typos in week 45
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@@ -734,27 +734,9 @@ plt.show()
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!ec
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!split
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===== Additive boosting for Regression =====
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Here we present "Drucker's AdaBoost":"https://pdfs.semanticscholar.org/8d49/e2dedb817f2c3330e74b63c5fc86d2399ce3.pdf" tailored for regression.
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In bagging, each training example is equally likely to be
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picked. In boosting, the probability of a particular
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example being in the training set of a particular machine
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depends on the performance of the prior machines on
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that example. The following is a modification of
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Adaboost by Drucker.
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Start by selecting a set of training data $n$ and assign to each entry a weight $w_i=1$ for $i=1,2,\dots,n$. As we have done earlier, we could pick say $80\%$ of the data set for training. The algorithm runs as follows:
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o We define the probability that the training sample $i$ is in the set by $p_i = w_i/\sum_iw_i$. We pick $n$ samples (with replacement) to form our training set. We pick a number uniformly in the range $[0,\sum_iw_i]$.
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o We choose then a regression machine (for example plain linear regression or a simple decision tree). A given regression machine makes then a hypothesis.
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o Using every member of the training set with the chosen regression machine we obtain then a prediction $\tilde{y}_i$.
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o We calculate then the loss function $L_i$ for each training sample. We can use various types of loss function as long as we have a value
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$L_i\in [0,1]$.
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!split
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===== Gradient boosting: Basics with Steepest Descent =====
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===== Gradient boosting: Basics with Steepest Descent/Functional Gradient Descent =====
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Gradient boosting is again a similar technique to Adaptive boosting,
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it combines so-called weak classifiers or regressors into a strong
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@@ -836,8 +818,8 @@ o Initialize our estimate $f_0(x)$.
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o For $m=1:M$, we
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o compute the negative gradient vector $\bm{u}_m = -\partial C(\bm{y},\bm{f})/\partial \bm{f}(x)$ at $f(x) = f_{m-1}(x)$;
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o fit the so-called base-learner to the negative gradient $h_m(u_m,x)$;
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o update the estimate $f_m(x) = f_{m-1}(x)+\nu h_m(u_m,x)$;
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o The final estimate is then $f_M(x) = \sum_{m=1}^M\nu h_m(u_m,x)$.
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o update the estimate $f_m(x) = f_{m-1}(x)+h_m(u_m,x)$;
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o The final estimate is then $f_M(x) = \sum_{m=1}^M h_m(u_m,x)$.
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