One of the most widely used approaches to the class‐imbalanced issue is ensemble learning. The base classifier is trained using an unbalanced training set in the conventional ensemble learning approach. We are unable to select the best suitable resampling method or base classifier for the training set, despite the fact that researchers have examined employing resampling strategies to balance the training set. A multi‐armed bandit heterogeneous ensemble framework was developed as a solution to these issues. This framework employs the multi‐armed bandit technique to pick the best base classifier and resampling techniques to build a heterogeneous ensemble model. To obtain training sets, we first employ the bagging technique. Then, we use the instances from the out‐of‐bag set as the validation set. In general, we consider the basic classifier combination with the highest validation set score to be the best model on the bagging subset and add it to the pool of model. The classification performance of the multi‐armed bandit heterogeneous ensemble model is then assessed using 30 real‐world imbalanced data sets that were gathered from UCI, KEEL, and HDDT. The experimental results demonstrate that, under the two assessment metrics of AUC and Kappa, the proposed heterogeneous ensemble model performs competitively with other nine state‐of‐the‐art ensemble learning methods. At the same time, the findings of the experiment are confirmed by the statistical findings of the Friedman test and Holm's post‐hoc test.
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