TreeGrad: Transferring Tree Ensembles to Neural Networks

Gradient Boosting Decision Tree (GBDT) are popular machine learning algorithms with implementations such as LightGBM and in popular machine learning toolkits like Scikit-Learn. Many implementations can only produce trees in an offline manner and in a greedy manner. We explore ways to convert existing GBDT implementations to known neural network architectures with minimal performance loss in order to allow decision splits to be updated in an online manner and provide extensions to allow splits points to be altered as a neural architecture search problem. We provide learning bounds for our neural network.Comment: Technical Report on Implementation of Deep Neural Decision Forests Algorithm. To accompany implementation here: https://github.com/chappers/TreeGrad. Update: Please cite as: Siu, C. (2019). "Transferring Tree Ensembles to Neural Networks". International Conference on Neural Information Processing. Springer, 2019. arXiv admin note: text overlap with arXiv:1909.1179

Weka: A machine learning workbench for data mining

The Weka workbench is an organized collection of state-of-the-art machine learning algorithms and data preprocessing tools. The basic way of interacting with these methods is by invoking them from the command line. However, convenient interactive graphical user interfaces are provided for data exploration, for setting up large-scale experiments on distributed computing platforms, and for designing configurations for streamed data processing. These interfaces constitute an advanced environment for experimental data mining. The system is written in Java and distributed under the terms of the GNU General Public License

Incremental Training of a Detector Using Online Sparse Eigen-decomposition

The ability to efficiently and accurately detect objects plays a very crucial role for many computer vision tasks. Recently, offline object detectors have shown a tremendous success. However, one major drawback of offline techniques is that a complete set of training data has to be collected beforehand. In addition, once learned, an offline detector can not make use of newly arriving data. To alleviate these drawbacks, online learning has been adopted with the following objectives: (1) the technique should be computationally and storage efficient; (2) the updated classifier must maintain its high classification accuracy. In this paper, we propose an effective and efficient framework for learning an adaptive online greedy sparse linear discriminant analysis (GSLDA) model. Unlike many existing online boosting detectors, which usually apply exponential or logistic loss, our online algorithm makes use of LDA's learning criterion that not only aims to maximize the class-separation criterion but also incorporates the asymmetrical property of training data distributions. We provide a better alternative for online boosting algorithms in the context of training a visual object detector. We demonstrate the robustness and efficiency of our methods on handwriting digit and face data sets. Our results confirm that object detection tasks benefit significantly when trained in an online manner.Comment: 14 page

Boosting the Anatomy of Volatility

Risk and, thus, the volatility of financial asset prices plays a major role in financial decision making and financial regulation. Therefore, understanding and predicting the volatility of financial instruments, asset classes or financial markets in general is of utmost importance for individual and institutional investors as well as for central bankers and financial regulators. In this paper we investigate new strategies for understanding and predicting financial risk. Specifically, we use componentwise, gradient boosting techniques to identify factors that drive financial-market risk and to assess the specific nature with which these factors affect future volatility. Componentwise boosting is a sequential learning method, which has the advantages that it can handle a large number of predictors and that it-in contrast to other machine-learning techniques-preserves interpretation. Adopting an EGARCH framework and employing a wide range of potential risk drivers, we derive monthly volatility predictions for stock, bond, commodity, and foreign exchange markets. Comparisons with alternative benchmark models show that boosting techniques improve out-of-sample volatility forecasts, especially for medium- and long-run horizons. Another finding is that a number of risk drivers affect volatility in a nonlinear fashion

Boosting as a Product of Experts

In this paper, we derive a novel probabilistic model of boosting as a Product of Experts. We re-derive the boosting algorithm as a greedy incremental model selection procedure which ensures that addition of new experts to the ensemble does not decrease the likelihood of the data. These learning rules lead to a generic boosting algorithm - POE- Boost which turns out to be similar to the AdaBoost algorithm under certain assumptions on the expert probabilities. The paper then extends the POEBoost algorithm to POEBoost.CS which handles hypothesis that produce probabilistic predictions. This new algorithm is shown to have better generalization performance compared to other state of the art algorithms