scikit-learn/scikit-learn — pull request #2188 by pprett (2013-07-22 16:35:21+00:00)
Title: [WIP] Gradient boosting OOB improvement

This PR adresses issue #1802 by @yanirs.

It sets ``oob_score_`` deprecated and introduces ``oob_improvement_`` which gives the relative improvement of adding the i-th tree on the out-of-bag examples. The PR includes an example that shows how ``oob_improvement_`` can be used to estimate the "optimal" number of iterations (basically an alternative to cross-validation).

Whats missing:

* more tests
* rebase on master
* narrative documentation

![gbrt_oob_example](https://f.cloud.github.com/assets/111730/836289/9aa0c888-f2ec-11e2-8a03-12b3a337a416.png)