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https://issues.apache.org/jira/browse/SPARK-4240?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=15362721#comment-15362721
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Vladimir Feinberg commented on SPARK-4240:
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Sorry for delay in response - I was on vacation for the long weekend. Would you
mind pushing or linking what you have done so far? I'll get back to you
tomorrow on whether I have the bandwidth to tackle this right now.
> Refine Tree Predictions in Gradient Boosting to Improve Prediction Accuracy.
> ----------------------------------------------------------------------------
>
> Key: SPARK-4240
> URL: https://issues.apache.org/jira/browse/SPARK-4240
> Project: Spark
> Issue Type: New Feature
> Components: MLlib
> Affects Versions: 1.3.0
> Reporter: Sung Chung
>
> The gradient boosting as currently implemented estimates the loss-gradient in
> each iteration using regression trees. At every iteration, the regression
> trees are trained/split to minimize predicted gradient variance.
> Additionally, the terminal node predictions are computed to minimize the
> prediction variance.
> However, such predictions won't be optimal for loss functions other than the
> mean-squared error. The TreeBoosting refinement can help mitigate this issue
> by modifying terminal node prediction values so that those predictions would
> directly minimize the actual loss function. Although this still doesn't
> change the fact that the tree splits were done through variance reduction, it
> should still lead to improvement in gradient estimations, and thus better
> performance.
> The details of this can be found in the R vignette. This paper also shows how
> to refine the terminal node predictions.
> http://www.saedsayad.com/docs/gbm2.pdf
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