Beyond state-of-the-art accuracy by fostering ensemble generalization
Sometimes practitioners are forced to go beyond the standard methods in order to gain more accuracy with their models. If one analyzes the problem of rocketing accuracy, ensembling is a good starting point. However, the trick lies in getting enough generalization from feature space. In this regard, ensemble generalization--do not confuse with classic or "standard" ensemble methods such as Random Forest or Gradient Boosting--is the right path to follow, however complex. The idea is to combine predictions from "base learners" to train a second stage regressor, using these predictions as metafeatures. The trick is to use a J-fold cross-validation scheme and use always the same data partitions and seed. This kind of ensemble is often called stacking--as we "stack" layers of classifiers.
Let’s do an example: suppose that we have three base learners: GBM, ET, and RF. Then assume we have a LM as level 2 learner. First we divide the training data into J-folds, for example in 4--recall that these 4 folds are stratified and disjoint. Then we train each model using the traditional cross-validation scheme, that is train with 3 folds and predict with the remaining (works best if the predictions are in form of probabilities). These predictions are stored and will be used for training the level 2 model. Figure 1 depicts this process.
After training the level 2 algorithm, we can proceed with the final predictions. To do so, we train again the base learners but using the whole training set. We do this to gain up to a 20% accuracy. It is important to highlight that we’ve to assure that the random seeds are the same that in the J-fold training! Afterwards, for each test example we predict with the base learners and collect the predictions. These are the input of the level 2 algorithm, which performs the final prediction.
I used these in Kaggle a few times and I’ve to say that it makes the difference. However, I found it to be difficult to get it working and it requires a lot of processing power. There is a nice post from Triskelion explaining ensembles that gave me the inspiration to write this.