Implements under/oversampling for probability estimation. To be used with machine learning methods such as AdaBoost, random forests, etc.
The JOUSBoost package implements under/oversampling with jittering for probability estimation. Its intent is to be used to improve probability estimates that come from boosting algorithms (such as AdaBoost), but is modular enough to be used with virtually any classification algorithm from machine learning. See Mease (2007) for more information.
You can install:
The following example gives a useage case for JOUSBoost. This example illustrates the improvement in probability estimates on gets from applying the JOUS procedure to AdaBoost on a simulated data set. First, we'll train AdaBoost applied to depth three decision trees, and then we'll get the estimated probabilities.
library(JOUSBoost)set.seed(111)dat = friedman_data(n = 1000, gamma = 0.5)train_index = sample(1:1000, 800)# Train AdaBoost classifier using depth 3 decision treeada = adaboost(dat$X[train_index,], dat$y[train_index], tree_depth = 3, n_rounds = 400)# get probability estimate on test dataphat_ada = predict(ada, dat$X[-train_index, ], type="prob")
Next, we'll compute probabilities by using the JOUS procedure.
# Apply jous to adaboost classifierclass_func = function(X, y) adaboost(X, y, tree_depth = 3, n_rounds = 400)pred_func = function(fit_obj, X_test) predict(fit_obj, X_test)jous_fit = jous(dat$X[train_index,], dat$y[train_index], class_func,pred_func, type="under", delta=10, keep_models=TRUE)# get probability estimate on test dataphat_jous = predict(jous_fit, dat$X[-train_index, ], type="prob")
Finally, we can see the benefit of using JOUSBoost!
# compare MSE of probability estimatesp_true = dat$p[-train_index]mean((p_true - phat_jous)^2)#>  0.05455999mean((p_true - phat_ada)^2)#>  0.1277416
Mease, D., Wyner, A., and Buja, A. 2007. “Costweighted Boosting with Jittering and over/under-Sampling. JOUS-Boost.” Journal of Machine Learning Research 8 409-439.