MOB-ESP and other Improvements in Probability Estimation

Abstract: A key prerequisite to optimal reasoning under uncertainty in intelligent systems is to start with good class probability estimates. This paper improves on the current best probability estimation trees (Bagged-PETs) and also presents a new ensemble-based algorithm (MOB-ESP). Comparisons are made using several benchmark datasets and multiple metrics. These experiments show that MOB-ESP outputs significantly more accurate class probabilities than either the baseline BPETs algorithm or the enhanced version presented here (EB-PETs). These results are based on metrics closely associated with the average accuracy of the predictions. MOB-ESP also provides much better probability rankings than B-PETs. The paper further suggests how these estimation techniques can be applied in concert with a broader category of classifiers.