Probabilistic Gradient Boosting Machines (PGBM) is a probabilistic gradient boosting framework in Python based on PyTorch, developed by Airlab in Amsterdam.
Probabilistic Gradient Boosting Machines (PGBM) is a probabilistic gradient boosting framework in Python based on PyTorch, developed by Airlab in Amsterdam. It provides the following advantages over existing frameworks:
It is aimed at users interested in solving large-scale tabular probabilistic regression problems, such as probabilistic time series forecasting. For more details, read our paper or check out the examples.
pip install pgbm from a terminal within the virtual environment of your choice.
cpuas device to check if you are able to train on both GPU and CPU.
The core package has the following dependencies:
We also provide PGBM based on a Numba backend for those users who do not want to use PyTorch. In that case, it is required to install Numba. The Numba backend does not support differentiable loss functions. For an example of using PGBM with the Numba backend, see the examples.
See the examples folder for examples, an overview of hyperparameters and a function reference. In general, PGBM works similar to existing gradient boosting packages such as LightGBM or xgboost (and it should be possible to more or less use it as a drop-in replacement), except that it is required to explicitly define a loss function and loss metric.
In case further support is required, open an issue.
Olivier Sprangers, Sebastian Schelter, Maarten de Rijke. Probabilistic Gradient Boosting Machines for Large-Scale Probabilistic Regression. Proceedings of the 27th ACM SIGKDD Conference on Knowledge Discovery and Data Mining (KDD ’21), August 14–18, 2021, Virtual Event, Singapore.
The experiments from our paper can be replicated by running the scripts in the experiments folder. Datasets are downloaded when needed in the experiments except for higgs and m5, which should be pre-downloaded and saved to the datasets folder (Higgs) and to datasets/m5 (m5).
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