Category: Uncategorized

In this tutorial, we show how to build a well-tuned H2O GBM model for a supervised classification task. We specifically don’t focus on feature engineering and use a small dataset to allow you to reproduce these results in a few minutes on a laptop. This script can be directly transferred to datasets that are hundreds of GBs large and H2O clusters with dozens of compute nodes.

This tutorial is written in R Markdown. You can download the source from H2O’s github repository.

A port to a Python Jupyter Notebook version is available as well.

Either download H2O from H2O.ai’s website or install the latest version of H2O into R with the following R code:

# The following two commands remove any previously installed H2O packages for R.

if ("package:h2o" %in% search()) { detach("package:h2o", unload=TRUE) }

if ("h2o" %in% rownames(installed.packages())) { remove.packages("h2o") }

# Next, we download packages that H2O depends on.

pkgs <- c("methods","statmod","stats","graphics","RCurl","jsonlite","tools","utils")

for (pkg in pkgs) {

if (! (pkg %in% rownames(installed.packages()))) { install.packages(pkg) }

}

# Now we download, install and initialize the H2O package for R.

install.packages("h2o", type="source", repos=(c("http://h2o-release.s3.amazonaws.com/h2o/rel-turchin/8/R")))

Launch an H2O cluster on localhost

library(h2o)

h2o.init(nthreads=-1)

## optional: connect to a running H2O cluster

#h2o.init(ip="mycluster", port=55555)

Starting H2O JVM and connecting: . Connection successful!

R is connected to the H2O cluster:

H2O cluster uptime: 1 seconds 248 milliseconds

H2O cluster version: 3.8.2.8

H2O cluster name: H2O_started_from_R_arno_wyu958

H2O cluster total nodes: 1

H2O cluster total memory: 3.56 GB

H2O cluster total cores: 8

H2O cluster allowed cores: 8

H2O cluster healthy: TRUE

H2O Connection ip: localhost

H2O Connection port: 54321

H2O Connection proxy: NA

R Version: R version 3.2.2 (2015-08-14)

Everything is scalable and distributed from now on. All processing is done on the fully multi-threaded and distributed H2O Java-based backend and can be scaled to large datasets on large compute clusters.

Here, we use a small public dataset (Titanic), but you can use datasets that are hundreds of GBs large.

## 'path' can point to a local file, hdfs, s3, nfs, Hive, directories, etc.

df <- h2o.importFile(path = "http://s3.amazonaws.com/h2o-public-test-data/smalldata/gbm_test/titanic.csv")

dim(df)

head(df)

tail(df)

summary(df,exact_quantiles=TRUE)

## pick a response for the supervised problem

response <- "survived"

## the response variable is an integer, we will turn it into a categorical/factor for binary classification

df[[response]] <- as.factor(df[[response]])

## use all other columns (except for the name) as predictors

predictors <- setdiff(names(df), c(response, "name"))

> summary(df,exact_quantiles=TRUE)

pclass survived name sex age sibsp parch ticket fare cabin embarked

Min. :1.000 Min. :0.000 male :843 Min. : 0.1667 Min. :0.0000 Min. :0.000 Min. : 680 Min. : 0.000 C23 C25 C27 : 6 S :914

1st Qu.:2.000 1st Qu.:0.000 female:466 1st Qu.:21.0000 1st Qu.:0.0000 1st Qu.:0.000 1st Qu.: 19950 1st Qu.: 7.896 B57 B59 B63 B66: 5 C :270

Median :3.000 Median :0.000 Median :28.0000 Median :0.0000 Median :0.000 Median : 234604 Median : 14.454 G6 : 5 Q :123

Mean :2.295 Mean :0.382 Mean :29.8811 Mean :0.4989 Mean :0.385 Mean : 249039 Mean : 33.295 B96 B98 : 4 NA: 2

3rd Qu.:3.000 3rd Qu.:1.000 3rd Qu.:39.0000 3rd Qu.:1.0000 3rd Qu.:0.000 3rd Qu.: 347468 3rd Qu.: 31.275 C22 C26 : 4

