大家都知道,对于回归任务,GBDT的loss=(y-pred)^2,因此残差residual=2*(y-pred)很容易理解。
那么,GBDT做分类任务时,残差是怎样的呢???
Gradient Boosting attempts to solve this minimization problem numerically via steepest descent,
The steepest descent direction is the negative gradient of the loss function evaluated at the current model ,
which can be calculated for any differentiable loss function。
The algorithms for regression and classification only differ in the concrete loss function used.
下面以分类的deviance为例:http://scikit-learn.org/stable/modules/ensemble.html#loss-functions
Classification
- Binomial deviance (
'deviance'
): The negative binomial log-likelihood loss function for binary classification (provides probability estimates). - The initial model is given by the log odds-ratio.
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