Anyone experienced in combining the outcome of several weak models into one? I am looking for practical tips that could help.
- several smaller models are often easier and faster to build, test and maintain
- sometimes the business experts do have different opinions / models they belief in
- smaller models need less data to train and converge
- there is a potential to reduce overfitting
The most naive way I can think of is a weighted score over several models. A weighted mixture would be ok too I assume.
But, will it work? Has someone experienced with real life problems ?