Are there any ways to upweight any particular feature for GBM (tree boosting)?
The motivation is:
Assuming one would like to put a few dummy indicators, e.g., X_A, X_B, X_C, ..., into GBM, for the original feature X that is categorical. The data is pretty thin for X == 'A'.
Normally GBM would treat each feature equally at each tree split, and as a result it is very likely that GBM would not split using X_A at all if on training sample the residual for X == 'A' is not significant enough.
However, if one already knows the residual of X == 'A' observed on the training sample is actually real based on some other knowledge (business, prior, etc.), is there any way to force GBM to upweight this particular feature X_A when splitting so that the output model can actually fit well to the observed residual?
Thanks.
