A holistic multi-objective optimization design procedure for ensemble member generation and selection

Abstract

In the last few years, machine learning techniques have been successfully applied to solve engineering problems. However, owing to certain complexities found in real-world problems, such as class imbalance, classical learning algorithms may not reach a prescribed performance. There can be situations where a good result on different conflicting objectives is desirable, such as true positive and true negative ratios, or it is important to balance model’s complexity and prediction score. To solve such issues, the application of multi-objective optimization design procedures can be used to analyze various trade-offs and build more robust machine learning models. Thus, the creation of ensembles of predictive models using such procedures is addressed in this work. First, a set of diverse predictive models is built by employing a multi-objective evolutionary algorithm. Next, a second multi-objective optimization step selects the previous models as ensemble members, resulting on several non-dominated solutions. A final multi-criteria decision making stage is applied to rank and visualize the resulting ensembles. To analyze the proposed methodology, two different experiments are conducted for binary classification. The first case study is a famous classification problem through which the proposed procedure is illustrated. The second one is a challenging real-world problem related to water quality monitoring, where the proposed procedure is compared to four classical ensemble learning algorithms. Results on this second experiment show that the proposed technique is able to create robust ensembles that can outperform other ensemble methods. Overall, the authors conclude that the proposed methodology for ensemble generation creates competitive models for real-world engineering problems.