How to use custom cross validation folds with XGBoost

Question

I\'m using the R wrapper for XGBoost. In the function xgb.cv, there is a folds parameter with the description

list provides a po

Answer 1

Here is an example for both generating the folds and using them.

Assume in our dataframe we have a column of ids, such that we want to put all rows with a given id value in a fold.

The code below

• finds the unique ids
• preallocates a list for the folds

• iterates over ids, creating lists of row indices that match

  fold.ids <- unique(df$id) custom.folds <- vector("list", length(fold.ids)) i <- 1 for( id in fold.ids){ custom.folds[[i]] <- which( df$id %in% id ) i <- i+1 }

Here is an example using the above fold list in xgb.cv

res <- xgb.cv(param, dtrain, nround, folds=custom.folds, prediction = TRUE)

Reasonable values for other xgb.cv parameters can be found in the documentation