shrink.gbm: L1 shrinkage of the predictor variables in a GBM
Description
Performs recursive shrinkage in each of the trees in a GBM fit using different shrinkage parameters for each variable.
Usage
shrink.gbm(object, n.trees, lambda = rep(10, length(object$var.names)), ...)
Arguments
n.trees
the number of trees to use
lambda
a vector with length equal to the number of variables containing the shrinkage parameter for each variable
...
other parameters (ignored)
Value
- predF
- Predicted values from the shrunken tree
- objective
- The value of the loss function associated with the predicted values
- gradient
- A vector with length equal to the number of variables containing the derivative of the objective function with respect to beta, the logit transform of the shrinkage parameter for each variable
Warning
This function is experimental.Details
This function is currently experimental. Used in conjunction with a gradient ascent search for inclusion of variables.
References
Hastie, T. J., and Pregibon, D. Shrinking Trees. AT&T Bell Laboratories Technical Report (March 1990).