BoXHED2.0: Scalable boosting of dynamic survival analysis

Modern applications of survival analysis increasingly involve time-dependent covariates. In healthcare settings, such covariates provide dynamic patient histories that can be used to assess health risks in realtime by tracking the hazard function. Hazard learning is thus particularly useful in healthcare analytics, and the open-source package BoXHED 1.0 provides the first implementation of a gradient boosted hazard estimator that is fully nonparametric. This paper introduces BoXHED 2.0, a quantum leap over BoXHED 1.0 in several ways. Crucially, BoXHED 2.0 can deal with survival data that goes far beyond right-censoring and it also supports recurring events. To our knowledge, this is the only nonparametric machine learning implementation that is able to do so. Another major improvement is that BoXHED 2.0 is orders of magnitude more scalable, due in part to a novel data preprocessing step that sidesteps the need for explicit quadrature when dealing with time-dependent covariates. BoXHED 2.0 supports the use of GPUs and multicore CPUs, and is available from GitHub: www.github.com/BoXHED.