ML – Gradient Boosting
Gradient Boosting is a popular boosting algorithm. In gradient boosting, each predictor corrects its predecessor’s error. In contrast to Adaboost, the weights of the training instances are not tweaked, instead, each predictor is trained using the residual errors of predecessor as labels.
There is a technique called the Gradient Boosted Trees whose base learner is CART (Classification and Regression Trees).
The below diagram explains how gradient boosted trees are trained for regression problems.
The ensemble consists of N trees. Tree1 is trained using the feature matrix X and the labels y. The predictions labelled y1(hat) are used to determine the training set residual errors r1. Tree2 is then trained using the feature matrix X and the residual errors r1 of Tree1 as labels. The predicted results r1(hat) are then used to determine the residual r2. The process is repeated until all the N trees forming the ensemble are trained.
There is an important parameter used in this technique known as Shrinkage.
Each tree predicts a label and final prediction is given by the formula,
y(pred) = y1 + (eta * r1) + (eta * r2) + ....... + (eta * rN)
The class of the gradient boosting regression in scikit-learn is GradientBoostingRegressor. A similar algorithm is used for classification known as GradientBoostingClassifier.
Code: Python code for Gradient Boosting Regressor
RMSE test set: 4.01