Max. :3.000 Max. :1.000 Max. :80.0000 Max. :8.0000 Max. :9.000 Max. :3101298 Max. :512.329 C78 : 4

NA's :263 NA's :352 NA's :1 NA :1014

boat body home.dest

Min. : 1.000 Min. : 1.0 New York NY : 64

1st Qu.: 5.000 1st Qu.: 72.0 London : 14

Median :10.000 Median :155.0 Montreal PQ : 10

Mean : 9.405 Mean :160.8 Cornwall / Akron OH: 9

3rd Qu.:13.000 3rd Qu.:256.0 Paris France : 9

Max. :16.000 Max. :328.0 Philadelphia PA : 8

NA's :911 NA's :1188 NA :564

From now on, everything is generic and directly applies to most datasets. We assume that all feature engineering is done at this stage and focus on model tuning. For multi-class problems, you can use h2o.logloss() or h2o.confusionMatrix() instead of h2o.auc() and for regression problems, you can use h2o.deviance() or h2o.mse().

We split the data into three pieces: 60% for training, 20% for validation, 20% for final testing.

Here, we use random splitting, but this assumes i.i.d. data. If this is not the case (e.g., when events span across multiple rows or data has a time structure), you’ll have to sample your data non-randomly.

splits <- h2o.splitFrame(

data = df,

ratios = c(0.6,0.2), ## only need to specify 2 fractions, the 3rd is implied

destination_frames = c("train.hex", "valid.hex", "test.hex"), seed = 1234

)

train <- splits[[1]]

valid <- splits[[2]]

test <- splits[[3]]

As the first step, we’ll build some default models to see what accuracy we can expect. Let’s use the AUC metric for this demo, but you can use h2o.logloss and stopping_metric="logloss" as well. It ranges from 0.5 for random models to 1 for perfect models.

The first model is a default GBM, trained on the 60% training split

## We only provide the required parameters, everything else is default

gbm <- h2o.gbm(x = predictors, y = response, training_frame = train)

## Show a detailed model summary

gbm

## Get the AUC on the validation set

h2o.auc(h2o.performance(gbm, newdata = valid))

The AUC is over 94%, so this model is highly predictive!

[1] 0.9431953

The second model is another default GBM, but trained on 80% of the data (here, we combine the training and validation splits to get more training data), and cross-validated using 4 folds.

Note that cross-validation takes longer and is not usually done for really large datasets.

## h2o.rbind makes a copy here, so it's better to use splitFrame with `ratios = c(0.8)` instead above

gbm <- h2o.gbm(x = predictors, y = response, training_frame = h2o.rbind(train, valid), nfolds = 4, seed = 0xDECAF)

## Show a detailed summary of the cross validation metrics

## This gives you an idea of the variance between the folds

gbm@model$cross_validation_metrics_summary

## Get the cross-validated AUC by scoring the combined holdout predictions.

## (Instead of taking the average of the metrics across the folds)

h2o.auc(h2o.performance(gbm, xval = TRUE))

We see that the cross-validated performance is similar to the validation set performance:

[1] 0.9403432

Next, we train a GBM with “I feel lucky” parameters.

We’ll use early stopping to automatically tune the number of trees using the validation AUC.

We’ll use a lower learning rate (lower is always better, just takes more trees to converge).

We’ll also use stochastic sampling of rows and columns to (hopefully) improve generalization.

gbm <- h2o.gbm(

## standard model parameters

x = predictors,

y = response,

training_frame = train,

validation_frame = valid,

## more trees is better if the learning rate is small enough

## here, use "more than enough" trees - we have early stopping

ntrees = 10000,

## smaller learning rate is better (this is a good value for most datasets, but see below for annealing)

learn_rate=0.01,

## early stopping once the validation AUC doesn't improve by at least 0.01% for 5 consecutive scoring events

stopping_rounds = 5, stopping_tolerance = 1e-4, stopping_metric = "AUC",

## sample 80% of rows per tree

sample_rate = 0.8,

## sample 80% of columns per split

col_sample_rate = 0.8,

## fix a random number generator seed for reproducibility

seed = 1234,

## score every 10 trees to make early stopping reproducible (it depends on the scoring interval)

score_tree_interval = 10

)

## Get the AUC on the validation set

h2o.auc(h2o.performance(gbm, valid = TRUE))

This model doesn’t seem to be much better than the previous models:

[1] 0.939335

For this small dataset, dropping 20% of observations per tree seems too aggressive in terms of adding regularization. For larger datasets, this is usually not a bad idea. But we’ll let this parameter tune freshly below, so no worries.

