TrIM: Transformed Iterative Mondrian Forests for Gradient-based Dimension Reduction and High-Dimensional Regression
TrIM:变换迭代蒙德里安森林用于梯度降维与高维回归
We propose a computationally efficient algorithm for gradient-based linear dimension reduction and high-dimensional regression. The algorithm initially computes a Mondrian forest and uses this estimator to identify a relevant feature subspace of the inputs from an estimate of the expected gradient outer product (EGOP) of the regression function. In addition, we introduce an iterative approach known as Transformed Iterative Mondrian (TrIM) forest to improve the Mondrian…