XGBoost allows the user to tune both parameters, max depth and min_child_weight. Since both hyperparameters control the depth of trees, it seems that you would only really need to tune one. However, all the blogs/tutorials I see online tune BOTH simultaneously, and I don't understand why.

Is there any reason to tune both?

  • $\begingroup$ Many more parameters of XGBoost reduce the tree size, and they all do it in a different way. In reality, you don't need to find optimal values for all these parameters simultaneously as they go hand-in-hand and different choices lead to comparable models. $\endgroup$
    – Michael M
    Jan 19, 2022 at 20:10
  • $\begingroup$ @MichaelM But so, are you saying that there is no point in optimizing both, Max Depth and MCW, as they accomplish the same thing? $\endgroup$ Jan 19, 2022 at 21:46


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