Resources for learning about multiple-target techniques?

I am looking for resources (books, lecture notes, etc.) about techniques that can handle data that have multiple-targets (Ex: three dependent variable: 2 discrete and 1 continuous).

Does anyone have any resources/knowledge on this? I know that it is possible to use neural networks for this.

Answer

Random forest handle it rather well, see Would a Random Forest with multiple outputs be possible/practical? or scikit learn’s documentation. I guess GBM or any tree based method can be adapted in a similar fashion.

More generally, when you run any learning algorithm minimizing a score, you usually work on minimizing i(piyi)2 which is one-dimensional. But you can specify any target function. If you were working on (two-dimensional) position prediction, i(ˆyiyi)2+(ˆxixi)2 would be a good metric.

If you have mixed type output (classification and regression) then specifying the target function will probably require you to specify a target function that gives more weight to some targets than other: which scaling do you apply to continuous responses ? Which loss do you apply to miss-classifications?

As for further academic reading,

SVM Structured Learning’s Wikipedia

Simultaneously Leveraging Output and Task
Structures for Multiple-Output Regression

The Landmark Selection Method for Multiple Output Prediction
(deals with high dimensional dependent variables)

Attribution
Source : Link , Question Author : mmmmmmmmmm , Answer Author : Steven C. Howell

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