Multi-modal Ensembles of Regressor Chains for Multi-output Prediction

Multi-target regression is a predictive task involving multiple numerical outputs per instance. In the domain of multi-label classification there exist a large number of techniques that successfully model outputs together. Classifier Chains is one such example that is naturally extendable to the multi-target regression task (as Regressor Chains). However, although this method is straightforward to adapt to the regression setting, large improvements over independent models (as seen already in the multi-label classification context over the recent decade) have not as of yet been obtained from Regressor Chains. One of the reasons for this is the adoption of squared-error-based loss metrics which do not require consideration of joint-target modeling. In this paper, we consider cases where the predictive distribution can be multi-modal. Such a scenario, which easily manifests in real-world tasks involving uncertainty, motivates a different loss metric and, thereby, a different approach. We thus present a new method for multi-target regression: Multi-Modal Ensemble of Regressor Chains (mmERC), which performs competitively on datasets exhibiting a multi-modal distribution, both against independent regressors and state-of-the-art ensembles of regressor chains. We argue that such distributions are not sufficiently considered in the regression and particularly multi-target regression literature.