Interface for ensembles
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Description
(I'm not sure where this lives, so I'm putting it here because at least I know the relevant folks will see it and then we can discuss ;).)
I think it might be helpful to have a lightweight class for ensembles of models with weights. Perhaps something that contains a list of models and weights, and implements calls to most of the generic model functions (posterior_predict(), etc; basically the list here: #39) by resampling output from the model list according to those weights.
Unless I've missed something, current approaches to this seem to be duplicated across several packages (loo, brms, marginaleffects, ...); see some discussion on this twitter thread.
The advantage of what I am proposing is that packages that build on top of the generic model functions (#39) would then automatically support ensembles. Currently such packages have to be "ensemble-aware" in a non-generic way; e.g. for ensembles of brms models they have to use brms::pp_average() instead of posterior_predict() / etc.
Not sure where such a class should live (here? rstantools?). I guess this partly depends on if the generic functions from rstantools eventually get moved here per #39.
Thoughts? Pinging @avehtari @paul-buerkner @jgabry.
Contributor guide
First steps
- Read the whole issue, then the project's contributing guide.
- Comment on the issue to say you are picking it up — it saves two people doing the same work.
- Fork the repository and make your change on a branch.
- Open a pull request that references the issue number.
Research direction
Start with the generic model functions discussion in issue #39, then compare the ensemble approaches referenced in loo, brms, and marginaleffects. Determine whether the interface belongs in posterior or rstantools and define the model-and-weight behavior and supported functions before implementation; done requires an agreed design and project location.
Written by the indexing model from the issue text.
Assessment
- Tech stack
- r
- Domain
- machine-learning
- Issue type
- Feature
- Difficulty
- 5/5
- Estimated time
- Over a week
- Activity status
- Stale
- Clarity
- Needs clarification
- Newbie friendliness
- 25/100