  FeatureColNames = names(TTrainData)[!names(TTrainData) %in% c("IDcol_1", "IDcol_2","DateTime","Adrian")],
  WeightsColumnName = "Weights",
  IDcols = c("IDcol_1","IDcol_2","DateTime"),
  TransformNumericColumns = NULL,
  Methods = c("Asinh", "Asin", "Log", "LogPlus1", "Sqrt", "Logit"),
  
  # Model evaluation
  eval_metric = "rmse",
  NumOfParDepPlots = 3L,
  
  # Grid tuning arguments
  PassInGrid = NULL,
  GridTune = FALSE,
  grid_eval_metric = "r2",
  BaselineComparison = "default",
  MaxModelsInGrid = 10L,
  MaxRunsWithoutNewWinner = 20L,
  MaxRunMinutes = 24L*60L,
  Verbose = 1L,
  SaveInfoToPDF = TRUE,
  
  # ML args
  Trees = 50L,
  eta = 0.05,
  max_depth = 4L,
  min_child_weight = 1.0,
  subsample = 0.55,
  colsample_bytree = 0.55)

# Score model
Preds <- AutoQuant::AutoXGBoostScoring(
  TargetType = "regression",
  ScoringData = data,
  ReturnShapValues = FALSE,
  FeatureColumnNames = names(TTrainData)[!names(TTrainData) %in% c("IDcol_1", "IDcol_2","DateTime","Adrian")],
  IDcols = c("IDcol_1","IDcol_2","DateTime"),
  EncodingMethod = "credibility",
  FactorLevelsList = TestModel$FactorLevelsList,
  TargetLevels = NULL,
  ModelObject = TestModel$Model,
  ModelPath = "home",
  ModelID = "ModelTest",
  ReturnFeatures = TRUE,
  TransformNumeric = FALSE,
  BackTransNumeric = FALSE,
  TargetColumnName = NULL,
  TransformationObject = NULL,
  TransID = NULL,
  TransPath = NULL,
  MDP_Impute = TRUE,
  MDP_CharToFactor = TRUE,
  MDP_RemoveDates = TRUE,
  MDP_MissFactor = "0",
  MDP_MissNum = -1)

AutoXGBoostClassifier() Scoring Example

# Refresh data
data <- AutoQuant::FakeDataGenerator(
  Correlation = 0.85,
  N = 25000L,
  ID = 2L,
  AddWeightsColumn = TRUE,
  ZIP = 0L,
  AddDate = TRUE,
  Classification = TRUE,
  MultiClass = FALSE)

# Partition Data
Sets <- Rodeo::AutoDataPartition(
  data = data,
  NumDataSets = 3,
  Ratios = c(0.7,0.2,0.1),
  PartitionType = "random",
  StratifyColumnNames = "Adrian",
  TimeColumnName = NULL)
TTrainData <- Sets$TrainData
VValidationData <- Sets$ValidationData
TTestData <- Sets$TestData
rm(Sets)

# Run function
TestModel <- AutoQuant::AutoXGBoostClassifier(
  
  # GPU or CPU
  TreeMethod = "hist",
  NThreads = parallel::detectCores(),
  
  # Metadata arguments
  OutputSelection = c("Importances", "EvalPlots", "EvalMetrics", "Score_TrainData"),
  model_path = normalizePath("./"),
  metadata_path = NULL,
  ModelID = "Test_Model_1",
  EncodingMethod = "credibility",
  ReturnFactorLevels = TRUE,
  ReturnModelObjects = TRUE,
  SaveModelObjects = TRUE,
  SaveInfoToPDF = TRUE,
  DebugMode = TRUE,
  
  # Data arguments
  data = TTrainData,
  TrainOnFull = FALSE,
  ValidationData = VValidationData,
  TestData = TTestData,
  TargetColumnName = "Adrian",
  FeatureColNames = names(TTrainData)[!names(TTrainData) %in% c("IDcol_1", "IDcol_2","DateTime","Adrian")],
  WeightsColumnName = "Weights",
  IDcols = c("IDcol_1","IDcol_2","DateTime"),
  
  # Model evaluation
  LossFunction = 'reg:logistic',
  eval_metric = "auc",
  grid_eval_metric = "MCC",
  CostMatrixWeights = c(1,0,0,1),
  NumOfParDepPlots = 3L,
  
  # Grid tuning arguments
  PassInGrid = NULL,
  GridTune = FALSE,
  BaselineComparison = "default",
  MaxModelsInGrid = 10L,
  MaxRunsWithoutNewWinner = 20L,
  MaxRunMinutes = 24L*60L,
  Verbose = 1L,
  
  # ML Args
  Trees = 50L,
  eta = 0.05,
  max_depth = 4L,
  min_child_weight = 1.0,
  subsample = 0.55,
  colsample_bytree = 0.55)

# Score model
Preds <- AutoQuant::AutoXGBoostScoring(
  TargetType = "classifier",
  ScoringData = data,
  ReturnShapValues = FALSE,
  FeatureColumnNames = names(TTrainData)[!names(TTrainData) %in% c("IDcol_1", "IDcol_2","DateTime","Adrian")],
  IDcols = c("IDcol_1","IDcol_2","DateTime"),
  EncodingMethod = "credibility",
  FactorLevelsList = TestModel$FactorLevelsList,
  TargetLevels = NULL,
  ModelObject = TestModel$Model,
  ModelPath = "home",
  ModelID = "ModelTest",
  ReturnFeatures = TRUE,
  TransformNumeric = FALSE,
  BackTransNumeric = FALSE,
  TargetColumnName = NULL,
  TransformationObject = NULL,
  TransID = NULL,
  TransPath = NULL,
  MDP_Impute = TRUE,
  MDP_CharToFactor = TRUE,
  MDP_RemoveDates = TRUE,
  MDP_MissFactor = "0",
  MDP_MissNum = -1)

AutoXGBoostMultiClasss() Scoring Example

# Refresh data
data <- AutoQuant::FakeDataGenerator(
  Correlation = 0.85,
  N = 25000L,
  ID = 2L,
  AddWeightsColumn = TRUE,
  ZIP = 0L,
  AddDate = TRUE,
  Classification = FALSE,
  MultiClass = TRUE)