Note: To see what other stopping_metric parameters you can specify, simply pass an invalid option:

gbm <- h2o.gbm(x = predictors, y = response, training_frame = train, stopping_metric = "yada")

Error in .h2o.checkAndUnifyModelParameters(algo = algo, allParams = ALL_PARAMS, :

"stopping_metric" must be in "AUTO", "deviance", "logloss", "MSE", "AUC",

"lift_top_group", "r2", "misclassification", but got yada

Next, we’ll do real hyper-parameter optimization to see if we can beat the best AUC so far (around 94%).

The key here is to start tuning some key parameters first (i.e., those that we expect to have the biggest impact on the results). From experience with gradient boosted trees across many datasets, we can state the following “rules”:

- Build as many trees (ntrees) as it takes until the validation set error starts increasing.
- A lower learning rate (learn_rate) is generally better, but will require more trees. Using learn_rate=0.02and learn_rate_annealing=0.995 (reduction of learning rate with each additional tree) can help speed up convergence without sacrificing accuracy too much, and is great to hyper-parameter searches. For faster scans, use values of 0.05 and 0.99 instead.
- The optimum maximum allowed depth for the trees (max_depth) is data dependent, deeper trees take longer to train, especially at depths greater than 10.
- Row and column sampling (sample_rate and col_sample_rate) can improve generalization and lead to lower validation and test set errors. Good general values for large datasets are around 0.7 to 0.8 (sampling 70-80 percent of the data) for both parameters. Column sampling per tree (col_sample_rate_per_tree) can also be tuned. Note that it is multiplicative with col_sample_rate, so setting both parameters to 0.8 results in 64% of columns being considered at any given node to split.
- For highly imbalanced classification datasets (e.g., fewer buyers than non-buyers), stratified row sampling based on response class membership can help improve predictive accuracy. It is configured with sample_rate_per_class (array of ratios, one per response class in lexicographic order).
- Most other options only have a small impact on the model performance, but are worth tuning with a Random hyper-parameter search nonetheless, if highest performance is critical.

First we want to know what value of max_depth to use because it has a big impact on the model training time and optimal values depend strongly on the dataset.

We’ll do a quick Cartesian grid search to get a rough idea of good candidate max_depth values. Each model in the grid search will use early stopping to tune the number of trees using the validation set AUC, as before.

We’ll use learning rate annealing to speed up convergence without sacrificing too much accuracy.

## Depth 10 is usually plenty of depth for most datasets, but you never know

hyper_params = list( max_depth = seq(1,29,2) )

#hyper_params = list( max_depth = c(4,6,8,12,16,20) ) ##faster for larger datasets

grid <- h2o.grid(

## hyper parameters

hyper_params = hyper_params,

## full Cartesian hyper-parameter search

search_criteria = list(strategy = "Cartesian"),

## which algorithm to run

algorithm="gbm",

## identifier for the grid, to later retrieve it

grid_id="depth_grid",

## standard model parameters

x = predictors,

y = response,

training_frame = train,

validation_frame = valid,

## more trees is better if the learning rate is small enough

## here, use "more than enough" trees - we have early stopping

ntrees = 10000,

## smaller learning rate is better

## since we have learning_rate_annealing, we can afford to start with a bigger learning rate

learn_rate = 0.05,

## learning rate annealing: learning_rate shrinks by 1% after every tree

## (use 1.00 to disable, but then lower the learning_rate)

learn_rate_annealing = 0.99,

## sample 80% of rows per tree

sample_rate = 0.8,

## sample 80% of columns per split

col_sample_rate = 0.8,

## fix a random number generator seed for reproducibility

seed = 1234,

## early stopping once the validation AUC doesn't improve by at least 0.01% for 5 consecutive scoring events

stopping_rounds = 5,

stopping_tolerance = 1e-4,

stopping_metric = "AUC",

## score every 10 trees to make early stopping reproducible (it depends on the scoring interval)

score_tree_interval = 10

)

