Sum of ranking differences (SRD) to ensemble multivariate calibration model merits for tuning parameter selection and comparing calibration methods

Abstract

Most multivariate calibration methods require selection of tuning parameters, such as partial least squares (PLS) or the Tikhonov regularization variant ridge regression (RR). Tuning parameter values determine the direction and magnitude of respective model vectors thereby setting the resultant predication abilities of the model vectors. Simultaneously, tuning parameter values establish the corresponding bias/variance and the underlying selectivity/sensitivity tradeoffs. Selection of the final tuning parameter is often accomplished through some form of cross-validation and the resultant root mean square error of cross-validation (RMSECV) values are evaluated. However, selection of a “good” tuning parameter with this one model evaluation merit is almost impossible. Including additional model merits assists tuning parameter selection to provide better balanced models as well as allowing for a reasonable comparison between calibration methods. Using multiple merits requires decisions to be made on how to combine and weight the merits into an information criterion. An abundance of options are possible. Presented in this paper is the sum of ranking differences (SRD) to ensemble a collection of model evaluation merits varying across tuning parameters. It is shown that the SRD consensus ranking of model tuning parameters allows automatic selection of the final model, or a collection of models if so desired. Essentially, the user’s preference for the degree of balance between bias and variance ultimately decides the merits used in SRD and hence, the tuning parameter values ranked lowest by SRD for automatic selection. The SRD process is also shown to allow simultaneous comparison of different calibration methods for a particular data set in conjunction with tuning parameter selection. Because SRD evaluates consistency across multiple merits, decisions on how to combine and weight merits are avoided. To demonstrate the utility of SRD, a near infrared spectral data set and a quantitative structure activity relationship (QSAR) data set are evaluated using PLS and RR.