Laboratoire de Mathématiques de Besançon - UMR 6623 CNRS

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9 novembre 2020: 1 événement

  • Planning des séminaires 2020-2021

    Lundi 9 novembre 11:00-12:00 - Clément Dombry - Univ. Bourgogne Franche-Comté

    Séminaire PS : Behavior of linear L2-boosting algorithms in the vanishing learning rate asymptotic

    Résumé : We investigate the asymptotic behaviour of gradient boosting algorithms when the learning rate converges to zero and the number of iterations is rescaled accordingly. We mostly consider L2-boosting for regression with linear base learner as studied in Bühlmann and Yu (2003) and analyze also a stochastic version of the model where subsampling is used at each step (Friedman, 2002). We prove a deterministic
    limit in the vanishing learning rate asymptotic and characterize the limit as the unique solution of a linear differential equation in an infinite dimensional function space. Besides, the training and test error of the limiting procedure are thoroughly analyzed.
    Joint work with Youssef Esstafa.

    En savoir plus : Planning des séminaires 2020-2021