Stacked Generalization: An Introduction to Su- per Learning

Stacked generalization is an ensemble method that allows researchers to combine several different prediction algorithms into one. Since its introduction in the early 1990s, the method has evolved several times into what is now known as “Super Learner”. Super Learner uses V -fold cross-validation to build the optimal weighted combination of predictions from a library of candidate algorithms. Optimality is defined by a user-specified objective function, such as minimizing mean squared error or maximizing the area under the receiver operating characteristic curve. Although relatively simple in nature, use of the Super Learner by epidemiologists has been hampered by limitations in understanding conceptual and technical details. We work step-by-step through two examples to illustrate concepts and address common concerns.