Catboost Survivorship Modeling

[kmedved]

This isn't really an issue, so much so as a comment/note that Catboost has just added Cox/AFT loss to their package.. It of course doesn't offer the wonderful other functionality of this package, but I've been experimenting with using it alongside XBGSE by fitting a Catboost model, and then pass the fits from that model as a feature to the XGBSE model.

This is helpful in at least two ways: 1) Stacking multiple models is often helpful, so this allows for some performance improvement; and 2) Catboost has extremely strong Categorical feature support, while this is an area where XGboost is relatively lacking. By passing a Catboost fit-feature, this is a way of almost 'sideloading' Categorical features into an XGBSE fit.

I don't have any proposal/suggestion here, apart from potentially flagging this as an option for users in the documentation. If I have time, I may also look into putting together a pull request to let users choose between using an XGboost or a Catboost model as the base model for XGBSE, but this may take more work.

Thanks again for all the work on this package. It's been a huge success for me.

[gdmarmerola-loft]

Thanks for the heads-up @kmedved!

Will look into it. We're discussing more modeling options and will take this one into consideration.