This example trains several tree based ensemble methods and uses
them to transform the data into a high dimensional, sparse space.
The trains a linear model on this new feature space. The idea is
taken from:
Practical Lessons from Predicting Clicks on Ads at Facebook Junfeng Pan,
He Xinran, Ou Jin, Tianbing XU, Bo Liu, Tao Xu, Yanxin Shi, Antoine
Atallah, Ralf Herbrich, Stuart Bowers, Joaquin Quiñonero Candela
International Workshop on Data Mining for Online Advertising (ADKDD)
https://www.facebook.com/publications/329190253909587/
Jacob Schreiber