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Scalable Ensemble Learning with H2O
Erin LeDell Ph.D.

Machine Learning Scientist

H2O.ai
San Jose, CA March 2016
Introduction
• Statistician & Machine Learning Scientist at H2O.ai in
Mountain View, California, USA
• Ph.D. in Biostatistics with Designated Emphasis in
Computational Science and Engineering from 

UC Berkeley (focus on Machine Learning)
• Worked as a data scientist at several startups
Agenda
• Ensemble Learning
• Super Learner Algorithm / Stacking
• H2O Machine Learning Platform
• H2O Ensemble package
• R Code Demo
Ensembles

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"In addition to the many data engineering initiatives at Starbucks, we are also working on many interesting data science initatives. The business scenarios involved in our deep learning initatives include (but are not limited to) planogram analysis (layout of our stores for efficient partner and customer flow) to predicting product pairings (e.g. purchase a caramel machiato and perhaps you would like caramel brownie) via the product components using graph convolutional networks. For this session, we will be focusing on how we can run distributed Keras (TensorFlow backend) training to perform image analytics. This will be combined with MLflow to showcase the data science lifecycle and how Databricks + MLflow simplifies it. "

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Ensemble Learning
In statistics and machine learning,
ensemble methods use multiple
learning algorithms to obtain
better predictive performance
than could be obtained by any of
the constituent algorithms.


— Wikipedia (2016)
Common Types of Ensemble Methods
• Also reduces variance and increases accuracy
• Not robust against outliers or noisy data
• Flexible — can be used with any loss function
Bagging
Boosting
Stacking
• Reduces variance and increases accuracy
• Robust against outliers or noisy data
• Often used with Decision Trees (i.e. Random Forest)
• Used to ensemble a diverse group of strong learners
• Involves training a second-level machine learning
algorithm called a “metalearner” to learn the 

optimal combination of the base learners
History of Stacking
• Leo Breiman, “Stacked Regressions” (1996)
• Modified algorithm to use CV to generate level-one data
• Blended Neural Networks and GLMs (separately)
Stacked
Generalization
Stacked
Regressions
Super Learning
• David H. Wolpert, “Stacked Generalization” (1992)
• First formulation of stacking via a metalearner
• Blended Neural Networks
• Mark van der Laan et al., “Super Learner” (2007)
• Provided the theory to prove that the Super Learner is
the asymptotically optimal combination
• First R implementation in 2010
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The Super Learner Algorithm
• Start with design matrix, X, and response, y
• Specify L base learners (with model params)
• Specify a metalearner (just another algorithm)
• Perform k-fold CV on each of the L learners
“Level-zero” 

data
The Super Learner Algorithm
• Collect the predicted values from k-fold CV that was
performed on each of the L base learners
• Column-bind these prediction vectors together to
form a new design matrix, Z
• Train the metalearner using Z, y
“Level-one” 

data
Super Learning vs. Parameter Tuning/Search
• A common task in machine learning is to perform model selection by
specifying a number of models with different parameters.
• An example of this is Grid Search or Random Search.
• The first phase of the Super Learner algorithm is computationally
equivalent to performing model selection via cross-validation.
• The latter phase of the Super Learner algorithm (the metalearning step)
is just training another single model (no CV).
• With Super Learner, your computation does not go to waste!
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• Distributed implementations of cutting edge ML algorithms.
• Core algorithms written in high performance Java.
• APIs available in R, Python, Scala, REST/JSON.
• Interactive Web GUI.
H2O Platform Overview
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Ensemble machine learning methods are often used when the true prediction function is not easily approximated by a single algorithm. Practitioners may prefer ensemble algorithms when model performance is valued above other factors such as model complexity and training time. The Super Learner algorithm, also called "stacking", learns the optimal combination of the base learner fits. The latest version of H2O now contains a "Stacked Ensemble" method, which allows the user to stack H2O models into a Super Learner. The Stacked Ensemble method is the the native H2O version of stacking, previously only available in the h2oEnsemble R package, and now enables stacking from all the H2O APIs: Python, R, Scala, etc. Erin is a Statistician and Machine Learning Scientist at H2O.ai. Before joining H2O, she was the Principal Data Scientist at Wise.io (acquired by GE Digital) and Marvin Mobile Security (acquired by Veracode) and the founder of DataScientific, Inc. Erin received her Ph.D. from University of California, Berkeley. Her research focuses on ensemble machine learning, learning from imbalanced binary-outcome data, influence curve based variance estimation and statistical computing.

