title: How to properly merge outputs from models in the ensemble?
body: <p>I am trying to figure out how to properly create regression ensembles. I know there are various options. I use the following approach.
  First I define models like Linear Regression, GBM, etc. Then I run GridSearchCV for each of these models to know best parameters. After this I want to make final prediction while considering individual predictions of each model.
  The question is how to properly merge individual predictions into a single Y vector? It seams that assigning weight coefficient to each prediction is not suitable for regression problem. If it is, then how to obtain such weight coefficients?
  Maybe the good way is to train a meta-model using individual predictions as a training set?</p>