## by default, display the grid search results sorted by increasing logloss (since this is a classification task)

grid

## sort the grid models by decreasing AUC

sortedGrid <- h2o.getGrid("depth_grid", sort_by="auc", decreasing = TRUE)

sortedGrid

## find the range of max_depth for the top 5 models

topDepths = sortedGrid@summary_table$max_depth[1:5]

minDepth = min(as.numeric(topDepths))

maxDepth = max(as.numeric(topDepths))

> sortedGrid

H2O Grid Details

================

Grid ID: depth_grid

Used hyper parameters:

- max_depth

Number of models: 15

Number of failed models: 0

Hyper-Parameter Search Summary: ordered by decreasing auc

max_depth model_ids auc

1 27 depth_grid_model_13 0.95657931811778

2 25 depth_grid_model_12 0.956353902507749

3 29 depth_grid_model_14 0.956241194702733

4 21 depth_grid_model_10 0.954663285432516

5 19 depth_grid_model_9 0.954494223724993

6 13 depth_grid_model_6 0.954381515919978

7 23 depth_grid_model_11 0.954043392504931

8 11 depth_grid_model_5 0.952183713722175

9 15 depth_grid_model_7 0.951789236404621

10 17 depth_grid_model_8 0.951507466892082

11 9 depth_grid_model_4 0.950436742744435

12 7 depth_grid_model_3 0.946942800788955

13 5 depth_grid_model_2 0.939306846999155

14 3 depth_grid_model_1 0.932713440405748

15 1 depth_grid_model_0 0.92902225979149

It appears that max_depth values of 19 to 29 are best suited for this dataset, which is unusally deep!

> minDepth

[1] 19

> maxDepth

[1] 29

Now that we know a good range for max_depth, we can tune all other parameters in more detail. Since we don’t know what combinations of hyper-parameters will result in the best model, we’ll use random hyper-parameter search to “let the machine get luckier than a best guess of any human”.

hyper_params = list(

## restrict the search to the range of max_depth established above

max_depth = seq(minDepth,maxDepth,1),

## search a large space of row sampling rates per tree

sample_rate = seq(0.2,1,0.01),

## search a large space of column sampling rates per split

col_sample_rate = seq(0.2,1,0.01),

## search a large space of column sampling rates per tree

col_sample_rate_per_tree = seq(0.2,1,0.01),

## search a large space of how column sampling per split should change as a function of the depth of the split

col_sample_rate_change_per_level = seq(0.9,1.1,0.01),

## search a large space of the number of min rows in a terminal node

min_rows = 2^seq(0,log2(nrow(train))-1,1),

## search a large space of the number of bins for split-finding for continuous and integer columns

nbins = 2^seq(4,10,1),

## search a large space of the number of bins for split-finding for categorical columns

nbins_cats = 2^seq(4,12,1),

## search a few minimum required relative error improvement thresholds for a split to happen

min_split_improvement = c(0,1e-8,1e-6,1e-4),

## try all histogram types (QuantilesGlobal and RoundRobin are good for numeric columns with outliers)

histogram_type = c("UniformAdaptive","QuantilesGlobal","RoundRobin")

)

search_criteria = list(

## Random grid search

strategy = "RandomDiscrete",

## limit the runtime to 60 minutes

max_runtime_secs = 3600,

## build no more than 100 models

max_models = 100,

## random number generator seed to make sampling of parameter combinations reproducible

seed = 1234,

## early stopping once the leaderboard of the top 5 models is converged to 0.1% relative difference

stopping_rounds = 5,

stopping_metric = "AUC",

stopping_tolerance = 1e-3

)

