Multi-target regression is concerned with the simultaneous prediction of
multiple continuous target variables based on the same set of input variables.
It arises in several interesting industrial and environmental application
domains, such as ecological modelling and energy forecasting. This paper
presents an ensemble method for multi-target regression that constructs new
target variables via random linear combinations of existing targets. We discuss
the connection of our approach with multi-label classification algorithms, in
particular RA$k$EL, which originally inspired this work, and a family of recent
multi-label classification algorithms that involve output coding. Experimental
results on 12 multi-target datasets show that it performs significantly better
than a strong baseline that learns a single model for each target using
gradient boosting and compares favourably to multi-objective random forest
approach, which is a state-of-the-art approach. The experiments further show
that our approach improves more when stronger unconditional dependencies exist
among the targets.