Multi-label Random Subspace Ensemble Classification1

In this work, we develop a new ensemble learning framework, multi-label Random Subspace Ensemble (mRaSE), for multi-label classification. Given a base classifier (e.g., multinomial logistic regression, classification tree, K-nearest neighbors), mRaSE works by first randomly sampling a collection of subspaces, then choosing the best ones that achieve the minimum cross-validation errors and, finally, aggregating the chosen weak learners. In addition to its superior prediction performance, mRaSE also provides a model-free feature ranking depending on the given base classifier. An iterative version of mRaSE is also developed to further improve the performance. A model-free extension is pursued on the iterative version, leading to the so-called Super mRaSE, which accepts a collection of base classifiers as input to the algorithm. We show the proposed algorithms compared favorably with the state-of-the-art classification algorithm including random forest and deep neural network, via extensive simulation studies and two real data applications. The new algorithms are implemented in an updated version of the R package RaSEn.