Kernel Factory: An Ensemble of Kernel Machines
M. Ballings and
Dirk Van den Poel ()
Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium from Ghent University, Faculty of Economics and Business Administration
We propose an ensemble method for kernel machines. The training data is randomly split into a number of mutually exclusive partitions defined by a row and column parameter. Each partition forms an input space and is transformed by a kernel function into a kernel matrix K. Subsequently, each K is used as training data for a base binary classifier (Random Forest). This results in a number of predictions equal to the number of partitions. A weighted average combines the predictions into one final prediction. To optimize the weights, a genetic algorithm is used. This approach has the advantage of simultaneously promoting (1) diversity, (2) accuracy, and (3) computational speed. (1) Diversity is fostered because the individual K’s are based on a subset of features and observations, (2) accuracy is sought by optimizing the weights with the genetic algorithm, and (3) computational speed is obtained because the computation of each K can be parallelized. Using five times two-fold cross validation we benchmark the classification performance of Kernel Factory against Random Forest and Kernel-Induced Random Forest (KIRF). We find that Kernel Factory has significantly better performance than Kernel-Induced Random Forest. When the right kernel is specified Kernel Factory is also significantly better than Random Forest. In addition, an open-source Rsoftware package of the algorithm (kernelFactory) is available from CRAN.
Pages: 24 pages
New Economics Papers: this item is included in nep-cmp, nep-ecm and nep-for
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Persistent link: https://EconPapers.repec.org/RePEc:rug:rugwps:12/825
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