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Quantitative Finance · Begrippenlijst

Wat is Gradient boosting, learning rate?

Ook bekend als: gradient boosting · learning rate

Definition 5.4 Machine Learning for Markets · Hoofdstuk 5 — Trees and Boosting

Gradient boosting builds an additive model FM(x)=F0+η∑m=1Mhm(x)F_M(x) = F_0 + \eta\sum_{m=1}^Mh_m(x) one tree at a time: tree hmh_m is fitted to the negative gradient of the loss with respect to the current predictions, −∂ℓ(yi,Fm−1(xi))/∂F-\partial\ell(y_i, F_{m-1}(x_i))/\partial F, and added with a factor η∈(0,1]\eta\in(0,1]. The learning rate η\eta is the step multiplier of an iterative fit: here the shrinkage of each tree, in gradient descent the size of each step (Book 4, chapter 24). Following the ML convention, η\eta denotes it in this book as a local symbol.

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