A class doing the actual fitting of a linear model using rules as base functions.
Definition at line 53 of file RuleFitParams.h.
void TMVA::RuleFitParams::MakeGDPath |
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The following finds the gradient directed path in parameter space.
More work is needed... FT, 24/9/2006
The algorithm is currently as follows (if not otherwise stated, the sample used below is [fPathIdx1,fPathIdx2]):
- Set offset to -average(y(true)) and all coefs=0 => average of F(x)==0
- FindGDTau() : start scanning using several paths defined by different tau choose the tau yielding the best path
- start the scanning the chosen path
- check error rate at a given frequency data used for check: [fPerfIdx1,fPerfIdx2]
- stop when either of the following conditions are fullfilled:
- loop index==fGDNPathSteps
- error > fGDErrScale*errmin
- only in DEBUG mode: risk is not monotonously decreasing
The algorithm will warn if:
- the error rate was still decreasing when loop finished -> increase fGDNPathSteps!
- minimum was found at an early stage -> decrease fGDPathStep
- DEBUG: risk > previous risk -> entered chaotic region (regularization is too small)
Definition at line 539 of file RuleFitParams.cxx.