LogitBoost is a
boostingalgorithm formulated by Jerome Friedman, Trevor Hastie, and Robert Tibshirani. The original paper [Jerome Friedman, Trevor Hastie and Robert Tibshirani. Additive logistic regression: a statistical view of boosting. Annals of Statistics 28(2), 2000. 337-407] casts the AdaBoostalgorithm into a statistics framework. Specifically, if one considers AdaBoostas a generalized additive modeland then applies the cost functional of logistic regression, one can derive the LogitBoost algorithm.
Minimizing the LogitBoost cost functional
LogitBoost can be seen as a
convex optimization. Specifically, given that we seek an additive model of the form
the LogitBoost algorithm minimizes the logistic loss:
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