A Gradient-Based Boosting Algorithm for Regression Problems

In adaptive boosting, several weak learners trained sequentially are combined to boost the overall algorithm performance. Recently adaptive boosting methods for classification problems have been derived as gradient descent algorithms. This formulation justifies key elements and parameters in the methods, all chosen to optimize a single common objective function. We propose an analogous formulation for adaptive boosting of regression problems, utilizing a novel objective function that leads to a simple boosting algorithm. We prove that this method reduces training error, and compare its performance to other regression methods.