Principles of Bayesian Ensemble Creation: Theoretical and Empirical Observations
Bayesian methods are theoretically optimal given their underlying assumptions. Bayesian model averaging (BMA) is generally considered the standard model for creating ensembles of learners using Bayesian methods, but this technique is often out-performed by more ad hoc methods in empirical studies. It has been proposed that Bayesian model averaging struggles in practice because it accounts for uncertainty about which model is the data-generating model but still operates under the assumption that only one of them is. Thus, BMA is unable to enrich the hypothesis space as effectively as other ensemble creation methods, serving as a form of optimal model selection, not optimal model combination. This work provides empirical verification for this hypothesis using both synthetic and real-world data. We propose several different approaches for Bayesian model combination, and demonstrate that they overcome this problem with BMA. We empirically show that even the most simplistic of Bayesian model combination strategies can compete with the traditional ad hoc techniques of bagging, boosting and stacking, as well as significantly outperforming BMA over a wide variety of cases. We also explore the implications of this observation as it relates to the effectiveness of ensemble learning.