Better Boosting with Bandits for Online Learning
Probability estimates generated by boosting ensembles are poorly calibrated because of the margin maximization nature of the algorithm. The outputs of the ensemble need to be properly calibrated before they can be used as probability estimates. In this work, we demonstrate that online boosting is also prone to producing distorted probability estimates. In batch learning, calibration is achieved by reserving part of the training data for training the calibrator function. In the online setting, a decision needs to be made on each round: shall the new example(s) be used to update the parameters of the ensemble or those of the calibrator. We proceed to resolve this decision with the aid of bandit optimization algorithms. We demonstrate superior performance to uncalibrated and naively-calibrated on-line boosting ensembles in terms of probability estimation. Our proposed mechanism can be easily adapted to other tasks(e.g. cost-sensitive classification) and is robust to the choice of hyperparameters of both the calibrator and the ensemble.
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