# Partition Data
Sets <- Rodeo::AutoDataPartition(
  data = data,
  NumDataSets = 3,
  Ratios = c(0.7,0.2,0.1),
  PartitionType = "random",
  StratifyColumnNames = "Adrian",
  TimeColumnName = NULL)
TTrainData <- Sets$TrainData
VValidationData <- Sets$ValidationData
TTestData <- Sets$TestData
rm(Sets)

# Run function
TestModel <- AutoQuant::AutoXGBoostMultiClass(
  
  # GPU or CPU
  TreeMethod = "hist",
  NThreads = parallel::detectCores(),
  
  # Metadata arguments
  OutputSelection = c("Importances", "EvalPlots", "EvalMetrics", "Score_TrainData"),
  model_path = normalizePath("./"),
  metadata_path = normalizePath("./"),
  ModelID = "Test_Model_1",
  ReturnFactorLevels = TRUE,
  ReturnModelObjects = TRUE,
  SaveModelObjects = FALSE,
  EncodingMethod = "credibility",
  DebugMode = TRUE,
  
  # Data arguments
  data = TTrainData,
  TrainOnFull = FALSE,
  ValidationData = VValidationData,
  TestData = TTestData,
  TargetColumnName = "Adrian",
  FeatureColNames = names(TTrainData)[!names(TTrainData) %in% c("IDcol_1", "IDcol_2","DateTime","Adrian")],
  IDcols = c("IDcol_1","IDcol_2","DateTime"),
  
  # Model evaluation
  eval_metric = "merror",
  LossFunction = 'multi:softprob',
  grid_eval_metric = "accuracy",
  NumOfParDepPlots = 3L,
  
  # Grid tuning arguments
  PassInGrid = NULL,
  GridTune = FALSE,
  BaselineComparison = "default",
  MaxModelsInGrid = 10L,
  MaxRunsWithoutNewWinner = 20L,
  MaxRunMinutes = 24L*60L,
  Verbose = 1L,
  
  # ML Args
  Trees = 50L,
  eta = 0.05,
  max_depth = 4L,
  min_child_weight = 1.0,
  subsample = 0.55,
  colsample_bytree = 0.55)

# Score model
Preds <- AutoQuant::AutoXGBoostScoring(
  TargetType = "multiclass",
  ScoringData = data,
  ReturnShapValues = FALSE,
  FeatureColumnNames = names(TTrainData)[!names(TTrainData) %in% c("IDcol_1", "IDcol_2","DateTime","Adrian")],
  IDcols = c("IDcol_1","IDcol_2","DateTime"),
  EncodingMethod = "credibility",
  FactorLevelsList = TestModel$FactorLevelsList,
  TargetLevels = TestModel$TargetLevels,
  ModelObject = TestModel$Model,
  ModelPath = NULL,
  ModelID = "ModelTest",
  ReturnFeatures = TRUE,
  TransformNumeric = FALSE,
  BackTransNumeric = FALSE,
  TargetColumnName = NULL,
  TransformationObject = NULL,
  TransID = NULL,
  TransPath = NULL,
  MDP_Impute = TRUE,
  MDP_CharToFactor = TRUE,
  MDP_RemoveDates = TRUE,
  MDP_MissFactor = "0",
  MDP_MissNum = -1)

AutoXGBoostHurdleModel() Scoring Example

# Classify
Classify <- TRUE

# Get data
if(Classify) {
  data <- AutoQuant::FakeDataGenerator(N = 15000, ZIP = 1)
} else {
  data <- AutoQuant::FakeDataGenerator(N = 100000, ZIP = 2)
}

# Partition Data
Sets <- Rodeo::AutoDataPartition(
  data = data,
  NumDataSets = 3,
  Ratios = c(0.7,0.2,0.1),
  PartitionType = "random",
  StratifyColumnNames = "Adrian",
  TimeColumnName = NULL)
TTrainData <- Sets$TrainData
VValidationData <- Sets$ValidationData
TTestData <- Sets$TestData
rm(Sets)

# Run function
TestModel <- AutoQuant::AutoXGBoostHurdleModel(
  
  # Operationalization
  ModelID = 'ModelTest',
  SaveModelObjects = FALSE,
  ReturnModelObjects = TRUE,
  NThreads = parallel::detectCores(),
  
  # Data related args
  data = TTrainData,
  ValidationData = VValidationData,
  PrimaryDateColumn = "DateTime",
  TestData = TTestData,
  WeightsColumnName = NULL,
  TrainOnFull = FALSE,
  Buckets = if(Classify) 0L else c(0,2,3),
  TargetColumnName = "Adrian",
  FeatureColNames = names(TTrainData)[!names(data) %in% c("Adrian","IDcol_1","IDcol_2","IDcol_3","IDcol_4","IDcol_5","DateTime")],
  IDcols = c("IDcol_1","IDcol_2","IDcol_3","IDcol_4","IDcol_5","DateTime"),
  DebugMode = FALSE,
  
  # Metadata args
  EncodingMethod = "credibility",
  Paths = normalizePath('./'),
  MetaDataPaths = NULL,
  TransformNumericColumns = NULL,
  Methods = c('Asinh', 'Asin', 'Log', 'LogPlus1', 'Logit'),
  ClassWeights = c(1,1),
  SplitRatios = NULL,
  NumOfParDepPlots = 10L,
  
  # Grid tuning setup
  PassInGrid = NULL,
  GridTune = FALSE,
  BaselineComparison = 'default',
  MaxModelsInGrid = 1L,
  MaxRunsWithoutNewWinner = 20L,
  MaxRunMinutes = 60L*60L,
  
  # XGBoost parameters
  TreeMethod = "hist",
  Trees = list("classifier" = 50, "regression" = 50),
  eta = list("classifier" = 0.05, "regression" = 0.05),
  max_depth = list("classifier" = 4L, "regression" = 4L),
  min_child_weight = list("classifier" = 1.0, "regression" = 1.0),
  subsample = list("classifier" = 0.55, "regression" = 0.55),
  colsample_bytree = list("classifier" = 0.55, "regression" = 0.55))

