NGBoost: Natural Gradient Boosting for Probabilistic Prediction

We present Natural Gradient Boosting (NGBoost), an algorithm for generic probabilistic prediction via gradient boosting. Typical regression models return a point estimate, conditional on covariates, but probabilistic regression models output a full probability distribution over the outcome space, conditional on the covariates. This allows for predictive uncertainty estimation --- crucial in applications like healthcare and weather forecasting. NGBoost generalizes gradient boosting to probabilistic regression by treating the parameters of the conditional distribution as targets for a multiparameter boosting algorithm. Furthermore, we show how the \emph{Natural Gradient} is required to correct the training dynamics of our multiparameter boosting approach. NGBoost can be used with any base learner, any family of distributions with continuous parameters, and any scoring rule. NGBoost matches or exceeds the performance of existing methods for probabilistic prediction while offering additional benefits in flexibility, scalability, and usability.