It was a private competition so I can only discuss generalities, but fortunately there are many. The experience validated all of the machine learning folk wisdom championed by Pedro Domingos, although the application of these principles is modified by the top-heavy metric-driven nature of the payouts. As in poker, where strategic adjustments are required between tournament and table play, machine learning competitions incent techniques that would be improper in a normal industrial setting.
EvaluationFor the competition we started by understanding the evaluation metric. In real-life (aka ``table play''), the goal of a machine learning system is often under-specified (e.g., ``improve relevance'' or``detect analomies'') or intractable to optimize directly due to aggregate impact and uncontrolled external factors (e.g., ``improve long-term customer retention and satisfaction''). Under these conditions proxy metrics are used, but hopefully nobody takes them too seriously because everybody understands the proxy metric was chosen for convenience.
In a competition (aka ``tournament play'') the evaluation metric determines how much you get paid. Ergo, it needs to be taken very seriously. The first step is to attempt to reproduce the evaluation metric using a simple model (e.g., the constant model), which is typically a known function applied to an unknown data set. Methods for assessing generalization error ($k$-fold cross-validation, out-of-bag estimation) can be used but it is important to remember that you are not trying to generalize to a future data set drawn from the same distribution, but rather a particular fixed data set used for evaluation. Note there is absolutely no problem with over-fitting the evaluation data set if possible. Whether this is possible depends upon how many intermediate submissions you are allotted and how submissions are scored, and whether you can see the evaluation features.
In this competition there was no twinning of a particular variable between training and evaluation sets, so this needed to be respected when doing cross-validation on the training set to estimate the final score. However, submissions were scored on a fixed (unknown) subset of the evaluation data which was a random line-by-line split of the evaluation set. Therefore submissions were a high quality method for probing the evaluation metric, and we used them as much as possible (subject to our submission limit). For instance, since the evaluation set was known (but not the labels!), we tried using covariate shift to reweight the training data and improve the models. Estimating the impact of this using the training data alone would have required implementing sub-crossfolding, and might have been misleading. Instead we prepared a pair of submissions that differed only in this respect and quickly learned this was not a promising line of attack. As another example, we decided between two different settings for a regularization parameter by preparing a pair of submissions and observing the resulting scores. (We used admittedly boring experimental design strategies to probe the evaluation set; maybe there are better ways to leverage submissions.)
Feature EngineeringHere tournament and table play machine learning are more aligned, as feature engineering plays a critical role in both. However since the margin of victory in competitions is very slim, tournament feature engineering is more frantic. Put simply, if it appears to improve the model at all, it stays in: issues of interpretability, implementation complexity, maintainability, or evaluation time are unimportant in tournaments, except to the extent that they will cause problems for the modeler during the duration of the competition. In table play features are subject to a more nuanced cost-benefit analysis which accounts for these other factors.
Since feature engineering is model selection, it is important to monitor the evaluation metric. During the feature engineering phase we used vee-dub exclusively in order to turn models around as quickly as possible.
|Time to un-pimp your features.|
Data shaping was also very important and relatively inefficient. By data shaping, I mean choosing how to represent a particular feature to the learning algorithm (e.g., try taking the log of this thing and setting some spline knots here, here, and here). Being able to specify this kind of data shaping directly to vee-dub would facilitate fast experimentation and parameter sweeping, again by amortizing I/O.
Finally, there was certain ``features'' we found in the data that were clearly artifacts of how the competition data was collected and unlikely to ``truly generalize.'' For tournament play, the issue is simply whether they would generalize to the evaluation set, so we prepared paired submissions to assess. In table play, these features would be not be utilized at all unless the predictive lift was significant, and even then they would be cautiously assessed with additional data due to the clear lack of face validity.
By the way, we did discover (apparently) real features as well which should generate insight for the contest promoter. While the incentives associated with competitions are not perfect, mostly it still boils down to doing good work.
Model AveragingOur winning submission consisted of several machine learned models trained using completely different procedures and averaged together. This is now standard tournament technique, although I've never used it explicitly in table play (implicitly yes, via boosting and bagging; but averaging a tree and a neural network is not something I've ever done in a commercial setting). I was absolutely shocked how effective this was: average a model with another model which is demonstrably worse, and the result is better then either one, thanks to a bias-variance tradeoff. Getting something for nothing quickly becomes an addictive habit, but the best results come from combining models that were trained using completely different methods (i.e., models that do not covary), and it becomes harder to find completely different methods that generate competitive results (e.g., we tried metric-based methods but these were so poor that we did not use them in the final ensemble).
Gettin' RealThe best part about tournament play is the intensity of competition. In table play, you are typically working cooperatively with other machine learning experts to produce a good model that will benefit the business. Although you might be competing with other businesses also leveraging machine learning technology, the relationship between the fortunes of your employer and the quality of your machine learning model is obscured. In tournament play, the teams doing better than you on the leaderboard directly indicate the suboptimality of your current technique; and if you do happen to find yourself at the top of the heap, the minuscule and ephemeral nature of your lead will drive you to find further improvements and insights. I found myself working far more than I originally anticipated.