Theoretical background for ensemble methods with multivariate decomposition

  • Authors:
  • Ryszard Szupiluk;Piotr Wojewnik;Tomasz Zabkowski

  • Affiliations:
  • Department of Information Systems, Warsaw School of Economics, Warsaw, Poland;Division of Decision Analysis and Support, Warsaw School of Economics, Warsaw, Poland;Department of Informatics, Warsaw University of Life Sciences, Warsaw, Poland

  • Venue:
  • SMO'09 Proceedings of the 9th WSEAS international conference on Simulation, modelling and optimization
  • Year:
  • 2009

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Abstract

In this paper we present the theoretical background for destructive component identification in ensemble method via multivariate decompositions. The identification method is based on second order statistics and it is addressed for predictive models scored by MSE criterion. The validity of the concept is confirmed by simulation study based on Friedman benchmark function.