Jan. 10, 2019, 2:01 p.m.
Usually when you think of a gradient boosted decision tree you think of XGBoost or LightGBM. I'd heard of CatBoost but I'd never tried it and it didn't seem too popular. I was looking at a Kaggle competition which had a lot of categorical data and I had squeezed just about every drop of performance I could out of LGBM so I decided to give CatBoost a try. I was extremely impressed.
Out of the box, with all default parameters, CatBoost scored better than the LGBM I had spent about a week tuning. CatBoost trained significantly slower than LGBM, but it will run on a GPU and doing so makes it train just slightly slower than the LGBM. Unlike XGBoost it can handle categorical data, which is nice because in this case we have far too many categories to do one-hot encoding. I've read the documentation several times but I am still unclear as to how exactly it encodes the categorical data, but whatever it does works very well.
I am just beginning to try to tune the hyperparameters so it is unclear how much (if any) extra performance I'll be able to squeeze out of it, but I am very, very impressed with CatBoost and I highly recommend it for any datasets which contain categorical data. Thank you Yandex!