CV for XGBoost

xgboostcv.R

#####   Xgboost Cross Validation using Subtest Accuracy/AMS #####
result_df = data.frame(eta = NULL, max_depth= NULL,  nrounds = NULL, threshold = NULL, accuracy = NULL, ams_sum = NULL)
counter = 1 
# record the elapsed time  
ptm <- proc.time()
for (eta in seq(0.02, 0.4, 0.08)){
  for (depth in seq(5, 10, 1)){
    for (nrounds in seq(25, 90, 10)){
      for (threshold in seq(0.1, 0.3, 0.05)){
        print (counter)
        model = train_xgb(eta, depth, nrounds)
        predicted = get_prediction(mytest,subTest,threshold, model)
        accuracy = get_accuracy(predicted, subTest$Label)
        ams_sum = get_ams(subTest,predicted)
        vec = c(eta, depth, nrounds, threshold, accuracy, ams_sum)
        result_df = rbind(result_df, vec) 
        counter = counter +1
      }   
    }   
  }  
}

proc.time()-ptm
names(result_df) = c("eta", "max_depth", "nrounds", "threshold", "accuracy", "ams_sum")
write.csv(result_df, "xgb_cross_validation.csv", row.names = FALSE)  #save cv result into a csv