TrIM: Transformed Iterative Mondrian Forests for Gradient-based
Dimension Reduction and High-Dimensional Regression
TrIM: Transformed Iterative Mondrian Forests for Gradient-based
Dimension Reduction and High-Dimensional Regression
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, …