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What are some useful guidelines for testing parameters (i.e. interaction depth, minchild, sample rate, etc.) using GBM?
Let's say I have 70-100 features, a population of 200,000 and I intend to test interaction depth of 3 and 4. Clearly I need to do some testing to see what combination of parameters holds up best out-of-sample. Any suggestions on how to approach this test design?
The caret package can help you optimize the parameter choice for your problem. The caretTrain vignette shows how to tune the gbm parameters using 10-fold repeated cross-validation - other optimization approaches are available it can all run in parallel using the foreach package. Use vignette("caretTrain", package="caret") to read the document.
The package supports tuning shrinkage, n.trees, and interaction.depth parameters for the gbm model, though you can add your own.
For heuristics, this is my initial approach:
shrinkage: As small as you have time for (the gbm manual has more on this, but in general you can nver go wrong with a smaller value). Your data set is small so I'd probably start with 1e-3
n.trees: I usually grow an initial model adding more and more trees until gbm.perf says I have enough (actually, typically to 1.2 times that value) and then use that as a guide for further analysis.
interaction.depth: you already have an idea about this. Try smaller values as well. Maximum value is floor(sqrt(NCOL(data)).
n.minobsinnode: I find it really important to tune this variable. You don't want it so small that the algorithm finds too many spurious features.
