Monotonic Binning with GBM

In addition to monotonic binning algorithms introduced in my previous post (, two more functions based on Generalized Boosted Regression Models have been added to my GitHub repository, gbm_bin() and gbmcv_bin().

The function gbm_bin() estimates a GBM model without the cross validation and tends to generate a more granular binning outcome.

The function gbmcv_bin() estimates a GBM model with the cross validation (CV). Therefore, it would generate a more stable but coarse binning outcome. Nonetheless, the computation is more expensive due to CV, especially for large datasets.

Motivated by the idea of my friend Talbot (, I also drafted a function pava_bin() based upon the Pool Adjacent Violators Algorithm (PAVA) and compared it with the iso_bin() function based on the isotonic regression. As shown in the comparison below, there is no difference in the binning outcome. However, the computing cost of pava_bin() function is higher given that PAVA is an iterative algorithm solving for the monotonicity.