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I've been exploring the use of XGBoost in many different applications. Up to now, I always find the best results with shallow trees (from 1 to 3 levels), with the rest of the parameters very dependent on the problem.

On my current assignment, I found that I get a much better performance if I use >300 trees, with a depth >20 !! I understand that this is saying a lot about the complexity of the issue, but I can stop wondering if there is some feature transformation I could do to change this. EX: by doing PCA and adding the resulting component to a dataset, one can sometimes not only replace several features by a smaller number but also capture higher level relashionships

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  • $\begingroup$ have you tried to add more estimators? Even in thw order of thousands of trees? It should mean less overfitting $\endgroup$
    – German C M
    Commented Feb 20, 2021 at 15:54
  • $\begingroup$ I did hyperparameter exploration using a Bayesian method. However, my point is that independently of the exploration method, the set of hyperparameters that minimise logloss always contain high depth trees. There is no evident overfitting. I was trying to discuss/ask was whether one can create some features that capture this complexity and create a simpler model ( and what would be preferable and why) $\endgroup$ Commented Feb 21, 2021 at 16:57

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