dmlc / dmlc/xgboost

xgboost tweedie monotonicity violation

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Description

Really appreciate your time looking over this and helping me find a solution or at least understand why I'm seeing what I'm seeing. I am fitting in python using 'objective': 'reg:tweedie' with the default greedy algorithm (not hist).

I am seeing some trees that seemingly violate my monotonicity. I have come up with a working theory that monotonicity is not necessarily enforcing the direction of predictions between left and right, but rather checking if the right prediction is less than or greater than 0. I don't know, and looking into the source code I see something about monotonicity being involved in setting allowable values. It's quite a lot to look through and I'm hoping for some guidance.

Attached is a picture. For intermediate nodes higher up from the leaf, I have used a weighted average of the leaf value & cover. I have continued this process up through the tree working backwards.

![image](https://user-images.githubusercontent.com/81171606/164533799-00063432-057b-49e4-9cf5-8a47fe7a5927.png)

Thank you for any guidance!

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