An Empirical Evaluation of Supervised Learning for ROC Area
We present an empirical comparison of the AUC performance of seven supervised learning methods: SVMs, neural nets, decision trees, k-nearest neighbor, bagged trees, boosted trees, and boosted stumps. Overall, boosted trees have the best average AUC performance, followed by bagged trees, neural nets and SVMs. We then present an ensemble selection method that yields even better AUC. Ensembles are built with forward stepwise selection, the model that maximizes ensemble AUC performance being added at each step. The proposed method builds ensembles that outperform the best individual model on all the seven test problems.