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Quantitative Finance · शब्दावली

Monotonic constraint क्या है?

Definition 5.7 Machine Learning for Markets · अध्याय 5 — Trees and Boosting

A monotonic constraint restricts a model to be non-decreasing (or non-increasing) in a feature, all others fixed. In a tree ensemble it is enforced by allowing a split on that feature only when the left child’s value does not exceed the right child’s (or the reverse), propagated down the tree.

Partial dependence of the five-second forecast on the order-flow imbalance (the feature swept over its 2nd to 98th percentile, the others at their observed values), for boosted trees without and with monotonic constraints. Data: ml_trees.partial_dependence on firm.tape.
Figure 5.3. Partial dependence of the five-second forecast on the order-flow imbalance (the feature swept over its 2nd to 98th percentile, the others at their observed values), for boosted trees without and with monotonic constraints. Data: ml_trees.partial_dependence on firm.tape.
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