Stochastic gradient boosting

@article{Friedman2002StochasticGB,
  title={Stochastic gradient boosting},
  author={J. Friedman},
  journal={Computational Statistics & Data Analysis},
  year={2002},
  volume={38},
  pages={367-378}
}
  • J. Friedman
  • Published 2002
  • Mathematics
  • Computational Statistics & Data Analysis
  • Gradient boosting constructs additive regression models by sequentially fitting a simple parameterized function (base learner) to current "pseudo'-residuals by least squares at each iteration. The pseudo-residuals are the gradient of the loss functional being minimized, with respect to the model values at each training data point evaluated at the current step. It is shown that both the approximation accuracy and execution speed of gradient boosting can be substantially improved by incorporating… CONTINUE READING
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