Developing parsimonious ensembles using predictor diversity within a reinforcement learning framework

Heterogeneous ensembles that can aggregate an unrestricted number and variety of base predictors can effectively address challenging prediction problems. In particular, accurate ensembles that are also parsimonious, i.e., consist of as few base predictors as possible, can help reveal potentially useful knowledge about the target problem domain. Although ensemble selection offers a potential approach to achieving these goals, the currently available algorithms are limited in their abilities. In this paper, we present several algorithms that incorporate ensemble diversity into a reinforcement learning (RL)-based ensemble selection framework to build accurate and parsimonious ensembles. These algorithms, as well as several baselines, are rigorously evaluated on datasets from diverse domains in terms of the predictive performance and parsimony of their ensembles. This evaluation demonstrates that our diversity-incorporated RL-based algorithms perform better than the others for constructing simultaneously accurate and parsimonious ensembles. These algorithms can eventually aid the interpretation or reverse engineering of predictive models assimilated into effective ensembles. To enable such a translation, an implementation of these algorithms, as well the experimental setup they are evaluated in, has been made available at https://github.com/GauravPandeyLab/lens-learning-ensembles-using-reinforcement-learning.