Gradient Boosting Performs Gaussian Process Inference

2 code implementations • 11 Jun 2022 • Aleksei Ustimenko, Artem Beliakov, Liudmila Prokhorenkova

Thus, we obtain the convergence to a Gaussian Process' posterior mean, which, in turn, allows us to easily transform gradient boosting into a sampler from the posterior to provide better knowledge uncertainty estimates through Monte-Carlo estimation of the posterior variance.

regression