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Handle Imbalanced Dataset
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Handle Imbalanced Dataset
2018-11-30
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For common cases such as ads clickthrough log, the dataset is extremely imbalanced. This can affect the training of xgboost model, and there are two ways to improve it.
• If you care only about the ranking order (AUC) of your prediction
◦ Balance the positive and negative weights, via scale_pos_weight;
◦ Use AUC for evaluation.
• If you care about predicting the right probability
◦ In such a case, you cannot re-balance the dataset;
◦ In such a case, set parameter max_delta_step to a finite number (say 1) will help convergence.
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