Random generalized linear model: a highly accurate and interpretable ensemble predictor

摘要

BackgroundEnsemble predictors such as the random forest are known to have superior accuracy but their black-box predictions are difficult to interpret. In contrast, a generalized linear model (GLM) is very interpretable especially when forward feature selection is used to construct the model. However, forward feature selection tends to overfit the data and leads to low predictive accuracy. Therefore, it remains an important research goal to combine the advantages of ensemble predictors (high accuracy) with the advantages of forward regression modeling (interpretability). To address this goal several articles have explored GLM based ensemble predictors. Since limited evaluations suggested that these ensemble predictors were less accurate than alternative predictors, they have found little attention in the literature.