dmlc / dmlc/xgboost

Convergence issue under pseudo-huber loss for simple experiment data

Open
#9,378 2 comments 0 reactions 0 assignees View on GitHub
Dominant language
C++
Stars
28.8k
Forks
8.9k
Avg merge
1d 12h
Merged PRs (30d)
54

Description

Hi, I am recently conducting some numerical experiments for a new tree boosting trick. I designed a simple example for robust regression, in which there are three data points involved: (1.2, 1.5, 2.3, 100), (1.2, 1.5, 2.3, 300), and (1.2, 1.5, 2.3, 1000). The heading 3 value are features, and the last value is the regression target. I applied XGBoost with pseudo-huber error to fit this data, with huber-delta set as 1. Since pseudo-huber error is a smoothing variant of absolute-error, so the fitted value is expected to be around 300. However, no matter how hard I tried(e.g. by tuning the regularization weight lambda as well as the learning rate), the fitted value was consistently stuck in a large number, even when there were just a few boosting iterations and large regularization weights were applied. Since the gradient of pseudo-huber error is bounded in absolute value by the huber-delta, this phenomenon was quite unexpected. Does anyone know how to resolve this issue?

Contributor guide

No contributing guide indexed for this repository

Assessment

This issue has not been assessed yet.

Get new issues in your inbox

A short digest of beginner-friendly GitHub issues.