I have a small data set (4000 records with 10 features) and I used XGBOOST in R as well as Boosted Decision Tree model in Azure ML studio. Unfortunately the results are different. I like to optimize recall and I could pick that as a measure in Azure but I can not do so in R.
I used the same parameters in both platforms. I know seeds might be different but I tried many of them. I always have a much better recall on my validation dataset using the Azure model compared to the R one.
I wonder if there is a big difference behind the methodology used in these two platforms causing me the issues.
I also used cross validation which did not help. Any insight is appreciated.