I'm trying to understand which is better (more accurate, especially in classification problems)
I've been searching articles comparing LightGBM and XGBoost but found only two:
- https://medium.com/implodinggradients/benchmarking-lightgbm-how-fast-is-lightgbm-vs-xgboost-15d224568031 - which is only about speed but not accuracy.
- https://github.com/Microsoft/LightGBM/wiki/Experiments - which is from the authors of LightGBM and no surprise LightGBM wins there.
In my tests I get pretty the same AUC for both algorithms, but LightGBM runs form 2 to 5 times faster.
If LGBM is so cool, why don't I hear so much about it here and on Kaggle :)