grid <- h2o.grid(

## hyper parameters

hyper_params = hyper_params,

## hyper-parameter search configuration (see above)

search_criteria = search_criteria,

## which algorithm to run

algorithm = "gbm",

## identifier for the grid, to later retrieve it

grid_id = "final_grid",

## standard model parameters

x = predictors,

y = response,

training_frame = train,

validation_frame = valid,

## more trees is better if the learning rate is small enough

## use "more than enough" trees - we have early stopping

ntrees = 10000,

## smaller learning rate is better

## since we have learning_rate_annealing, we can afford to start with a bigger learning rate

learn_rate = 0.05,

## learning rate annealing: learning_rate shrinks by 1% after every tree

## (use 1.00 to disable, but then lower the learning_rate)

learn_rate_annealing = 0.99,

## early stopping based on timeout (no model should take more than 1 hour - modify as needed)

max_runtime_secs = 3600,

## early stopping once the validation AUC doesn't improve by at least 0.01% for 5 consecutive scoring events

stopping_rounds = 5, stopping_tolerance = 1e-4, stopping_metric = "AUC",

## score every 10 trees to make early stopping reproducible (it depends on the scoring interval)

score_tree_interval = 10,

## base random number generator seed for each model (automatically gets incremented internally for each model)

seed = 1234

)

## Sort the grid models by AUC

sortedGrid <- h2o.getGrid("final_grid", sort_by = "auc", decreasing = TRUE)

sortedGrid

We can see that the best models have even better validation AUCs than our previous best models, so the random grid search was successful!

Hyper-Parameter Search Summary: ordered by decreasing auc

col_sample_rate col_sample_rate_change_per_level col_sample_rate_per_tree histogram_type max_depth

1 0.49 1.04 0.94 QuantilesGlobal 28

2 0.92 0.93 0.56 QuantilesGlobal 27

3 0.35 1.09 0.83 QuantilesGlobal 29

4 0.42 0.98 0.53 UniformAdaptive 24

5 0.7 1.02 0.56 UniformAdaptive 25

min_rows min_split_improvement nbins nbins_cats sample_rate model_ids auc

1 2 0 32 256 0.86 final_grid_model_68 0.974049027895182

2 4 0 128 128 0.93 final_grid_model_96 0.971400394477318

3 4 1e-08 64 128 0.69 final_grid_model_38 0.968864468864469

4 1 1e-04 64 16 0.69 final_grid_model_55 0.967793744716822

5 2 1e-08 32 256 0.34 final_grid_model_22 0.966553958861651

We can inspect the best 5 models from the grid search explicitly, and query their validation AUC:

for (i in 1:5) {

gbm <- h2o.getModel(sortedGrid@model_ids[[i]])

print(h2o.auc(h2o.performance(gbm, valid = TRUE)))

}

[1] 0.974049

[1] 0.9714004

[1] 0.9688645

[1] 0.9677937

[1] 0.966554

You can also see the results of the grid search in Flow:

Let’s see how well the best model of the grid search (as judged by validation set AUC) does on the held out test set:

gbm <- h2o.getModel(sortedGrid@model_ids[[1]])

print(h2o.auc(h2o.performance(gbm, newdata = test)))

Good news. It does as well on the test set as on the validation set, so it looks like our best GBM model generalizes well to the unseen test set:

[1] 0.9712568

We can inspect the winning model’s parameters:

gbm@parameters

> gbm@parameters

$model_id

[1] "final_grid_model_68"

$training_frame

[1] "train.hex"

$validation_frame

[1] "valid.hex"

$score_tree_interval

[1] 10

$ntrees

[1] 10000

$max_depth

[1] 28

$min_rows

[1] 2

$nbins

[1] 32

$nbins_cats

[1] 256

$stopping_rounds

[1] 5

$stopping_metric

[1] "AUC"

$stopping_tolerance

[1] 1e-04

$max_runtime_secs

[1] 3414.017

$seed

[1] 1234

$learn_rate

[1] 0.05

$learn_rate_annealing

[1] 0.99

$distribution

[1] "bernoulli"

$sample_rate

[1] 0.86

$col_sample_rate

[1] 0.49

$col_sample_rate_change_per_level

[1] 1.04

$col_sample_rate_per_tree

[1] 0.94

$histogram_type

[1] "QuantilesGlobal"

