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Multi-study learning uses multiple training studies, separately trains classifiers on individual studies, and then forms ensembles with weights rewarding members with better cross-study prediction ability. This article considers novel weighting approaches for constructing tree-based ensemble learners in this setting. Using Random Forests as a single-study learner, we perform a comparison of either weighting each forest to form the ensemble, or extracting the individual trees trained by each Random Forest and weighting them directly. We consider weighting approaches that reward cross-study replicability within the training set. We find that incorporating multiple layers of ensembling in the training process increases the robustness of the resulting predictor. Furthermore, we explore the mechanisms by which the ensembling weights correspond to the internal structure of trees to shed light on the important features in determining the relationship between the Random Forests algorithm and the true outcome model. Finally, we apply our approach to genomic datasets and show that our method improves upon the basic multi-study learning paradigm.
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Merging versus Ensembling in Multi-Study Machine Learning: Theoretical Insight from Random Effects
A critical decision point when training predictors using multiple studies is whether these studies should be combined or treated separately. We compare two multi-study learning approaches in the presence of potential heterogeneity in predictor-outcome relationships across datasets. We consider 1) merging all of the datasets and training a single learner, and 2) cross-study learning, which involves training a separate learner on each dataset and combining the resulting predictions. In a linear regression setting, we show analytically and confirm via simulation that merging yields lower prediction error than cross-study learning when the predictor-outcome relationships are relatively homogeneous across studies. However, as heterogeneity increases, there exists a transition point beyond which cross-study learning outperforms merging. We provide analytic expressions for the transition point in various scenarios and study asymptotic properties.
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- Award ID(s):
- 1810829
- PAR ID:
- 10105511
- Date Published:
- Journal Name:
- ArXiv.org
- ISSN:
- 2331-8422
- Format(s):
- Medium: X
- Sponsoring Org:
- National Science Foundation
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