Multivariable regression on overlapping set of variables.

ankonzoid / LearningX

Deep & Classical Reinforcement Learning + Machine Learning Examples in Python

MIT License

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Multivariable regression on overlapping set of variables. #12

Open guyguyguy1234 opened 3 years ago

guyguyguy1234 commented 3 years ago

I am not sure how difficult it would be to implement this. Is it possible to add a feature that would allow one to regress in the leaves only on a subset of features? E.g. if we have 3 features f1, f2, f3, the xgb trees are constructed by using features f1, f2 (or all of them) but the linear regression is done on features f2, f3 (notice the overlap).

Thanks.