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Where to learn more?
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• H2O Slidedecks: http://www.slideshare.net/0xdata
• H2O Video Presentations: https://www.youtube.com/user/0xdata
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Thank you!
@ledell on Github, Twitter
erin@h2o.ai
http://www.stat.berkeley.edu/~ledell

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Strata San Jose 2016: Scalable Ensemble Learning with H2O

  • 1. Scalable Ensemble Learning with H2O Erin LeDell Ph.D.
 Machine Learning Scientist
 H2O.ai San Jose, CA March 2016
  • 2. Introduction • Statistician & Machine Learning Scientist at H2O.ai in Mountain View, California, USA • Ph.D. in Biostatistics with Designated Emphasis in Computational Science and Engineering from 
 UC Berkeley (focus on Machine Learning) • Worked as a data scientist at several startups
  • 3. Agenda • Ensemble Learning • Super Learner Algorithm / Stacking • H2O Machine Learning Platform • H2O Ensemble package • R Code Demo
  • 5. Ensemble Learning In statistics and machine learning, ensemble methods use multiple learning algorithms to obtain better predictive performance than could be obtained by any of the constituent algorithms. 
 — Wikipedia (2016)
  • 6. Common Types of Ensemble Methods • Also reduces variance and increases accuracy • Not robust against outliers or noisy data • Flexible — can be used with any loss function Bagging Boosting Stacking • Reduces variance and increases accuracy • Robust against outliers or noisy data • Often used with Decision Trees (i.e. Random Forest) • Used to ensemble a diverse group of strong learners • Involves training a second-level machine learning algorithm called a “metalearner” to learn the 
 optimal combination of the base learners
  • 7. History of Stacking • Leo Breiman, “Stacked Regressions” (1996) • Modified algorithm to use CV to generate level-one data • Blended Neural Networks and GLMs (separately) Stacked Generalization Stacked Regressions Super Learning • David H. Wolpert, “Stacked Generalization” (1992) • First formulation of stacking via a metalearner • Blended Neural Networks • Mark van der Laan et al., “Super Learner” (2007) • Provided the theory to prove that the Super Learner is the asymptotically optimal combination • First R implementation in 2010
  • 9. The Super Learner Algorithm • Start with design matrix, X, and response, y • Specify L base learners (with model params) • Specify a metalearner (just another algorithm) • Perform k-fold CV on each of the L learners “Level-zero” 
 data
  • 10. The Super Learner Algorithm • Collect the predicted values from k-fold CV that was performed on each of the L base learners • Column-bind these prediction vectors together to form a new design matrix, Z • Train the metalearner using Z, y “Level-one” 
 data
  • 11. Super Learning vs. Parameter Tuning/Search • A common task in machine learning is to perform model selection by specifying a number of models with different parameters. • An example of this is Grid Search or Random Search. • The first phase of the Super Learner algorithm is computationally equivalent to performing model selection via cross-validation. • The latter phase of the Super Learner algorithm (the metalearning step) is just training another single model (no CV). • With Super Learner, your computation does not go to waste!
  • 13. H2O Platform Overview • Distributed implementations of cutting edge ML algorithms. • Core algorithms written in high performance Java. • APIs available in R, Python, Scala, REST/JSON. • Interactive Web GUI.
  • 14. H2O Platform Overview • Write code in high-level language like R (or use the web GUI) and output production-ready models in Java. • To scale, just add nodes to your H2O cluster. • Works with Hadoop, Spark and your laptop.
  • 16. H2O Ensemble Overview • H2O Ensemble implements the Super Learner algorithm. • Super Learner finds the optimal combination of a combination of a collection of base learning algorithms. ML Tasks Super Learner Why Ensembles? • When a single algorithm does not approximate the true prediction function well. • Win Kaggle competitions! • Regression • Binary Classification • Roadmap: Support for multi-class classification
  • 17. H2O Ensemble R Package
  • 18. H2O Ensemble Lasso GLM Ridge GLM Random
 Forest GBMRectifier
 DNN Maxout 
 DNN
  • 19. How to Win Kaggle https://www.kaggle.com/c/GiveMeSomeCredit/leaderboard/private
  • 20. How to Win Kaggle https://www.kaggle.com/c/GiveMeSomeCredit/forums/t/1166/congratulations-to-the-winners/7229#post7229
  • 21. How to Win Kaggle https://www.kaggle.com/c/GiveMeSomeCredit/forums/t/1166/congratulations-to-the-winners/7230#post7230
  • 22. How to Win Kaggle
  • 23. H2O Ensemble R Interface
  • 24. H2O Ensemble R Interface
  • 25. Stacking with Random Grids New H2O Ensemble function in v0.1.8: h2o.stack http://tinyurl.com/h2o-randomgrid-stack-demo Strata San Jose Exclusive!!
  • 26. H2O Ensemble Resources H2O Ensemble training guide: http://tinyurl.com/learn-h2o-ensemble H2O Ensemble homepage on Github: http://tinyurl.com/github-h2o-ensemble H2O Ensemble R Demos: http://tinyurl.com/h2o-ensemble-demos
  • 28. Where to learn more? • H2O Online Training (free): http://learn.h2o.ai • H2O Slidedecks: http://www.slideshare.net/0xdata • H2O Video Presentations: https://www.youtube.com/user/0xdata • H2O Community Events & Meetups: http://h2o.ai/events • Machine Learning & Data Science courses: http://coursebuffet.com
  • 29. Thank you! @ledell on Github, Twitter erin@h2o.ai http://www.stat.berkeley.edu/~ledell