Abstract
Super learning is a general loss based learning method that has been proposed and analyzed theoretically in van der Laan et al. (2007). In this article we consider super learning for prediction. The super learner is a prediction method designed to find the optimal combination of a collection of prediction algorithms. The super learner algorithm finds the combination of algorithms minimizing the cross-validated risk. The super learner framework is built on the theory of cross-validation and allows for a general class of prediction algorithms to be considered for the ensemble. Due to the previously established oracle results for the cross-validation selector, the super learner has been proven to represent an asymptotically optimal system for learning. In this article we demonstrate the practical implementation and finite sample performance of super learning in prediction.
Disciplines
Biostatistics | Microarrays | Statistical Methodology | Statistical Theory
Suggested Citation
Polley, Eric C. and van der Laan, Mark J., "Super Learner In Prediction" (May 2010). U.C. Berkeley Division of Biostatistics Working Paper Series. Working Paper 266.
https://biostats.bepress.com/ucbbiostat/paper266
Included in
Biostatistics Commons, Microarrays Commons, Statistical Methodology Commons, Statistical Theory Commons
Comments
This material is published in: E.C. Polley, S. Rose, M.J. van der Laan (2011). "Super Learning." In M.J. van der Laan and S. Rose, Targeted Learning: Causal Inference for Observational and Experimental Data, Chapter 3. New York, Springer.