In my previous post, An Attempt to Understand Boosting Algorithm(s), I was puzzled by the boosting convergence when I was using some spline functions (more specifically linear by parts and continuous regression functions). I was using

> library(splines) > fit=lm(y~bs(x,degree=1,df=3),data=df)

The problem with that spline function is that knots seem to be fixed. The iterative boosting algorithm is

- start with some regression model
- compute the residuals, including some shrinkage parameter,

then the strategy is to model those residuals

- at step , consider regression
- update the residuals

and to loop. Then set

I thought that boosting would work well if at step , it was possible to change the knots. But the output

was quite disappointing: boosting does not improve the prediction here. And it looks like knots don’t change. Actually, if we select the ‘*best*‘ knots, the output is much better. The dataset is still

> n=300 > set.seed(1) > u=sort(runif(n)*2*pi) > y=sin(u)+rnorm(n)/4 > df=data.frame(x=u,y=y)

For an optimal choice of knot locations, we can use

> library(freeknotsplines) > xy.freekt=freelsgen(df$x, df$y, degree = 1, + numknot = 2, 555)

The code of the previous post can simply be updated

> v=.05 > library(splines) > xy.freekt=freelsgen(df$x, df$y, degree = 1, + numknot = 2, 555) > fit=lm(y~bs(x,degree=1,knots= + xy.freekt@optknot),data=df) > yp=predict(fit,newdata=df) > df$yr=df$y - v*yp > YP=v*yp > for(t in 1:200){ + xy.freekt=freelsgen(df$x, df$yr, degree = 1, + numknot = 2, 555) + fit=lm(yr~bs(x,degree=1,knots= + xy.freekt@optknot),data=df) + yp=predict(fit,newdata=df) + df$yr=df$yr - v*yp + YP=cbind(YP,v*yp) + } > nd=data.frame(x=seq(0,2*pi,by=.01)) > viz=function(M){ + if(M==1) y=YP[,1] + if(M>1) y=apply(YP[,1:M],1,sum) + plot(df$x,df$y,ylab="",xlab="") + lines(df$x,y,type="l",col="red",lwd=3) + fit=lm(y~bs(x,degree=1,df=3),data=df) + yp=predict(fit,newdata=nd) + lines(nd$x,yp,type="l",col="blue",lwd=3) + lines(nd$x,sin(nd$x),lty=2)} > viz(100)

I like that graph. I had the intuition that using (simple) splines would be possible, and indeed, we get a very smooth prediction.

Thank you for this follow-up. The fit really improves when the optimal knots are selected. However in the very end of the procedure the points on the very right and on the very left end are heavily overfitted. Where does this come from?

it should come from problems with end points of the splines I guess…. I should ask the optimal knots to be in a specific range, i.e. not [0,1] but maybe [.1,.9] (in order to avoid optimal knots at .01)