How to construct a self learning process for an ensemble model?
It is not much more sofisticated than what you thought, but you can try training a linear regression (in the online setting, by stochastic gradient descent) whose inputs are the predictions spit by your models and the output is the real value of the predicted variable. In this case, you wouldn't need to retrain with the whole dataset.

In fact, I think that all online machine learning techniques can be applied in this setting.