Automated problem setting selection in multi-target prediction with AutoMTP.

Algorithm Selection (AS) is concerned with the selection of the best-suited algorithm out of a set of candidates for a given problem. The area of AS has received a lot of attention from machine learning researchers and practitioners, as positive results along this line of research can make expertise in ML more readily accessible to experts in other domains as well as to the general public. Another quickly expanding area is that of Multi-Target Prediction (MTP). The ability to simultaneously predict multiple target variables of diverse types makes MTP of interest for a plethora of applications. MTP embraces several subfields of machine learning, such as multi-label classification, multi-target regression, multi-task learning, dyadic prediction, zero-shot learning, network inference, and matrix completion. This work combines the two above-mentioned areas by proposing AutoMTP, an automated framework that performs algorithm selection for MTP. AutoMTP is realized by adopting a rule-based system for the algorithm selection step and a flexible neural network architecture that can be used for the several subfields of MTP.