Pruning variable selection ensembles

Abstract

In the context of variable selection, ensemble learning has gained increasing interest due to its great potential to improve selection accuracy and to reduce false discovery rate. A novel ordering-based selective ensemble learning strategy is designed in this paper to obtain smaller but more accurate ensembles. In particular, a greedy sorting strategy is proposed to rearrange the order by which the members are included into the integration process. Through stopping the fusion process early, a smaller subensemble with higher selection accuracy can be obtained. More importantly, the sequential inclusion criterion reveals the fundamental strength-diversity trade-off among ensemble members. By taking stability selection with the base learner lasso (abbreviated as SSLasso) as an example, some experiments are conducted to examine the performance of the novel algorithm. Experimental results demonstrate that pruned SSLasso generally achieves higher selection accuracy and lower false discovery rate than SSLasso and several other benchmark methods.