# Remove Target Variable
TTrainData[, c("Target_Buckets", "Adrian") := NULL]

# Score XGBoost Hurdle Model
Output <- AutoQuant::AutoXGBoostHurdleModelScoring(
  TestData = TTrainData,
  Path = NULL,
  ModelID = "ModelTest",
  ModelList = TestModel$ModelList,
  ArgsList = TestModel$ArgsList,
  Threshold = NULL)

Model Evaluation

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Regression ModelInsightsReport() Example

# Create some dummy correlated data
data <- AutoQuant::FakeDataGenerator(
  Correlation = 0.85,
  N = 10000,
  ID = 2,
  ZIP = 0,
  AddDate = FALSE,
  Classification = FALSE,
  MultiClass = FALSE)

# Copy data
data1 <- data.table::copy(data)

# Define features names
Features <- c(names(data1)[!names(data1) %in% c('IDcol_1','IDcol_2','Adrian')])

# Run function
ModelObject <- AutoQuant::AutoCatBoostRegression(
  
  # GPU or CPU and the number of available GPUs
  task_type = 'GPU',
  NumGPUs = 1,
  NumOfParDepPlots = length(Features),
  
  # Metadata args
  OutputSelection = c('Importances','EvalPlots','EvalMetrics','Score_TrainData'),
  ModelID = 'Test_Model_1',
  model_path = getwd(),
  metadata_path = getwd(),
  ReturnModelObjects = TRUE,
  
  # Data args
  data = data1,
  TargetColumnName = 'Adrian',
  FeatureColNames = Features,
  IDcols = c('IDcol_1','IDcol_2'),
  TransformNumericColumns = 'Adrian',
  Methods = c('Asinh','Asin','Log','LogPlus1','Sqrt','Logit'))

# Build report
AutoQuant::ModelInsightsReport(
  
  # Meta info
  TargetColumnName = 'Adrian',
  PredictionColumnName = 'Predict',
  FeatureColumnNames = Features,
  DateColumnName = NULL,
  
  # Control options
  TargetType = 'regression',
  ModelID = 'Test_Model_1',
  Algo = 'catboost',
  OutputPath = getwd(),
  ModelObject = ModelObject)

Classification ModelInsightsReport() Example

# Create some dummy correlated data
data <- AutoQuant::FakeDataGenerator(
  Correlation = 0.85,
  N = 10000,
  ID = 2,
  ZIP = 0,
  AddDate = FALSE,
  Classification = TRUE,
  MultiClass = FALSE)

# Copy data
data1 <- data.table::copy(data)

# Feature names
Features <- c(names(data1)[!names(data1) %in% c('IDcol_1','IDcol_2','Adrian')])

# Run function
ModelObject <- AutoQuant::AutoCatBoostClassifier(
  
  # GPU or CPU and the number of available GPUs
  task_type = 'GPU',
  NumGPUs = 1,
  
  # Metadata args
  OutputSelection = c('Score_TrainData', 'Importances', 'EvalPlots', 'EvalMetrics'),
  ModelID = 'Test_Model_1',
  model_path = getwd(),
  metadata_path = getwd(),
  ReturnModelObjects = TRUE,
  NumOfParDepPlots = length(Features),

  # Data args
  data = data1,
  TargetColumnName = 'Adrian',
  FeatureColNames = Features,
  IDcols = c('IDcol_1','IDcol_2'))

# Build report
AutoQuant::ModelInsightsReport(
  
  # Meta info
  TargetColumnName = 'Adrian',
  PredictionColumnName = 'p1',
  FeatureColumnNames = Features,
  DateColumnName = NULL,
  
  # Control options
  TargetType = 'classification',
  ModelID = 'Test_Model_1',
  Algo = 'catboost',
  OutputPath = getwd(),
  ModelObject = ModelObject)

MultiClass ModelInsightsReport() Example

# Create some dummy correlated data
data <- AutoQuant::FakeDataGenerator(
  Correlation = 0.85,
  N = 10000L,
  ID = 2L,
  ZIP = 0L,
  AddDate = FALSE,
  Classification = FALSE,
  MultiClass = TRUE)

# Copy data
data1 <- data.table::copy(data)

# Feature Colnames
Features <- c(names(data1)[!names(data1) %in% c('IDcol_1','IDcol_2','Adrian')])

# Run function
ModelObject <- AutoQuant::AutoCatBoostMultiClass(
  
  # GPU or CPU and the number of available GPUs
  task_type = 'GPU',
  NumGPUs = 1,
  NumOfParDepPlots = length(Features),
  
  # Metadata args
  OutputSelection = c('Importances', 'EvalPlots', 'EvalMetrics', 'Score_TrainData'),
  ModelID = 'Test_Model_1',
  model_path = getwd(),
  metadata_path = getwd(),
  ReturnModelObjects = TRUE,
  
  # Data args
  data = data,
  TargetColumnName = 'Adrian',
  FeatureColNames = Features,
  IDcols = c('IDcol_1','IDcol_2'))

# Create Model Insights Report
AutoQuant::ModelInsightsReport(
  
  # DataSets (use TestData for ValidationData)
  TrainData = train,
  ValidationData = valid,
  TestData = test,
  
  # Meta info
  TargetColumnName = 'Adrian',
  PredictionColumnName = 'Predict',
  FeatureColumnNames = Features,
  
  # Control options
  TargetType = 'MultiClass',
  ModelID = 'Test_Model_1',
  Algo = 'catboost',
  OutputPath = getwd(),
  ModelObject = ModelObject)

Panel Data Forecasting

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Code Example: AutoCatBoostCARMA()

# @@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@
# Out-of-Sample Feature + Grid Tuning of AutoQuant::AutoCatBoostCARMA()
# @@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@

# Set up your output file path for saving results as a .csv
Path <- "C:/YourPathHere"

# Run on GPU or CPU (some options in the grid tuning force usage of CPU for some runs)
TaskType = "GPU"

# Define number of CPU threads to allow data.table to utilize
data.table::setDTthreads(percent = max(1L, parallel::detectCores()-2L))

# Load data
data <- data <- data.table::fread("https://www.dropbox.com/s/2str3ek4f4cheqi/walmart_train.csv?dl=1")

# Ensure series have no missing dates (also remove series with more than 25% missing values)
data <- AutoQuant::TimeSeriesFill(
  data,
  DateColumnName = "Date",
  GroupVariables = c("Store","Dept"),
  TimeUnit = "weeks",
  FillType = "maxmax",
  MaxMissingPercent = 0.25,
  SimpleImpute = TRUE)

