I would like to know how you would set the parameters for the GBM model?
1) I could optimize the parameters sequentially. At first, using a large value for shrinkage and a small number of iterations (for faster computation), I would try to optimize n.minobsinnode, interaction.depth, bag.fraction, etc. Then using these parameters, I would scale the skrinkage to lower value and find the optimal number of trees.
All at the same time, using tons of scenario simulations.
For example, is it possible that the optimal interaction.depth to have different values for shrinkage 0.01 and 0.001?
If yes, it would not be fine to fix some parameters to optimize the others...