Bootstrap Bias Corrected Cross Validation applied to Super Learning

Bootstrapping the Out-of-sample Predictions for Efficient and Accurate Cross-Validation

Cross-Validation (CV), and out-of-sample performance-estimation protocols in general, are often employed both for (a) selecting the optimal combination of algorithms and values of hyper-parameters (called a configuration) for producing the final predictive model, and (b) estimating the predictive performance of the final model. However, the cross-validated performance of the best configuration is optimistically biased. We present an efficient bootstrap method that corrects for the bias, called Bootstrap Bias Corrected CV (BBC-CV). BBC-CV's main idea is to bootstrap the whole process of selecti…

RobustModelMaker: 将Bootstrap稳定性选择与防泄漏嵌套交叉验证相结合的科学机器学习

RobustModelMaker: Coupling Bootstrap Stability Selection with Leakage-Safe Nested Cross-Validation for Scientific Machine Learning

针对小到中等规模科学数据集，提出RobustModelMaker框架，通过结合bootstrap稳定性选择与严格嵌套交叉验证，在防止数据泄漏的同时提供稳定性测试的特征子集和性能估计，在预测得分和选择稳定性上优于多种替代方法。

Estimating the standard error of cross-Validation-Based estimators of classifier performance

First, we analyze the variance of the Cross Validation (CV)-based estimators used for estimating the performance of classification rules. Second, we propose a novel estimator to estimate this variance using the Influence Function (IF) approach that had been used previously very successfully to estimate the variance of the bootstrap-based estimators. The motivation for this research is that, as the best of our knowledge, the literature lacks a rigorous method for estimating the variance of the CV-based estimators. What is available is a set of ad-hoc procedures that have no mathematical foundat…

Bias Correction with Jackknife, Bootstrap, and Taylor Series

We analyze bias correction methods using jackknife, bootstrap, and Taylor series. We focus on the binomial model, and consider the problem of bias correction for estimating $f(p)$, where $f \in C[0,1]$ is arbitrary. We characterize the supremum norm of the bias of general jackknife and bootstrap estimators for any continuous functions, and demonstrate the in delete-$d$ jackknife, different values of $d$ may lead to drastically different behaviors in jackknife. We show that in the binomial model, iterating the bootstrap bias correction infinitely many times may lead to divergence of bias and va…

Futility Analysis in the Cross-Validation of Machine Learning Models

Many machine learning models have important structural tuning parameters that cannot be directly estimated from the data. The common tactic for setting these parameters is to use resampling methods, such as cross--validation or the bootstrap, to evaluate a candidate set of values and choose the best based on some pre--defined criterion. Unfortunately, this process can be time consuming. However, the model tuning process can be streamlined by adaptively resampling candidate values so that settings that are clearly sub-optimal can be discarded. The notion of futility analysis is introduced in th…

Model Evaluation, Model Selection, and Algorithm Selection in Machine Learning

The correct use of model evaluation, model selection, and algorithm selection techniques is vital in academic machine learning research as well as in many industrial settings. This article reviews different techniques that can be used for each of these three subtasks and discusses the main advantages and disadvantages of each technique with references to theoretical and empirical studies. Further, recommendations are given to encourage best yet feasible practices in research and applications of machine learning. Common methods such as the holdout method for model evaluation and selection are c…