# Set negative numbers to 0
data <- data[, Weekly_Sales := data.table::fifelse(Weekly_Sales < 0, 0, Weekly_Sales)]

# Remove IsHoliday column
data[, IsHoliday := NULL]

# Create xregs (this is the include the categorical variables instead of utilizing only the interaction of them)
xregs <- data[, .SD, .SDcols = c("Date", "Store", "Dept")]

# Change data types
data[, ":=" (Store = as.character(Store), Dept = as.character(Dept))]
xregs[, ":=" (Store = as.character(Store), Dept = as.character(Dept))]

# Subset data so we have an out of time sample
data1 <- data.table::copy(data[, ID := 1L:.N, by = c("Store","Dept")][ID <= 125L][, ID := NULL])
data[, ID := NULL]

# Define values for SplitRatios and FCWindow Args
N1 <- data1[, .N, by = c("Store","Dept")][1L, N]
N2 <- xregs[, .N, by = c("Store","Dept")][1L, N]

# Setup Grid Tuning & Feature Tuning data.table using a cross join of vectors
Tuning <- data.table::CJ(
  TimeWeights = c("None",0.999),
  MaxTimeGroups = c("weeks","months"),
  TargetTransformation = c("TRUE","FALSE"),
  Difference = c("TRUE","FALSE"),
  HoldoutTrain = c(6,18),
  Langevin = c("TRUE","FALSE"),
  NTrees = c(2500,5000),
  Depth = c(6,9),
  RandomStrength = c(0.75,1),
  L2_Leaf_Reg = c(3.0,4.0),
  RSM = c(0.75,"NULL"),
  GrowPolicy = c("SymmetricTree","Lossguide","Depthwise"),
  BootStrapType = c("Bayesian","MVS","No"))

# Remove options that are not compatible with GPU (skip over this otherwise)
Tuning <- Tuning[Langevin == "TRUE" | (Langevin == "FALSE" & RSM == "NULL" & BootStrapType %in% c("Bayesian","No"))]

# Randomize order of Tuning data.table
Tuning <- Tuning[order(runif(.N))]

# Load grid results and remove rows that have already been tested
if(file.exists(file.path(Path, "Walmart_CARMA_Metrics.csv"))) {
  Metrics <- data.table::fread(file.path(Path, "Walmart_CARMA_Metrics.csv"))
  temp <- data.table::rbindlist(list(Metrics,Tuning), fill = TRUE)
  temp <- unique(temp, by = c(4:(ncol(temp)-1)))
  Tuning <- temp[is.na(RunTime)][, .SD, .SDcols = names(Tuning)]
  rm(Metrics,temp)
}

# Define the total number of runs
TotalRuns <- Tuning[,.N]

# Kick off feature + grid tuning
for(Run in seq_len(TotalRuns)) {

  # Print run number
  for(zz in seq_len(100)) print(Run)

  # Use fresh data for each run
  xregs_new <- data.table::copy(xregs)
  data_new <- data.table::copy(data1)

  # Timer start
  StartTime <- Sys.time()

  # Run carma system
  CatBoostResults <- AutoQuant::AutoCatBoostCARMA(

    # data args
    data = data_new,
    TimeWeights = if(Tuning[Run, TimeWeights] == "None") NULL else as.numeric(Tuning[Run, TimeWeights]),
    TargetColumnName = "Weekly_Sales",
    DateColumnName = "Date",
    HierarchGroups = NULL,
    GroupVariables = c("Store","Dept"),
    TimeUnit = "weeks",
    TimeGroups = if(Tuning[Run, MaxTimeGroups] == "weeks") "weeks" else if(Tuning[Run, MaxTimeGroups] == "months") c("weeks","months") else c("weeks","months","quarters"),

    # Production args
    TrainOnFull = TRUE,
    SplitRatios = c(1 - Tuning[Run, HoldoutTrain] / N2, Tuning[Run, HoldoutTrain] / N2),
    PartitionType = "random",
    FC_Periods = N2-N1,
    TaskType = TaskType,
    NumGPU = 1,
    Timer = TRUE,
    DebugMode = TRUE,

    # Target variable transformations
    TargetTransformation = as.logical(Tuning[Run, TargetTransformation]),
    Methods = c('Asinh','Log','LogPlus1','Sqrt'),
    Difference = as.logical(Tuning[Run, Difference]),
    NonNegativePred = TRUE,
    RoundPreds = FALSE,

    # Calendar-related features
    CalendarVariables = c("week","wom","month","quarter"),
    HolidayVariable = c("USPublicHolidays"),
    HolidayLookback = NULL,
    HolidayLags = c(1,2,3),
    HolidayMovingAverages = c(2,3),

    # Lags, moving averages, and other rolling stats
    Lags = if(Tuning[Run, MaxTimeGroups] == "weeks") c(1,2,3,4,5,8,9,12,13,51,52,53) else if(Tuning[Run, MaxTimeGroups] == "months") list("weeks" = c(1,2,3,4,5,8,9,12,13,51,52,53), "months" = c(1,2,6,12)) else list("weeks" = c(1,2,3,4,5,8,9,12,13,51,52,53), "months" = c(1,2,6,12), "quarters" = c(1,2,3,4)),
    MA_Periods = if(Tuning[Run, MaxTimeGroups] == "weeks") c(2,3,4,5,8,9,12,13,51,52,53) else if(Tuning[Run, MaxTimeGroups] == "months") list("weeks" = c(2,3,4,5,8,9,12,13,51,52,53), "months" = c(2,6,12)) else list("weeks" = c(2,3,4,5,8,9,12,13,51,52,53), "months" = c(2,6,12), "quarters" = c(2,3,4)),
    SD_Periods = NULL,
    Skew_Periods = NULL,
    Kurt_Periods = NULL,
    Quantile_Periods = NULL,
    Quantiles_Selected = NULL,

    # Bonus features
    AnomalyDetection = NULL,
    XREGS = xregs_new,
    FourierTerms = 0,
    TimeTrendVariable = TRUE,
    ZeroPadSeries = NULL,
    DataTruncate = FALSE,

