Predictive Modeling Terms

Bagging (Voting, Averaging)

The concept of bagging (voting for classification, averaging for regression-type problems with continuous dependent variables of interest) applies to the area of predictive data mining, to combine the predicted classifications from multiple models, or from the same type of model for different learning data. It is also used to address the inherent instability of results when applying complex models to relatively small data sets. Suppose your data mining task is to build a model for predictive classification, and the dataset from which to train the model (learning data set, which contains observed classifications) is relatively small. You could repeatedly sub-sample (with replacement) from the dataset, and apply, for example, a tree classifier (e.g., C&RT and CHAID) to the successive samples. In practice, very different trees will often be grown for the different samples, illustrating the instability of models often evident with small datasets. One method of deriving a single prediction (for new observations) is to use all trees found in the different samples, and to apply some simple voting: The final classification is the one most often predicted by the different trees. Note that some weighted combination of predictions (weighted vote, weighted average) is also possible, and commonly used. A sophisticated (machine learning) algorithm for generating weights for weighted prediction or voting is the Boosting procedure.

Boosting

Boosting applies to the area of predictive data mining, to generate multiple models or classifiers (for prediction or classification), and to derive weights to combine the predictions from those models into a single prediction or predicted classification.

A simple algorithm for boosting works like this: Start by applying some method (e.g. a tree classifier such as C&RT or CHAID) to the learning data, where each observation is assigned an equal weight. Compute the predicted classifications, and apply weights to the observations in the learning sample that are inversely proportional to the accuracy of the classification. In other words, assign greater weight to those observations that were difficult to classify (where the misclassification rate was high), and lower weights to those that were easy to classify (where the misclassification rate was low). In the context of C&RT for example, different misclassification costs (for the different classes) can be applied, inversely proportional to the accuracy of prediction in each class. Then apply the classifier again to the weighted data (or with different misclassification costs), and continue with the next iteration (application of the analysis method for classification to the re-weighted data).

Boosting will generate a sequence of classifiers, where each consecutive classifier in the sequence is an "expert" in classifying observations that were not well classified by those preceding it. During deployment (for