Hands-On Machine Learning for Algorithmic Trading

Fast scalable GBM implementations

Over the last few years, several new gradient boosting implementations have used various innovations that accelerate training, improve resource efficiency, and allow the algorithm to scale to very large datasets. The new implementations and their sources are as follows:

• XGBoost (extreme gradient boosting), started in 2014 by Tianqi Chen at the University of Washington
• LightGBM, first released in January 2017, by Microsoft
• CatBoost, first released in April 2017 by Yandex

These innovations address specific challenges of training a gradient boosting model (see this chapter's README on GitHub for detailed references). The XGBoost implementation was the first new implementation to gain popularity: among the ...