模型预测结果校准——Isotonic regression

模型预测结果校准——Isotonic regression  

方法简介：

Isotonic Regression: the method used by Zadrozny and Elkan (2002; 2001) to calibrate predictions from boosted naive bayes, SVM, and decision tree models.[1]

Zadrozny and Elkan (2002; 2001) successfully used a more general

method based on Isotonic Regression (Robertson et al.,1988) to calibrate predictions from SVMs, Naive Bayes, boosted Naive Bayes, and decision trees. This method is more general in that the only restriction is that the mapping function be isotonic (monotonically increasing).[1]

Isotonic regression(保序回归) 是一种非参数化方法（The non-parametric approach）；

假设模型的预测结果记为fi，真实目标记为yi,那么Isotonic Regression的基本假设为：

其中m是isotonic(单调递增)的函数。

给定数据集，可以通过下式求解m: