fit_unregularized_stacked_model: Estimate "optimal" unregularized weights for a linear...

In reichlab/adaptively-weighted-ensemble: Adaptively Weighted Ensembles via Stacking

Description

This function uses either a grid search or the "degenerate EM" algorithm outlined at http://www.cs.cmu.edu/~roni/11761-f16/Presentations/degenerateEM.pdf

Usage

fit_unregularized_stacked_model(component_model_log_scores, method = "em",
  tol = .Machine$double.eps, grid_size = 101, return_type = "optimal")

Arguments

component_model_log_scores	a data frame or matrix of log scores. Each column gives log scores for a particular predictive model. Each row corresponds to one observation
method	character, either "em" for degenerate EM or "grid-search" for grid search
tol	numeric, if method was "em", stopping tolerance
grid_size	number of grid points for each model to evaluate in a grid search
return_type	character, if method was "grid-search", either "optimal" to return only the best weights examined or "all" to return the full grid

Value

model weights

reichlab/adaptively-weighted-ensemble documentation built on May 27, 2019, 4:53 a.m.