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xrf::xrf() fits a model that derives simple feature rules from a tree ensemble and uses the rules as features to a regularized model. rules::xrf_fit() is a wrapper around this function.

Details

For this engine, there are multiple modes: classification and regression

Tuning Parameters

This model has 8 tuning parameters:

  • mtry: Proportion Randomly Selected Predictors (type: double, default: see below)

  • trees: # Trees (type: integer, default: 15L)

  • min_n: Minimal Node Size (type: integer, default: 1L)

  • tree_depth: Tree Depth (type: integer, default: 6L)

  • learn_rate: Learning Rate (type: double, default: 0.3)

  • loss_reduction: Minimum Loss Reduction (type: double, default: 0.0)

  • sample_size: Proportion Observations Sampled (type: double, default: 1.0)

  • penalty: Amount of Regularization (type: double, default: 0.1)

Translation from parsnip to the underlying model call (regression)

The rules extension package is required to fit this model.

library(rules)

rule_fit(
  mtry = numeric(1),
  trees = integer(1),
  min_n = integer(1),
  tree_depth = integer(1),
  learn_rate = numeric(1),
  loss_reduction = numeric(1),
  sample_size = numeric(1),
  penalty = numeric(1)
) %>%
  set_engine("xrf") %>%
  set_mode("regression") %>%
  translate()

## RuleFit Model Specification (regression)
## 
## Main Arguments:
##   mtry = numeric(1)
##   trees = integer(1)
##   min_n = integer(1)
##   tree_depth = integer(1)
##   learn_rate = numeric(1)
##   loss_reduction = numeric(1)
##   sample_size = numeric(1)
##   penalty = numeric(1)
## 
## Computational engine: xrf 
## 
## Model fit template:
## rules::xrf_fit(formula = missing_arg(), data = missing_arg(), 
##     xgb_control = missing_arg(), colsample_bynode = numeric(1), 
##     nrounds = integer(1), min_child_weight = integer(1), max_depth = integer(1), 
##     eta = numeric(1), gamma = numeric(1), subsample = numeric(1), 
##     lambda = numeric(1))

Translation from parsnip to the underlying model call (classification)

The rules extension package is required to fit this model.

library(rules)

rule_fit(
  mtry = numeric(1),
  trees = integer(1),
  min_n = integer(1),
  tree_depth = integer(1),
  learn_rate = numeric(1),
  loss_reduction = numeric(1),
  sample_size = numeric(1),
  penalty = numeric(1)
) %>%
  set_engine("xrf") %>%
  set_mode("classification") %>%
  translate()

## RuleFit Model Specification (classification)
## 
## Main Arguments:
##   mtry = numeric(1)
##   trees = integer(1)
##   min_n = integer(1)
##   tree_depth = integer(1)
##   learn_rate = numeric(1)
##   loss_reduction = numeric(1)
##   sample_size = numeric(1)
##   penalty = numeric(1)
## 
## Computational engine: xrf 
## 
## Model fit template:
## rules::xrf_fit(formula = missing_arg(), data = missing_arg(), 
##     xgb_control = missing_arg(), colsample_bynode = numeric(1), 
##     nrounds = integer(1), min_child_weight = integer(1), max_depth = integer(1), 
##     eta = numeric(1), gamma = numeric(1), subsample = numeric(1), 
##     lambda = numeric(1))

Differences from the xrf package

Note that, per the documentation in ?xrf, transformations of the response variable are not supported. To use these with rule_fit(), we recommend using a recipe instead of the formula method.

Also, there are several configuration differences in how xrf() is fit between that package and the wrapper used in rules. Some differences in default values are:

parameterxrfrules
trees10015
max_depth36

These differences will create a disparity in the values of the penalty argument that glmnet uses. Also, rules can also set penalty whereas xrf uses an internal 5-fold cross-validation to determine it (by default).

Preprocessing requirements

Factor/categorical predictors need to be converted to numeric values (e.g., dummy or indicator variables) for this engine. When using the formula method via fit(), parsnip will convert factor columns to indicators.

Other details

Interpreting mtry

The mtry argument denotes the number of predictors that will be randomly sampled at each split when creating tree models.

Some engines, such as "xgboost", "xrf", and "lightgbm", interpret their analogue to the mtry argument as the proportion of predictors that will be randomly sampled at each split rather than the count. In some settings, such as when tuning over preprocessors that influence the number of predictors, this parameterization is quite helpful—interpreting mtry as a proportion means that [0,1] is always a valid range for that parameter, regardless of input data.

parsnip and its extensions accommodate this parameterization using the counts argument: a logical indicating whether mtry should be interpreted as the number of predictors that will be randomly sampled at each split. TRUE indicates that mtry will be interpreted in its sense as a count, FALSE indicates that the argument will be interpreted in its sense as a proportion.

mtry is a main model argument for boost_tree() and rand_forest(), and thus should not have an engine-specific interface. So, regardless of engine, counts defaults to TRUE. For engines that support the proportion interpretation—currently "xgboost", "xrf" (via the rules package), and "lightgbm" (via the bonsai package)—the user can pass the counts = FALSE argument to set_engine() to supply mtry values within [0,1].

Early stopping

The stop_iter() argument allows the model to prematurely stop training if the objective function does not improve within early_stop iterations.

The best way to use this feature is in conjunction with an internal validation set. To do this, pass the validation parameter of xgb_train() via the parsnip set_engine() function. This is the proportion of the training set that should be reserved for measuring performance (and stopping early).

If the model specification has early_stop >= trees, early_stop is converted to trees - 1 and a warning is issued.

Case weights

The underlying model implementation does not allow for case weights.

References

  • Friedman and Popescu. “Predictive learning via rule ensembles.” Ann. Appl. Stat. 2 (3) 916- 954, September 2008