Feature Request: piecewise linear gradient boosting tree

[1991jhf]

trafficstars

Hi, is there any plan to implement linear models at the leaves?

Similar to linear_tree in LightGBM. https://lightgbm.readthedocs.io/en/latest/Parameters.html#linear_tree https://github.com/microsoft/LightGBM/pull/3299

[jeremiedb]

It wasn't on my radar at the moment. Have you seen any evidence about added value such linear leaves may bring? If there's a compelling case, then it could help making a case for it. Otherwise, the 2 things I want to bring are support for ranking and obliveous (catboost style) trees.

[ParadaCarleton]

Hi, is there any plan to implement linear models at the leaves?

Similar to linear_tree in LightGBM. https://lightgbm.readthedocs.io/en/latest/Parameters.html#linear_tree microsoft/LightGBM#3299

You might be interested in MARS or the Julia implementation of MARS here, although the latter is pretty rough around the edges at the moment.