I would like to train my datasets in scikit-learn but export the final Gradient Boosting Regressor elsewhere so that I can make predictions directly on another platform.

I am aware that we can obtain the individual decision trees used by the regressor by accessing regressor.estimators[].tree_. What I would like to know is how to fit these decision trees together to make the final regression predictor.

  • $\begingroup$ You can directly save the model to disk and load it on the other platform. Why you want to do this complex exercise. Please explain a bit more in detail $\endgroup$
    – 10xAI
    Dec 23 '20 at 17:34
  • $\begingroup$ By 'another platform' I mean a software environment other than Python. It is MQL5 used for forex trading. $\endgroup$ Dec 23 '20 at 22:52

There are two estimators i.e. The initial predictor and the sub-estimators

The estimator that provides the initial predictions. Set via the init argument or loss.init_estimator.
ndarray of DecisionTreeRegressor of shape (n_estimators, 1)
The collection of fitted sub-estimators.

Prediction after the first (i.e. init) estimator is controlled by the learning rate.

You can get the prediction as done in the below code -

trees = model.estimators_

x  = x_test.iloc[10,:].values # A sample X to be predicted
y_pred = model.init_.predict(x.reshape(1, -1)) # prediction from init estimator

for tree in trees:
    pred = tree[0].predict(x.reshape(1, -1)) # prediction from sub-estimator

    y_pred = y_pred + model.learning_rate*pred  # Summing with LR

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