$x

[1] "pclass" "sex" "age" "sibsp" "parch" "ticket" "fare" "cabin"

[9] "embarked" "boat" "body" "home.dest"

$y

[1] "survived"

Now we can confirm that these parameters are generally sound, by building a GBM model on the whole dataset (instead of the 60%) and using internal 5-fold cross-validation (re-using all other parameters including the seed):

model <- do.call(h2o.gbm,

## update parameters in place

{

p <- gbm@parameters

p$model_id = NULL ## do not overwrite the original grid model

p$training_frame = df ## use the full dataset

p$validation_frame = NULL ## no validation frame

p$nfolds = 5 ## cross-validation

p

}

)

model@model$cross_validation_metrics_summary

> model@model$cross_validation_metrics_summary

Cross-Validation Metrics Summary:

mean sd cv_1_valid cv_2_valid cv_3_valid cv_4_valid cv_5_valid

F0point5 0.9082877 0.017469764 0.9448819 0.87398374 0.8935743 0.9034908 0.9255079

F1 0.8978795 0.008511053 0.9099526 0.8820513 0.8989899 0.9119171 0.8864865

F2 0.8886758 0.016845208 0.8775137 0.89026916 0.9044715 0.92050207 0.8506224

accuracy 0.9236877 0.004604631 0.92883897 0.9151291 0.92248064 0.93307084 0.9189189

auc 0.9606385 0.006671454 0.96647465 0.9453869 0.959375 0.97371733 0.95823866

err 0.076312296 0.004604631 0.07116105 0.084870845 0.07751938 0.06692913 0.08108108

err_count 20 1.4142135 19 23 20 17 21

lift_top_group 2.6258688 0.099894695 2.3839285 2.8229167 2.632653 2.6736841 2.6161616

logloss 0.23430987 0.019006629 0.23624699 0.26165685 0.24543843 0.18311584 0.24509121

max_per_class_error 0.11685239 0.025172591 0.14285715 0.104166664 0.091836736 0.07368421 0.17171717

mcc 0.8390522 0.011380583 0.8559271 0.81602895 0.83621955 0.8582395 0.8288459

mean_per_class_accuracy 0.91654545 0.0070778215 0.918894 0.9107738 0.91970664 0.9317114 0.9016414

mean_per_class_error 0.08345456 0.0070778215 0.08110599 0.089226194 0.080293365 0.06828865 0.09835859

mse 0.06535896 0.004872401 0.06470373 0.0717801 0.0669676 0.052562267 0.07078109

precision 0.9159663 0.02743855 0.969697 0.86868685 0.89 0.8979592 0.95348835

r2 0.7223932 0.021921812 0.7342935 0.68621415 0.7157123 0.7754977 0.70024836

recall 0.8831476 0.025172591 0.85714287 0.8958333 0.90816325 0.9263158 0.82828283

specificity 0.94994324 0.016345335 0.9806452 0.9257143 0.93125 0.9371069 0.975

Ouch! So it looks like we overfit quite a bit on the validation set as the mean AUC on the 5 folds is “only” 96.06% +/- 0.67%. So we cannot always expect AUCs of 97% with these parameters on this dataset. So to get a better estimate of model performance, the Random hyper-parameter search could have used nfolds = 5 (or 10, or similar) in combination with 80% of the data for training (i.e., not holding out a validation set, but only the final test set). However, this would take more time, as nfolds+1 models will be built for every set of parameters.

Instead, to save time, let’s just scan through the top 5 models and cross-validated their parameters with nfolds=5 on the entire dataset:

for (i in 1:5) {

gbm <- h2o.getModel(sortedGrid@model_ids[[i]])

cvgbm <- do.call(h2o.gbm,

## update parameters in place

{

p <- gbm@parameters

p$model_id = NULL ## do not overwrite the original grid model

p$training_frame = df ## use the full dataset

p$validation_frame = NULL ## no validation frame

p$nfolds = 5 ## cross-validation

p

}

)

print(gbm@model_id)

print(cvgbm@model$cross_validation_metrics_summary[5,]) ## Pick out the "AUC" row

}

[1] "final_grid_model_68"

