Linearly Combining Density Estimators via Stacking

  • Authors:
  • Padhraic Smyth;David Wolpert

  • Affiliations:
  • Information and Computer Science, University of California, Irvine, CA 92697-3425 and the Jet Propulsion Laboratory 525-3660, California Institute of Technology, Pasadena, CA 91109. smyth@ics.uc ...;NASA Ames Research Center, Caelum Research, MS 269-2, Mountain View, CA 94035. dhw@ptolemy.arc.nasa.gov

  • Venue:
  • Machine Learning
  • Year:
  • 1999

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Abstract

This paper presents experimental results with both real and artificialdata combining unsupervisedlearning algorithms using stacking. Specifically, stacking is used to form a linearcombination of finite mixture model and kernel density estimators fornon-parametric multivariate density estimation. The method outperforms other strategies such as choosing the single best modelbased on cross-validation, combining with uniform weights, and evenusing the single best model chosen by “Cheating” and examining thetest set. We also investigate (1) how the utility of stackingchanges when one of the models being combinedis the model that generated the data, (2) howthe stacking coefficients of the models compare to the relativefrequencies with which cross-validation chooses among the models,(3) visualization of combined “effective” kernels, and (4)the sensitivity of stacking to overfitting as model complexity increases.