Selective Ensemble under Regularization Framework

An ensemble is generated by training multiple component learners for a same task and then combining them for predictions. It is known that when lots of trained learners are available, it is better to ensemble some instead of all of them. The selection, however, is generally difficult and heuristics are often used. In this paper, we investigate the problem under the regularization framework, and propose a regularized selective ensemble algorithm RSE. In RSE, the selection is reduced to a quadratic programming problem, which has a sparse solution and can be solved efficiently. Since it naturally fits the semi-supervised learning setting, RSE can also exploit unlabeled data to improve the performance. Experimental results show that RSE can generate ensembles with small size but strong generalization ability.