R Graphical Manual

Last data update: 2014.03.03

R: L1 shrinkage of the predictor variables in a GBM

shrink.gbm

R Documentation

L1 shrinkage of the predictor variables in a GBM

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 `gbm.object`
`n.trees`	the number of trees to use
`lambda`	a vector with length equal to the number of variables containing the shrinkage parameter for each variable
`...`	other parameters (ignored)

This function is currently experimental. Used in conjunction with a gradient ascent search for inclusion of variables.

`predF`	Predicted values from the shrunken tree
`objective`	The value of the loss function associated with the predicted values
`gradient`	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 experimental.

Hastie, T. J., and Pregibon, D. Shrinking Trees. AT&T Bell Laboratories Technical Report (March 1990).