Share LightGBM categorical variable representation across multiple columns

[carlosg-m]

Summary

Share LightGBM categorical variable representation across multiple columns.

Motivation

Very useful for sequences and several use cases.

Description

Encode the same category level along multiple columns.

Very similar to using an Embedding Layer in a Neural Network to encode a categorical variable and applying the layer across a sequence of that same variable (example of a word embedding).

The same can be achieved with Target Encoding or other representation applied before modeling by stacking the category columns, into a key-value structure, and then applying said encoding.

Example train dataset

Var 1	Var 2	Var 3	Target
Goose	Cat	Dog	103
Cat	Cat	Dog	4
Goose	Goose	Goose	300

Stack shared category levels

Category Level	Target
Goose	103
Cat	103
Dog	103
Cat	4
Cat	4
Dog	4
Goose	300
Goose	300
Goose	300

Naive target encoding

Category Level	Encode
Goose	250
Dog	53
Cat	37