Ensembles of Ensembles of Ensembles: A Guide to Stacking

Stacking is a machine learning technique that involves creating ensembles of ensembles to improve predictive performance. The process can be structured in layers, starting with a base layer of diverse models like gradient boosting and pre-trained transformers. A second layer then combines the predictions from these base models using strategies such as weighted averaging or training a new model on their outputs. The final layer creates a meta-model from the second layer's results, producing a more robust and accurate model that leverages the collective strengths of all underlying components.