Abstract
Analyzing healthcare data poses several challenges including the limited number of samples, missing measurements, noisy labels, and heterogeneous data types. Tree-based boosting is well-suited for modeling such data as it is insensitive to data types and missingness. Moreover, Stochastic Gradient TreeBoost is often found in many winning solutions in public data science challenges. Unfortunately, the best performance requires extensive hyperparameter tuning and can be prone to overfitting. We propose PaloBoost, a Stochastic Gradient TreeBoost model that uses novel regularization techniques to guard against overfitting and is robust to hyperparameter settings. PaloBoost uses the out-of-bag samples to perform gradient-aware pruning and estimate adaptive learning rates. Unlike other Stochastic Gradient TreeBoost models that use the out-of-bag samples to estimate test errors, PaloBoost treats the samples as a second batch of training samples to prune the trees and adjust the learning rates. As a result, PaloBoost can dynamically adjust tree depths and learning rates to achieve faster learning at the start and slower learning as the algorithm converges. Experimental results on four datasets demonstrate that PaloBoost is robust to overfitting and is less sensitive to the hyperparameters.
Published Version
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