R: Predict method for eXtreme Gradient Boosting model

predict.xgb.Booster {xgboost} | R Documentation

## Predict method for eXtreme Gradient Boosting model

### Description

Predicted values based on either xgboost model or model handle object.

### Usage

    ## S3 method for class 'xgb.Booster'
    predict(
      object,
      newdata,
      missing = NA,
      outputmargin = FALSE,
      ntreelimit = NULL,
      predleaf = FALSE,
      predcontrib = FALSE,
      approxcontrib = FALSE,
      predinteraction = FALSE,
      reshape = FALSE,
      training = FALSE,
      ...
    )

    ## S3 method for class 'xgb.Booster.handle'
    predict(object, ...)

### Arguments

`object` | Object of class `xgb.Booster` or `xgb.Booster.handle`
`newdata` | takes `matrix`, `dgCMatrix`, local data file or `xgb.DMatrix`.
`missing` | Missing is only used when input is dense matrix. Pick a float value that represents missing values in data (e.g., sometimes 0 or some other extreme value is used).
`outputmargin` | whether the prediction should be returned in the for of original untransformed sum of predictions from boosting iterations' results. E.g., setting `outputmargin=TRUE` for logistic regression would result in predictions for log-odds instead of probabilities.
`ntreelimit` | limit the number of model's trees or boosting iterations used in prediction (see Details). It will use all the trees by default (`NULL` value).
`predleaf` | whether predict leaf index.
`predcontrib` | whether to return feature contributions to individual predictions (see Details).
`approxcontrib` | whether to use a fast approximation for feature contributions (see Details).
`predinteraction` | whether to return contributions of feature interactions to individual predictions (see Details).
`reshape` | whether to reshape the vector of predictions to a matrix form when there are several prediction outputs per case. This option has no effect when either of predleaf, predcontrib, or predinteraction flags is TRUE.
`training` | whether is the prediction result used for training. For dart booster, training predicting will perform dropout.
`...` | Parameters passed to `predict.xgb.Booster`

### Details

Note that `ntreelimit` is not necessarily equal to the number of boosting iterations and it is not necessarily equal to the number of trees in a model. E.g., in a random forest-like model, `ntreelimit` would limit the number of trees. But for multiclass classification, while there are multiple trees per iteration, `ntreelimit` limits the number of boosting iterations.

Also note that `ntreelimit` would currently do nothing for predictions from gblinear, since gblinear doesn't keep its boosting history.

One possible practical applications of the `predleaf` option is to use the model as a generator of new features which capture non-linearity and interactions, e.g., as implemented in `xgb.create.features`.

Setting `predcontrib = TRUE` allows to calculate contributions of each feature to individual predictions. For "gblinear" booster, feature contributions are simply linear terms (feature_beta * feature_value). For "gbtree" booster, feature contributions are SHAP values (Lundberg 2017) that sum to the difference between the expected output of the model and the current prediction (where the hessian weights are used to compute the expectations). Setting `approxcontrib = TRUE` approximates these values following the idea explained in http://blog.datadive.net/interpreting-random-forests/.

With `predinteraction = TRUE`, SHAP values of contributions of interaction of each pair of features are computed. Note that this operation might be rather expensive in terms of compute and memory. Since it quadratically depends on the number of features, it is recommended to perform selection of the most important features first. See below about the format of the returned results.

### Value

For regression or binary classification, it returns a vector of length `nrows(newdata)`. For multiclass classification, either a `num_class * nrows(newdata)` vector or a `(nrows(newdata), num_class)` dimension matrix is returned, depending on the `reshape` value.

When `predleaf = TRUE`, the output is a matrix object with the number of columns corresponding to the number of trees.

When `predcontrib = TRUE` and it is not a multiclass setting, the output is a matrix object with `num_features + 1` columns. The last "+ 1" column in a matrix corresponds to bias. For a multiclass case, a list of `num_class` elements is returned, where each element is such a matrix. The contribution values are on the scale of untransformed margin (e.g., for binary classification would mean that the contributions are log-odds deviations from bias).

When `predinteraction = TRUE` and it is not a multiclass setting, the output is a 3d array with dimensions `c(nrow, num_features + 1, num_features + 1)`. The off-diagonal (in the last two dimensions) elements represent different features interaction contributions. The array is symmetric WRT the last two dimensions. The "+ 1" columns corresponds to bias. Summing this array along the last dimension should produce practically the same result as predict with `predcontrib = TRUE`. For a multiclass case, a list of `num_class` elements is returned, where each element is such an array.

