In this paper we analyze boosting algorithms in linear regression from a new perspective: that of modern first-order methods in convex optimization. We show that classic boosting algorithms in linear regression, namely the incremental forward stagewise algorithm (FS @math ) and least squares boosting (LS-Boost( @math )), can be viewed as subgradient descent to minimize the loss function defined as the maximum absolute correlation between the features and residuals. We also propose a modification of FS @math that yields an algorithm for the Lasso, and that may be easily extended to an algorithm that computes the Lasso path for different values of the regularization parameter. Furthermore, we show that these new algorithms for the Lasso may also be interpreted as the same master algorithm (subgradient descent), applied to a regularized version of the maximum absolute correlation loss function. We derive novel, comprehensive computational guarantees for several boosting algorithms in linear regression (including LS-Boost( @math ) and FS @math ) by using techniques of modern first-order methods in convex optimization. Our computational guarantees inform us about the statistical properties of boosting algorithms. In particular they provide, for the first time, a precise theoretical description of the amount of data-fidelity and regularization imparted by running a boosting algorithm with a prespecified learning rate for a fixed but arbitrary number of iterations, for any dataset.
In @cite_24 , the authors also point out that boosting algorithms often lead to a large collection of nonzero coefficients. They suggest reducing the complexity of the model by some form of post-processing" technique---one such proposal is to apply a regularization on the selected set of coefficients.
@cite_24
2024046085 2068221105 2162139029 2103504567
Boosting is one of the most important recent developments in classification methodology. Boosting works by sequentially applying a classification algorithm to reweighted versions of the training data and then taking a weighted majority vote of the sequence of classifiers thus produced. For many classification algorithms, this simple strategy results in dramatic improvements in performance. We show that this seemingly mysterious phenomenon can be understood in terms of well-known statistical principles, namely additive modeling and maximum likelihood. For the two-class problem, boosting can be viewed as an approximation to additive modeling on the logistic scale using maximum Bernoulli likelihood as a criterion. We develop more direct approximations and show that they exhibit nearly identical results to boosting. Direct multiclass generalizations based on multinomial likelihood are derived that exhibit performance comparable to other recently proposed multiclass generalizations of boosting in most situations, and far superior in some. We suggest a minor modification to boosting that can reduce computation, often by factors of 10 to 50. Finally, we apply these insights to produce an alternative formulation of boosting decision trees. This approach, based on best-first truncated tree induction, often leads to better performance, and can provide interpretable descriptions of the aggregate decision rule. It is also much faster computationally, making it more suitable to large-scale data mining applications. The probability of error of classification methods based on convex combinations of simple base classifiers by boosting algorithms is investigated. The main result of the paper is that certain regularized boosting algorithms provide Bayes-risk consistent classifiers under the sole assumption that the Bayes classifier may be approximated by a convex combination of the base classifiers. Nonasymptotic distribution-free bounds are also developed which offer interesting new insight into how boosting works and help explain its success in practical classification problems. Boosting is one of the most significant advances in machine learning for classification and regression. In its original and computationally flexible version, boosting seeks to minimize empirically a loss function in a greedy fashion. The resulting estimator takes an additive function form and is built iteratively by applying a base estimator (or learner) to updated samples depending on the previous iterations. An unusual regularization technique, early stopping, is employed based on CV or a test set. This paper studies numerical convergence, consistency and statistical rates of convergence of boosting with early stopping, when it is carried out over the linear span of a family of basis functions. For general loss functions, we prove the convergence of boosting's greedy optimization to the infinimum of the loss function over the linear span. Using the numerical convergence result, we find early-stopping strategies under which boosting is shown to be consistent based on i.i.d. samples, and we obtain bounds on the rates of convergence for boosting estimators. Simulation studies are also presented to illustrate the relevance of our theoretical results for providing insights to practical aspects of boosting. As a side product, these results also reveal the importance of restricting the greedy search step-sizes. as known in practice through the work of Friedman and others. Moreover, our results lead to a rigorous proof that for a linearly separable problem, AdaBoost with E → 0 step-size becomes an L 1 -margin maximizer when left to run to convergence. Boosting algorithms and successful applications thereof abound for classification and regression learning problems, but not for unsupervised learning. We propose a sequential approach to adding features to a random field model by training them to improve classification performance between the data and an equal-sized sample of "negative examples" generated from the model's current estimate of the data density. Training in each boosting round proceeds in three stages: first we sample negative examples from the model's current Boltzmann distribution. Next, a feature is trained to improve classification performance between data and negative examples. Finally, a coefficient is learned which determines the importance of this feature relative to ones already in the pool. Negative examples only need to be generated once to learn each new feature. The validity of the approach is demonstrated on binary digits and continuous synthetic data.