Performs recursive shrinkage in each of the trees in a GBM fit using different shrinkage parameters for each variable.
shrink.gbm(object, n.trees, lambda = rep(10, length(object$var.names)), ...)
| object | A |
|---|---|
| n.trees | Integer specifying the number of trees to use. |
| lambda | Vector of length equal to the number of variables containing the shrinkage parameter for each variable. |
| ... | Additional optional arguments. (Currently ignored.) |
Predicted values from the shrunken tree
The value of the loss function associated with the predicted values
A vector with length equal to the number of variables containing the derivative of the objective function with respect to beta, the logit transform of the shrinkage parameter for each variable
This function is currently experimental. Used in conjunction with a gradient ascent search for inclusion of variables.
Warning: This function is experimental.
Hastie, T. J., and Pregibon, D. https://web.stanford.edu/~hastie/Papers/shrink_tree.pdf. AT&T Bell Laboratories Technical Report (March 1990).