It’s been a dramatic month: A month ago, a coalition of some of the leading teams qualifies for the $1 million grand prize for improving the accuracy of the movie-recommending model by more than 10%. But, they would close the competition 30 days afterward, in case someone else is able to improve upon the result. This happened less than a day before the deadline, by The enormous Ensemble, composed of 23 previously separate teams and individuals. Of course, most of the progress towards the victory was through the models making use of new significant patterns in the data, such as that of time.
The development of an ensemble from many separate teams was another accomplishment, and the GPT’s inclusion rules provide some insight into the process: “shares” of the winnings were distributed based on how much was a contribution able to improve the result in terms of percentage points. Simon Owens describes what it was like to participate in The Ensemble.
Bayesian statistics always works with ensembles: the posterior is a weighted average of all models, the weight being based on the fit of each model times the prior quality of the model. There are some additional Bayesian elements that could be a part of future competitions, such as Bayesian scoring functions.
In the past I was asked to contrast Occam’s razor with the Epicurean principle. Occam’s razor is the Bayesian prior, or the the yang principle: simpler models have greater a priori weight (because we tend to economize that what is useful). Occam’s razor goes back to Aristotle, who wrote “For the more limited, if adequate, is always preferable,” and “For if the consequences are the same, it is always better to assume the more limited antecedent” in his Physics. We mathematically express it as the prior.
Epicurean principle is the yin, or mathematically expressed as the integral over the model space. Ensembles go back to Epicurus’ letter to Herodotus: “When, therefore, we investigate the causes of [...] phenomena, [...] we must take into account the variety of ways in which analogous occurrences happen within our experience.” Thus, Bayesian statistics combines the yin and the yang, balancing the pursuit of simplicity with the limitations of uncertainty.
[7/31/09: Added a link to Simon Owens' interview with The Ensemble.]