### References

Scott M. Lundberg, Su-In Lee, "A Unified Approach to Interpreting Model Predictions", NIPS Proceedings 2017, https://arxiv.org/abs/1705.07874

Scott M. Lundberg, Su-In Lee, "Consistent feature attribution for tree ensembles", https://arxiv.org/abs/1706.06060

### See Also

`xgb.train`.

### Examples

    ## binary classification:

    data(agaricus.train, package='xgboost')
    data(agaricus.test, package='xgboost')
    train <- agaricus.train
    test <- agaricus.test

    bst <- xgboost(data = train$data, label = train$label, max_depth = 2,
                   eta = 0.5, nthread = 2, nrounds = 5, objective = "binary:logistic")
    # use all trees by default
    pred <- predict(bst, test$data)
    # use only the 1st tree
    pred1 <- predict(bst, test$data, ntreelimit = 1)

    # Predicting tree leafs:
    # the result is an nsamples X ntrees matrix
    pred_leaf <- predict(bst, test$data, predleaf = TRUE)
    str(pred_leaf)

    # Predicting feature contributions to predictions:
    # the result is an nsamples X (nfeatures + 1) matrix
    pred_contr <- predict(bst, test$data, predcontrib = TRUE)
    str(pred_contr)
    # verify that contributions' sums are equal to log-odds of predictions (up to float precision):
    summary(rowSums(pred_contr) - qlogis(pred))
    # for the 1st record, let's inspect its features that had non-zero contribution to prediction:
    contr1 <- pred_contr[1,]
    contr1 <- contr1[-length(contr1)]    # drop BIAS
    contr1 <- contr1[contr1 != 0]        # drop non-contributing features
    contr1 <- contr1[order(abs(contr1))] # order by contribution magnitude
    old_mar <- par("mar")
    par(mar = old_mar + c(0,7,0,0))
    barplot(contr1, horiz = TRUE, las = 2, xlab = "contribution to prediction in log-odds")
    par(mar = old_mar)

    ## multiclass classification in iris dataset:

    lb <- as.numeric(iris$Species) - 1
    num_class <- 3
    set.seed(11)
    bst <- xgboost(data = as.matrix(iris[, -5]), label = lb,
                   max_depth = 4, eta = 0.5, nthread = 2, nrounds = 10, subsample = 0.5,
                   objective = "multi:softprob", num_class = num_class)
    # predict for softmax returns num_class probability numbers per case:
    pred <- predict(bst, as.matrix(iris[, -5]))
    str(pred)
    # reshape it to a num_class-columns matrix
    pred <- matrix(pred, ncol=num_class, byrow=TRUE)
    # convert the probabilities to softmax labels
    pred_labels <- max.col(pred) - 1
    # the following should result in the same error as seen in the last iteration
    sum(pred_labels != lb)/length(lb)

    # compare that to the predictions from softmax:
    set.seed(11)
    bst <- xgboost(data = as.matrix(iris[, -5]), label = lb,
                   max_depth = 4, eta = 0.5, nthread = 2, nrounds = 10, subsample = 0.5,
                   objective = "multi:softmax", num_class = num_class)
    pred <- predict(bst, as.matrix(iris[, -5]))
    str(pred)
    all.equal(pred, pred_labels)
    # prediction from using only 5 iterations should result
    # in the same error as seen in iteration 5:
    pred5 <- predict(bst, as.matrix(iris[, -5]), ntreelimit=5)
    sum(pred5 != lb)/length(lb)

    ## random forest-like model of 25 trees for binary classification:

    set.seed(11)
    bst <- xgboost(data = train$data, label = train$label, max_depth = 5,
                   nthread = 2, nrounds = 1, objective = "binary:logistic",
                   num_parallel_tree = 25, subsample = 0.6, colsample_bytree = 0.1)
    # Inspect the prediction error vs number of trees:
    lb <- test$label
    dtest <- xgb.DMatrix(test$data, label=lb)
    err <- sapply(1:25, function(n) {
      pred <- predict(bst, dtest, ntreelimit=n)
      sum((pred > 0.5) != lb)/length(lb)
    })
    plot(err, type='l', ylim=c(0,0.1), xlab='#trees')

[Package xgboost version 1.4.2.1 Index]