Gradient Boost (Regression)
Steps:
- Get initial guess(
) by taking the average of the dataset - Get
- Build a tree to fit the
- Now the prediction will be
- remember this
is predicted residual
- remember this
- 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.