Slide 19
Slide 19 text
Monotonic Constriants
• It is often the case in a modeling problem or project that the functional form of an acceptable
model is constrained in some way. This may happen due to business considerations, or because of
the type of scientific question being investigated. In some cases, where there is a very strong prior
belief that the true relationship has some quality, constraints can be used to improve the
predictive performance of the model.
• A common type of constraint in this situation is that certain features bear a monotonic
relationship to the predicted response:
• (1,2,…,,…,−1,) ≤ (1,2,…,ʹ,…,−1,)
• whenever ≤ʹ
• is an increasing constraint; or
• (1,2,…,,…,−1,)≥(1,2,…,ʹ,…,−1,)
• whenever ≤ʹ
• is a decreasing constraint.
• ability to enforce monotonicity constraints on any features used in a boosted model.