    # ML grid tuning args
    GridTune = FALSE,
    PassInGrid = NULL,
    ModelCount = 5,
    MaxRunsWithoutNewWinner = 50,
    MaxRunMinutes = 60*60,

    # ML evaluation output
    PDFOutputPath = NULL,
    SaveDataPath = NULL,
    NumOfParDepPlots = 0L,

    # ML loss functions
    EvalMetric = "RMSE",
    EvalMetricValue = 1,
    LossFunction = "RMSE",
    LossFunctionValue = 1,

    # ML tuning args
    NTrees = Tuning[Run, NTrees],
    Depth = Tuning[Run, Depth],
    L2_Leaf_Reg = Tuning[Run, L2_Leaf_Reg],
    LearningRate = 0.03,
    Langevin = as.logical(Tuning[Run, Langevin]),
    DiffusionTemperature = 10000,
    RandomStrength = Tuning[Run, RandomStrength],
    BorderCount = 254,
    RSM = if(Tuning[Run, RSM] == "NULL") NULL else as.numeric(Tuning[Run, RSM]),
    GrowPolicy = Tuning[Run, GrowPolicy],
    BootStrapType = Tuning[Run, BootStrapType],
    ModelSizeReg = 0.5,
    FeatureBorderType = "GreedyLogSum",
    SamplingUnit = "Group",
    SubSample = NULL,
    ScoreFunction = "Cosine",
    MinDataInLeaf = 1)

  # Timer End
  EndTime <- Sys.time()

  # Prepare data for evaluation
  Results <- CatBoostResults$Forecast
  data.table::setnames(Results, "Weekly_Sales", "bla")
  Results <- merge(Results, data, by = c("Store","Dept","Date"), all = FALSE)
  Results <- Results[is.na(bla)][, bla := NULL]

  # Create totals and subtotals
  Results <- data.table::groupingsets(
    x = Results,
    j = list(Predictions = sum(Predictions), Weekly_Sales = sum(Weekly_Sales)),
    by = c("Date", "Store", "Dept"),
    sets = list(c("Date", "Store", "Dept"), c("Store", "Dept"), "Store", "Dept", "Date"))
  
  # Fill NAs with "Total" for totals and subtotals
  for(cols in c("Store","Dept")) Results[, eval(cols) := data.table::fifelse(is.na(get(cols)), "Total", get(cols))]

  # Add error measures
  Results[, Weekly_MAE := abs(Weekly_Sales - Predictions)]
  Results[, Weekly_MAPE := Weekly_MAE / Weekly_Sales]

  # Weekly results
  Weekly_MAPE <- Results[, list(Weekly_MAPE = mean(Weekly_MAPE)), by = list(Store,Dept)]

  # Monthly results
  temp <- data.table::copy(Results)
  temp <- temp[, Date := lubridate::floor_date(Date, unit = "months")]
  temp <- temp[, lapply(.SD, sum), by = c("Date","Store","Dept"), .SDcols = c("Predictions", "Weekly_Sales")]
  temp[, Monthly_MAE := abs(Weekly_Sales - Predictions)]
  temp[, Monthly_MAPE := Monthly_MAE / Weekly_Sales]
  Monthly_MAPE <- temp[, list(Monthly_MAPE = mean(Monthly_MAPE)), by = list(Store,Dept)]

  # Collect metrics for Total (feel free to switch to something else or no filter at all)
  Metrics <- data.table::data.table(
    RunNumber = Run,
    Total_Weekly_MAPE = Weekly_MAPE[Store == "Total" & Dept == "Total", Weekly_MAPE],
    Total_Monthly_MAPE = Monthly_MAPE[Store == "Total" & Dept == "Total", Monthly_MAPE],
    Tuning[Run],
    RunTime = EndTime - StartTime)

  # Append to file (not overwrite)
  data.table::fwrite(Metrics, file = file.path(Path, "Walmart_CARMA_Metrics.csv"), append = TRUE)
  
  # Remove objects (clear space before new runs)
  rm(CatBoostResults, Results, temp, Weekly_MAE, Weekly_MAPE, Monthly_MAE, Monthly_MAPE)

  # Garbage collection because of GPU
  gc()
}

Code Example: AutoXGBoostCARMA()

# @@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@
# XGBoost Version ----
# @@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@

# Load data
data <- data.table::fread("https://www.dropbox.com/s/2str3ek4f4cheqi/walmart_train.csv?dl=1")

# Ensure series have no missing dates (also remove series with more than 25% missing values)
data <- AutoQuant::TimeSeriesFill(
  data,
  DateColumnName = "Date",
  GroupVariables = c("Store","Dept"),
  TimeUnit = "weeks",
  FillType = "maxmax",
  MaxMissingPercent = 0.25,
  SimpleImpute = TRUE)

# Set negative numbers to 0
data <- data[, Weekly_Sales := data.table::fifelse(Weekly_Sales < 0, 0, Weekly_Sales)]

# Remove IsHoliday column
data[, IsHoliday := NULL]

# Create xregs (this is the include the categorical variables instead of utilizing only the interaction of them)
xregs <- data[, .SD, .SDcols = c("Date", "Store", "Dept")]

# Change data types
data[, ":=" (Store = as.character(Store), Dept = as.character(Dept))]
xregs[, ":=" (Store = as.character(Store), Dept = as.character(Dept))]

 # Build forecast
XGBoostResults <- AutoXGBoostCARMA(

  # Data Artifacts
  data = data,
  NonNegativePred = FALSE,
  RoundPreds = FALSE,
  TargetColumnName = "Weekly_Sales",
  DateColumnName = "Date",
  HierarchGroups = NULL,
  GroupVariables = c("Store","Dept"),
  TimeUnit = "weeks",
  TimeGroups = c("weeks","months"),

  # Data Wrangling Features
  ZeroPadSeries = NULL,
  DataTruncate = FALSE,
  SplitRatios = c(1 - 10 / 138, 10 / 138),
  PartitionType = "timeseries",
  AnomalyDetection = NULL,
  EncodingMethod = "binary",

  # Productionize
  FC_Periods = 0,
  TrainOnFull = FALSE,
  NThreads = 8,
  Timer = TRUE,
  DebugMode = FALSE,
  SaveDataPath = NULL,
  PDFOutputPath = NULL,

