I created a boosting tree and got the probability for each tuple in my testing set. But I'm confused on how to combine each probability. Can someone tell me how to combine the probabilities?
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$\begingroup$ You have to have the real $Y$ value $\endgroup$– Juan Esteban de la CalleApr 29, 2019 at 2:50
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$\begingroup$ I'm voting to close this question as off-topic because this question should be asked in cross validated $\endgroup$– Mark.FApr 29, 2019 at 5:59
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$\begingroup$ I don't understand. What do you mean? @Mark.F $\endgroup$– rrr pppApr 29, 2019 at 12:17
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$\begingroup$ what do you mean by real value? the ground truth? I have. -1 or 1. @JuanEstebandelaCalle $\endgroup$– rrr pppApr 29, 2019 at 12:17
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$\begingroup$ Yes, is against that variable what you compare the probability with (normally is 0,1) $\endgroup$– Juan Esteban de la CalleApr 29, 2019 at 13:00
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1 Answer
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Is an interesting question.
You are solving a optimization problem
$max$ $AUC(\alpha_1*X_1 + \alpha_2*X_2,Y)$
$s.t.$ $\sum^2_{i=1}\alpha = 1$
You are maximizing the AUC using the models 1 and 2 (which are $X_1$ and $X_2$) subject to the sum of weights is 1.
You may any optimization algorithm, even Excel's solver to do this.
answered Apr 29, 2019 at 14:08