| Autor: |
Bruna Wundervald, Andrew C. Parnell, Katarina Domijan |
| Jazyk: |
angličtina |
| Rok vydání: |
2020 |
| Předmět: |
|
| Zdroj: |
IEEE Access, Vol 8, Pp 190231-190239 (2020) |
| Druh dokumentu: |
article |
| ISSN: |
2169-3536 |
| DOI: |
10.1109/ACCESS.2020.3032095 |
| Popis: |
We develop a new approach for feature selection via gain penalization in tree-based models. First, we show that previous methods do not perform sufficient regularization and often exhibit sub-optimal out-of-sample performance, especially when correlated features are present. Instead, we develop a new gain penalization idea that exhibits a general local-global regularization for tree-based models. The new method allows for full flexibility in the choice of feature-specific importance weights, while also applying a global penalization. We validate our method on both simulated and real data, exploring how the hyperparameters interact and we provide the implementation as an extension of the popular R package ranger. |
| Databáze: |
Directory of Open Access Journals |
| Externí odkaz: |
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