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How do algorithms GBM algorithms, such as XGBoost or LightGBM handle NaN values? I know that they learn how to replace NaN values with other values but my question is: How do they do it exactly?

Hagbard
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user10296606
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1 Answers1

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LIGHTGBM will ignore missing values during a split, then allocate them to whichever side reduces the loss the most. https://github.com/microsoft/LightGBM/issues/2921

There are some options you can set such as usemissing=false, which disables handling for missing values. You can also use the zeroas_missing option to change behavior. GitHub

Community
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Noah Weber
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