Cross-Validation Metrics Summary:

mean sd cv_1_valid cv_2_valid cv_3_valid cv_4_valid cv_5_valid

auc 0.9606385 0.006671454 0.96647465 0.9453869 0.959375 0.97371733 0.95823866

[1] "final_grid_model_96"

Cross-Validation Metrics Summary:

mean sd cv_1_valid cv_2_valid cv_3_valid cv_4_valid cv_5_valid

auc 0.96491456 0.0052218214 0.9631913 0.9597024 0.9742985 0.9723933 0.95498735

[1] "final_grid_model_38"

Cross-Validation Metrics Summary:

mean sd cv_1_valid cv_2_valid cv_3_valid cv_4_valid cv_5_valid

auc 0.9638506 0.004603204 0.96134794 0.9573512 0.971301 0.97192985 0.95732325

[1] "final_grid_model_55"

Cross-Validation Metrics Summary:

mean sd cv_1_valid cv_2_valid cv_3_valid cv_4_valid cv_5_valid

auc 0.9657447 0.0062724343 0.9562212 0.95428574 0.9686862 0.97490895 0.97462124

[1] "final_grid_model_22"

Cross-Validation Metrics Summary:

mean sd cv_1_valid cv_2_valid cv_3_valid cv_4_valid cv_5_valid

auc 0.9648925 0.0065437974 0.96633065 0.95285714 0.9557398 0.9736511 0.97588384

The avid reader might have noticed that we just implicitly did further parameter tuning using the “final” test set (which is part of the entire dataset df), which is not good practice – one is not supposed to use the “final” test set more than once. Hence, we’re not going to pick a different “best” model, but we’re just learning about the variance in AUCs. It turns out, for this tiny dataset, that the variance is rather large, which is not surprising.

Keeping the same “best” model, we can make test set predictions as follows:

gbm <- h2o.getModel(sortedGrid@model_ids[[1]])

preds <- h2o.predict(gbm, test)

head(preds)

gbm@model$validation_metrics@metrics$max_criteria_and_metric_scores

Note that the label (survived or not) is predicted as well (in the first predict column), and it uses the threshold with the highest F1 score (here: 0.528098) to make labels from the probabilities for survival (p1). The probability for death (p0) is given for convenience, as it is just 1-p1.

> head(preds)

predict p0 p1

1 0 0.98055935 0.01944065

2 0 0.98051200 0.01948800

3 0 0.81430963 0.18569037

4 1 0.02121241 0.97878759

5 1 0.02528104 0.97471896

6 0 0.92056020 0.07943980

> gbm@model$validation_metrics@metrics$max_criteria_and_metric_scores

Maximum Metrics: Maximum metrics at their respective thresholds

metric threshold value idx

1 max f1 0.528098 0.920792 96

2 max f2 0.170853 0.926966 113

3 max f0point5 0.767931 0.959488 90

4 max accuracy 0.767931 0.941606 90

5 max precision 0.979449 1.000000 0

6 max recall 0.019425 1.000000 206

7 max specificity 0.979449 1.000000 0

8 max absolute_MCC 0.767931 0.878692 90

9 max min_per_class_accuracy 0.204467 0.928994 109

10 max mean_per_class_accuracy 0.252473 0.932319 106

You can also see the “best” model in more detail in Flow:

The model and the predictions can be saved to file as follows:

h2o.saveModel(gbm, "/tmp/bestModel.csv", force=TRUE)

h2o.exportFile(preds, "/tmp/bestPreds.csv", force=TRUE)

The model can also be exported as a plain old Java object (POJO) for H2O-independent (standalone/Storm/Kafka/UDF) scoring in any Java environment.

h2o.download_pojo(gbm)

/*

Licensed under the Apache License, Version 2.0

http://www.apache.org/licenses/LICENSE-2.0.html

AUTOGENERATED BY H2O at 2016-06-02T17:06:34.382-07:00

3.9.1.99999

Standalone prediction code with sample test data for GBMModel named final_grid_model_68

How to download, compile and execute:

mkdir tmpdir

cd tmpdir

curl http://172.16.2.75:54321/3/h2o-genmodel.jar > h2o-genmodel.jar

curl http://172.16.2.75:54321/3/Models.java/final_grid_model_68 > final_grid_model_68.java

javac -cp h2o-genmodel.jar -J-Xmx2g -J-XX:MaxPermSize=128m final_grid_model_68.java

(Note: Try java argument -XX:+PrintCompilation to show runtime JIT compiler behavior.)

