scikit-learn/scikit-learn — pull request #924 by pprett (2012-07-02 07:09:23+00:00)
Title: MRG: GBRT loss-functions

Two new regression loss functions for gradient boosting:

* Huber loss (aka M-Loss) - robust loss function
* Quantile loss - loss function for quantile regression; can be used to create prediction intervals (see example).

Some other gimmicks:

* GBRT supports ``max_features`` for variance reduction (similar to ``RandomForest``).