Gradient boosting with vector-valued leafs

Gradient boosting in the form of decision tree ensembles has successfully been applied to a variety of problems using simple objective functions based on log-likelihoods of a single variable.

The concept extends naturally to objective functions operating on vectors - for example, multinomial logistic log-likelihood for multi-class classification, where observations have a score for each class - but popular frameworks approach these functions by either updating one value of the input vectors at a time, or by using a diagonal upper bound on the second derivative.

This work extends the usual gradient boosting framework to functions of vector inputs and sketches a simple algorithm that can be used efficiently with histogram-based decision trees.