Ensemble Pruning via Quadratic Margin Maximization

Ensemble models refer to methods that combine a typically large number of weak learners into a stronger composite model. The output of an ensemble method is the result of fitting a base-learning algorithm to a given data set, and obtaining diverse answers by re-weighting the observations or by re-sampling them using a given probabilistic selection. A key challenge of using ensembles in large-scale multidimensional data lies in the complexity and the computational burden associated with them. The models created by ensembles are often difficult, if not impossible, to interpret and their implementation requires more computational power than individual learning algorithms. Recent research effort in the field has concentrated on reducing ensemble size, while maintaining predictive accuracy. We propose a method to prune an ensemble solution by optimizing its margin distribution, while increasing its diversity. The proposed algorithm results in an ensemble that uses only a fraction of the original weak learners, with generally improved estimated generalization performance. We analyze and test our method on both synthetic and real data sets. The analysis shows that the proposed method compares favorably to the original ensemble solutions and to other existing ensemble pruning methodologies.