caretEnsemble {caretEnsemble}

caretEnsemble: Make ensembles of caret models.

Description

Functions for creating ensembles of caret models: caretList and caretStack

Find a good linear combination of several classification or regression models, using linear regression.

Usage

caretEnsemble(all.models, ...)

Arguments

all.models

an object of class caretList

...

additional arguments to pass to the optimization function

Details

Every model in the "library" must be a separate train object. For example, if you wish to combine a random forests with several different values of mtry, you must build a model for each value of mtry. If you use several values of mtry in one train model, (e.g. tuneGrid = expand.grid(.mtry=2:5)), caret will select the best value of mtry before we get a chance to include it in the ensemble. By default, RMSE is used to ensemble regression models, and AUC is used to ensemble Classification models. This function does not currently support multi-class problems

Value

a caretEnsemble object

Note

Currently when missing values are present in the training data, weights are calculated using only observations which are complete across all models in the library.The optimizer ignores missing values and calculates the weights with the observations and predictions available for each model separately. If each of the models has a different pattern of missingness in the predictors, then the resulting ensemble weights may be biased and the function issues a message.

Examples

## Not run: 
set.seed(42)
models <- caretList(iris[1:50,1:2], iris[1:50,3], methodList=c("glm", "lm"))
ens <- caretEnsemble(models)
summary(ens)

## End(Not run)