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OpenQuant OpenQuant Documentation

sb_bagging

Subject

Section titled “Subject”

Sampling, Validation and ML Diagnostics

Why This Module Exists

Section titled “Why This Module Exists”

Combines ensemble variance reduction with overlap-aware sampling.

Mathematical Foundations

Section titled “Mathematical Foundations”

Bagging Predictor

Section titled “Bagging Predictor”

f^(x)=1B∑b=1Bfb(x)\hat f(x)=\frac{1}{B}\sum_{b=1}^{B} f_b(x)

Bootstrap Sampling

Section titled “Bootstrap Sampling”

Sb∼Pseq(u)S_b\sim P_{seq}(u)

Usage Examples

Section titled “Usage Examples”

Rust

Section titled “Rust”

Instantiate SB bagging classifier

Section titled “Instantiate SB bagging classifier”
use openquant::sb_bagging::SequentiallyBootstrappedBaggingClassifier;


let bag = SequentiallyBootstrappedBaggingClassifier::new(100);

API Reference

Section titled “API Reference”

Rust API

Section titled “Rust API”
  • SequentiallyBootstrappedBaggingClassifier
  • SequentiallyBootstrappedBaggingRegressor
  • MaxSamples
  • MaxFeatures

Implementation Notes

Section titled “Implementation Notes”
  • Sequential bootstrap improves diversity under event overlap.
  • Tune max_samples/max_features with out-of-sample monitoring.