AdaBoost
In the previous section, we saw that sampling with a replacement leads to datasets where the data points are randomly reweighted. However, if the sample size M is very large, most of the points will appear only once and, moreover, all the choices will be totally random. AdaBoost is an algorithm proposed by Schapire and Freund that tries to maximize the efficiency of each weak learner by employing adaptive boosting (the name derives from this). In particular, the ensemble is grown sequentially, and the data distribution is recomputed at each step so as to increase the weight of those points that were misclassified and reduce the weight of the ones that were correctly classified. In this way, every new learner is forced to focus on those regions that were more problematic for the previous estimators. The reader can immediately understand that, contrary to random forests and other bagging methods, boosting doesn't rely on randomness to reduce the variance and improve the...