A computer-implemented method includes receiving, in a system of one or more computers, training data for predictive modeling, the training data including a plurality of categories; determining, by the system, one or more attributes of the training data; identifying, by the system in a mapping of attributes to types of predictive models, a type of predictive model that is mapped to at least one of the one or more attributes; obtaining a utility function for the predictive model of the identified type, the utility function specifying importance of the plurality of categories relative to each other; and generating, based on the training data and the utility function, a predictive model of the identified type.