Smooth component analysis and MSE decomposition for ensemble methods

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

  • Affiliations:
  • Polska Telefonia Cyfrowa Ltd., Warsaw, Poland,Warsaw School of Economics, Warsaw, Poland;Polska Telefonia Cyfrowa Ltd., Warsaw, Poland,Warsaw School of Economics, Warsaw, Poland;Polska Telefonia Cyfrowa Ltd., Warsaw, Poland,Warsaw University of Life Sciences, Warsaw, Poland

  • Venue:
  • KES-AMSTA'12 Proceedings of the 6th KES international conference on Agent and Multi-Agent Systems: technologies and applications
  • Year:
  • 2012

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Abstract

The paper is addressed to economic problems for which many different models can be proposed. In such situation the ensemble approach is natural way to improve the final prediction results. In particular, we present the method for the prediction improvement with ensemble method based on the multivariate decompositions. As a method for model results decomposition we present the smooth component analysis. The resulting components are classified as destructive and removed, or as constructive and recomposed. The classification of the components is based on the theoretical analysis of MSE error measure. The robustness of the method is validated through practical experiment of energy load consumption in Poland.