The docs for monotone_constraints state that in GBM and XGBoost the option can
only be used with gaussian, bernoulli, or tweedie distributions (plus quantile in
GBM):
https://docs.h2o.ai/h2o/latest-stable/h2o-docs/data-science/algo-params/monotone_constraints.html
I'd like to confirm whether this restriction is still actively enforced, or
whether the documentation is simply stale.
Native XGBoost imposes no such restriction — its docs describe monotone
constraints purely at the tree-split level, applicable to any feature regardless
of objective (https://xgboost.readthedocs.io/en/stable/tutorials/monotonic.html).
Since constraints act on the raw margin and the log link used by Poisson and Gamma
is monotonic, there's no obvious reason the underlying engine would need those
distributions excluded.
Questions:
- Is the gaussian/bernoulli/tweedie restriction still enforced in the current
release, or has it been relaxed while the docs lag behind?
- If still enforced — is it deliberate, or could it be lifted given native
XGBoost already supports it?
Context: this matters for actuarial pricing, where Poisson (frequency) and Gamma
(severity) are standard and monotonicity of rating factors is often required.
Being able to use them directly, rather than via a Tweedie proxy, would help.
The docs for
monotone_constraintsstate that in GBM and XGBoost the option canonly be used with gaussian, bernoulli, or tweedie distributions (plus quantile in
GBM):
https://docs.h2o.ai/h2o/latest-stable/h2o-docs/data-science/algo-params/monotone_constraints.html
I'd like to confirm whether this restriction is still actively enforced, or
whether the documentation is simply stale.
Native XGBoost imposes no such restriction — its docs describe monotone
constraints purely at the tree-split level, applicable to any feature regardless
of objective (https://xgboost.readthedocs.io/en/stable/tutorials/monotonic.html).
Since constraints act on the raw margin and the log link used by Poisson and Gamma
is monotonic, there's no obvious reason the underlying engine would need those
distributions excluded.
Questions:
release, or has it been relaxed while the docs lag behind?
XGBoost already supports it?
Context: this matters for actuarial pricing, where Poisson (frequency) and Gamma
(severity) are standard and monotonicity of rating factors is often required.
Being able to use them directly, rather than via a Tweedie proxy, would help.