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arXiv 2109.03099cs.LG
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Optimizing model-agnostic Random Subspace ensembles

University of Liège(列日大学)

Vân Anh Huynh-Thu, Pierre Geurts

英文摘要:

This paper presents a model-agnostic ensemble approach for supervised learning. The proposed approach is based on a parametric version of Random Subspace, in which each base model is learned from a feature subset sampled according to a Bernoulli distribution. Parameter optimization is performed using gradient descent and is rendered tractable by using an importance sampling approach that circumvents frequent re-training of the base models after each gradient descent step. The degree of randomization in our parametric Random Subspace is thus automatically tuned through the optimization of the feature selection probabilities. This is an advantage over the standard Random Subspace approach, where the degree of randomization is controlled by a hyper-parameter. Furthermore, the optimized feature selection probabilities can be interpreted as feature importance scores. Our algorithm can also easily incorporate any differentiable regularization term to impose constraints on these importance scores.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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