2 papers
cs.LG2020
Uncertainty in Gradient Boosting via Ensembles
Andrey Malinin, Liudmila Prokhorenkova, Aleksei Ustimenko
For many practical, high-risk applications, it is essential to quantify uncertainty in a model's predictions to avoid costly mistakes. While predictive uncertainty is widely studie…
cs.LG2020
StochasticRank: Global Optimization of Scale-Free Discrete Functions
Aleksei Ustimenko, Liudmila Prokhorenkova
In this paper, we introduce a powerful and efficient framework for direct optimization of ranking metrics. The problem is ill-posed due to the discrete structure of the loss, and t…