Out-of-bag regression error
L = oobLoss(ens)
L = oobLoss(ens,Name,Value)
error with additional options specified by one or more
L = oobLoss(
arguments. You can specify several name-value pair arguments in any
A regression bagged ensemble, constructed with
comma-separated pairs of
the argument name and
Value is the corresponding value.
Name must appear inside single quotes (
' '). You can
specify several name and value pair arguments in any order as
Indices of weak learners in the ensemble ranging from
Function handle for loss function, or
Character vector representing the meaning of the output
Mean squared error of the out-of-bag observations, a scalar.
Compute the out-of-bag error for the
carsmall data set and select engine displacement, horsepower, and vehicle weight as predictors.
load carsmall X = [Displacement Horsepower Weight];
Train an ensemble of bagged regression trees.
ens = fitrensemble(X,MPG,'Method','Bag');
Find the out-of-bag error.
rng(10,'twister') % For reproducibility L = oobLoss(ens)
L = 16.7204
Bagging, which stands for “bootstrap aggregation”, is a
type of ensemble learning. To bag a weak learner such as a decision tree on a dataset,
fitrensemble generates many bootstrap
replicas of the dataset and grows decision trees on these replicas.
fitrensemble obtains each bootstrap replica by randomly selecting
N observations out of
N with replacement, where
N is the dataset size. To find the predicted response of a trained
predict takes an average over predictions from
N out of
with replacement omits on average 37% (1/e) of
observations for each decision tree. These are "out-of-bag" observations.
For each observation,
oobLoss estimates the out-of-bag
prediction by averaging over predictions from all trees in the ensemble
for which this observation is out of bag. It then compares the computed
prediction against the true response for this observation. It calculates
the out-of-bag error by comparing the out-of-bag predicted responses
against the true responses for all observations used for training.
This out-of-bag average is an unbiased estimator of the true ensemble