Gradient Boost (Regression)

Steps:

  1. Get initial guess(prediction) by taking the average of the dataset
  2. Get residual_output=ground_truth−guess
  3. Build a tree to fit the residual_output
  4. Now the prediction will be prediction=prediction+lr∗new_tree_prediction
    1. remember this new_tree_prediction is predicted residual
  5. Go to step 2 unless predetermined limit is reached

The regression case of Gradient Boosting (see Gradient Boost (Classification) and AdaBoost vs. Gradient Boosting vs. XGBoost); each step fits a Decision Tree to the residual.