Gradient Boosting Machine (GBM)

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It is also known as Multiple Additive Regression Trees (MART), Boosted Decision Tree Regression, and Gradient Boosted Regression Trees (GBRT).

the ensemble is a collection of models that do not predict the real objective field of the ensemble, but rather the improvements needed for the function that computes this objective. ...the modeling process starts by assigning some initial values to this function, and creates a model to predict which gradient will improve the function results. The next iteration considers both the initial values and these corrections as its original state, and looks for the next gradient to improve the prediction function results even further. The process stops when the prediction function results match the real values or the number of iterations reaches a limit. As a consequence, all the models in the ensemble will always have a numeric objective field, the gradient for this function. The real objective field of the problem will then be computed by adding up the contributions of each model weighted by some coefficients. If the problem is a classification, each category (or class) in the objective field has its own subset of models in the ensemble whose goal is adjusting the function to predict this category. Introduction to Boosted Trees | bigML