mboost_fit {mboost} | R Documentation

## Model-based Gradient Boosting

### Description

Work-horse for gradient boosting for optimizing arbitrary loss functions, where component-wise models are utilized as base-learners. Usually, this function is not called directly by the user.

### Usage

    mboost_fit(blg, response, weights = rep(1, NROW(response)), offset = NULL,
               family = Gaussian(), control = boost_control(), oobweights =
               as.numeric(weights == 0))

### Arguments

`blg` | a list of objects of elements of class `blg`, as returned by all base-learners.
`response` | the response variable.
`weights` | (optional) a numeric vector of weights to be used in the fitting process.
`offset` | a numeric vector to be used as offset (optional).
`family` | a `Family` object.
`control` | a list of parameters controlling the algorithm. For more details see `boost_control`.
`oobweights` | an additional vector of out-of-bag weights, which is used for the out-of-bag risk (i.e., if `boost_control(risk = "oobag")`). This argument is also used internally by `cvrisk`.
`...` | additional arguments passed to `mboost_fit`; currently none.

### Details

The function implements component-wise functional gradient boosting in a generic way. This function is the main work horse and used as back-end by all boosting algorithms in a unified way. Usually, this function is not called directly. Note that the more convenient modelling interfaces `gamboost`, `glmboost` and `blackboost` all call `mboost_fit`.

Basically, the algorithm is initialized with a function for computing the negative gradient of the loss function (via its `family` argument) and one or more base-learners (given as `blg`). Usually `blg` and `response` are computed in the functions `gamboost`, `glmboost`, `blackboost` or `mboost`. See there for details on the specification of base-learners.

The algorithm minimized the in-sample empirical risk defined as the weighted sum (by `weights`) of the loss function (corresponding to the negative gradient) evaluated at the data.

The structure of the model is determined by the structure of the base-learners. If more than one base-learner is given, the model is additive in these components.

Base-learners can be specified via a formula interface (function `mboost`) or as a list of objects of class `bl`, see, e.g., `bols`.

`oobweights` is a vector used internally by `cvrisk`. When carrying out cross-validation to determine the optimal stopping iteration of a boosting model, the default value of `oobweights` (out-of-bag weights) assures that the cross-validated risk is computed using the same observation weights as those used for fitting the boosting model. It is strongly recommended to leave this argument unspecified.

### Value

An object of class `mboost` with `print`, `AIC`, `plot` and `predict` methods being available.

### References

Peter Buehlmann and Bin Yu (2003), Boosting with the L2 loss: regression and classification. Journal of the American Statistical Association, 98, 324–339.

Peter Buehlmann and Torsten Hothorn (2007), Boosting algorithms: regularization, prediction and model fitting. Statistical Science, 22(4), 477–505.

Torsten Hothorn, Peter Buehlmann, Thomas Kneib, Mattthias Schmid and Benjamin Hofner (2010), Model-based Boosting 2.0. Journal of Machine Learning Research, 11, 2109–2113.

Yoav Freund and Robert E. Schapire (1996), Experiments with a new boosting algorithm. In Machine Learning: Proc. Thirteenth International Conference, 148–156.

Jerome H. Friedman (2001), Greedy function approximation: A gradient boosting machine. The Annals of Statistics, 29, 1189–1232.

Benjamin Hofner, Andreas Mayr, Nikolay Robinzonov and Matthias Schmid (2014). Model-based Boosting in R: A Hands-on Tutorial Using the R Package mboost. Computational Statistics, 29, 3–35.
http://dx.doi.org/10.1007/s00180-012-0382-5

Available as vignette via: `vignette(package = "mboost", "mboost_tutorial")`

### See Also

`glmboost` for boosted linear models and `blackboost` for boosted trees. See e.g. `bbs` for possible base-learners. See `cvrisk` for cross-validated stopping iteration. Furthermore see `boost_control`, `Family` and `methods`.

### Examples

      data("bodyfat", package = "TH.data")

      ### formula interface: additive Gaussian model with
      ### a non-linear step-function in `age', a linear function in `waistcirc'
      ### and a smooth non-linear smooth function in `hipcirc'
      mod <- mboost(DEXfat ~ btree(age) + bols(waistcirc) + bbs(hipcirc),
                    data = bodyfat)
      layout(matrix(1:6, nc = 3, byrow = TRUE))
      plot(mod, main = "formula")

      ### the same
      with(bodyfat,
           mod <- mboost_fit(list(btree(age), bols(waistcirc), bbs(hipcirc)),
                             response = DEXfat))
      plot(mod, main = "base-learner")

[Package mboost version 2.8-1 Index]