stopping_metric

  • Available in: GBM, DRF, Deep Learning, AutoML, XGBoost
  • Hyperparameter: yes

Description

This option specifies the metric to consider when early stopping is specified (i.e., when stopping_rounds > 0). For example, given the following options:

  • stopping_rounds=3
  • stopping_metric=misclassification
  • stopping_tolerance=1e-3

then the model will stop training after reaching three scoring events in a row in which a model’s missclassication value does not improve by 1e-3. These stopping options are used to increase performance by restricting the number of models that get built.

Available options for stopping_metric include the following:

  • AUTO: This defaults to logloss for classification, deviance (mean residual deviance) for regression
  • deviance
  • logloss
  • MSE
  • RMSE
  • MAE
  • RMSLE
  • AUC
  • lift_top_group
  • misclassification
  • mean_per_class_error
  • custom (for custom metric functions where “less is better”. It is expected that the lower bound is 0.) Note that this is currently only supported in GBM and DRF.
  • custom_increasing (for custom metric functions where “more is better”.) Note that this is currently only supported in GBM and DRF.

Note: stopping_rounds must be enabled for stopping_metric or stopping_tolerance to work.

Example

library(h2o)
h2o.init()
# import the airlines dataset:
# This dataset is used to classify whether a flight will be delayed 'YES' or not "NO"
# original data can be found at http://www.transtats.bts.gov/
airlines <-  h2o.importFile("http://s3.amazonaws.com/h2o-public-test-data/smalldata/airlines/allyears2k_headers.zip")

# convert columns to factors
airlines["Year"] <- as.factor(airlines["Year"])
airlines["Month"] <- as.factor(airlines["Month"])
airlines["DayOfWeek"] <- as.factor(airlines["DayOfWeek"])
airlines["Cancelled"] <- as.factor(airlines["Cancelled"])
airlines['FlightNum'] <- as.factor(airlines['FlightNum'])

# set the predictor names and the response column name
predictors <- c("Origin", "Dest", "Year", "UniqueCarrier", "DayOfWeek", "Month", "Distance", "FlightNum")
response <- "IsDepDelayed"

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

# try using the `stopping_metric` parameter:
# since this is a classification problem we will look at the AUC
# you could also choose logloss, or misclassification, among other options

# train your model, where you specify the stopping_metric, stopping_rounds,
# and stopping_tolerance
airlines.gbm <- h2o.gbm(x = predictors, y = response, training_frame = train, validation_frame = valid,
                        stopping_metric = "AUC", stopping_rounds = 3,
                        stopping_tolerance = 1e-2, seed = 1234)

# print the auc for the validation data
print(h2o.auc(airlines.gbm, valid = TRUE))

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

# import the airlines dataset:
# This dataset is used to classify whether a flight will be delayed 'YES' or not "NO"
# original data can be found at http://www.transtats.bts.gov/
airlines= h2o.import_file("https://s3.amazonaws.com/h2o-public-test-data/smalldata/airlines/allyears2k_headers.zip")

# convert columns to factors
airlines["Year"]= airlines["Year"].asfactor()
airlines["Month"]= airlines["Month"].asfactor()
airlines["DayOfWeek"] = airlines["DayOfWeek"].asfactor()
airlines["Cancelled"] = airlines["Cancelled"].asfactor()
airlines['FlightNum'] = airlines['FlightNum'].asfactor()

# set the predictor names and the response column name
predictors = ["Origin", "Dest", "Year", "UniqueCarrier", "DayOfWeek", "Month", "Distance", "FlightNum"]
response = "IsDepDelayed"

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

# try using the `stopping_metric` parameter:
# since this is a classification problem we will look at the AUC
# you could also choose logloss, or misclassification, among other options
# train your model, where you specify the stopping_metric, stopping_rounds,
# and stopping_tolerance
# initialize the estimator then train the model
airlines_gbm = H2OGradientBoostingEstimator(stopping_metric = "auc", stopping_rounds = 3,
                                            stopping_tolerance = 1e-2,
                                            seed =1234)
airlines_gbm.train(x = predictors, y = response, training_frame = train, validation_frame = valid)

# print the auc for the validation data
airlines_gbm.auc(valid=True)

# Example using a custom metric
# Create a custom RMSE Model metric and save as mm_rmse.py
# Note that this references a java class java.lang.Math
class CustomRmseFunc:
def map(self, pred, act, w, o, model):
    idx = int(act[0])
    err = 1 - pred[idx + 1] if idx + 1 < len(pred) else 1
    return [err * err, 1]

def reduce(self, l, r):
    return [l[0] + r[0], l[1] + r[1]]

def metric(self, l):
    # Use Java API directly
    import java.lang.Math as math
    return math.sqrt(l[0] / l[1])

# Upload the custom metric
custom_mm_func = h2o.upload_custom_metric(CustomRmseFunc,
                                          func_name="rmse",
                                          func_file="mm_rmse.py")

# Train the model
model = H2OGradientBoostingEstimator(ntrees=3,
                                     max_depth=5,
                                     score_each_iteration=True,
                                     custom_metric_func=custom_mm_func,
                                     stopping_metric="custom",
                                     stopping_tolerance=0.1,
                                     stopping_rounds=3)
model.train(x=predictors, y=response, training_frame train, validation_frame = valid)