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Weighted bagging: a modification of AdaBoost from the perspective of importance sampling

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  • Qingzhao Yu

Abstract

We motivate the success of AdaBoost (ADA) in classification problems by appealing to an importance sampling perspective. Based on this insight, we propose the Weighted Bagging (WB) algorithm, a regularization method that naturally extends ADA to solve both classification and regression problems. WB uses a part of the available data to build models, and a separate part to modify the weights of observations. The method is used with categorical and regression tress and is compared with ADA, Boosting, Bagging, Random Forest and Support Vector Machine. We apply these methods to some real data sets and report some results of simulations. These applications and simulations show the effectiveness of WB.

Suggested Citation

  • Qingzhao Yu, 2011. "Weighted bagging: a modification of AdaBoost from the perspective of importance sampling," Journal of Applied Statistics, Taylor & Francis Journals, vol. 38(3), pages 451-463, October.
    • Handle: RePEc:taf:japsta:v:38:y:2011:i:3:p:451-463
    DOI: 10.1080/02664760903456418
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    1. Friedman, Jerome H., 2002. "Stochastic gradient boosting," Computational Statistics & Data Analysis, Elsevier, vol. 38(4), pages 367-378, February.
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    1. Abdallah, Imad & Tatsis, Konstantinos & Chatzi, Eleni, 2020. "Unsupervised local cluster-weighted bootstrap aggregating the output from multiple stochastic simulators," Reliability Engineering and System Safety, Elsevier, vol. 199(C).

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