May 3, 2021
For many practical, high-risk applications, it is essential to quantify uncertainty in a model's predictions to avoid costly mistakes. While predictive uncertainty is widely studied for neural networks, the topic seems to be under-explored for models based on gradient boosting. However, gradient boosting often achieves state-of-the-art results on tabular data. This work examines a probabilistic ensemble-based framework for deriving uncertainty estimates in the predictions of gradient boosting classification and regression models. We conducted experiments on a range of synthetic and real datasets and investigated the applicability of ensemble approaches to gradient boosting models that are themselves ensembles of decision trees. Our analysis shows that ensembles of gradient boosting models successfully detect anomaly inputs while having limited ability to improve the predicted total uncertainty. Importantly, we also propose a concept of a virtual ensemble to get the benefits of an ensemble via only one gradient boosting model, which significantly reduces complexity.
The International Conference on Learning Representations (ICLR) is the premier gathering of professionals dedicated to the advancement of the branch of artificial intelligence called representation learning, but generally referred to as deep learning. ICLR is globally renowned for presenting and publishing cutting-edge research on all aspects of deep learning used in the fields of artificial intelligence, statistics and data science, as well as important application areas such as machine vision, computational biology, speech recognition, text understanding, gaming, and robotics.
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