Customized loss function for quantile regression with XGBoost

xgb_quantile_loss.py

import numpy as np


def xgb_quantile_eval(preds, dmatrix, quantile=0.2):
    """
    Customized evaluational metric that equals
    to quantile regression loss (also known as
    pinball loss).

    Quantile regression is regression that
    estimates a specified quantile of target's
    distribution conditional on given features.

    @type preds: numpy.ndarray
    @type dmatrix: xgboost.DMatrix
    @type quantile: float
    @rtype: float
    """
    labels = dmatrix.get_label()
    return ('q{}_loss'.format(quantile),
            np.nanmean((preds >= labels) * (1 - quantile) * (preds - labels) +
                       (preds < labels) * quantile * (labels - preds)))


def xgb_quantile_obj(preds, dmatrix, quantile=0.2):
    """
    Computes first-order derivative of quantile
    regression loss and a non-degenerate
    substitute for second-order derivative.

    Substitute is returned instead of zeros,
    because XGBoost requires non-zero
    second-order derivatives. See this page:
    https://github.com/dmlc/xgboost/issues/1825
    to see why it is possible to use this trick.
    However, be sure that hyperparameter named
    `max_delta_step` is small enough to satisfy:
    ```0.5 * max_delta_step <=
       min(quantile, 1 - quantile)```.

    @type preds: numpy.ndarray
    @type dmatrix: xgboost.DMatrix
    @type quantile: float
    @rtype: tuple(numpy.ndarray)
    """
    try:
        assert 0 <= quantile <= 1
    except AssertionError:
        raise ValueError("Quantile value must be float between 0 and 1.")

    labels = dmatrix.get_label()
    errors = preds - labels

    left_mask = errors < 0
    right_mask = errors > 0

    grad = -quantile * left_mask + (1 - quantile) * right_mask
    hess = np.ones_like(preds)

    return grad, hess


# Example of usage:
# bst = xgb.train(hyperparams, train, num_rounds,
#                 obj=xgb_quantile_obj, feval=xgb_quantile_eval)

@Shafi2016, this can be done like this:

from functools import partial


lower_quantile = 0.2  # Any other value can be placed here.
upper_quantile = 0.8

xgb_quantile_lower_eval = partial(xgb_quantile_eval, quantile=lower_quantile)
xgb_quantile_lower_obj = partial(xgb_quantile_obj, quantile=lower_quantile)
lower_model = xgb.train(hyperparams, dtrain, num_rounds, obj=xgb_quantile_lower_obj, feval=xgb_quantile_lower_eval)

xgb_quantile_upper_eval = partial(xgb_quantile_eval, quantile=upper_quantile)
xgb_quantile_upper_obj = partial(xgb_quantile_obj, quantile=upper_quantile)
upper_model = xgb.train(hyperparams, dtrain, num_rounds, obj=xgb_quantile_upper_obj, feval=xgb_quantile_upper_eval)

lower_bound = lower_model.predict(dtest)
upper_bound = upper_model.predict(dtest)

However, this gist is quite old. Now, there are better solutions. I recommend you to look at CatBoost or LightGBM, because these tools have native support of quantile regression as well as performance comparable to that of XGBoost.

Thanks for the prompt response!. I have checked with both LightGBM and CatBoost. There is no doubt that their interval level is very stable. However, I could not get an improved forecast. In fact, I have a much better forecast XGBoost of H2o. Yet, H2o does not provide support for the Quantile regression. I tried to use prediction intervals using functions from this link (https://towardsdatascience.com/regression-prediction-intervals-with-xgboost-428e0a018b). However, the interval range gets very narrow and when the interval is increased upper limits get flat and there is no impact on the lower interval. I am thinking if I can get a better interval from using your function and then wrapped it up with the prediction of XGboost H2o. I hope this can be done.

There are some questions about license. This gist is released under MIT License, so you can use it in your projects.