Add CatBoost

[annaveronika]

It would be nice to add CatBoost, one of three most popular gbdt libraries (https://github.com/catboost/catboost, https://catboost.ai/)

[AxeldeRomblay]

Hello @annaveronika, yes I know that one... Do you have a benchmark between LightGBM & Catboost ? Because there is already a gbdt algo in MLBox... Also is it easy to install ?

[annaveronika]

pip install catboost should work
The difference in resulting metrics between xgboost, catboost and lightgbm will depend on the dataset, there is no single winner for datasets with only numeric features. If you run the algorithm with default parameters, catboost will usually win, if you run with parameter tuning, you might get any of them as a winner. If you have categorical features or text features catboost will usually win.

[AxeldeRomblay]

Ok. Maybe you can try to send me a PR (code + tests) if you are comfortable with this... otherwise I will try to have a look.

[annaveronika]

It would be great if you would do it when you have time. I don't plan for pr-s, sorry...

[divyaprabha123]

@AxeldeRomblay Can I raise a PR for this?