  # Target Transformations
  TargetTransformation = TRUE,
  Methods = c("Asinh", "Asin", "Log", "LogPlus1", "Sqrt", "Logit"),
  Difference = FALSE,

  # Features
  Lags = list("weeks" = seq(1L, 10L, 1L), "months" = seq(1L, 5L, 1L)),
  MA_Periods = list("weeks" = seq(5L, 20L, 5L), "months" = seq(2L, 10L, 2L)),
  SD_Periods = NULL,
  Skew_Periods = NULL,
  Kurt_Periods = NULL,
  Quantile_Periods = NULL,
  Quantiles_Selected = c("q5","q95"),
  XREGS = xregs,
  FourierTerms = 4,
  CalendarVariables = c("week", "wom", "month", "quarter"),
  HolidayVariable = c("USPublicHolidays","EasterGroup","ChristmasGroup","OtherEcclesticalFeasts"),
  HolidayLookback = NULL,
  HolidayLags = 1,
  HolidayMovingAverages = 1:2,
  TimeTrendVariable = TRUE,

  # ML eval args
  TreeMethod = "hist",
  EvalMetric = "RMSE",
  LossFunction = 'reg:squarederror',

  # ML grid tuning
  GridTune = FALSE,
  ModelCount = 5,
  MaxRunsWithoutNewWinner = 20L,
  MaxRunMinutes = 24L*60L,

  # ML args
  NTrees = 300,
  LearningRate = 0.3,
  MaxDepth = 9L,
  MinChildWeight = 1.0,
  SubSample = 1.0,
  ColSampleByTree = 1.0)

Code Example: AutoLightGBMCARMA()

# @@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@
# LightGBM Version ----
# @@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@

# Load data
data <- data.table::fread('https://www.dropbox.com/s/2str3ek4f4cheqi/walmart_train.csv?dl=1')

# Ensure series have no missing dates (also remove series with more than 25% missing values)
data <- AutoQuant::TimeSeriesFill(
  data,
  DateColumnName = 'Date',
  GroupVariables = c('Store','Dept'),
  TimeUnit = 'weeks',
  FillType = 'maxmax',
  MaxMissingPercent = 0.25,
  SimpleImpute = TRUE)

# Set negative numbers to 0
data <- data[, Weekly_Sales := data.table::fifelse(Weekly_Sales < 0, 0, Weekly_Sales)]

# Remove IsHoliday column
data[, IsHoliday := NULL]

# Create xregs (this is the include the categorical variables instead of utilizing only the interaction of them)
xregs <- data[, .SD, .SDcols = c('Date', 'Store', 'Dept')]

# Change data types
data[, ':=' (Store = as.character(Store), Dept = as.character(Dept))]
xregs[, ':=' (Store = as.character(Store), Dept = as.character(Dept))]

# Build forecast
Results <- AutoLightGBMCARMA(

  # Data Artifacts
  data = data,
  NonNegativePred = FALSE,
  RoundPreds = FALSE,
  TargetColumnName = 'Weekly_Sales',
  DateColumnName = 'Date',
  HierarchGroups = NULL,
  GroupVariables = c('Store','Dept'),
  TimeUnit = 'weeks',
  TimeGroups = c('weeks','months'),

  # Data Wrangling Features
  EncodingMethod = 'binary',
  ZeroPadSeries = NULL,
  DataTruncate = FALSE,
  SplitRatios = c(1 - 10 / 138, 10 / 138),
  PartitionType = 'timeseries',
  AnomalyDetection = NULL,

  # Productionize
  FC_Periods = 0,
  TrainOnFull = FALSE,
  NThreads = 8,
  Timer = TRUE,
  DebugMode = FALSE,
  SaveDataPath = NULL,
  PDFOutputPath = NULL,

  # Target Transformations
  TargetTransformation = TRUE,
  Methods = c('Asinh', 'Asin', 'Log', 'LogPlus1', 'Sqrt', 'Logit'),
  Difference = FALSE,

  # Features
  Lags = list('weeks' = seq(1L, 10L, 1L), 'months' = seq(1L, 5L, 1L)),
  MA_Periods = list('weeks' = seq(5L, 20L, 5L), 'months' = seq(2L, 10L, 2L)),
  SD_Periods = NULL,
  Skew_Periods = NULL,
  Kurt_Periods = NULL,
  Quantile_Periods = NULL,
  Quantiles_Selected = c('q5','q95'),
  XREGS = xregs,
  FourierTerms = 4,
  CalendarVariables = c('week', 'wom', 'month', 'quarter'),
  HolidayVariable = c('USPublicHolidays','EasterGroup','ChristmasGroup','OtherEcclesticalFeasts'),
  HolidayLookback = NULL,
  HolidayLags = 1,
  HolidayMovingAverages = 1:2,
  TimeTrendVariable = TRUE,

  # ML eval args
  TreeMethod = 'hist',
  EvalMetric = 'RMSE',
  LossFunction = 'reg:squarederror',

  # Grid tuning args
  GridTune = FALSE,
  GridEvalMetric = 'mae',
  ModelCount = 30L,
  MaxRunsWithoutNewWinner = 20L,
  MaxRunMinutes = 24L*60L,

  # LightGBM Args
  Device_Type = TaskType,
  LossFunction = 'regression',
  EvalMetric = 'MAE',
  Input_Model = NULL,
  Task = 'train',
  Boosting = 'gbdt',
  LinearTree = FALSE,
  Trees = 1000,
  ETA = 0.10,
  Num_Leaves = 31,
  Deterministic = TRUE,

