论文标题

Entmoot:在整体树模型上优化的框架

ENTMOOT: A Framework for Optimization over Ensemble Tree Models

论文作者

Thebelt, Alexander, Kronqvist, Jan, Mistry, Miten, Lee, Robert M., Sudermann-Merx, Nathan, Misener, Ruth

论文摘要

梯度增强的树木和其他回归树模型在各种现实的工业应用中都表现良好。这些树模型(i)提供了对重要预测特征的见解,(ii)有效地管理稀疏数据,(iii)具有出色的预测功能。尽管它们具有优势,但它们通常不受决策任务和黑盒优化的不受欢迎,这是由于它们难以优化结构以及缺乏可靠的不确定性度量所致。 Entmoot是我们将树模型集成到更大的优化问题中的新框架。 Entmoot的贡献包括:(i)明确引入与树型兼容的可靠不确定性度量,(ii)解决较大的优化问题,这些问题结合了这些不确定性意识到的树模型,(iii)证明了解决方案在全球范围内是最佳的,即不存在更好的解决方案。特别是,我们展示了Entmoot方法如何将树模型简单地集成到决策和Black-Box优化中,在此将其视为常用框架的强大竞争对手。

Gradient boosted trees and other regression tree models perform well in a wide range of real-world, industrial applications. These tree models (i) offer insight into important prediction features, (ii) effectively manage sparse data, and (iii) have excellent prediction capabilities. Despite their advantages, they are generally unpopular for decision-making tasks and black-box optimization, which is due to their difficult-to optimize structure and the lack of a reliable uncertainty measure. ENTMOOT is our new framework for integrating (already trained) tree models into larger optimization problems. The contributions of ENTMOOT include: (i) explicitly introducing a reliable uncertainty measure that is compatible with tree models, (ii) solving the larger optimization problems that incorporate these uncertainty aware tree models, (iii) proving that the solutions are globally optimal, i.e. no better solution exists. In particular, we show how the ENTMOOT approach allows a simple integration of tree models into decision-making and black-box optimization, where it proves as a strong competitor to commonly-used frameworks.

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