alejandroschuler
commented
3 years ago This would be very, very difficult to implement with any generality within ngboost because the mean prediction of a value may not map very nicely from a parameter of its distribution. For certain distributions it might be the case (e.g. Normal), but then we'd have to have all sorts of special hacks and whatnot that would work in some cases but not in others.
Furthermore, I'm proceeding under the assumption that what you want is monotonicity in terms of the expected value of the outcome, but that's only one interpretation. You might desire monotonicity in the median, or in 5% quantile, or in any other functional of the predicted distribution. All of these would be valid.
Point being: getting something like this in NGBoost would be an academic research project worthy of a paper in its own right, not a matter of implementing something that already exists. That makes it unlikely that it will ever be a feature, but especially at any point in the near future. It is, however, a great research question so if you know anyone working on a PhD who wants something interesting to work on you can send them this way!
CDonnerer
astrogilda
An extremely useful feature of some gradient boosting libraries is the ability to enforce monotonic constraints - e.g.
https://xgboost.readthedocs.io/en/latest/tutorials/monotonic.html
Are there plans to get this implemented within NGBoost?
Thanks,
David