Add more detailed explanations and tutorial for advanced objectives #10283
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You can find the "docs/readthedocs.org:xgboost" entry in the CI test list. |
Thanks, I just checked and it looks correctly rendered. PR is ready for review. |
trivialfis
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May 15, 2024
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| - Since the ``base_score`` parameter that XGBoost uses for an intercept is | ||
| limited to a scalar, one can use the ``base_margin`` functionality instead, | ||
| but note that using it requires a bit more effort. |
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We do intend to remove this restriction in the future once we can remove the existing binary serialization #7547 . Might be worth noting.
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Added also R code for all of the examples, but running them will require merging this PR first : #10323 |
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This PR expands the docs for custom objectives to cover some important details that are missing about what is or isn't supported.
It also adds a new example guide for advanced usage in which it uses Dirichlet regression as a custom objective (which doesn't meet the requirements of custom objectives for the Hessian), explaining the workarounds that can be used for adapting a model like this as explained in an earlier discussion so that it'd fit into xgboost's framework.
Note: I'm not 100% sure that the .rst file will render correctly. Would be ideal if someone could take a look before merging.
Note2: the tutorial copy-pasted some data from a publication, which was in turn taken from an R package. I added a citation there but I'm not sure if it requires some other additional form of attribution.