Robust Multi-Model Subset Selection
Coefficients for cv.RMSS Object
Coefficients for RMSS Object
Cross-Validatoin for Robust Multi-Model Subset Selection
Predictions for cv.RMSS Object
Predictions for RMSS Object
Robust Multi-Model Subset Selection
Trimmed samples for RMSS or cv.RMSS Object
Efficient algorithms for generating ensembles of robust, sparse and diverse models via robust multi-model subset selection (RMSS). The robust ensembles are generated by minimizing the sum of the least trimmed square loss of the models in the ensembles under constraints for the size of the models and the sharing of the predictors. Tuning parameters for the robustness, sparsity and diversity of the robust ensemble are selected by cross-validation.