  # Learning Parameters
  # https://lightgbm.readthedocs.io/en/latest/Parameters.html#learning-control-parameters
  Force_Col_Wise = FALSE,
  Force_Row_Wise = FALSE,
  Max_Depth = 6,
  Min_Data_In_Leaf = 20,
  Min_Sum_Hessian_In_Leaf = 0.001,
  Bagging_Freq = 1.0,
  Bagging_Fraction = 1.0,
  Feature_Fraction = 1.0,
  Feature_Fraction_Bynode = 1.0,
  Lambda_L1 = 0.0,
  Lambda_L2 = 0.0,
  Extra_Trees = FALSE,
  Early_Stopping_Round = 10,
  First_Metric_Only = TRUE,
  Max_Delta_Step = 0.0,
  Linear_Lambda = 0.0,
  Min_Gain_To_Split = 0,
  Drop_Rate_Dart = 0.10,
  Max_Drop_Dart = 50,
  Skip_Drop_Dart = 0.50,
  Uniform_Drop_Dart = FALSE,
  Top_Rate_Goss = FALSE,
  Other_Rate_Goss = FALSE,
  Monotone_Constraints = NULL,
  Monotone_Constraints_Method = 'advanced',
  Monotone_Penalty = 0.0,
  Forcedsplits_Filename = NULL, # use for AutoStack option; .json file
  Refit_Decay_Rate = 0.90,
  Path_Smooth = 0.0,

  # IO Dataset Parameters
  # https://lightgbm.readthedocs.io/en/latest/Parameters.html#io-parameters
  Max_Bin = 255,
  Min_Data_In_Bin = 3,
  Data_Random_Seed = 1,
  Is_Enable_Sparse = TRUE,
  Enable_Bundle = TRUE,
  Use_Missing = TRUE,
  Zero_As_Missing = FALSE,
  Two_Round = FALSE,

  # Convert Parameters
  Convert_Model = NULL,
  Convert_Model_Language = 'cpp',

  # Objective Parameters
  # https://lightgbm.readthedocs.io/en/latest/Parameters.html#objective-parameters
  Boost_From_Average = TRUE,
  Alpha = 0.90,
  Fair_C = 1.0,
  Poisson_Max_Delta_Step = 0.70,
  Tweedie_Variance_Power = 1.5,
  Lambdarank_Truncation_Level = 30,

  # Metric Parameters (metric is in Core)
  # https://lightgbm.readthedocs.io/en/latest/Parameters.html#metric-parameters
  Is_Provide_Training_Metric = TRUE,
  Eval_At = c(1,2,3,4,5),

  # Network Parameters
  # https://lightgbm.readthedocs.io/en/latest/Parameters.html#network-parameters
  Num_Machines = 1,

  # GPU Parameters
  # https://lightgbm.readthedocs.io/en/latest/Parameters.html#gpu-parameters
  Gpu_Platform_Id = -1,
  Gpu_Device_Id = -1,
  Gpu_Use_Dp = TRUE,
  Num_Gpu = 1)

Code Example: AutoH2OCARMA()

# @@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@
# H2O Version ----
# @@@@@@@@@@@@@@@@@@@@@@@@@@@@@@@

# Load data
data <- data.table::fread("https://www.dropbox.com/s/2str3ek4f4cheqi/walmart_train.csv?dl=1")

# Ensure series have no missing dates (also remove series with more than 25% missing values)
data <- AutoQuant::TimeSeriesFill(
  data,
  DateColumnName = "Date",
  GroupVariables = c("Store","Dept"),
  TimeUnit = "weeks",
  FillType = "maxmax",
  MaxMissingPercent = 0.25,
  SimpleImpute = TRUE)

# Set negative numbers to 0
data <- data[, Weekly_Sales := data.table::fifelse(Weekly_Sales < 0, 0, Weekly_Sales)]

# Remove IsHoliday column
data[, IsHoliday := NULL]

# Create xregs (this is the include the categorical variables instead of utilizing only the interaction of them)
xregs <- data[, .SD, .SDcols = c("Date", "Store", "Dept")]

# Change data types
data[, ":=" (Store = as.character(Store), Dept = as.character(Dept))]
xregs[, ":=" (Store = as.character(Store), Dept = as.character(Dept))]

# Build forecast
Results <- AutoQuant::AutoH2OCARMA(

  # Data Artifacts
  AlgoType = "drf",
  ExcludeAlgos = NULL,
  data = data,
  TargetColumnName = "Weekly_Sales",
  DateColumnName = "Date",
  HierarchGroups = NULL,
  GroupVariables = c("Dept"),
  TimeUnit = "week",
  TimeGroups = c("weeks","months"),

  # Data Wrangling Features
  SplitRatios = c(1 - 10 / 138, 10 / 138),
  PartitionType = "random",

  # Production args
  FC_Periods = 4L,
  TrainOnFull = FALSE,
  MaxMem = {gc();paste0(as.character(floor(max(32, as.numeric(system("awk '/MemFree/ {print $2}' /proc/meminfo", intern=TRUE)) -32) / 1000000)),"G")},
  NThreads = parallel::detectCores(),
  PDFOutputPath = NULL,
  SaveDataPath = NULL,
  Timer = TRUE,
  DebugMode = TRUE,

  # Target Transformations
  TargetTransformation = FALSE,
  Methods = c("Asinh", "Asin", "Log", "LogPlus1", "Sqrt", "Logit"),
  Difference = FALSE,
  NonNegativePred = FALSE,
  RoundPreds = FALSE,

  # Calendar features
  CalendarVariables = c("week", "wom", "month", "quarter", "year"),
  HolidayVariable = c("USPublicHolidays","EasterGroup",
    "ChristmasGroup","OtherEcclesticalFeasts"),
  HolidayLookback = NULL,
  HolidayLags = 1:7,
  HolidayMovingAverages = 2:7,
  TimeTrendVariable = TRUE,

  # Time series features
  Lags = list("weeks" = c(1:4), "months" = c(1:3)),
  MA_Periods = list("weeks" = c(2:8), "months" = c(6:12)),
  SD_Periods = NULL,
  Skew_Periods = NULL,
  Kurt_Periods = NULL,
  Quantile_Periods = NULL,
  Quantiles_Selected = NULL,

  # Bonus Features
  XREGS = NULL,
  FourierTerms = 2L,
  AnomalyDetection = NULL,
  ZeroPadSeries = NULL,
  DataTruncate = FALSE,

  # ML evaluation args
  EvalMetric = "RMSE",
  NumOfParDepPlots = 0L,

  # ML grid tuning args
  GridTune = FALSE,
  GridStrategy = "Cartesian",
  ModelCount = 5,
  MaxRuntimeSecs = 60*60*24,
  StoppingRounds = 10,

