Super learner

In the preceding sections, we trained several models. Now, we will compose them into an ensemble called a super learner using a deep learning model. The process to build a super learner is straightforward (see the preceding figure):

  1. Select base algorithms (for example, GLM, random forest, GBM, and so on).
  2. Select a meta-learning algorithm (for example, deep learning).
  3. Train each of the base algorithms on the training set.
  4. Perform K-fold cross-validation on each of these learners and collect the cross-validated predicted values from each of the base algorithms.
  5. The N cross-validated predicted values from each of the L-base algorithms can be combined to form a new NxL matrix. This matrix, along with the original response vector, ...

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