*/

import java.util.Map;

import hex.genmodel.GenModel;

import hex.genmodel.annotations.ModelPojo;

...

class final_grid_model_68_Tree_0_class_0 {

static final double score0(double[] data) {

double pred = (data[9 /* boat */] <14.003472f ?

(!Double.isNaN(data[9]) && data[9 /* boat */] != 12.0f ?

0.13087687f :

(data[3 /* sibsp */] <7.3529413E-4f ?

0.13087687f :

0.024317414f)) :

(data[5 /* ticket */] <2669.5f ?

(data[5 /* ticket */] <2665.5f ?

(data[10 /* body */] <287.5f ?

-0.08224204f :

(data[2 /* age */] <14.2421875f ?

0.13087687f :

(data[4 /* parch */] <4.892368E-4f ?

(data[6 /* fare */] <39.029896f ?

(data[1 /* sex */] <0.5f ?

(data[5 /* ticket */] <2659.5f ?

0.13087687f :

-0.08224204f) :

-0.08224204f) :

0.08825309f) :

0.13087687f))) :

0.13087687f) :

(data[9 /* boat */] <15.5f ?

0.13087687f :

(!GenModel.bitSetContains(GRPSPLIT0, 42, data[7

...

After learning above that the variance of the test set AUC of the top few models was rather large, we might be able to turn this into our advantage by using ensembling techniques. The simplest one is taking the average of the predictions (survival probabilities) of the top k grid search model predictions (here, we use k=10):

prob = NULL

k=10

for (i in 1:k) {

gbm <- h2o.getModel(sortedGrid@model_ids[[i]])

if (is.null(prob)) prob = h2o.predict(gbm, test)$p1

else prob = prob + h2o.predict(gbm, test)$p1

}

prob <- prob/k

head(prob)

We now have a blended probability of survival for each person on the Titanic.

> head(prob)

p1

1 0.02258923

2 0.01615957

3 0.15837298

4 0.98565663

5 0.98792208

6 0.17941366

We can bring those ensemble predictions to our R session’s memory space and use other R packages.

probInR <- as.vector(prob)

labelInR <- as.vector(as.numeric(test[[response]]))

if (! ("cvAUC" %in% rownames(installed.packages()))) { install.packages("cvAUC") }

library(cvAUC)

cvAUC::AUC(probInR, labelInR)

[1] 0.977534

This simple blended ensemble test set prediction has an even higher AUC than the best single model, but we need to do more validation studies, ideally using cross-validation. We leave this as an exercise for the reader – take the parameters of the top 10 models, retrain them with nfolds=5 on the full dataset, set keep_holdout_predictions=TRUE and average the predicted probabilities in h2o.getFrame(cvgbm[i]@model$cross_validation_holdout_predictions_frame_id), then score that with cvAUC as shown above).

For more sophisticated ensembling approaches, such as stacking via a superlearner, we refer to the H2O Ensemble github page.

We learned how to build H2O GBM models for a binary classification task on a small but realistic dataset with numerical and categorical variables, with the goal to maximize the AUC (ranges from 0.5 to 1). We first established a baseline with the default model, then carefully tuned the remaining hyper-parameters without “too much” human guess-work. We used both Cartesian and Random hyper-parameter searches to find good models. We were able to get the AUC on a holdout test set from the low 94% range with the default model to the mid 97% after tuning, and to the high 97% with some simple ensembling technique known as blending. We performed simple cross-validation variance analysis to learn that results were slightly “lucky” due to the specific train/valid/test set splits, and settled to expect mid 96% AUCs instead.

Note that this script and the findings therein are directly transferrable to large datasets on distributed clusters including Spark/Hadoop environments.

More information can be found here http://www.h2o.ai/docs/.