  # ML Args
  NTrees = 1000L,
  MaxDepth = 20,
  SampleRate = 0.632,
  MTries = -1,
  ColSampleRatePerTree = 1,
  ColSampleRatePerTreeLevel  = 1,
  MinRows = 1,
  NBins = 20,
  NBinsCats = 1024,
  NBinsTopLevel = 1024,
  HistogramType = "AUTO",
  CategoricalEncoding = "AUTO",
  RandomColNumbers = NULL,
  InteractionColNumbers = NULL,
  WeightsColumn = NULL,

  # ML args
  Distribution = "gaussian",
  Link = "identity",
  RandomDistribution = NULL,
  RandomLink = NULL,
  Solver = "AUTO",
  Alpha = NULL,
  Lambda = NULL,
  LambdaSearch = FALSE,
  NLambdas = -1,
  Standardize = TRUE,
  RemoveCollinearColumns = FALSE,
  InterceptInclude = TRUE,
  NonNegativeCoefficients = FALSE)

Time Series Forecasting

Expand to view content

Time Series Forecasting Description

There are three sets of functions for single series traditional time series model forecasting. The first set includes the AutoBanditSarima() and AutoBanditNNet() functions. These two offer the most robust fitting strategies. The utilize a multi-armed-bandit to help narrow the search space of available parameter settings. The next batch includes the AutoTBATS(), AutoETS(), and the AutoArfima() functions. These don’t utilze the bandit framework. Rather, they run through a near exhaustive search through all their possible settings. Both the bandit set and the non-bandit set utilize parallelism to burn through as many models as possible for a fixed amount of time.

  • Bandit: AutoBanditSarima
  • Bandit: AutoBanditNNet
  • Exhaustive: AutoTBATS
  • Exhaustive: AutoETS
  • Exhaustive: AutoArfima

AutoBanditSarima() Example

# Build model
data <- AutoQuant::FakeDataGenerator(Correlation = 0.82, TimeSeries = TRUE, TimeSeriesTimeAgg = "1min")

# Run system
Output <- AutoQuant::AutoBanditSarima(
  data = data,
  SaveFile = NULL,
  ByDataType = FALSE,
  TargetVariableName = "Weekly_Sales",
  DateColumnName = "Date",
  TimeAggLevel = "1min",
  EvaluationMetric = "MAE",
  NumHoldOutPeriods = 12L,
  NumFCPeriods = 16L,
  MaxLags = 10L,
  MaxSeasonalLags = 0L,
  MaxMovingAverages = 3L,
  MaxSeasonalMovingAverages = 0L,
  MaxFourierPairs = 2L,
  TrainWeighting = 0.50,
  MaxConsecutiveFails = 50L,
  MaxNumberModels = 100L,
  MaxRunTimeMinutes = 10L,
  NumberCores = 12,
  DebugMode = FALSE)

# View output
Output$ForecastPlot
Output$ErrorLagMA2x2
Output$Forecast
Output$PerformanceGrid

AutoBanditNNet() Example

# Build model
data <- AutoQuant::FakeDataGenerator(Correlation = 0.82, TimeSeries = TRUE, TimeSeriesTimeAgg = "1min")

# Run system
Output <- AutoQuant::AutoBanditNNet(
  data = data,
  TargetVariableName = "Weekly_Sales",
  DateColumnName = "Date",
  TimeAggLevel = "1min",
  EvaluationMetric = "MAE",
  NumHoldOutPeriods = 12L,
  NumFCPeriods = 16L,
  MaxLags = 10L,
  MaxSeasonalLags = 0L,
  MaxFourierPairs = 2L,
  TrainWeighting = 0.50,
  MaxConsecutiveFails = 50L,
  MaxNumberModels = 100L,
  MaxRunTimeMinutes = 10L,
  NumberCores = 12)
  
# View output
Output$Forecast
Output$PerformanceGrid

AutoTBATS() Example

# Build model
data <- AutoQuant::FakeDataGenerator(Correlation = 0.82, TimeSeries = TRUE, TimeSeriesTimeAgg = "1min")

# Run system
Output <- AutoQuant::AutoTBATS(
  data = data,
  FilePath = getwd(),
  TargetVariableName = "Weekly_Sales",
  DateColumnName = "Date",
  TimeAggLevel = "1min",
  EvaluationMetric = "MAE",
  NumHoldOutPeriods = 12L,
  NumFCPeriods = 16L,
  MaxLags = 10L,
  MaxMovingAverages = 5,
  MaxSeasonalPeriods = 1,
  TrainWeighting = 0.50,
  MaxConsecutiveFails = 50L,
  MaxNumberModels = 100L,
  MaxRunTimeMinutes = 10L,
  NumberCores = 12)

# View output
Output$Forecast
Output$PerformanceGrid

AutoETS() Example

# Build model
data <- AutoQuant::FakeDataGenerator(Correlation = 0.82, TimeSeries = TRUE, TimeSeriesTimeAgg = "1min")

# Run system
Output <- AutoQuant::AutoETS(
  data = data,
  FilePath = getwd(),
  TargetVariableName = "Weekly_Sales",
  DateColumnName = "Date",
  TimeAggLevel = "1min",
  EvaluationMetric = "MAE",
  NumHoldOutPeriods = 12L,
  NumFCPeriods = 16L,
  TrainWeighting = 0.50,
  MaxConsecutiveFails = 50L,
  MaxNumberModels = 100L,
  MaxRunTimeMinutes = 10L,
  NumberCores = 12)

# View output
Output$Forecast
Output$PerformanceGrid

AutoArfima() Example

# Build model
data <- AutoQuant::FakeDataGenerator(Correlation = 0.82, TimeSeries = TRUE, TimeSeriesTimeAgg = "1min")

# Run system
Output <- AutoQuant::AutoArfima(
  data = data,
  FilePath = getwd(),
  TargetVariableName = "Weekly_Sales",
  DateColumnName = "Date",
  TimeAggLevel = "1min",
  EvaluationMetric = "MAE",
  NumHoldOutPeriods = 12L,
  NumFCPeriods = 16L,
  TrainWeighting = 0.50,
  MaxLags = 5, 
  MaxMovingAverages = 5,
  MaxConsecutiveFails = 50L,
  MaxNumberModels = 100L,
  MaxRunTimeMinutes = 10L,
  NumberCores = 12)

# View output
Output$Forecast
Output$PerformanceGrid