quantile_alpha

  • Available in: GBM, Deep Learning
  • Hyperparameter: yes

Description

The quantile_alpha parameter value defines the desired quantile when performing quantile regression. Used in combination with distribution = quantile, quantile_alpha activates the quantile loss function. For example, if you want to predict the 80th percentile of the response column’s value, then you can specify quantile_alpha=0.8. The quantile_alpha value defaults to 0.5 (i.e., the median value, essentially the same as specifying distribution=laplace).

Example

library(h2o)
h2o.init()

# import the boston dataset:
# this dataset looks at features of the boston suburbs and predicts median housing prices
# the original dataset can be found at https://archive.ics.uci.edu/ml/datasets/Housing
boston <- h2o.importFile("https://s3.amazonaws.com/h2o-public-test-data/smalldata/gbm_test/BostonHousing.csv")

# set the predictor names and the response column name
predictors <- colnames(boston)[1:13]
# set the response column to "medv", the median value of owner-occupied homes in $1000's
response <- "medv"

# convert the chas column to a factor (chas = Charles River dummy variable (= 1 if tract bounds river; 0 otherwise))
boston["chas"] <- as.factor(boston["chas"])

# split into train and validation sets
boston.splits <- h2o.splitFrame(data =  boston, ratios = .8, seed = 1234)
train <- boston.splits[[1]]
valid <- boston.splits[[2]]

# try using the `quantile_alpha` parameter:
# train your model, where you specify distribution = quantile
# and the quantile_alpha value
boston_gbm <- h2o.gbm(x = predictors, y = response, training_frame = train,
                      validation_frame = valid,
                      distribution = 'quantile',
                      quantile_alpha = .8,
                      seed = 1234)

# print the mse for validation set
print(h2o.mse(boston_gbm, valid = TRUE))

# grid over `quantile_alpha` parameter
# select the values for `quantile_alpha` to grid over
hyper_params <- list( quantile_alpha = c(.2, .5, .8) )

# this example uses cartesian grid search because the search space is small
# and we want to see the performance of all models. For a larger search space use
# random grid search instead: {'strategy': "RandomDiscrete"}

# build grid search with previously made GBM and hyperparameters
grid <- h2o.grid(x = predictors, y = response, training_frame = train,
                 validation_frame = valid, algorithm = "gbm",
                 grid_id = "boston_grid",
                 distribution = "quantile",
                 hyper_params = hyper_params,
                 seed = 1234)

# Sort the grid models by MSE
sortedGrid <- h2o.getGrid("boston_grid", sort_by = "mse", decreasing = FALSE)
sortedGrid

import h2o
from h2o.estimators.gbm import H2OGradientBoostingEstimator
h2o.init()

# import the boston dataset:
# this dataset looks at features of the boston suburbs and predicts median housing prices
# the original dataset can be found at https://archive.ics.uci.edu/ml/datasets/Housing
boston = h2o.import_file("https://s3.amazonaws.com/h2o-public-test-data/smalldata/gbm_test/BostonHousing.csv")

# set the predictor names and the response column name
predictors = boston.columns[:-1]
# set the response column to "medv", the median value of owner-occupied homes in $1000's
response = "medv"

# convert the chas column to a factor (chas = Charles River dummy variable (= 1 if tract bounds river; 0 otherwise))
boston['chas'] = boston['chas'].asfactor()

# split into train and validation sets
train, valid = boston.split_frame(ratios = [.8], seed = 1234)

# try using the `quantile_alpha` parameter:
# initialize the estimator then train the model where you specify distribution = quantile
# and the quantile_alpha value
boston_gbm = H2OGradientBoostingEstimator(distribution = "quantile", quantile_alpha = .8, seed = 1234)

# then train your model
boston_gbm.train(x = predictors, y = response, training_frame = train, validation_frame = valid)

# print the MSE for the validation data
print(boston_gbm.mse(valid=True))


# Example of values to grid over for `quantile_alpha`
# import Grid Search
from h2o.grid.grid_search import H2OGridSearch

# select the values for `quantile_alpha` to grid over
hyper_params = {'quantile_alpha': [.2, .5, .8]}

# this example uses cartesian grid search because the search space is small
# and we want to see the performance of all models. For a larger search space use
# random grid search instead: {'strategy': "RandomDiscrete"}
# initialize the GBM estimator
boston_gbm_2 = H2OGradientBoostingEstimator(distribution="quantile", seed = 1234,
                                              stopping_metric = "mse", stopping_tolerance = 1e-4)

# build grid search with previously made GBM and hyper parameters
grid = H2OGridSearch(model = boston_gbm_2, hyper_params = hyper_params,
                     search_criteria = {'strategy': "Cartesian"})

# train using the grid
grid.train(x = predictors, y = response, training_frame = train, validation_frame = valid)

# sort the grid models by decreasing MSE
sorted_grid = grid.get_grid(sort_by = 'mse', decreasing = False)
print(sorted_grid)