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xgbfi
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XGBoost Feature Interactions & Importance
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# Xgbfi XGBoost Feature Interactions & Importance ### What is Xgbfi? Xgbfi is a [XGBoost](https://github.com/dmlc/xgboost) model dump parser, which ranks features as well as feature interactions by different metrics. ### Siblings [Xgbfir](https://github.com/limexp/xgbfir) - Python porting ### The Metrics * **Gain**: Total gain of each feature or feature interaction * **FScore**: Amount of possible splits taken on a feature or feature interaction * **wFScore**: Amount of possible splits taken on a feature or feature interaction weighted by the probability of the splits to take place * **Average wFScore**: *wFScore* divided by *FScore* * **Average Gain**: *Gain* divided by *FScore* * **Expected Gain**: Total gain of each feature or feature interaction weighted by the probability to gather the gain * **Average Tree Index** * **Average Tree Depth** ### Additional Features * **Leaf Statistics** * **Split Value Histograms** **Example:**  ### Usage *[mono] XgbFeatureInteractions.exe [-help|options]* ### Quick Guide a) Creating a feature map (fmap) ```python def create_feature_map(fmap_filename, features): """ features: enumerable of feature names """ outfile = open(fmap_filename, 'w') for i, feat in enumerate(features): outfile.write('{0}\t{1}\tq\n'.format(i, feat)) outfile.close() create_feature_map('xgb.fmap', features) ``` b) Dumping a [XGBoost](https://github.com/dmlc/xgboost) model ```python gbdt.dump_model('xgb.dump',fmap='xgb.fmap', with_stats=True) ``` c) Editing Parameters in *XgbFeatureInteractions.exe.config* ```xml <setting name="XgbModelFile" serializeAs="String"> <value>xgb.dump</value> </setting> ``` d) Running *[mono] XgbFeatureInteractions.exe* without cmd line parameters
